Showing 1 - 10 of 17,378
Persistent link: https://www.econbiz.de/10000646551
Persistent link: https://www.econbiz.de/10003899262
Persistent link: https://www.econbiz.de/10011308161
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely...
Persistent link: https://www.econbiz.de/10003748975
Persistent link: https://www.econbiz.de/10003251151
Persistent link: https://www.econbiz.de/10001323348
Persistent link: https://www.econbiz.de/10001377676
Persistent link: https://www.econbiz.de/10001230161
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...
Persistent link: https://www.econbiz.de/10013107809
Persistent link: https://www.econbiz.de/10012589911