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| Tekijä: | Ioffe, I.D. Prisman, E.Z. |
| Otsikko: | Term structure of interest rates and implied market frictions: the min-max approach |
| Lehti: | Management Science
2003 : JUL, VOL. 49:7, p. 965-978 |
| Asiasana: | Arbitrage Financial markets Term structure of interest rates |
| Kieli: | eng |
| Tiivistelmä: | The true shape of financial market frictions is not known and generally is a highly complex issue. This study develops a no-arbitrage-based methodology that avoids making detrimental assumptions. It facilitates empirical investigation of the shape of the market frictions and of the term structure (TS) of interest rates that are simultaneously imputed from market data assuming "efficient" market frictions that minimize the maximum net arbitrage. |
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