Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence
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In this paper, we develop a theoretical (arbitrage) pricing model for a Eurocurrency interest rate futures contract and measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining exisiting Eurodollar interest rate futures contracts with
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美国国家经济研究局创建时间：
1989-08-01
