Cross arbitrage and specification in exchange rate models

Smith, Ron P. and Hunter, J. (1985) Cross arbitrage and specification in exchange rate models. Economics Letters 18 (4), pp. 375-376. ISSN 0165-1765.

Full text not available from this repository.

Official URL: https://doi.org/10.1016/0165-1765(85)90056-4

Abstract

Triangular arbitrage between currencies imposes strong restrictions on the specification of exchange rate equations, which do not seem to have been noted in the literature. The form of these restrictions and the ways in which they can be allowed for are examined.

Metadata

Item Type:	Article
School:	Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
Depositing User:	Sarah Hall
Date Deposited:	10 Nov 2020 19:06
Last Modified:	02 Aug 2023 18:05
URI:	https://eprints.bbk.ac.uk/id/eprint/41411

Statistics

Archive Staff Only (login required)