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Search: subject_exact:"APT (Arbitrage Pricing Theory)"
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Arbitrage Pricing
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Journal of banking & finance
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ECONIS (ZBW)
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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:
11
Using Tucher's theorem of the alternative to simplify, review and expand discrete arbitrage theory
Kallio, Markku
;
Ziemba, William T.
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2281-2302
Persistent link: https://www.econbiz.de/10003522917
Saved in:
12
Large traders, hidden arbitrage, and complete markets
Jarrow, Robert A.
;
Protter, Philip E.
- In:
Journal of banking & finance
29
(
2005
)
11
,
pp. 2803-2820
Persistent link: https://www.econbiz.de/10003121053
Saved in:
13
Trading intensity, volatility, and arbitrage activity
Taylor, Nicholas
- In:
Journal of banking & finance
28
(
2004
)
5
,
pp. 1137-1162
Persistent link: https://www.econbiz.de/10002006814
Saved in:
14
Arbitrage bounds in markets with noisy prices and the puzzle of negative option prices implicit in bonds
Ioffe, Ioulia D.
- In:
Journal of banking & finance
26
(
2002
)
6
,
pp. 1199-1228
Persistent link: https://www.econbiz.de/10001670772
Saved in:
15
Efficiency in index options markets and trading in stock baskets
Ackert, Lucy F.
;
Tian, Yisong Sam
- In:
Journal of banking & finance
25
(
2001
)
9
,
pp. 1607-1634
Persistent link: https://www.econbiz.de/10001603569
Saved in:
16
Mixing and matching : prospective financial sector mergers and market valuation
Estrella, Arturo
- In:
Journal of banking & finance
25
(
2001
)
12
,
pp. 2367-2392
Persistent link: https://www.econbiz.de/10001636694
Saved in:
17
On the market risk involved in the public financial system in Japan : a theoretical and numerical investigation
Miyazaki, Kenji
;
Saitō, Makoto
- In:
Journal of banking & finance
23
(
1999
)
8
,
pp. 1243-1259
Persistent link: https://www.econbiz.de/10001391611
Saved in:
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