Matches in SemOpenAlex for { <https://semopenalex.org/work/W2136813077> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2136813077 endingPage "560" @default.
- W2136813077 startingPage "551" @default.
- W2136813077 abstract "In the theory of interest rate futures, the difference between the futures rate and forward rate is called the “convexity bias,” and there are several widely offered reasons why the convexity bias should be positive. Nevertheless, it is not infrequent that the empirical the bias is observed to be negative. Moreover, in its most general form, the benchmark Heath–Jarrow–Morton (HJM) term structure model is agnostic on the question of the sign of the bias; it allows for models where the convexity bias can be positive or negative. In partial support of the practitioner’s arguments, we develop a simple scalar condition within the HJM framework that suffices to guarantee that the convexity bias is positive. Moreover, when we check this condition on the LIBOR futures data, we find strong empirical support for the new condition. The empirical validity of the sufficient condition and the periodic observation of negative bias, therefore leads one to a paradoxical situation where either (1) there are arbitrage possibilities or (2) a large subclass of HJM models provide interest rate dynamics that fail to capture a fundamental feature of LIBOR futures." @default.
- W2136813077 created "2016-06-24" @default.
- W2136813077 creator A5075566425 @default.
- W2136813077 creator A5086090227 @default.
- W2136813077 date "2008-06-07" @default.
- W2136813077 modified "2023-09-27" @default.
- W2136813077 title "Convexity Bias in Eurodollar Futures Prices: A Dimension-Free HJM Criterion" @default.
- W2136813077 cites W1539851785 @default.
- W2136813077 cites W1862823561 @default.
- W2136813077 cites W1970990517 @default.
- W2136813077 cites W1995802082 @default.
- W2136813077 cites W2034413077 @default.
- W2136813077 cites W2042775870 @default.
- W2136813077 cites W2097530308 @default.
- W2136813077 cites W2170444200 @default.
- W2136813077 cites W3123918975 @default.
- W2136813077 cites W3125755468 @default.
- W2136813077 cites W77216594 @default.
- W2136813077 doi "https://doi.org/10.1007/s11009-008-9082-6" @default.
- W2136813077 hasPublicationYear "2008" @default.
- W2136813077 type Work @default.
- W2136813077 sameAs 2136813077 @default.
- W2136813077 citedByCount "0" @default.
- W2136813077 crossrefType "journal-article" @default.
- W2136813077 hasAuthorship W2136813077A5075566425 @default.
- W2136813077 hasAuthorship W2136813077A5086090227 @default.
- W2136813077 hasBestOaLocation W21368130772 @default.
- W2136813077 hasConcept C10138342 @default.
- W2136813077 hasConcept C106159729 @default.
- W2136813077 hasConcept C106306483 @default.
- W2136813077 hasConcept C120310109 @default.
- W2136813077 hasConcept C128263813 @default.
- W2136813077 hasConcept C144237770 @default.
- W2136813077 hasConcept C149782125 @default.
- W2136813077 hasConcept C153364924 @default.
- W2136813077 hasConcept C160623529 @default.
- W2136813077 hasConcept C162324750 @default.
- W2136813077 hasConcept C175025494 @default.
- W2136813077 hasConcept C187614132 @default.
- W2136813077 hasConcept C18903297 @default.
- W2136813077 hasConcept C28826006 @default.
- W2136813077 hasConcept C33923547 @default.
- W2136813077 hasConcept C69738904 @default.
- W2136813077 hasConcept C70771513 @default.
- W2136813077 hasConcept C72134830 @default.
- W2136813077 hasConcept C86803240 @default.
- W2136813077 hasConcept C91602232 @default.
- W2136813077 hasConceptScore W2136813077C10138342 @default.
- W2136813077 hasConceptScore W2136813077C106159729 @default.
- W2136813077 hasConceptScore W2136813077C106306483 @default.
- W2136813077 hasConceptScore W2136813077C120310109 @default.
- W2136813077 hasConceptScore W2136813077C128263813 @default.
- W2136813077 hasConceptScore W2136813077C144237770 @default.
- W2136813077 hasConceptScore W2136813077C149782125 @default.
- W2136813077 hasConceptScore W2136813077C153364924 @default.
- W2136813077 hasConceptScore W2136813077C160623529 @default.
- W2136813077 hasConceptScore W2136813077C162324750 @default.
- W2136813077 hasConceptScore W2136813077C175025494 @default.
- W2136813077 hasConceptScore W2136813077C187614132 @default.
- W2136813077 hasConceptScore W2136813077C18903297 @default.
- W2136813077 hasConceptScore W2136813077C28826006 @default.
- W2136813077 hasConceptScore W2136813077C33923547 @default.
- W2136813077 hasConceptScore W2136813077C69738904 @default.
- W2136813077 hasConceptScore W2136813077C70771513 @default.
- W2136813077 hasConceptScore W2136813077C72134830 @default.
- W2136813077 hasConceptScore W2136813077C86803240 @default.
- W2136813077 hasConceptScore W2136813077C91602232 @default.
- W2136813077 hasIssue "4" @default.
- W2136813077 hasLocation W21368130771 @default.
- W2136813077 hasLocation W21368130772 @default.
- W2136813077 hasLocation W21368130773 @default.
- W2136813077 hasOpenAccess W2136813077 @default.
- W2136813077 hasPrimaryLocation W21368130771 @default.
- W2136813077 hasRelatedWork W1516535806 @default.
- W2136813077 hasRelatedWork W1531671325 @default.
- W2136813077 hasRelatedWork W1862823561 @default.
- W2136813077 hasRelatedWork W1947702067 @default.
- W2136813077 hasRelatedWork W1982807975 @default.
- W2136813077 hasRelatedWork W2007388669 @default.
- W2136813077 hasRelatedWork W2007411408 @default.
- W2136813077 hasRelatedWork W2013173708 @default.
- W2136813077 hasRelatedWork W2045388541 @default.
- W2136813077 hasRelatedWork W2072004182 @default.
- W2136813077 hasRelatedWork W2143312141 @default.
- W2136813077 hasRelatedWork W2244961395 @default.
- W2136813077 hasRelatedWork W2467684339 @default.
- W2136813077 hasRelatedWork W2901307652 @default.
- W2136813077 hasRelatedWork W3119709879 @default.
- W2136813077 hasRelatedWork W3124768776 @default.
- W2136813077 hasRelatedWork W3145938320 @default.
- W2136813077 hasRelatedWork W3150804734 @default.
- W2136813077 hasRelatedWork W77216594 @default.
- W2136813077 hasRelatedWork W2188392671 @default.
- W2136813077 hasVolume "11" @default.
- W2136813077 isParatext "false" @default.
- W2136813077 isRetracted "false" @default.
- W2136813077 magId "2136813077" @default.
- W2136813077 workType "article" @default.