Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model
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DOI: 10.1016/j.finmar.2019.07.002
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More about this item
Keywords
Arbitrage; Error correction; Regime switch; Threshold; Transaction cost;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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