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Based on a rational option pricing framework that incorporates short-selling and margin-trading constraints in the stock market, we present evidence that Chinese warrant prices, which are regarded as bubbles in the previous literature, can be explained by a new option pricing model. Based on the...

Persistent link: https://www.econbiz.de/10012985530

Volatility components, affine restrictions, and nonnormal innovations

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Is the recent financial crisis really a "once-in-a-century" event?

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Macroeconomic volatilities and long-run risks of asset prices

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