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The Persistent Widening of Cross-Currency Basis : When Increased FX Swap Demand Meets a Shortage of Global Arbitrage Capital
Nathan, Daniel; Ben Zeev, Nadav - 2022
interest rate parity) for a wide range of currencies with respect to the dollar since the global financial crisis. Theory of … the foreign exchange (FX) swap market predicts that shortage of global arbitrage capital (GAC), by making the FX swap …
Persistent link: https://www.econbiz.de/10014238919
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International Volatility Arbitrage
Tosi, Adriano - 2018
exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …
Persistent link: https://www.econbiz.de/10012915950
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Arbitrage international commercial
Sanders, Pieter (ed.) - 1956
Persistent link: https://www.econbiz.de/10000105633
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International trade and the arbitrage principle
Vries, Casper G. de - 1989
Persistent link: https://www.econbiz.de/10000770874
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Arbitrage international commercial ; 2
Sanders, Pieter (ed.) - 1960
Persistent link: https://www.econbiz.de/10003078375
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A No-Arbitrage Perspective on Global Arbitrage Opportunities
Augustin, Patrick - 2020
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 …
Persistent link: https://www.econbiz.de/10012481814
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GARCH modeling of robust market returns
Cuadro-Sáez, Lucía (contributor);  … - 2007
Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...
Persistent link: https://www.econbiz.de/10003481783
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GARCH modeling of robust market returns
Cuadro-Sáez, Lucía; Moreno, Manuel - 2007
Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...
Persistent link: https://www.econbiz.de/10010272310
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The economics of financial markets
Bailey, Roy E. - 2005
asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the …
Persistent link: https://www.econbiz.de/10011479686
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Global risk premia on international investments
Oertmann, Peter - 1997
Persistent link: https://www.econbiz.de/10000958922