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| Author: | Shrestha, K. Welch, R. |
| Title: | Relationship between expected treasury bill and Eurodollar interest rates: a fractional cointegration analysis |
| Journal: | Review of Quantitative Finance and Accounting
2001 : JAN, VOL. 16:1, p. 65-80 |
| Index terms: | COINTEGRATION EURODOLLARS TREASURY BILLS |
| Language: | eng |
| Abstract: | In this paper, the authors extend Booth and Tse's (BT) 1995 analysis of fractional cointegration between the expected Eurodollar and Treasury bill interest rates implied by their respective futures contracts. The definition of fractional cointegration suggested by Cheung and Lai (1993) and used by BT is refined so that it requires the cointegrating relationship to be stationary as well as mean-reverting. |
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