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 …

' result. Hence only a principal components analysis is needed to test the arbitrage pricing theory. Our eigenvalue conditional …We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies …

We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies …

A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage … and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a … new methodology for measuring market integration, based on a theoretical model of arbitrage applicable to any type of …

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 …

analysis of large cross-sections of securities. Our empirical implementation of the theory proved in capable of explaining … factor versions of the theory …

The Arbitrage Pricing Theory (APT) of Ross (1976) presumes that a factor model describes security returns. In this …

This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage …

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 …