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An empirical analysis of the volatility in the open-end fund market : evidence from China

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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

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Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...

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A joint affine model of commodity futures and US Treasury yields

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