Sources of Variation in Holding Returns for Fed Funds Futures Contracts
نویسندگان
چکیده
منابع مشابه
Sources of Variation in Holding Returns for Fed Funds Futures Contracts
This paper relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short-horizon contracts is mixed, we find that gains in longer-horizon contracts can be well described using Markov switching models, with predictability associated with ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.2583458