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The implied arbitrage mechanism in financial markets

Version 2 2024-06-13, 14:05

Version 1 2020-09-16, 15:11

journal contribution

posted on 2024-06-13, 14:05 authored by S Chen, MT Chng, Q Liu

The implied arbitrage mechanism in financial markets

History

Journal

Journal of econometrics

Volume

222

Pagination

468-483

Location

Amsterdam, The Netherlands

Publisher DOI

https://doi.org/10.1016/j.jeconom.2020.07.011

ISSN

0304-4076

eISSN

1872-6895

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Issue

1 Part B

Publisher

Elsevier

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Categories

Keywords

No-arbitrage band Limits to arbitrage Carry-cost adjusted basis 4905 Statistics 3801 Applied economics 3802 Econometrics

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All Rights Reserved

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