Statistical Arbitrage with Default and Collateral
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- Esteves, Rui Pedro & Reis, Jaime & Ferramosca, Fabiano, 2009.
"Market Integration in the Golden Periphery. The Lisbon/London Exchange, 1854-1891,"
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- Rui Esteves & Jaime Reis, 2007. "Market Integration in the Golden Periphery,The Lisbon/London Exchange, 1854-1891," Economics Series Working Papers 338, University of Oxford, Department of Economics.
- Aloisio Araujo & Mário Rui Páscoa & Juan Pablo Torres-Martínez, 2002.
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- Pascoa, Mario Rui & Araújo, Aloísio Pessoa de & Torres-Martínez, Juan Pablo, 2001. "Collateral avoids Ponzi schemes in incomplete markets," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 419, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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- Matos, Joao Amaro de & Lacerda, Ana, 2006. "Dry Markets and Statistical Arbitrage Bounds for European Derivatives," FEUNL Working Paper Series wp479, Universidade Nova de Lisboa, Faculdade de Economia.
- Orrillo, Jaime, 2005. "Collateral once again," Economics Letters, Elsevier, vol. 87(1), pages 27-33, April.
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- José Fajardo, 2010. "Behavioral arbitrage with collateral and uncertain deliveries," Annals of Finance, Springer, vol. 6(2), pages 241-254, March.
More about this item
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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