Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk?

Author:

Ulibarri Carlos A.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Asquith, P., & Meulbroek, L. (1995). An empirical investigation of short interest. Harvard University Business School Working Paper No. 96012.

2. A new framework for the global regulation of short sales: Why prohibition is inefficient and disclosure insufficient;Avgouleas;Stanford Journal of Law, Business, and Finance,2010

3. Bai, Y., Chang E., & Wang, J. (2006). Asset prices under short-sale constraints. University of Hong Kong and MIT Working Paper. Available at: http://web.mit.edu/wangj/www/pap/BCW_061112.pdf.

4. Short sales constraints, liquidity and price discovery: An empirical analysis on the Paris Bourse;Biais;European Financial Management,1999

5. Which shorts are informed?;Boehmer;Journal of Finance,2008

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1. Option pricing under GARCH models with Hansen's skewed-t distributed innovations;The North American Journal of Economics and Finance;2015-01

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