SETS, arbitrage activity, and stock price dynamics

Journal of Banking and Finance

Volumn 24, Issue 8, 2000, Pages 1289-1306

  Taylor, Nick ^a   Dijk, Dick Van ^b   Franses, Philip Hans ^b   Lucas, André ^c  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^c VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

C32; G14; Non linear error correction; SETS; Smooth transition; Transaction costs

Indexed keywords

EID: 0041914209     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(99)00073-4     Document Type: Article

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