The implied arbitrage mechanism in financial markets

DOI10.1016/J.JECONOM.2020.07.011zbMATH Open1471.62492OpenAlexW3047082672MaRDI QIDQ2658799FDOQ2658799

Authors: Shiyi Chen, Michael T. Chng, Qingfu Liu 

Publication date: 24 March 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.011

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zbMATH Keywords

limits to arbitragecarry-cost adjusted basisno-arbitrage band

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• The pricing of options and corporate liabilities
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Threshold regression with endogeneity
• Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations

Cited In (4)

• The internalist perspective on inevitable arbitrage in financial markets
• Estimating the money market microstructure with negative and zero interest rates
• Editorial for the special issue on financial econometrics in the age of the digital economy
• Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*

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