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- W2013577573 abstract "The process that generates 90-day US Treasury Bill futures prices is investigated. Tests for linear and non-linear dependence are conducted. No notable linear dependence is found, however, evidence from several tests suggest that futures prices contain significant non-linear dependencies. ARCH processes successfully model this data, but other non-linear models that are more sensitive to dependencies found in the mean of the data should also be considered." @default.
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- W2013577573 date "1991-09-01" @default.
- W2013577573 modified "2023-09-28" @default.
- W2013577573 title "Non-linear dependence? A look at the Treasury Bill futures market" @default.
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- W2013577573 doi "https://doi.org/10.1080/758518043" @default.
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