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A Tutorial on Sample Size Calculation for Inter-rater and Intra-rater Agreement Studies. [PDF]

Indian J Psychol Med
Madadizadeh F, Bahariniya S.
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Interest Rate Futures Options and Interest Rate Options

Financial Review, 1990
AbstractThis paper derives pricing models of interest rate options and interest rate futures options. The models utilize the arbitrage‐free interest rate movements model of Ho and Lee. In their model, they take the initial term structure as given, and for the subsequent periods, they only require that the bond prices move relative to each other in an ...
Thomas S. Y. Ho, Sang Bin Lee
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Interest rate futures and bank hedging

OR Spectrum, 1999
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Broll, U., Guinnane, T. W.
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Long-term Interest-rate Futures

1983
The American Treasury bond market is the largest single fixed income market in the world, followed closely by the United Kingdom gilt market. Both are also considered to be the most efficient fixed income capital markets as well. By efficient is meant the relative ease with which new issues may be brought to market, as well as the ability of the ...
Brendan Brown, Charles R. Geisst
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Short-Term Interest Rate Futures as Monetary Policy Forecasts [PDF]

SSRN Electronic Journal, 2008
The prices of futures contracts on short-term interest rates are commonly used by central banks to gauge market expectations concerning monetary policy decisions. Excess returns - the difference between futures rates and the realized rates - are positive, on average, and statistically significant, both in the euro area and in the United States. We find
Giuseppe Ferrero, Andrea Nobili
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Short-term Interest-rate Futures

1983
Interest-rate futures markets represent a greater break from the past than do currency futures markets. Until T-bill futures were launched on the IMM in the mid-1970s, it had not been possible for the general public to deal in dollar money-market instruments for forward delivery. In contrast, currency futures markets had been born into a world in which
Brendan Brown, Charles R. Geisst
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Forecasting interest rates from financial futures markets

Applied Financial Economics, 1996
The prices of financial futures contracts traded at LIFFE can be interpreted as forecasts of the three-month interest rate which will apply at the delivery date. During the period under review the contracts were traded daily for a varying number of years prior to the delivery date so that a number of contracts are priced at any one time.
K. Holden, J. L. Thompson
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Hedging Interest Rate Risks with Financial Futures

Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration, 1984
This paper examines the problem of hedging interest rate risks through the financial futures market. We analyse the problem first in the context of one‐period models and later in the context of a continuous‐time model, assuming daily settlement of the futures contract and a utility function that expresses risk aversion.
Michel Fortin, Nabil Khoury
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Real Interest Rates: Past and Future

National Institute Economic Review, 1993
Before 1914 long-term price stability was confidently expected in the UK. The typical yield then of 3 per cent per annum on long-term UK government bonds can be compared with the 4 per cent per annum on government index-linked bonds at end-1992. Inflation has made conventional long-term Government bonds riskier, and it is estimated that the real ...
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