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Books on the topic 'Arbitrage Econometric models'

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Author: Grafiati
Published: 10 December 2022
Last updated: 10 March 2023

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1

F, Gallmeyer Michael, and National Bureau of Economic Research., eds. Arbitrage-free bond pricing with dynamic macroeconomic models. Cambridge, Mass: National Bureau of Economic Research, 2007.

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2

Das, Sanjiv R. A direct approach to arbitrage-free pricing of credit derivatives. Cambridge, MA: National Bureau of Economic Research, 1998.

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3

Gatev, Evan G. Pairs trading: Performance of a relative value arbitrage rule. Cambridge, MA: National Bureau of Economic Research, 1999.

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4

Obstfeld, Maurice. Non-linear aspects of goods-market arbitrage and adjustment: Heckscher's commodity points revisited. London: Centre for Economic Policy Research, 1997.

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5

Obstfeld, Maurice. Nonlinear aspects of goods-market arbitrage and adjustment: Heckscher's commodity points revisited. Cambridge, MA: National Bureau of Economic Research, 1997.

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6

O'Connell, Paul G. J. "The bigger they are, the harder they fall": How price differences across U.S. cities are arbitraged. Cambridge, MA: National Bureau of Economic Research, 1997.

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7

Bertsimas, Dimitris. Pricing and hedging derivative securities in incomplete markets: An e-arbitrage approach. Cambridge, MA: National Bureau of Economic Research, 1997.

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8

Campa, Jose. Goods arbitrage and real exchange rate stationarity. Wien: Oesterreichische Nationalbank, 1998.

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9

Agell, Jonas. Tax arbitrage and labor supply. Cambridge, MA: National Bureau of Economic Research, 1998.

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10

Elsinger, Helmut. Arbitrage and optimal portfolio choice with financial constraints. Wien: Oesterreichische Nationalbank, 2001.

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11

Gabaix, Xavier. Limits of arbitrage: Theory and evidence from the mortgage-backed securities market. Cambridge, Mass: National Bureau of Economic Research, 2005.

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12

Roache, Shaun K. Currency risk premia in global stock markets. [Washington, D.C.]: International Monetary Fund, Western Hemisphere Dept., 2006.

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13

Juhl, Ted. Covered interest arbitrage: Then vs. now. Cambridge, Mass: National Bureau of Economic Research, 2004.

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14

Juhl, Ted. Covered interest arbitrage: Then vs. now. Cambridge, MA: National Bureau of Economic Research, 2004.

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15

Campa, José. Is real exchange rate mean reversion caused by arbitrage? Cambridge, MA: National Bureau of Economic Research, 1997.

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16

Cochrane, John H. Beyond arbitrage: "good-deal" asset price bounds in incomplete markets. Cambridge, MA: National Bureau of Economic Research, 1996.

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17

Hong, Harrison G. A unified theory of underreaction, momentum trading and overreaction in asset markets. Cambridge, MA: National Bureau of Economic Research, 1997.

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18

Brandt, Michael W. A no-arbitrage approach to range-based estimation of return covariances and correlations. Cambridge, Mass: National Bureau of Economic Research, 2003.

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19

Levin, Eric J. Does the gold marketreveal real interest rates? Stirling: University of Stirling, Department of Economics, 1993.

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20

Christoffersen, Peter F. Interest rate arbitrage in currency baskets: Forecasting weights and measuring risk. [Washington, D.C.]: International Monetary Fund, Asia and Pacific Department, 1999.

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21

Prakash, Gauri. Measuring market integration: A model of arbitrage with an econometric application to the gold standard, 1879-1913. Cambridge, MA: National Bureau of Economic Research, 1997.

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22

Ang, Andrew. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Cambridge, MA: National Bureau of Economic Research, 2001.

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23

Daniel, Kent. Covariance risk, mispricing, and the cross section of security returns. Cambridge, MA: National Bureau of Economic Research, 2000.

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24

Ho, Teng Suan. Multivariate binomial approximation for variables with arbitrary and convariance characteristics. Fontainebleau: INSEAD, 1992.

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25

Mendoza-Hauptmann, Thomas. Estimation of time-varying parameter multifactor asset pricing models using Kalman filtering techniques. 1994.

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26

Agell, Jonas. Tax arbitrage and labor supply. Stockholm (Institute for International Economic Studies, University of Stockholm, 1998.

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27

Tunaru, Radu S. Real-Estate Derivatives. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198742920.001.0001.

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Abstract:
This book brings together the latest concepts and models in real-estate derivatives, the new frontier in financial markets. The importance of real-estate derivatives in managing property price risk that has destabilized economies frequently in the last hundred years has been brought into the limelight by Robert Shiller over the last three decades. In spite of his masterful campaign for the introduction of real-estate derivatives, these financial instruments are still in a state of infancy. This book aims to provide a state-of-the-art overview of real-estate derivatives at this moment in time, covering the description of these financial products, their applications, and the most important models proposed in the literature in this area. In order to facilitate a better understanding of the situations when these products can be successfully used, ancillary topics such as real-estate indices, mortgages, securitization, and equity release mortgages are also discussed. The book is designed to pay attention to the econometric aspects of realestate index prices, time series, and also to financial engineering no-arbitrage principles governing pricing of derivatives. The emphasis is on understanding the financial instruments through their mechanics and comparative description. The examples are based on real-world data from exchanges or frommajor investment banks or financial houses in London. The numerical analysis is easily replicable with Excel and Matlab. This is the most advanced published book in this area, combining practical relevance with intellectual rigour. Real-estate derivatives will become important for managing macro risks in order to pass stress tests imposed by regulators.
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