Sources of variation in holding returns for fed funds futures contracts
研究了联邦基金期货合约持有收益的可预测性，发现长期合约收益可用马尔可夫转换模型描述，预测性在经济疲软和收益波动高时显著。
Abstract This study relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short‐horizon contracts is mixed, we find that gains in longer horizon contracts can be well described using Markov‐switching models, with predictability associated with particular episodes in which economic activity was weak and variability in the returns to these contracts was quite high. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:205–229, 2011