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Measuring Limits of Arbitrage in Fixed-Income Markets
| Content Provider | Scilit |
|---|---|
| Author | Fontaine, Jean-Sebastien Nolin, Guillaume |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal An emerging literature relies on an index of limits to arbitrage in fixed-income markets. We analyze the benefits of an index that is model-free, robust and intuitive. This new index strengthens the evidence that limits to arbitrage proxy for risks priced in the cross-section of returns. Trading simulations show that the new index improves identification of limits to arbitrage because it bypasses a noisy estimation step. Relative value indices in the US, UK, Japan, Germany, Italy, France, Switzerland and Canada exhibit strong commonality and high correlations with local volatility and funding conditions. The indices are updated regularly and available publicly. |
| Related Links | https://www.bankofcanada.ca/wp-content/uploads/2017/10/swp2017-44.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3247184 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3247184 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-09-10 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Limits of Arbitrage |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |