Trading treasury bond spreads against treasury bill futures—a model and empirical test of the turtle trade

Author:

Rentzler Joel C.

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference17 articles.

1. Treasury Bill Pricing in the Spot and Futures Markets

2. A Note on Taxes and the Pricing of Treasury Bill Futures Contracts

3. , and (1984, January): “Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market,” Review of Economics and Statistics 129–137.

4. (1984, Winter): “Trading Bond Spreads in the Delivery Month,” Journal of Futures Markets, 579–583.

5. Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts

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