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The role of no-arbitrage on forecasting : lessons from a parametric term structure model
Almeida, Caio (contributor); Vicente, José (contributor) - 2007
Persistent link: https://www.econbiz.de/10003566042
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Liquidity risk and the dynamics of arbitrage capital
Kondor, Péter; Vayanos, Dimitri - 2014
Persistent link: https://www.econbiz.de/10010363538
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Liquidity risk and the dynamics of arbitrage capital
Kondor, Péter; Vayanos, Dimitri - 2014
Persistent link: https://www.econbiz.de/10010258231
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Liquidity risk and the dynamics of arbitrage capital
Kondor, Péter; Vayanos, Dimitri - 2014
Persistent link: https://www.econbiz.de/10010345651
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Dynamic portfolio theory and management : using active asset allocation to improve profits and reduce risk
Oberuc, Richard E. - 2004
Persistent link: https://www.econbiz.de/10001783789
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Liquidity Risk and the Dynamics of Arbitrage Capital
Kondor, Peter - 2014
We develop a continuous-time model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have CRRA utility, while hedgers' asset demand is independent of wealth. An increase in hedgers' risk aversion can make arbitrageurs endogenously more...
Persistent link: https://www.econbiz.de/10013058245
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Liquidity Risk and the Dynamics of Arbitrage Capital
Kondor, Peter - 2018
We develop a continuous-time model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have CRRA utility, while hedgers' asset demand is independent of wealth. An increase in hedgers' risk aversion can make arbitrageurs endogenously more...
Persistent link: https://www.econbiz.de/10012923286
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The Role of No-Arbitrage on Forecasting : Lessons from a Parametric Term Structure Model
Almeida, Caio - 2018
stylized facts. In this paper, we combine flavors of those two classes of models to test whether no-arbitrage affects … forecasting. We construct cross-sectional (allowing arbitrages) and arbitrage-free versions of a parametric polynomial model to … analyze how well they predict out-of-sample interest rates. Based on U.S. Treasury yield data, we find that no-arbitrage …
Persistent link: https://www.econbiz.de/10012924536
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Liquidity Risk and the Dynamics of Arbitrage Capital
Kondor, Péter - 2014
We develop a continuous-time model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have CRRA utility, while hedgers' asset demand is independent of wealth. An increase in hedgers' risk aversion can make arbitrageurs endogenously more...
Persistent link: https://www.econbiz.de/10012458734
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Asia's Stock Markets : Are There Crouching Tigers and Hidden Dragons?
Ong, Li - 2014
Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their...
Persistent link: https://www.econbiz.de/10013056805