not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization … cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a … closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new …

We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson … three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this … performance are achieved from the imposition of absence of arbitrage …

The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different …

that CIP violations imply arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the … absence of observable riskless discount rates, we extract them empirically using a simple no-arbitrage framework. They deliver …-currency basis swap rates well. The no-arbitrage benchmarks account for about two thirds of the alleged CIP deviations, while the …

. Focusing in particular on arbitrage opportunities, I construct an "externality-mimicking portfolio" whose returns track the …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

affne no-arbitrage term structure models …

paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage …