Sources of Variation in Holding Returns for Fed Funds Futures Contracts

James D. Hamilton, Tatsuyoshi Okimoto

NBER Working Paper No. 15736
Issued in February 2010

---- Acknowledgements -----

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. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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