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Cross arbitrage and specification in exchange rate models |
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| Authors: | R.P. Smith J. Hunter |
| Affiliation: | University of London, London W1P 1PA, UK;London School of Economics, London WC2A 2AE, UK |
| 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. |
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