I thank Cardiff Business School for funding received while undertaking this paper, John Huang of Tick Data Inc. for supplying the data used in this paper, and participants of the 2004 Royal Economic Society Conference for helpful comments.
A New Econometric Model of Index Arbitrage
Article first published online: 8 JAN 2007
European Financial Management
Volume 13, Issue 1, pages 159–183, January 2007
How to Cite
Taylor, N. (2007), A New Econometric Model of Index Arbitrage. European Financial Management, 13: 159–183. doi: 10.1111/j.1468-036X.2006.00289.x
- Issue published online: 8 JAN 2007
- Article first published online: 8 JAN 2007
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