The implied arbitrage mechanism in financial markets

DOI10.1016/J.JECONOM.2020.07.011MaRDI QIDQ2658799zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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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