Questioning the Use of 90-Day Treasury Bill as a Risk-Free Asset: Evidence from Canada

2017 ◽  
Author(s):  
Eben Otuteye ◽  
Mohammad Siddiquee
Keyword(s):  
Treasury Bill

Systematic Patterns in Daily Treasury Bill Returns and Spreads

2003 ◽  
Author(s):  
Ramon P. DeGennaro ◽  
Alahassane Diallo
Keyword(s):  
Treasury Bill

scholarly journals Treasury Bill Rates in the 1970s and 1980s

1992 ◽  
Vol 24 (2) ◽  
pp. 195 ◽  
Author(s):  
Patric H. Hendershott ◽  
Joe Peek
Keyword(s):  
Treasury Bill

Cross hedging CDs with treasury bill futures

1983 ◽  
Vol 3 (4) ◽  
pp. 429-438 ◽  
Author(s):  
Andrew J. Senchack ◽  
John C. Easterwood
Keyword(s):  
Treasury Bill ◽  
Cross Hedging

scholarly journals A mixture autoregressive model based on Gaussian and Student’s t-distributions

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Savi Virolainen
Keyword(s):  
Interest Rate ◽  
Autoregressive Model ◽  
Autoregressive Models ◽  
Federal Funds ◽  
Treasury Bill ◽  
Federal Funds Rate ◽  
Empirical Application ◽  
Model Based ◽  
Interest Rate Spread ◽  
Student’S T

Abstract We introduce a new mixture autoregressive model which combines Gaussian and Student’s t mixture components. The model has very attractive properties analogous to the Gaussian and Student’s t mixture autoregressive models, but it is more flexible as it enables to model series which consist of both conditionally homoscedastic Gaussian regimes and conditionally heteroscedastic Student’s t regimes. The usefulness of our model is demonstrated in an empirical application to the monthly U.S. interest rate spread between the 3-month Treasury bill rate and the effective federal funds rate.

Treasury Bill Futures

2008 ◽  
pp. 277-277
Keyword(s):  
Treasury Bill

scholarly journals The Treasury-Bill Futures Market

1980 ◽  
Vol 88 (4) ◽  
pp. 699-721 ◽  
Author(s):  
Rodney L. Jacobs ◽  
Robert A. Jones
Keyword(s):  
Futures Market ◽  
Treasury Bill
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