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Fixed Income Arbitrage in a Financial Crisis (B) : US Treasuries in December 2008

Taliaferro, Ryan - 2012

The B case briefly recounts the action that investment manager James Franey takes in the matter of two U.S. Treasury bonds with identical maturity dates but widely different yields. He must decide what to do next.Learning Objective:This case may be used: to review bond valuation and associated...

Persistent link: https://www.econbiz.de/10013109994

Determinants of treasury-LIBOR swap spreads

Malhotra, Davinder Kumar; Bhargava, Vivek; Chaudhry, Mukesh - In: Review of Pacific Basin financial markets and policies 8 (2005) 4, pp. 687-705

Persistent link: https://www.econbiz.de/10003280297

The dynamic relationship between main investors' net long position and the trading volume of KTB futures market

Kim, Hee Seong; Park, Sang-bum - In: Journal of emerging market finance 5 (2006) 3, pp. 217-233

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The pricing and efficiency of Australian treasury bond futures

Frino, Alex; He, William Peng; Lepone, Andrew - In: Australasian accounting business and finance journal : AABF 8 (2014) 2, pp. 3-14

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Analytical bounds for Treasury bond futures prices

Chen, Ren-Raw; Yeh, Shih-kuo - In: Review of quantitative finance and accounting 39 (2012) 2, pp. 209-239

Persistent link: https://www.econbiz.de/10009629083

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

Determinants of mortgage interest rates : treasuries versus swaps

Sirmans, C. Stace; Smith, Stanley D.; Sirmans, G. Stacy - In: The journal of real estate finance and economics 50 (2015) 1, pp. 34-51

Persistent link: https://www.econbiz.de/10010486912

QE auctions of treasury bonds

Song, Zhaogang; Zhu, Haoxiang - 2014

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Benchmark tipping in the global bond market

Kreicher, Lawrence; McCauley, Robert N.; Wooldridge, Philip - 2014

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Panel cointegration analysis of co-movement between interest rate swap and treasury markets

Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied economics letters 19 (2012) 13/15, pp. 1483-1486

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