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Asset price bubbles, market liquidity, and systemic risk

Jarrow, Robert A.; Lamichhane, Sujan - In: Mathematics and financial economics 15 (2021) 1, pp. 5-40

Persistent link: https://www.econbiz.de/10012433630

Risk premia, asset price bubbles, and monetary policy

Jarrow, Robert A.; Lamichhane, Sujan - In: Journal of financial stability 60 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013455970

Asset Pricing with Cohort-Based Trading in MBS Markets

Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021

Agency MBSs with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts. This parallel trading environment generates distinctive effects on MBS pricing and trading: (1) Although cheapest-to-deliver...

Persistent link: https://www.econbiz.de/10013216723

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2014

Persistent link: https://www.econbiz.de/10010442402

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

The pricing of tail risk and the equity premium : evidence from international option markets

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018

Persistent link: https://www.econbiz.de/10011797485

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018

Persistent link: https://www.econbiz.de/10011797609

Asset Pricing with Cohort-Based Trading in MBS Markets

Fusari, Nicola - 2020

Agency MBSs with diverse characteristics are traded in parallel with individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts. This parallel trading environment has distinctive effects on MBS pricing and trading: (1) Although cheapest-to-deliver (CTD) issues...

Persistent link: https://www.econbiz.de/10012829872

Asset pricing with cohort-based trading in MBS markets

Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021 - Revised July 2021

Agency mortgage backed securities (MBS) with diverse characteristics are traded in parallel with individualized contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that this unique parallel trading environment significantly...

Persistent link: https://www.econbiz.de/10012240625

Option market trading activity and the estimation of the pricing kernel : a Bayesian approach

Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; … - In: Journal of econometrics 216 (2020) 2, pp. 430-449

Persistent link: https://www.econbiz.de/10012439749