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The implied arbitrage mechanism in financial markets

journal contribution

posted on 2020-05-01, 00:00 authored by S Chen, M T Chng, Q Liu

The implied arbitrage mechanism in financial markets

History

Journal

Journal of econometrics

Volume

222

Issue

1 Part B

Pagination

468 - 483

Publisher

Elsevier

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

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Keywords

No-arbitrage band Limits to arbitrage Carry-cost adjusted basis

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All Rights Reserved

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