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Estimates of the Term Premium on Near-dated Federal Funds Futures Contracts

Data up to Jan 2025

Published2003
Citations13
References21

Total Citations Per Year

Abstract

References (21)

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THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

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Untitled

2000 • 123 citations

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2001 • 46 citations

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2003 • 43 citations

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2003 • 39 citations

Extracting the Expected Path of Monetary Policy from Futures Rates

2003 • 17 citations

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2002 • 17 citations

The term premium, time varying interest rate volatility and central bank policy reaction

2002 • 11 citations

The Behavior of Federal Funds Futures Prices over the Monetary Policy Cycle

2002 • 10 citations

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Estimates of the Term Premium on Near-dated Federal Funds Futures Contracts (2003) – Finance and Economics Discussion Series | Metascience Observatory Explorer