Nonlinear limits to arbitrage
Year of publication: |
2022
|
---|---|
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
|
Subject: | index arbitrage | limits to arbitrage | Markov-switching GECM | mispricing correction | noise momentum | Arbitrage | Theorie | Theory | Anlageverhalten | Behavioural finance | Markov-Kette | Markov chain | Arbitrage Pricing | Arbitrage pricing | Börsenkurs | Share price | Effizienzmarkthypothese | Efficient market hypothesis |
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