Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed‐End Mutual Funds
基于1990年以来的周度数据，发现英国封闭式基金折价非平稳但均值回归，短期波动难以用无套利均衡解释，存在长记忆性，平滑转换自回归模型能较好刻画其行为。
Abstract: In a dataset of weekly observations over the period since 1990, the discount on UK closed‐end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run fluctuations are harder to reconcile with an arbitrage‐free equilibrium. In time series terms, there is evidence of long memory in discounts consistent with a bounded random walk. This conclusion is supported by explicit nonlinearity tests, and by results which suggest the behaviour of the discount is perhaps best represented by one of the class of Smooth‐Transition Autoregressive (STAR) models.