The implied arbitrage mechanism in financial markets

Chen, Shiyi, Chng, Tuan Shew (Michael) and Liu, Qingfu 2020, The implied arbitrage mechanism in financial markets, Journal of econometrics, vol. 222, no. 1 Part B, pp. 468-483, doi: 10.1016/j.jeconom.2020.07.011.

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Title The implied arbitrage mechanism in financial markets
Author(s) Chen, Shiyi
Chng, Tuan Shew (Michael)
Liu, Qingfu
Journal name Journal of econometrics
Volume number 222
Issue number 1 Part B
Start page 468
End page 483
Total pages 16
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2020-05
ISSN 0304-4076
1872-6895
Keyword(s) No-arbitrage band
Limits to arbitrage
Carry-cost adjusted basis
Language eng
DOI 10.1016/j.jeconom.2020.07.011
Indigenous content off
Field of Research 0104 Statistics
1402 Applied Economics
1403 Econometrics
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30142056

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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