We study market pricing of fundamentals at the Shanghai Stock Exchange, incorporating possible irrational pricing behavior with adaptive expectation. Using panel data of listed stocks to overcome the limited information in aggregate time series data, we estimated key parameters of the price...

This paper proposes a term structure model with macro VAR in a stochastic volatility setting. The specific feature of this model is that the risk premium of yields is directly driven by the time-varying variance-covariance of the VAR innovations, which is modeled by a Wishart Autoregressive...