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DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE
Author(s) -
Gourieroux C.,
Monfort A.
Publication year - 2011
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.2010.00429.x
Subject(s) - arbitrage , economics , econometrics , interest rate , covered interest arbitrage , financial economics , bond , interest rate parity , monetary economics , finance
This paper derives domain restrictions on interest rates implied by no‐arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling.