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subject:"Arbitrage Pricing"
~isPartOf:"Journal of banking & finance"
~type_genre:"Article in journal"
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Search: subject_exact:"APT (Arbitrage Pricing Theory)"
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Arbitrage Pricing
Arbitrage pricing
17
Arbitrage
5
CAPM
5
Theorie
5
Theory
5
Option pricing theory
4
Optionspreistheorie
4
Portfolio selection
4
Portfolio-Management
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Derivat
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1992-1994
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Arbitrage pricing theory
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Asset pricing
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Article in journal
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Smedema, Adam R.
2
Ackert, Lucy F.
1
Almeida, Caio
1
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1
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1
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1
Chou, Pin-huang
1
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1
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1
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1
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1
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1
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1
Miyazaki, Kenji
1
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1
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1
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1
Saitō, Makoto
1
Tavin, Bertrand
1
Taylor, Nicholas
1
Tian, Yisong Sam
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Journal of banking & finance
Finance and stochastics
33
International journal of theoretical and applied finance
23
Journal of mathematical economics
23
Journal of financial economics
22
Annals of finance
11
Mathematics and financial economics
10
Economic theory : official journal of the Society for the Advancement of Economic Theory
9
Economics letters
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Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The journal of computational finance
7
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6
Journal of economic dynamics & control
6
Journal of economic theory
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5
Asia-Pacific financial markets
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International review of economics & finance : IREF
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Journal of econometrics
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Finance research letters
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International review of financial analysis
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Pacific-Basin finance journal
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Seoul journal of economics
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The Korean economic review
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The journal of finance : the journal of the American Finance Association
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Tydskrif vir studies in ekonomie en ekonometrie : SEE
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ECONIS (ZBW)
17
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1
A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.
;
Fabozzi, Frank J.
;
Mitov, Ivan K.
- In:
Journal of banking & finance
65
(
2016
),
pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
Saved in:
2
Systematic limited arbitrage and the cross-section of stock returns : evidence from exchange traded funds
DeLisle, R. Jared
;
McTier, Brian C.
;
Smedema, Adam R.
- In:
Journal of banking & finance
70
(
2016
),
pp. 118-136
Persistent link: https://www.econbiz.de/10011635135
Saved in:
3
Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
Tavin, Bertrand
- In:
Journal of banking & finance
53
(
2015
),
pp. 158-178
Persistent link: https://www.econbiz.de/10011377717
Saved in:
4
Size and value risk in financial firms
Baek, Seungho
;
Bilson, John F.
- In:
Journal of banking & finance
55
(
2015
),
pp. 295-326
Persistent link: https://www.econbiz.de/10011379102
Saved in:
5
ETF arbitrage : intraday evidence
Marshall, Ben R.
;
Nguyen, Nhut
;
Visaltanachoti, Nuttawat
- In:
Journal of banking & finance
37
(
2013
)
9
,
pp. 3486-3498
Persistent link: https://www.econbiz.de/10010126380
Saved in:
6
Arbitrage risk and the turnover anomaly
Chou, Pin-huang
;
Huang, Tsung-yu
;
Yang, Hung-jeh
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4172-4182
Persistent link: https://www.econbiz.de/10010245601
Saved in:
7
Arbitrage-free credit pricing using default probabilities and risk sensitivities
Blöchlinger, Andreas
- In:
Journal of banking & finance
35
(
2011
)
2
,
pp. 268-281
Persistent link: https://www.econbiz.de/10009244332
Saved in:
8
The return impact of realized and expected idiosyncratic volatility
Peterson, David R.
;
Smedema, Adam R.
- In:
Journal of banking & finance
35
(
2011
)
10
,
pp. 2547-2558
Persistent link: https://www.econbiz.de/10009273288
Saved in:
9
The role of no-arbitrage on forecasting : lessons from a parametric term structure model
Almeida, Caio
;
Vicente, José
- In:
Journal of banking & finance
32
(
2008
)
12
,
pp. 2695-2705
Persistent link: https://www.econbiz.de/10003796156
Saved in:
10
Conditions on option prices for absence of arbitrage and exact calibration
Cousot, Laurent
- In:
Journal of banking & finance
31
(
2007
)
11
,
pp. 3377-3397
Persistent link: https://www.econbiz.de/10003577408
Saved in:
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