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Temporal aggregation and risk-return relation

Jin, Xing; Wang, Leping; Yu, Jun - In: Finance research letters 4 (2007) 2, pp. 104-115

Persistent link: https://www.econbiz.de/10003477216

Convenience yields

Jarrow, Robert A. - In: Review of derivatives research 13 (2010) 1, pp. 25-43

Persistent link: https://www.econbiz.de/10008695502

Risk premia in option markets

Madan, Dilip B. - In: Annals of finance 12 (2016) 1, pp. 71-94

Persistent link: https://www.econbiz.de/10011555434

Efficient estimation of expected stock price returns

Madan, Dilip B. - In: Finance research letters 23 (2017), pp. 31-38

Persistent link: https://www.econbiz.de/10011808349

Three non-Gaussian models of dependence in returns

Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016

Persistent link: https://www.econbiz.de/10011800343

Multivariate distributions for financial returns

Madan, Dilip B. - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-32

Persistent link: https://www.econbiz.de/10012496775

Positive alphas, abnormal performance, and illusory arbitrage

Jarrow, Robert A.; Protter, Philip E. - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 39-56

Persistent link: https://www.econbiz.de/10009712563

Positive alphas and a generalized multiple-factor asset pricing model

Jarrow, Robert A.; Protter, Philip E. - In: Mathematics and financial economics 10 (2016) 1, pp. 29-48

Persistent link: https://www.econbiz.de/10011446005

Asset market equilibrium with liquidity risk

Jarrow, Robert A. - In: Annals of finance 14 (2018) 2, pp. 253-288

Persistent link: https://www.econbiz.de/10011945597

A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds : The Bubble Theory

Jarrow, Robert A. - 2017

This paper provides a new explanation for closed-end fund (CEF) discounts and premiums using the local martingale theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing empirical evidence on CEF discounts/premiums. Additional...

Persistent link: https://www.econbiz.de/10012960808