Conditional time-varying interest rate risk premium: Evidence from the treasury bill futures market

Journal of Money, Credit and Banking

Volumn 37, Issue 4, 2005, Pages 679-698

  Hess, Alan C ^a   Kamara, Avraham ^a  

^a UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Term structure; Time varying conditional term premium; Treasury bill forward and futures rates

Indexed keywords

EID: 24144460637     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1353/mcb.2005.0042     Document Type: Review

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