G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:02:47+00:00Measuring Limits of Arbitrage in Fixed-Income Markets
https://www.bankofcanada.ca/2017/10/staff-working-paper-2017-44/
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond.2017-10-12T14:26:21+00:00enMeasuring Limits of Arbitrage in Fixed-Income Markets2017-10-12Asset pricingFinancial marketsInternational financial marketsStaff Working Paper 2017-44https://www.bankofcanada.ca/wp-content/uploads/2017/10/swp2017-44.pdfMeasuring Limits of Arbitrage in Fixed-Income MarketsJean-Sébastien FontaineGuillaume NolinOctober 2017GG1G12