Document Type
Discussion Paper
Publication Date
1-1-1992
CFDP Number
1008
CFDP Pages
32
Abstract
The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed.
Recommended Citation
Maheswaran, S. and Sims, Christopher A., "Empirical Implications of Arbitrage-Free Asset Markets" (1992). Cowles Foundation Discussion Papers. 1251.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1251