Nonlinear limits to arbitrage
Jingzhi Chen, Charlie X. Cai, Robert Faff, Yongcheol Shin
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Jingzhi ; Cai, Charlie X. ; Faff, Robert W. ; Shin, Yongcheol |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 6, p. 1084-1113
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| Subject: | index arbitrage | limits to arbitrage | Markov-switching GECM | mispricing correction | noise momentum | Arbitrage | Theorie | Theory | Markov-Kette | Markov chain | Arbitrage Pricing | Arbitrage pricing | Index-Futures | Index futures | Noise Trading | Noise trading | Nichtlineare Regression | Nonlinear regression | Finanzmarkt | Financial market | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22320 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013287917