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Detecting asset price bubbles

Jarrow, Robert A. - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 30-34

Persistent link: https://www.econbiz.de/10009671713

An equilibrium capital asset pricing model in markets with price jumps and price bubbles

Jarrow, Robert A. - In: The quarterly journal of finance 8 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011921983

On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets

Jarrow, Robert A. - In: Mathematics and financial economics 11 (2017) 4, pp. 455-477

Persistent link: https://www.econbiz.de/10011900579

Asset price bubbles and the Land of Oz

Jarrow, Robert A. - In: The journal of portfolio management : a publication of … 42 (2016) 2, pp. 37-42

Persistent link: https://www.econbiz.de/10011685329

A CAPM with trading constraints and price bubbles

Jarrow, Robert A. - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-39

Persistent link: https://www.econbiz.de/10011787473

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Jarrow, Robert A. - In: Mathematics and financial economics 13 (2019) 1, pp. 115-146

Persistent link: https://www.econbiz.de/10012055755

Market manipulation, bubbles, corners, and short squeezes

Jarrow, Robert A. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 3, pp. 311-336

Persistent link: https://www.econbiz.de/10001129750

Asset price bubbles and risk management

Jarrow, Robert A. - In: Journal of risk 20 (2017/2018) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10011847429

Market manipulation, price bubbles, and a model of the US Treasury securities auction market

Chatterjea, Arkadev - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 2, pp. 255-289

Persistent link: https://www.econbiz.de/10001246906

Asset Price Bubbles, Market Liquidity and Systemic Risk

Jarrow, Robert A. - 2019

This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when trading constraints are more binding. Systemic...

Persistent link: https://www.econbiz.de/10012899970