Volatility patterns of short-term interest rate futures
Year of publication: |
2021
|
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Authors: | Gurrola-Perez, Pedro ; Herrerias, Renata |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 27.2021, 16, p. 1604-1625
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Subject: | Futures contracts | interbank rates | maturity effect | Samuelson hypothesis | short-term interest rates futures | volatility | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Zins | Interest rate | Derivat | Derivative |
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