Empirical Implications of Arbitrage-Free Asset Markets
The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed.
|Date of creation:||Jan 1992|
|Publication status:||Published in Peter C.B. Phillips (ed.), Models, Methods and Applications of Econometrics, Basil Blackwell, 1993|
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