A threshold error-correction model for i
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Martin Martens; Paul Kofman; Ton C. F. Vorst
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Article
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1998
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John Wiley and Sons
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English
โ 213 KB
Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is suciently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not proยฎtable