Academic
Academic
Home
Working Paper
Working Projects
Contact
Light
Dark
Automatic
Projects
Network Factors and Macro Tail Risk
This theoretical work is currently in progress and focuses on understanding how first-order and higher-order network factors, along with the elasticity of substitution, map micro productivity shock distributions into macro tail risk.
Pre-Trade Transparency and Price Efficiency: Evidence from Corporate Bond ETFs
Using a high-frequency corporate bond benchmark prices, we develop intraday benchmark NAV for corporate bond ETF. Comparing ETF traded price to our benchmark, we derive a benchmark implied measure of mispricing.
Coauthors: Mahyar Kargar and Sebastien Plante
Cite
×