Research classified by Journal of Economic Literature (JEL) codes

2021

• Nitschka, Thomas & Satkurunathan, Shajivan, 2021, "Habits die hard: implications for bond and stock markets internationally," VfS Annual Conference 2021 (Virtual Conference): Climate Economics, Verein für Socialpolitik / German Economic Association, number 242358.

2020

• Lux, Thomas, 2020, "Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2020-01.
• Lux, Thomas, 2020, "Can heterogeneous agent models explain the alleged mispricing of the S&P 500?," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2020-03.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020, "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-01.
• Chen, Andrew Y. & Zimmermann, Tom, 2020, "Open source cross-sectional asset pricing," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-04.
• Theissen, Erik & Yilanci, Can, 2020, "Momentum? What Momentum?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-09.
• Fink, Josef & Palan, Stefan & Theissen, Erik, 2020, "Earnings autocorrelation and the post-earnings-announcement drift: Experimental evidence," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-10.
• Theissen, Erik & Zimmermann, Lukas, 2020, "Do contented customers make shareholders wealthy? Implications of intangibles for security pricing," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-12.
• Jagannathan, Murali & Jiao, Wei & Wermers, Russ, 2020, "International characteristic-based asset pricing," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-13.
• Cookson, J. Anthony & Engelberg, Joseph & Mullins, William, 2020, "Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 219453.
• Heidorn, Thomas & Pottmeyer, Andreas, 2020, "Introduction of additional Tier 1 capital," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 229.
• Schulmeister, Stephan, 2020, "Fixing long-term price paths for fossil energy – the optimal incentive for limiting global warming," ifso expertise, University of Duisburg-Essen, Institute for Socioeconomics (ifso), number 9.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020, "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-020.
• Demary, Markus & Hasenclever, Stefan, 2020, "IW Financial Expert Survey: Second Quarter 2020," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 27/2020.
• Born, Benjamin & Dovern, Jonas & Enders, Zeno, 2020, "Expectation dispersion, uncertainty, and the reaction to news," Working Papers, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin, number 29, DOI: 10.18452/22284.
• Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2020, "Momentum and the Cross-Section of Stock Volatility," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2020/01, DOI: 10.2139/ssrn.3541766.
• Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2020, "Implied Volatility Duration: A measure for the timing of uncertainty resolution," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 265, DOI: 10.2139/ssrn.2881993.
• Dindo, Pietro & Modena, Andrea & Pelizzon, Loriana, 2020, "Risk pooling, leverage, and the business cycle," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 271, DOI: 10.2139/ssrn.3560852.
• Pelizzon, Loriana & Riedel, Max & Simon, Zorka & Subrahmanyam, Marti G., 2020, "Collateral eligibility of corporate debt in the Eurosystem," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 275, DOI: 10.2139/ssrn.3586409.
• Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020, "Does monetary policy impact international market co-movements?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 276.
• Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020, "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 289, DOI: 10.2139/ssrn.2788117.
• Bieta, Volker & Broll, Udo & Siebe, Wilfried, 2020, "Strategic option pricing," CEPIE Working Papers, Technische Universität Dresden, Center of Public and International Economics (CEPIE), number 03/20.
• Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020, "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 130, DOI: 10.15496/publikation-39286.
• Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Vladu, Andreea, 2020, "Tracing the impact of the ECB's asset purchase programme on the yield curve," VfS Annual Conference 2020 (Virtual Conference): Gender Economics, Verein für Socialpolitik / German Economic Association, number 224540.
• Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020, "Natural rate chimera and bond pricing reality," VfS Annual Conference 2020 (Virtual Conference): Gender Economics, Verein für Socialpolitik / German Economic Association, number 224546.
• Brückbauer, Frank, 2022, "Do financial market experts know their theory? New evidence from survey data," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 20-092, revised 2022.
• Hongwei Chuang, 2020, "The impacts of institutional ownership on stock returns," Empirical Economics, Springer, volume 58, issue 2, pages 507-533, February, DOI: 10.1007/s00181-018-1519-3.
• Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020, "Expiration day effects on European trading volumes," Empirical Economics, Springer, volume 58, issue 4, pages 1603-1638, April, DOI: 10.1007/s00181-019-01627-2.
• Wali Ullah, 2020, "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, volume 59, issue 3, pages 1243-1284, September, DOI: 10.1007/s00181-019-01710-8.
• Patrizia Perras & Niklas Wagner, 2020, "On the pricing of overnight market risk," Empirical Economics, Springer, volume 59, issue 3, pages 1307-1327, September, DOI: 10.1007/s00181-019-01714-4.
• Imad A. Moosa, 2020, "The bitcoin: a sparkling bubble or price discovery?," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 47, issue 1, pages 93-113, March, DOI: 10.1007/s40812-019-00135-9.
• Dean Fantazzini & Stephan Zimin, 2020, "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 47, issue 1, pages 19-69, March, DOI: 10.1007/s40812-019-00136-8.
• Pierre Chaigneau & Louis Eeckhoudt, 2020, "Downside risk-neutral probabilities," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), volume 8, issue 1, pages 65-77, April, DOI: 10.1007/s40505-019-00165-5.
• Ralph Sonenshine, 2020, "Merger waves: are buyers following the herd or responding to structural queues?," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 10, issue 2, pages 287-308, June, DOI: 10.1007/s40821-019-00136-7.
• Imran Yousaf & Shoaib Ali, 2020, "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 6, issue 1, pages 1-18, December, DOI: 10.1186/s40854-020-00213-1.
• Damien Ackerer & Damir Filipović, 2020, "Linear credit risk models," Finance and Stochastics, Springer, volume 24, issue 1, pages 169-214, January, DOI: 10.1007/s00780-019-00409-z.
• Michael R. Tehranchi, 2020, "A Black–Scholes inequality: applications and generalisations," Finance and Stochastics, Springer, volume 24, issue 1, pages 1-38, January, DOI: 10.1007/s00780-019-00410-6.
• Ioannis Karatzas & Donghan Kim, 2020, "Trading strategies generated pathwise by functions of market weights," Finance and Stochastics, Springer, volume 24, issue 2, pages 423-463, April, DOI: 10.1007/s00780-019-00414-2.
• Kim Weston & Gordan Žitković, 2020, "An incomplete equilibrium with a stochastic annuity," Finance and Stochastics, Springer, volume 24, issue 2, pages 359-382, April, DOI: 10.1007/s00780-020-00415-6.
• Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020, "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, volume 24, issue 2, pages 465-511, April, DOI: 10.1007/s00780-020-00416-5.
• Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020, "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, volume 24, issue 2, pages 309-333, April, DOI: 10.1007/s00780-020-00419-2.
• Paolo Guasoni & Gu Wang, 2020, "Consumption in incomplete markets," Finance and Stochastics, Springer, volume 24, issue 2, pages 383-422, April, DOI: 10.1007/s00780-020-00420-9.
• Paolo Guasoni & Kwok Chuen Wong, 2020, "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, volume 24, issue 4, pages 939-980, October, DOI: 10.1007/s00780-020-00433-4.
• Gian Maria Tomat, 2020, "Present Value Models and the Behaviour of European Financial Markets," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), volume 6, issue 3, pages 493-520, November, DOI: 10.1007/s40797-019-00110-2.
• Sabyasachi Mohapatra & Arun Kumar Misra & Marimuthu Murali Kannan, 2020, "Risk factors explaining returns anomaly in emerging market banks – study on Indian banking system," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 3, pages 417-433, July, DOI: 10.1007/s12197-019-09490-8.
• Gulraze Wakil, 2020, "Firm size proxies and the value relevance of predictive stock return models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 3, pages 434-457, July, DOI: 10.1007/s12197-019-09491-7.
• Zachary McGurk & Adam Nowak & Joshua C. Hall, 2020, "Stock returns and investor sentiment: textual analysis and social media," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 3, pages 458-485, July, DOI: 10.1007/s12197-019-09494-4.
• Justin Cox, 2020, "Market fragmentation and post-earnings announcement drift," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 3, pages 587-610, July, DOI: 10.1007/s12197-020-09506-8.
• Faruk Balli & Hatice O. Balli & Mudassar Hasan & Russell Gregory-Allen, 2020, "Economic policy uncertainty spillover effects on sectoral equity returns of New Zealand," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 4, pages 670-686, October, DOI: 10.1007/s12197-020-09508-6.
• Justin Cox & Adam Schwartz & Robert Ness, 2020, "Does what happen in Vegas stay in Vegas? Football gambling and stock market activity," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 4, pages 724-748, October, DOI: 10.1007/s12197-020-09513-9.
• Farhang Niroomand & Massoud Metghalchi & Massomeh Hajilee, 2020, "Efficient market hypothesis: a ruinous implication for Portugese stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 4, pages 749-763, October, DOI: 10.1007/s12197-020-09514-8.
• Moinak Maiti & Darko Vuković, 2020, "Role of human assets in measuring firm performance and its implication for firm valuation," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), volume 9, issue 1, pages 1-27, December, DOI: 10.1186/s40008-020-00223-3.
• Annarita Colasante & Aurora García-Gallego & Nikolaos Georgantzis & Andrea Morone, 2020, "Voluntary contributions in a system with uncertain returns: a case of systemic risk," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 15, issue 1, pages 111-132, January, DOI: 10.1007/s11403-019-00276-z.
• Hui Ying Sng & Yang Zhang & Huanhuan Zheng, 2020, "Margin trade, short sales and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 15, issue 3, pages 673-702, July, DOI: 10.1007/s11403-019-00256-3.
• Feixue Gong & Gregory Phelan, 2020, "Debt collateralization, capital structure, and maximal leverage," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 70, issue 2, pages 579-605, September, DOI: 10.1007/s00199-019-01222-7.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2020, "Long-run expectations in a learning-to-forecast experiment: a simulation approach," Journal of Evolutionary Economics, Springer, volume 30, issue 1, pages 75-116, January, DOI: 10.1007/s00191-018-0585-1.
• Gaurav Raizada & Vartika Srivastava & S. V. D. Nageswara Rao, 2020, "Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 18, issue 1, pages 1-28, March, DOI: 10.1007/s40953-019-00169-9.
• Vighneswara Swamy & M. Dharani, 2020, "RETRACTED ARTICLE: Google Search Intensity and the Investor Attention Effect: A Quantile Regression Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 18, issue 2, pages 403-423, June, DOI: 10.1007/s40953-019-00185-9.
• Shuonan Yuan & Marc Oliver Rieger & Nilüfer Caliskan, 2020, "Maxing out: the puzzling influence of past maximum returns on future asset prices in a cross-country analysis," Management Review Quarterly, Springer, volume 70, issue 4, pages 567-589, November, DOI: 10.1007/s11301-019-00176-3.
• Jeffrey L. Callen & Matthew R. Lyle, 2020, "The term structure of implied costs of equity capital," Review of Accounting Studies, Springer, volume 25, issue 1, pages 342-404, March, DOI: 10.1007/s11142-019-09513-z.
• Russell Lundholm & Rafael Rogo, 2020, "Do excessively volatile forecasts impact investors?," Review of Accounting Studies, Springer, volume 25, issue 2, pages 636-671, June, DOI: 10.1007/s11142-019-09522-y.
• Salim Chahine & Gonul Colak & Iftekhar Hasan & Mohamad Mazboudi, 2020, "Investor relations and IPO performance," Review of Accounting Studies, Springer, volume 25, issue 2, pages 474-512, June, DOI: 10.1007/s11142-019-09526-8.
• Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 2020, "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, volume 25, issue 3, pages 1156-1199, September, DOI: 10.1007/s11142-020-09550-z.
• Kai Du & Steven Huddart, 2020, "Economic persistence, earnings informativeness, and stock return regularities," Review of Accounting Studies, Springer, volume 25, issue 4, pages 1263-1300, December, DOI: 10.1007/s11142-020-09531-2.
• Andreas Löffler, 2020, "Discussion of “Capital Market Equilibrium with Imperfect Competition: The Case of the ECB’s Asset Purchase Programme” by Koziol/Neus," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, volume 72, issue 3, pages 393-395, July, DOI: 10.1007/s41464-020-00095-x.
• Xiaoyu Gao & Anjie Dong, 2020, "Real estate prices, fiscal revenue and economic growth," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 10, issue 2, pages 1-7.
• Wenliang Guo, 2020, "Currency Regimes, Volatility Risks, and Carry Trades: The Option Value of Government Currency Intervention in Emerging Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 10, issue 3, pages 1-4.
• Jiahe Ou, 2020, "Breadth of Ownership and the Comovement of Equity Prices in China Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 10, issue 4, pages 1-1.
• Han-Ching Huang & Bo-Sheng Wu, 2020, "The Performance of Trading Strategies based on the Ratio of Option and Stock Volume," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 10, issue 4, pages 1-9.
• Nicolò Zorich & Gabriele Cardullo, 2020, "Does Active Management Beat the Market? Evidence from Italy," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 9, issue 3, pages 1-1.
• Aida Tatibekova & Mukhtar Bubeyev, 2020, "How regulation of bank capital adequacy and liquidity affects pricing of bonds of the banks," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, volume 7, issue 3, pages 1708-1722, March, DOI: 10.9770/jesi.2020.7.3(18).
• Iyabo Adeola Olanrele & Adedoyin Isola Lawal & Samuel Olatunde Dahunsi & Abiola Ayopo Babajide & Joseph Ojo Iseolorunkanmi & Joseph Ojo Iseolorunkanmi, 2020, "The impact of access to electricity on education and health sectors in Nigeria’s rural communities," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, volume 7, issue 4, pages 3016-3035, June, DOI: 10.9770/jesi.2020.7.4(30).
• Henry Usunobun Ogiugo & Isaac Olufemi Adesuyi & Sunday Oseiweh Ogbeide, 2020, "Empirical test of capital asset pricing model on securities return of listed firms in Nigeria," Insights into Regional Development, VsI Entrepreneurship and Sustainability Center, volume 2, issue 4, pages 825-836, December, DOI: 10.9770/ird.2020.2.4(8).
• Alex Dickson & Ian A MacKenzie, 2020, "Permit markets with political and market distortions," Working Papers, University of Strathclyde Business School, Department of Economics, number 2001, Jan.
• Viktors Ajevskis, 2020, "The natural rate of interest: information derived from a shadow rate model," Applied Economics, Taylor & Francis Journals, volume 52, issue 47, pages 5129-5138, October, DOI: 10.1080/00036846.2020.1757029.
• Graeme G. Acheson & Christopher Coyle & David P. Jordan & John D. Turner, 2020, "Share trading activity and the rise of the rentier in the UK before 1920," Business History, Taylor & Francis Journals, volume 62, issue 6, pages 982-1001, August, DOI: 10.1080/00076791.2018.1502751.
• Wolfgang Breuer & Can K. Soypak & Bertram I. Steininger, 2020, "Magnitude effects in lending and borrowing: empirical evidence from a P2P platform," The European Journal of Finance, Taylor & Francis Journals, volume 26, issue 9, pages 854-873, June, DOI: 10.1080/1351847X.2019.1709525.
• Christian Conrad & Melanie Schienle, 2020, "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 2, pages 229-242, April, DOI: 10.1080/07350015.2018.1482759.
• M. Hashem Pesaran & Ida Johnsson, 2020, "Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 2, pages 428-442, April, DOI: 10.1080/07350015.2018.1513845.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020, "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 3, pages 662-678, July, DOI: 10.1080/07350015.2018.1564318.
• Luiz Félix & Roman Kräussl & Philip Stork, 2020, "Implied volatility sentiment: a tale of two tails," Quantitative Finance, Taylor & Francis Journals, volume 20, issue 5, pages 823-849, May, DOI: 10.1080/14697688.2019.1696018.
• C. E. Phelan & D. Marazzina & G. Germano, 2020, "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, volume 20, issue 6, pages 899-918, June, DOI: 10.1080/14697688.2020.1718192.
• Brueckner, Markus & Vespignani, Joaquin, 2020, "Covid-19 infections and the performance of the stock market: an empirical analysis for Australia," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2020-06.
• Gajurel, Dinesh & Chowdhury, Biplob, 2020, "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2020-11.
• Abdullah Kazdal & Halil Ibrahim Korkmaz & Doruk Kucuksarac & Yigit Onay, 2020, "A Measure of Turkey's Sovereign and Banking Sector Credit Risk: Asset Swap Spreads," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2007.
• Catherine Georgiou, 2020, "The British Stock Market under the Structure of Market Capitalization Value: New Evidence on its Predictive Content," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 13, issue 3, pages 56-69, December.
• Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2020, "How Market Sentiment Drives Forecasts of Stock Returns," Working Papers Series, Institute for New Economic Thinking, number inetwp115, Apr, DOI: 10.36687/inetwp115.
• Mark Mink & Rodney Ramcharan & Iman van Lelyveld, 2020, "How Banks Respond to Distress: Shifting Risks in Europe’s Banking Union," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-006/IV, Feb.
• Sweder van Wijnbergen & Stan Olijslagers & Nander de Vette, 2020, "Debt sustainability when r - g smaller than 0: no free lunch after all," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-079/VI, Nov.
• Penasse, Julien & Renneboog, Luc & Scheinkman, Jose, 2020, "When a Master Dies : Speculation and Asset Float," Discussion Paper, Tilburg University, Center for Economic Research, number 2020-010.
• Noussair, C.N. & Popescu, Andreea Victoria, 2020, "Contagion and Return Predictability in Asset Markets : An Experiment with Two Lucas Trees," Discussion Paper, Tilburg University, Center for Economic Research, number 2020-014.
• Penasse, Julien & Renneboog, Luc & Scheinkman, Jose, 2020, "When a Master Dies : Speculation and Asset Float," Other publications TiSEM, Tilburg University, School of Economics and Management, number 33ff63e3-8842-44c7-92f5-6.
• Pascal Paul, 2020, "The Time-Varying Effect of Monetary Policy on Asset Prices," The Review of Economics and Statistics, MIT Press, volume 102, issue 4, pages 690-704, October.
• Stefan Muhl & Marc Oliver Rieger & Hung Ling Chen, 2020, "Sign Matters: Stock Movement Based Trading Decisions of Private Investors," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2020-01.
• Marc Oliver Rieger & Mei Wang & Daniel Hausmann, 2020, "Pre-Decisional Information Acquisition: Do We Pay TooMuch for Information?," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2020-02.
• Dennis Umlandt, 2020, "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2020-06.
• Marc Oliver Rieger & Mei Wang & Thorsten Hens, 2020, "Universal Time Preference," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2020-07.
• John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020, "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers, Geary Institute, University College Dublin, number 202011, Nov.
• John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2020, "Macroeconomic Drivers of Bond and Equity Risks," Journal of Political Economy, University of Chicago Press, volume 128, issue 8, pages 3148-3185, DOI: 10.1086/707766.
• Ľuboš Pástor & Pietro Veronesi, 2020, "Political Cycles and Stock Returns," Journal of Political Economy, University of Chicago Press, volume 128, issue 11, pages 4011-4045, DOI: 10.1086/710532.
• Tong Fang & Tae-Hwy Lee & Zhi Su, 2020, "Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection," Working Papers, University of California at Riverside, Department of Economics, number 202009, May.
• Dominique Pépin & Stephen M. Miller, 2020, "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers, University of Connecticut, Department of Economics, number 2020-09, Aug.
• Sofronis Clerides & Styliani-Iris Krokida & Neophytos Lambertides & Dimitris Tsouknidis, 2020, "What matters for consumer sentiment? World oil price or retail gasoline price?," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 05-2020, May.
• Abdul Wahid & Muhammad Zubair Mumtaz & Edmund H. Mantell, 2020, "Valuing local and dual-class IPOs in the Alternative Investment Market," Estudios de Economia, University of Chile, Department of Economics, volume 47, issue 2 Year 20, pages 245-271, December.
• Jose Apesteguia & Miguel Ángel Ballester, 2020, "Separating predicted randomness from residual behavior," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1757, Feb.
• Aslanidis, Nektarios & Christiansen, Charlotte & Kouretas, George, 2020, "Uncertainty and Downside Risk in International Stock Returns," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/376032.
• Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020, "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/417680.
• Antonio Roma, 2020, "Is the Value Effect due to M&A Deals?: Evidence from the Italian Stock Market," Department of Economics University of Siena, Department of Economics, University of Siena, number 832, Jun.
• Xue-Zhong He & Junqing Kang & Xuan Zhou, 2020, "The Fast and the Furious: Exchange Latency and Ever-fast Trading," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 419, Dec.
• Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020, "Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:09.
• Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020, "Coming early to the party," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:11.
• Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020, "Dynamic Equity Slope," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:21.
• Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020, "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers, University of Verona, Department of Economics, number 07/2020, May.
• Ivaylo Mihaylov, 2020, "Characteristics And Features Of Economic Growth Related Bonds," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 411-418.
• Holovatiuk Olha, 2020, "Cryptocurrencies as an asset class in portfolio optimisation," Central European Economic Journal, Paradigm, volume 7, issue 54, pages 33-55, January, DOI: 10.2478/ceej-2020-0004.
• Bieta Volker & Broll Udo & Siebe Wilfried, 2020, "Strategic option pricing," Economics and Business Review, Paradigm, volume 6, issue 3, pages 118-129, August, DOI: 10.18559/ebr.2020.3.7.
• Senarathne Chamil W., 2020, "Are Religious Believers Irrational: A Direct Test from an Efficient Market Hypothesis," Financial Sciences. Nauki o Finansach, Paradigm, volume 25, issue 1, pages 35-53, March, DOI: 10.15611/fins.2020.1.04.
• Adegbite Tajudeen Adejare, 2020, "The Effects of IFRS Adoption on Taxation in Nigerian Manufacturing Companies," Financial Sciences. Nauki o Finansach, Paradigm, volume 25, issue 4, pages 1-15, December, DOI: 10.15611/fins.2020.4.01.
• Markowski Lesław, 2020, "Further evidence on the validity of CAPM: The Warsaw Stock Exchange application," Journal of Economics and Management, Paradigm, volume 39, issue 1, pages 82-104, March, DOI: 10.22367/jem.2020.39.05.
• Podgórski Błażej & Pasierbek Krzysztof, 2020, "The “Magic Action” of Stock Splits: Evidence from the Warsaw Stock Exchange 2003–2017," Journal of Management and Business Administration. Central Europe, Paradigm, volume 28, issue 1, pages 66-80, March, DOI: 10.7206/cemj.2658-0845.16.
• Urbański Stanisław & Leśkow Jacek, 2020, "Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange," Statistics in Transition New Series, Statistics Poland, volume 21, issue 1, pages 73-94, March, DOI: 10.21307/stattrans-2020-005.
• Bartłomiej Bollin & Robert Ślepaczuk, 2020, "Variance Gamma Model in Hedging Vanilla and Exotic Options," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-31.
• Quynh Bui & Robert Ślepaczuk, 2020, "Applying Hurst Exponent in Pair Trading Strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-39.
• Abu Taleb Mohammad Adnan & Mohammad Mahadi Hasan & Ezaz Ahmed, 2020, "Capital Market Reactions to the Arrival of COVID-19: A Developing Market Perspective," Economic Research Guardian, Mutascu Publishing, volume 10, issue 2, pages 97-121, December.
• Stephan Schulmeister, 2020, "Fixing Long-term Price Paths for Fossil Energy. The Optimal Incentive for Limiting Global Warming," WIFO Working Papers, WIFO, number 604, Jul.
• Frederik Neugebauer, 2020, "ECB Announcements and Stock Market Volatility," WHU Working Paper Series - Economics Group, WHU - Otto Beisheim School of Management, number 20-02, Apr.
• William Chen & Gregory Phelan, 2020, "Should Monetary Policy Target Financial Stability?," Department of Economics Working Papers, Department of Economics, Williams College, number 2020-01, Jan.
• Angela C.M. de Oliveira & Sarah Jacobson, 2020, "(Im)patience by Proxy: Making Intertemporal Decisions for Others," Department of Economics Working Papers, Department of Economics, Williams College, number 2020-02, Jan.
• Feixue Gong & Gregory Phelan, 2020, "Collateral Constraints, Tranching, and Price Bases," Department of Economics Working Papers, Department of Economics, Williams College, number 2020-03, Jan.
• Dietrich Earnhart & Sarah Jacobson & Yusuke Kuwayama & Richard T. Woodward, 2020, "Discretionary Exemptions from Environmental Regulation: Flexibility for Good or for Ill," Department of Economics Working Papers, Department of Economics, Williams College, number 2020-04, Apr.
• Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020, "Exchange rate predictability and dynamic Bayesian learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 35, issue 4, pages 410-421, June, DOI: 10.1002/jae.2761.
• Oguzhan Cepni & Rangan Gupta & I. Ethem Güney & M. Yilmaz, 2020, "Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages," Journal of Forecasting, John Wiley & Sons, Ltd., volume 39, issue 6, pages 966-985, September, DOI: 10.1002/for.2669.
• Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang, 2020, "Intraday time‐series momentum: Evidence from China," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 40, issue 4, pages 632-650, April, DOI: 10.1002/fut.22084.
• Peter Tillmann, 2020, "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, volume 52, issue 4, pages 803-833, June, DOI: 10.1111/jmcb.12657.
• Boris Hofmann & Ilhyock Shim & Hyun Song Shin, 2020, "Bond Risk Premia and The Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, volume 52, issue S2, pages 497-520, December, DOI: 10.1111/jmcb.12760.
• Drew D. Creal & Jing Cynthia Wu, 2020, "Bond risk premia in consumption‐based models," Quantitative Economics, Econometric Society, volume 11, issue 4, pages 1461-1484, November, DOI: 10.3982/QE887.
• Jens H. E. Christensen & Jose A. Lopez & Patrick J. Shultz, 2020, "Is There an On-the-Run Premium in TIPS?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 1-42, June, DOI: 10.1142/S201013922050007X.
• 洪智武 & 牛霖琳, 2020, "中国通货膨胀预期及其影响因素分析——基于混频无套利Nelson-Siegel利率期限结构扩展模型," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2020-09-28, Sep.
• Mingyang Li & Linlin Niu & Andrew Pua, 2020, "Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2020-12-30, Dec.
• Hirsch, Patrick & Köhler, Ekkehard A. & Feld, Lars P. & Thomas, Tobias, 2020, ""Whatever it takes!": How tonality of TV-news affects government bond yield spreads during crises," Freiburg Discussion Papers on Constitutional Economics, Walter Eucken Institut e.V., number 20/9.
• Laine, Olli-Matti, 2020, "Monetary policy and stock market valuation," Bank of Finland Research Discussion Papers, Bank of Finland, number 16/2020.
• Hertrich, Markus, 2020, "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers, Deutsche Bundesbank, number 21/2020.
• Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020, "Performance of maturity transformation strategies," Discussion Papers, Deutsche Bundesbank, number 58/2020.
• Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020, "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers, Deutsche Bundesbank, number 62/2020.
• David Berger & Ian Dew-Becker & Stefano Giglio, 2020, "Uncertainty Shocks as Second-Moment News Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, volume 87, issue 1, pages 40-76.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2020, "Frictional Intermediation in Over-the-Counter Markets," The Review of Economic Studies, Review of Economic Studies Ltd, volume 87, issue 3, pages 1432-1469.
• Anna Scherbina & Bernd Schlusche, 2020, "Follow the Leader: Using the Stock Market to Uncover Information Flows between Firms
  [Trade credit and cross-country predictable firm returns]," Review of Finance, European Finance Association, volume 24, issue 1, pages 189-225.
• Aaron L Bodoh-Creed, 2020, "Mood, Memory, and the Evaluation of Asset Prices
  [Option pricing by students and professional traders: a behavioural investigation]," Review of Finance, European Finance Association, volume 24, issue 1, pages 227-262.
• Jing-Zhi Huang & Zhan Shi & Hao Zhou, 2020, "Specification Analysis of Structural Credit Risk Models
  [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," Review of Finance, European Finance Association, volume 24, issue 1, pages 45-98.
• Francesca Brusa & Pavel Savor & Mungo Wilson, 2020, "One Central Bank to Rule Them All," Review of Finance, European Finance Association, volume 24, issue 2, pages 263-304.
• Florian Nagler, 2020, "Yield Spreads and the Corporate Bond Rollover Channel," Review of Finance, European Finance Association, volume 24, issue 2, pages 345-379.
• Teodor Dyakov & Hao Jiang & Marno Verbeek, 2020, "Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds," Review of Finance, European Finance Association, volume 24, issue 3, pages 677-731.
• Prachi Deuskar & Nitin Kumar & Jeramia Allan Poland, 2020, "Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions," Review of Finance, European Finance Association, volume 24, issue 5, pages 1039-1077.
• Rajna Gibson Brandon & Songtao Wang, 2020, "Earnings Belief Risk and the Cross-Section of Stock Returns," Review of Finance, European Finance Association, volume 24, issue 5, pages 1107-1158.
• George Panayotov, 2020, "Global Risks in the Currency Market," Review of Finance, European Finance Association, volume 24, issue 6, pages 1237-1270.
• Philipp Adämmer & Rainer A Schüssler, 2020, "Forecasting the Equity Premium: Mind the News!," Review of Finance, European Finance Association, volume 24, issue 6, pages 1313-1355.
• Matthias Fleckenstein & Francis A Longstaff & Stijn Van Nieuwerburgh, 2020, "Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 11, pages 5051-5091.
• Hengjie Ai & Jun E Li & Kai Li & Christian Schlag, 2020, "The Collateralizability Premium," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 12, pages 5821-5855.
• Michael Gofman & Gill Segal & Youchang Wu & Stijn Van Nieuwerburgh, 2020, "Production Networks and Stock Returns: The Role of Vertical Creative Destruction," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 12, pages 5856-5905.
• Alexandre Corhay & Howard Kung & Lukas Schmid & Stijn Van Nieuwerburgh, 2020, "Competition, Markups, and Predictable Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 12, pages 5906-5939.
• Urban J Jermann, 2020, "Negative Swap Spreads and Limited Arbitrage," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 1, pages 212-238.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020, "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 2, pages 689-746.
• Michael Barnett & William Brock & Lars Peter Hansen & Harrison Hong, 2020, "Pricing Uncertainty Induced by Climate Change," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 3, pages 1024-1066.
• Darwin Choi & Zhenyu Gao & Wenxi Jiang, 2020, "Attention to Global Warming," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 3, pages 1112-1145.
• Jawad M Addoum & David T Ng & Ariel Ortiz-Bobea & Harrison Hong, 2020, "Temperature Shocks and Establishment Sales," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 3, pages 1331-1366.
• Kent Daniel & David Hirshleifer & Lin Sun, 2020, "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 4, pages 1673-1736.
• Stijn Van Nieuwerburgh, 2020, "New Methods for the Cross-Section of Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 1879-1890.
• Eugene F Fama & Kenneth R French, 2020, "Comparing Cross-Section and Time-Series Factor Models," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 1891-1926.
• Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2020, "The Cross-Section of Risk and Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 1927-1979.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020, "Factor Timing," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 1980-2018.
• Tarun Chordia & Amit Goyal & Alessio Saretto, 2020, "Anomalies and False Rejections," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2134-2179.
• Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020, "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2274-2325.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020, "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2326-2377.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu & Stijn Van Nieuwerburgh, 2020, "Impediments to Financial Trade: Theory and Applications," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 6, pages 2697-2727.
• Valentina Raponi & Cesare Robotti & Paolo Zaffaroni & Andrew Karolyi, 2020, "Testing Beta-Pricing Models Using Large Cross-Sections," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 6, pages 2796-2842.
• Ambrogio Cesa-Bianchi & M Hashem Pesaran & Alessandro Rebucci & Stijn Van Nieuwerburgh, 2020, "Uncertainty and Economic Activity: A Multicountry Perspective," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 8, pages 3393-3445.
• Alexis Akira Toda & Kieran James Walsh & Stijn Van Nieuwerburgh, 2020, "The Equity Premium and the One Percent," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 8, pages 3583-3623.
• Andrea Ajello & Luca Benzoni & Olena Chyruk & Stijn Van Nieuwerburgh, 2020, "Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 8, pages 3719-3765.
• Markus Brunnermeier & Simon Rother & Isabel Schnabel & Itay Goldstein, 2020, "Asset Price Bubbles and Systemic Risk," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 9, pages 4272-4317.
• Matthew W Clance & Riza Demirer & Rangan Gupta & Clement Kweku Kyei, 2020, "Predicting firm-level volatility in the United States: the role of monetary policy uncertainty," Economics and Business Letters, Oviedo University Press, volume 9, issue 3, pages 167-177.
• Rick Van der Ploeg, 2020, "Discounting And Climate Policy," OxCarre Working Papers, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford, number 244, Jul.
• Rick Van der Ploeg & Christoph Hambel & Holger Kraft, 2020, "Asset Pricing and Decarbonization: Diversification versus Climate Action," Economics Series Working Papers, University of Oxford, Department of Economics, number 901, Feb.
• Caro Barrera, José Rafael, 2020, "Insurance Options: Beating the Benchmark. Are Catastrophe Bonds more profitable than Corporate Bonds? || Opciones de seguros: superando la referencia. ¿Son más rentables los bonos catástrofe que los bonos corporativos?," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 29, issue 1, pages 3-17, June.
• Benjamin Hübel & Hendrik Scholz, 2020, "Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 1, pages 52-69, February, DOI: 10.1057/s41260-019-00139-z.
• Friedrich-Carl Franz, 2020, "Forecasting index changes in the German DAX family," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 135-153, March, DOI: 10.1057/s41260-020-00153-6.
• Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao, 2020, "Excess volatility and market efficiency in government bond markets: the ASEAN-5 context," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 154-165, March, DOI: 10.1057/s41260-020-00154-5.
• André Höck & Christian Klein & Alexander Landau & Bernhard Zwergel, 2020, "The effect of environmental sustainability on credit risk," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 85-93, March, DOI: 10.1057/s41260-020-00155-4.
• Demir Bektić & Britta Hachenberg & Dirk Schiereck, 2020, "Factor-based investing in government bond markets: a survey of the current state of research," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 94-105, March, DOI: 10.1057/s41260-020-00156-3.
• Bernd Scherer, 2020, "Alternative risk premia: contagion and portfolio choice," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 3, pages 178-191, May, DOI: 10.1057/s41260-020-00158-1.
• Tobias Götze & Marc Gürtler & Eileen Witowski, 2020, "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 5, pages 428-446, September, DOI: 10.1057/s41260-020-00167-0.