| Author: | Barnhill, T. M. Jordan, J. V. Seale, W. E. |
| Title: | Maturity and refunding effects on Treasury-bond futures price variance. |
| Journal: | Journal of Financial Research
1987 : SUMMER, VOL. 10:2, p. 121-131 |
| Index terms: | GOVERNMENT BONDS FUTURES MARKETS PRICES MATHEMATICAL MODELS |
| Language: | eng |
| Abstract: | A test of Samuelson's maturity hypothesis and the Anderson-Danthine state variable hypothesis related to the variance of Treasury-bond futures prices. The study covers maturity and quarterly refunding of Treasury debt on futures price variance, the monotonic maturity effect and changes in model specification, quarterly refunding and auction week. The theory, methodology are reviewed with three Tables and four equations. |
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