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for five‐year swaps. Practical implications – Findings from this study will also identify any arbitrage opportunities that …
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forward (NDF) market. Then, using the self-exciting threshold autoregression methodology, we estimate a no-arbitrage band … deviations from CIP follow a random walk process. Outside the bands, profitable arbitrage opportunities exist and we estimate an … effectively restricting inflows; (3) arbitrage activity closes deviations from CIP when the threshold boundaries are exceeded in …
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