Article : texte imprimé

The behavior of risk and market prices of risk over the Nasdaq bubble period

Gurdip Bakshi, Auteur ; Liuren Wu, Auteur |

Dans Management science (Vol. 56 N° 12, Décembre 2010)

We exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq market. We specify a model that accommodates fluctuations in both risk [...]

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