We are grateful to Michael Bauer, Brent Bundick, Eric Swanson, and an anonymous referee for comments on an earlier draft. Okimoto thanks the JSPS Postdoctoral Fellowships for Research Abroad for financial support.
Sources of variation in holding returns for fed funds futures contracts†
Version of Record online: 21 JUN 2010
© 2010 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 31, Issue 3, pages 205–229, March 2011
How to Cite
Hamilton, J. D. and Okimoto, T. (2011), Sources of variation in holding returns for fed funds futures contracts. J. Fut. Mark., 31: 205–229. doi: 10.1002/fut.20473
- Issue online: 13 JAN 2011
- Version of Record online: 21 JUN 2010
- Manuscript Accepted: MAY 2010
- Manuscript Received: AUG 2009
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