Cross arbitrage and specification in exchange rate models
Smith, Ron and Hunter, J. (1985) Cross arbitrage and specification in exchange rate models. Economics Letters 18 (4), pp. 375-376. ISSN 0165-1765.
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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 |
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School: | School of Business, Economics & Informatics > Economics, Mathematics and Statistics |
Depositing User: | Sarah Hall |
Date Deposited: | 10 Nov 2020 19:06 |
Last Modified: | 10 Nov 2020 19:06 |
URI: | https://eprints.bbk.ac.uk/id/eprint/41411 |
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