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Transactions costs and interest arbitrage tranquil versus turbulent periods
Frenkel, Jacob A.; Levich, Richard M. - In: Journal of political economy 85 (1977) 6, pp. 1209-1226
Persistent link: https://www.econbiz.de/10003552970
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Arbitrage equilibrium with transaction costs
Niehans, Jürg - In: Journal of money, credit and banking : JMCB 26 (1994) 2, pp. 249-270
Persistent link: https://www.econbiz.de/10001167206
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Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates : reply
Ghosh, Dilip K. - In: The journal of futures markets 19 (1999) 1, pp. 121-125
Persistent link: https://www.econbiz.de/10001377610
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Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates : comment
Batlin, Carl A. - In: The journal of futures markets 19 (1999) 1, pp. 115-120
Persistent link: https://www.econbiz.de/10001377612
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Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Cordero, Fernando; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10011403853
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Estimating unknown arbitrage costs : evidence from a three-regime threshold vector error correction model
Ters, Kristyna; Urban, Jörg - 2018
Persistent link: https://www.econbiz.de/10011865846
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Price dynamics, the law of one price, and quantile regressions
Santeramo, Fabio Gaetano - In: Journal of agricultural and resource economics : JARE ; … 47 (2022) 3, pp. 513-528
Persistent link: https://www.econbiz.de/10013399789
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SETS, Arbitrage Activity, and Stock Price Dynamics
Taylor, Nick; van Dijk, Dick; Franses, Philip Hans; … - 1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10010324378
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One-Way Arbitrage-Based Interest Parity
Chang, Rosita P.; Lee, Sang-Hyop; Reid, Sean F.; Rhee, … - 2002
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 …
Persistent link: https://www.econbiz.de/10010324946