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The Dynamics of Arbitrage: Evidence from the Forward Markets

https://doi.org/10.2139/ssrn.2024038

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Outgoing claims: the papers this work cites, builds on, or argues with.

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A threshold model for the French franc/deutschmark exchange rate

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International tax arbitrage, tax evasion and interest parity conditions

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Threshold Models in Non-linear Time Series Analysis

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Nonlinear dynamics and covered interest rate parity

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Covered interest arbitrage in the 1970's

inferredcites →https://doi.org/10.1016/0261-5606(88)90026-5openalex-extracted

Arbitrage boundaries, treasury bills, and covered interest parity

inferredcites →https://doi.org/10.1016/0261-5606(93)90005-vopenalex-extracted

Long-term covered interest parity: evidence from currency swaps

inferredcites →https://doi.org/10.1016/0378-4266(81)90043-1openalex-extracted

Interest rate parity tests

inferredcites →https://doi.org/10.1016/1059-0560(95)90013-6openalex-extracted

Covered interest parity and international capital market efficiency

inferredcites →https://doi.org/10.1016/j.finmar.2011.01.001openalex-extracted

Carry trades, momentum trading and the forward premium anomaly

inferredcites →https://doi.org/10.1016/j.gfj.2005.05.007openalex-extracted

Covered arbitrage with currency options: A theoretical analysis

inferredcites →https://doi.org/10.1016/j.japwor.2003.09.003openalex-extracted

Exchange rate volatility and its impact on the transaction costs of covered interest rate parity

inferredcites →https://doi.org/10.1016/j.jbankfin.2009.05.007openalex-extracted

Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08

inferredcites →https://doi.org/10.1016/j.jbankfin.2009.11.008openalex-extracted

Covered interest arbitrage profits: The role of liquidity and credit risk

inferredcites →https://doi.org/10.1016/j.jimonfin.2011.01.005openalex-extracted

Uncovered interest-rate parity over the past two centuries

inferredcites →https://doi.org/10.1016/j.jimonfin.2011.07.003openalex-extracted

Regime switches in exchange rate volatility and uncovered interest parity

inferredcites →https://doi.org/10.1016/j.jinteco.2004.07.004openalex-extracted

Uncovered interest parity: it works, but not for long

inferredcites →https://doi.org/10.1016/j.jinteco.2008.07.004openalex-extracted

Arbitrage in the foreign exchange market: Turning on the microscope

inferredcites →https://doi.org/10.1016/j.matcom.2005.02.003openalex-extracted

A bivariate threshold time series model for analyzing Australian interest rates

inferredcites →https://doi.org/10.1016/s0022-1996(01)00171-4openalex-extracted

Less of a puzzle: a new look at the forward forex market

inferredcites →https://doi.org/10.1016/s0022-1996(03)00003-5openalex-extracted

Informed trade in spot foreign exchange markets: an empirical investigation

inferredcites →https://doi.org/10.1016/s0167-6687(02)00190-7openalex-extracted

Nonlinear stochastic inflation modelling using SEASETARs

inferredcites →https://doi.org/10.1016/s0304-3932(98)00061-0openalex-extracted

Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market

inferredcites →https://doi.org/10.1016/s0927-5398(01)00019-6openalex-extracted

Liquidity in the forward exchange market

inferredcites →https://doi.org/10.1017/s0022109011000263openalex-extracted

The Time-Varying Systematic Risk of Carry Trade Strategies

inferredcites →https://doi.org/10.1057/978-1-349-95121-5_2285-1openalex-extracted

Uncovered Interest Parity

inferredcites →https://doi.org/10.1080/00036840500400251openalex-extracted

Regime switching cointegration tests for the Asian stock index futures: evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX Straits Times indices

inferredcites →https://doi.org/10.1080/00036849600000009openalex-extracted

Testing covered interest parity under Fisherian expectations

inferredcites →https://doi.org/10.1080/01621459.1989.10478760openalex-extracted

Testing and Modeling Threshold Autoregressive Processes

inferredcites →https://doi.org/10.1080/01621459.1998.10473779openalex-extracted

Testing and Modeling Multivariate Threshold Models

inferredcites →https://doi.org/10.1080/10168739600000028openalex-extracted

OVERNIGHT COVERED INTEREST PARITY: THEORY AND PRACTICE

inferredcites →https://doi.org/10.1080/10168739600080005openalex-extracted

inferredcites →https://doi.org/10.1080/13504850701735781openalex-extracted

Does the uncovered interest parity hold in short horizons?

inferredcites →https://doi.org/10.1086/296072openalex-extracted

On the Estimation of Security Price Volatilities from Historical Data

inferredcites →https://doi.org/10.1093/rfs/9.1.301openalex-extracted

Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash

inferredcites →https://doi.org/10.1111/j.1467-9965.1994.tb00058.xopenalex-extracted

THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1

inferredcites →https://doi.org/10.1111/j.1468-2354.2011.00665.xopenalex-extracted

TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH*

inferredcites →https://doi.org/10.1111/j.1475-6803.1995.tb00576.xopenalex-extracted

LONG‐RUN RELATIONS IN EXCHANGE MARKETS: A TEST OF COVERED INTEREST PARITY

inferredcites →https://doi.org/10.1111/j.1539-6975.2009.01318.xopenalex-extracted

Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis

inferredcites →https://doi.org/10.1353/mcb.2002.0033openalex-extracted

Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture

inferredcites →https://doi.org/10.2139/ssrn.1106790openalex-extracted

Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity

inferredcites →https://doi.org/10.2139/ssrn.1334125openalex-extracted

Interpreting Deviations from Covered Interest Parity during the Financial Market Turmoil of 2007-08

inferredcites →https://doi.org/10.2139/ssrn.1569504openalex-extracted

Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity

inferredcites →https://doi.org/10.2139/ssrn.370382openalex-extracted

Uncovered Interest Parity: It Works, But Not for Long

inferredcites →https://doi.org/10.2139/ssrn.585462openalex-extracted

Uncovered Interest Rate Parity Over the Past Two Centuries

inferredcites →https://doi.org/10.2139/ssrn.887442openalex-extracted

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

inferredcites →https://doi.org/10.2139/ssrn.973758openalex-extracted

inferredcites →https://doi.org/10.2202/1558-3708.1520openalex-extracted

Threshold Adjustment of Deviations from the Law of One Price

inferredcites →https://doi.org/10.2307/1992705openalex-extracted

A Model of Covered Interest Arbitrage under Market Segmentation

inferredcites →https://doi.org/10.2307/2109800openalex-extracted

"Swap" Covered Interest Parity in Long-Date Capital Markets

inferredcites →https://doi.org/10.2307/2232395openalex-extracted

Covered Interest Parity, Uncovered Interest Parity and Exchange Rate Dynamics

inferredcites →https://doi.org/10.2307/2234031openalex-extracted

Covered Interest Arbitrage and Market Turbulence

inferredcites →https://doi.org/10.2307/2289868openalex-extracted

inferredcites →https://doi.org/10.2307/2554178openalex-extracted

Covered Interest Parity: A High-Frequency, High-Quality Data Study

inferredcites →https://doi.org/10.2307/2669861openalex-extracted

inferredcites →https://doi.org/10.2307/30035875openalex-extracted

Asymmetric Arbitrage and Default Premiums between the U.S. and Russian Financial Markets

inferredcites →https://doi.org/10.3386/w0984openalex-extracted

Covered Interest Parity, Uncovered Interest Parity, and Exchange Rate Dynamics

inferredcites →https://doi.org/10.5089/9781451863567.001openalex-extracted

Uncovered Interest Parity

inferredcites →https://doi.org/10.82444/warw.33711346openalex-snapshot

The Economics of Exchange Rates

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