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Three empirical essays on the informational content of financial prices

Bernoth, Kerstin - 2004

Persistent link: https://www.econbiz.de/10002524759

Does federal funds futures rate contain information about the treasury bill rate?

Kishor, N. Kundan; Marfatia, H. A. - In: Applied financial economics 23 (2013) 16/18, pp. 1311-1324

Persistent link: https://www.econbiz.de/10010259457

The formation of interbank interest rates and treasury bill yields in Japan under different regimes of non-traditional monetary policy

Ito, Takayasu - In: The journal of corporate accounting & finance 35 (2024) 2, pp. 281-286

Persistent link: https://www.econbiz.de/10014535588

Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates

Zhao, Chaoyi; Jia, Zijian; Wu, Lan - In: Insurance : mathematics and economics 114 (2024), pp. 156-175

Persistent link: https://www.econbiz.de/10015049388

The fear premium and daily comovements of the S&P E/P ratio and treasury yields before and during the 2008 financial crisis

Faugère, Christophe (contributor) - 2013

Persistent link: https://www.econbiz.de/10010189580

Bond convenience curves and funding costs

Nissinen, Juuso; Sihvonen, Markus - 2022

A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a model in which arbitrageurs face higher funding costs on...