Martens, Martin; Kofman, Paul; Vorst, Ton C. F. - In: Journal of Applied Econometrics 13 (1998) 3, pp. 245-263
Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not...