date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are …

forwardforeign exchange prices from interest parity forward prices. Second, the role oftransaction costs in one-way arbitrage …-based interest parity has not been examined.Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity … implied by one-way arbitrage, does not diminish therole of transaction costs; (ii) the varjances of the estimated deviations …

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an … implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …