A model of the convenience yields in on-the-run treasuries
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Publication:704008
DOI10.1023/B:REDR.0000031174.07795.51zbMath1080.91023OpenAlexW2165688671MaRDI QIDQ704008
Eric Jacquier, Robert A. Jarrow, Joseph A. Cherian
Publication date: 12 January 2005
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:redr.0000031174.07795.51
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Related Items (3)
Yield curves from different bond data sets ⋮ Convenience yields ⋮ Liquidity risk and the term structure of interest rates
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