Research classified by Journal of Economic Literature (JEL) codes

2019

• Florence Guillaume & Gero Junike & Peter Leoni & Wim Schoutens, 2019, "Implied liquidity risk premia in option markets," Annals of Finance, Springer, volume 15, issue 2, pages 233-246, June, DOI: 10.1007/s10436-018-0339-y.
• Julia Jiang & Weidong Tian, 2019, "Semi-nonparametric approximation and index options," Annals of Finance, Springer, volume 15, issue 4, pages 563-600, December, DOI: 10.1007/s10436-018-0341-4.
• Wenli Zhu & Xinfeng Ruan, 2019, "Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process," Computational Economics, Springer;Society for Computational Economics, volume 53, issue 2, pages 507-532, February, DOI: 10.1007/s10614-017-9753-x.
• Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019, "A general closed form option pricing formula," Review of Derivatives Research, Springer, volume 22, issue 1, pages 1-40, April, DOI: 10.1007/s11147-018-9144-z.
• Wei Lin & Shenghong Li & Shane Chern & Jin E. Zhang, 2019, "Pricing VIX derivatives with free stochastic volatility model," Review of Derivatives Research, Springer, volume 22, issue 1, pages 41-75, April, DOI: 10.1007/s11147-018-9145-y.
• Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019, "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, volume 22, issue 1, pages 77-167, April, DOI: 10.1007/s11147-018-9146-x.
• Ging-Ginq Pan & Yung-Ming Shiu & Tu-Cheng Wu, 2019, "Is trading in the shortest-term index options profitable?," Review of Derivatives Research, Springer, volume 22, issue 1, pages 169-201, April, DOI: 10.1007/s11147-018-9147-9.
• Hongfei Tang & Xiaoqing Eleanor Xu, 2019, "Dissecting the tracking performance of regular and leveraged VIX ETPs," Review of Derivatives Research, Springer, volume 22, issue 2, pages 261-327, July, DOI: 10.1007/s11147-018-9149-7.
• Steffen Hitzemann & Marliese Uhrig-Homburg, 2019, "Empirical performance of reduced-form models for emission permit prices," Review of Derivatives Research, Springer, volume 22, issue 3, pages 389-418, October, DOI: 10.1007/s11147-018-09152-7.
• Manuel Ammann & Alexander Feser, 2019, "Option-implied Value-at-Risk and the cross-section of stock returns," Review of Derivatives Research, Springer, volume 22, issue 3, pages 449-474, October, DOI: 10.1007/s11147-019-09154-z.
• Evangelos C. Charalambakis & Ian Garrett, 2019, "On corporate financial distress prediction: What can we learn from private firms in a developing economy? Evidence from Greece," Review of Quantitative Finance and Accounting, Springer, volume 52, issue 2, pages 467-491, February, DOI: 10.1007/s11156-018-0716-7.
• Oleg Sokolinskiy, 2019, "Debt rollover-induced local volatility model," Review of Quantitative Finance and Accounting, Springer, volume 52, issue 4, pages 1065-1084, May, DOI: 10.1007/s11156-018-0736-3.
• Brian Du, 2019, "Relative option liquidity and price efficiency," Review of Quantitative Finance and Accounting, Springer, volume 52, issue 4, pages 1119-1135, May, DOI: 10.1007/s11156-018-0738-1.
• Phillip A. Cartwright & Natalija Riabko, 2019, "Do spot food commodity and oil prices predict futures prices?," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 1, pages 153-194, July, DOI: 10.1007/s11156-018-0746-1.
• Bernard Ben Sita, 2019, "Crude oil and gasoline volatility risk into a Realized-EGARCH model," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 3, pages 701-720, October, DOI: 10.1007/s11156-018-0763-0.
• Robert W. Włodarczyk & Magdalena Sikorska, 2019, "The importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market," International Entrepreneurship Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., volume 5, issue 4, pages 109-122.
• Ricardo Troncoso-Sepúlveda & Juan Cabas-Monje, 2019, "Feasibility of using futures contracts of the Chicago Mercantile Exchange for hedging price risk in Chilean cattle," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 90, pages 9-44, Enero - J, DOI: 10.17533/udea.le.n90a01.
• Rasekhi, Saeed & Nabavi, Nasim, 2019, "The Effect of Derivative Instruments on the Contagion of Stock Markets in Developing Countries," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 14, issue 4, pages 475-494, October.
• Christophe Chorro & R.H. Fanirisoa Zazaravaka, 2019, "Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19014, Oct.
• Christophe Chorro & R.H. Fanirisoa Zazaravaka, 2019, "Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19014r, Oct, revised Oct 2020.
• Bernard De Meyer & Moussa Dabo, 2019, "The CMMV Pricing Model in Practice," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19026, Nov.
• Marcin Dec, 2019, "Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives," Bank i Kredyt, Narodowy Bank Polski, volume 50, issue 2, pages 107-148.
• Urban Jermann, 2019, "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 25422, Jan.
• Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019, "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 25673, Mar.
• Akshaya Jha & Frank A. Wolak, 2019, "Can Financial Participants Improve Price Discovery and Efficiency in Multi-Settlement Markets with Trading Costs?," NBER Working Papers, National Bureau of Economic Research, Inc, number 25851, May.
• Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019, "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 26323, Sep.
• Fernando Antonio Lucena Aiube & Ariel Levy, 2019, "Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 29, issue 1, pages 223-248, January-A.
• Harvey, Campbell R., 2019, "Editorial: Replication in Financial Economics," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 1-9, December, DOI: 10.1561/104.00000080.
• Dash, M., 2019, "A Study on Commodity Market Behaviour, Price Discovery and its Factors," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, volume 8, issue 3, pages 125-134, September.
• Michi Nishihara, 2019, "Real options with illiquidity of exercise opportunities," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 19-01, Mar.
• Michi Nishihara & Takashi Shibata, 2019, "The effects of asset liquidity on dynamic bankruptcy decisions," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 19-12, Sep.
• Paul Schneider & Fabio Trojani, 2019, "Divergence and the Price of Uncertainty," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 3, pages 341-396.
• Daniela Osterrieder & Daniel Ventosa-Santaulària & J Eduardo Vera-Valdés, 2019, "The VIX, the Variance Premium, and Expected Returns," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 4, pages 517-558.
• Robert Jarrow & Haitao Li & Xiaoxia Ye & May Hu, 2019, "Exploring Mispricing in the Term Structure of CDS Spreads," Review of Finance, European Finance Association, volume 23, issue 1, pages 161-198.
• Brent W Ambrose & Thomas Emmerling & Henry H Huang & Yildiray Yildirim, 2019, "Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt," Review of Finance, European Finance Association, volume 23, issue 3, pages 659-695.
• Nina Boyarchenko & Andreas Fuster & David O Lucca, 2019, "Understanding Mortgage Spreads," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 10, pages 3799-3850.
• Ai Jun Hou & Ian Khrashchevskyi & Jarkko Peltomäki, 2019, "Hedge and safe haven investing with investment styles," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 5, pages 351-364, September, DOI: 10.1057/s41260-019-00127-3.
• Molintas, Dominique Trual, 2019, "Rational human behaviour for corporate survival: Black Monday Review," MPRA Paper, University Library of Munich, Germany, number 100329, Dec.
• Leung, Melvern & Li, Youwei & Pantelous, Athanasios & Vigne, Samuel, 2019, "Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing," MPRA Paper, University Library of Munich, Germany, number 101698, Nov.
• Kanamura, Takashi, 2019, "Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power," MPRA Paper, University Library of Munich, Germany, number 92009, Jan.
• Zvezdin, Nikolay, 2019, "Tranched Value Securities," MPRA Paper, University Library of Munich, Germany, number 92302, Feb.
• Xiao, Tim, 2019, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper, University Library of Munich, Germany, number 94135, Mar.
• Xiao, Tim, 2019, "Pricing Interest Rate Swap Subject to Bilateral Counterparty Risk," MPRA Paper, University Library of Munich, Germany, number 94233, May.
• Xiao, Tim, 2019, "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 94441, Mar.
• Tim, Xiao, 2019, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 94701, Mar.
• Xiao, Tim, 2019, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper, University Library of Munich, Germany, number 94861, Jul.
• Naszodi, Anna, 2019, "The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?," MPRA Paper, University Library of Munich, Germany, number 96181, Apr, revised 02 Apr 2019.
• Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019, "Futures-based forecasts: How useful are they for oil price volatility forecasting?," MPRA Paper, University Library of Munich, Germany, number 96446.
• Jin, Muzhao & Kearney, Fearghal & Li, Youwei & Yang, Yung Chiang, 2019, "Intraday Time-series Momentum: Evidence from China," MPRA Paper, University Library of Munich, Germany, number 97134.
• Jan Šedivý, 2019, "Optimální způsob sjednání derivátu za přítomnosti rizika protistrany
  [Optimal Method of Entering a Derivative Contract in the Presence of Counterparty Risk]," Politická ekonomie, Prague University of Economics and Business, volume 2019, issue 1, pages 65-81, DOI: 10.18267/j.polek.1217.
• Bodin Civilize & Thaisiri Watewai & Sakkapop Panyanukul & Kaipichit Ruengsrichaiya, 2019, "Mapping Thailand's Financial Landscape: A Perspective through Balance Sheet Linkages and Contagion," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 114, Aug.
• Polwat Lerskullawat, 2019, "Hedging Effectiveness on the Thailand Futures Exchange Market," Asian Journal of Applied Economics/ Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 26, issue 2, pages 38-58.
• Sahar Guesmi & Ramzi Ben-Abdallah & Michèle Breton & Georges Dionne, 2019, "The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 19-4, Nov.
• Krzysztof Echaust, 2019, "How do market movements affect options prices?," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 9912275, Oct.
• Torres Bello, José Roberto. & Sosa Castro, Miriam., 2019, "Valuación de opciones financieras sobre acciones de la Bolsa Mexicana de Valores: el modelo Black Scholes con costos de transacción y pago de dividendos / Pricing Equity Options in the Mexican Stock Market: Black Scholes model with transaction costs ," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 9, issue 2, pages 205-228, julio-dic.
• Ali Bendob & Naima Bentouir, 2019, "Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 11, pages 79-95, January.
• Sophie van Huellen, 2019, "Approaches to Price Formation in Financialised Commodity Markets," Working Papers, Department of Economics, SOAS University of London, UK, number 223, Apr.
• Rodrigo De-Losso & Elias Cavalcante Filho, José Carlos de Souza Santos, 2019, "What are the risk factors relevant to investors? Evidence from the Brazilian Funds Market," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2019_52, Dec.
• Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019, "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, volume 282, issue 1, pages 59-86, November, DOI: 10.1007/s10479-018-3048-z.
• Jyh-Bang Jou & Charlene Tan Lee, 2019, "Optimal statute of limitations under land development timing decisions," The Annals of Regional Science, Springer;Western Regional Science Association, volume 62, issue 1, pages 1-20, February, DOI: 10.1007/s00168-018-0876-3.
• Young Shin Kim, 2019, "Tempered stable process, first passage time, and path-dependent option pricing," Computational Management Science, Springer, volume 16, issue 1, pages 187-215, February, DOI: 10.1007/s10287-018-0326-9.
• Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2019, "Time-consistency of risk measures: how strong is such a property?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 1, pages 287-317, June, DOI: 10.1007/s10203-019-00233-2.
• Fabien Floc’h & Cornelis W. Oosterlee, 2019, "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 679-714, December, DOI: 10.1007/s10203-019-00238-x.
• Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019, "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 639-664, December, DOI: 10.1007/s10203-019-00241-2.
• Luca De Gennaro Aquino & Carole Bernard, 2019, "Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 715-741, December, DOI: 10.1007/s10203-019-00254-x.
• Bernard Dumas & Elisa Luciano, 2019, "From volatility smiles to the volatility of volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 387-406, December, DOI: 10.1007/s10203-019-00263-w.
• Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter, 2019, "Moment explosions in the rough Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 575-608, December, DOI: 10.1007/s10203-019-00267-6.
• Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019, "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 321-349, December, DOI: 10.1007/s10203-019-00271-w.
• Ronald A. Babula & Daowei Zhang, 2019, "Assessing the role of futures position substitutability in a monthly model of factor demand for softwood lumber," Empirical Economics, Springer, volume 56, issue 3, pages 1097-1116, March, DOI: 10.1007/s00181-017-1377-4.
• Marco Haase & Yvonne Seiler Zimmermann & Heinz Zimmermann, 2019, "Permanent and transitory price shocks in commodity futures markets and their relation to speculation," Empirical Economics, Springer, volume 56, issue 4, pages 1359-1382, April, DOI: 10.1007/s00181-017-1387-2.
• Roi D. Taussig & Dror Tobi & Moti Zwilling, 2019, "The importance of timing in estimating beta," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 9, issue 1, pages 61-70, March, DOI: 10.1007/s40822-018-0103-7.
• David Hobson & Dominykas Norgilas, 2019, "Robust bounds for the American put," Finance and Stochastics, Springer, volume 23, issue 2, pages 359-395, April, DOI: 10.1007/s00780-019-00385-4.
• Delia Coculescu & Monique Jeanblanc, 2019, "Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices," Finance and Stochastics, Springer, volume 23, issue 2, pages 397-421, April, DOI: 10.1007/s00780-019-00386-3.
• Jim Gatheral & Martin Keller-Ressel, 2019, "Affine forward variance models," Finance and Stochastics, Springer, volume 23, issue 3, pages 501-533, July, DOI: 10.1007/s00780-019-00392-5.
• Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019, "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, volume 23, issue 3, pages 697-728, July, DOI: 10.1007/s00780-019-00395-2.
• Rebecca N. Hann & Heedong Kim & Yue Zheng, 2019, "Intra-industry information transfers: evidence from changes in implied volatility around earnings announcements," Review of Accounting Studies, Springer, volume 24, issue 3, pages 927-971, September, DOI: 10.1007/s11142-019-9487-1.
• Anja Frommherz, 2019, "Price discovery of German index derivatives during financial turmoil," Review of Managerial Science, Springer, volume 13, issue 1, pages 147-179, February, DOI: 10.1007/s11846-017-0241-4.
• Julia Darby & Hai Zhang & Jinkai Zhang, 2019, "Institutional trading in volatile markets: evidence from Chinese stock markets," Working Papers, University of Strathclyde Business School, Department of Economics, number 1912, Sep.
• Halil Ibrahim Korkmaz & Doruk Kucuksarac & Yigit Onay & Ahmet Senol, 2019, "Estimation of FX Option Implied Density Functions: Nonparametric-Malz Approach," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1903.
• Robert Czudaj, 2019, "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Chemnitz Economic Papers, Department of Economics, Chemnitz University of Technology, number 030, May, revised May 2019.
• Stan Olijslagers & Sweder van Wijnbergen, 2019, "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-030/VI, Apr.
• Almeida, Caio & Ardison, Kim & Garcia, René, 2019, "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers, Toulouse School of Economics (TSE), number 19-1024, Jul.
• Stefano Baccarin, 2019, "Static use of options in dynamic portfolio optimization under transaction costs and solvency constraints," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 063, May.
• Álvaro Chamizo & Alfonso Novales, 2019, "Market risk when hedging a global credit portfolio," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-28, Sep.
• Manuel Moreno & Alfonso Novales & Federico Platania, 2019, "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-31, Sep.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2019, "The True Cost of Social Security," Tax Policy and the Economy, University of Chicago Press, volume 33, issue 1, pages 131-163, DOI: 10.1086/703231.
• Manuel Ammann & Alexander Feser, 2019, "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance, University of St. Gallen, School of Finance, number 1902, Mar.
• Manuel Ammann & Mathis Mörke, 2019, "Credit Variance Risk Premiums," Working Papers on Finance, University of St. Gallen, School of Finance, number 1908, Jun.
• Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019, "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 397, Jan.
• Eckhard Platen & Renata Rendek, 2019, "Dynamics of a Well-Diversified Equity Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 398, Jan.
• Jin Sun & Eckhard Platen, 2019, "Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 399, Mar.
• Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019, "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 401, Jul.
• Yang Hu & Yang (Greg) Hou & Les Oxley, 2019, "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics, University of Waikato, number 19/13, Aug.
• Anna Grodecka‐Messi, 2019, "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 52, issue 4, pages 1600-1654, November, DOI: 10.1111/caje.12414.
• Olaf Korn & Paolo Krischak & Erik Theissen, 2019, "Illiquidity transmission from spot to futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 10, pages 1228-1249, October, DOI: 10.1002/fut.22043.
• Jianjun Miao & Bin Wei & Hao Zhou, 2019, "Ambiguity Aversion and the Variance Premium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 02, pages 1-36, June, DOI: 10.1142/S2010139219500034.
• Philippe Mueller & Andrea Vedolin & Hao Zhou, 2019, "Short-Run Bond Risk Premia," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 03, pages 1-34, September, DOI: 10.1142/S2010139219500113.
• Zachary McGurk & Adam Nowak & Joshua C. Hall, 2019, "Stock Returns and Investor Sentiment: Textual Analysis and Social Media," Working Papers, Department of Economics, West Virginia University, number 19-03.
• Wölfing, Nikolas, 2019, "Forward trading and collusion in supply functions," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 19-003.

2018

• Filippo Natoli & Laura Sigalotti, 2018, "Tail Co-movement in Inflation Expectations as an Indicator of Anchoring," International Journal of Central Banking, International Journal of Central Banking, volume 14, issue 1, pages 35-71, January.
• Erdinc Akyildirim & Duc Khuong Nguyen & Ahmet Sensoy, 2018, "A Tale of Two Risks in the EMU Sovereign Debt Markets," Working Papers, Department of Research, Ipag Business School, number 2018-004, Jan.
• Ming-Chang Wang & Yu-Jia Ding & Pei-Han Hsin, 2018, "Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 14, issue 2, pages 191-216, August.
• Magdalena Grothe & Aidan Meyler, 2018, "Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, volume 9, issue 1, pages 171-188, January, DOI: 10.5430/ijfr.v9n1p171.
• Vladislav Krasin & Ivan Smirnov & Alexander Melnikov, 2018, "Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes," Annals of Finance, Springer, volume 14, issue 2, pages 195-209, May, DOI: 10.1007/s10436-017-0309-9.
• Dilip B. Madan, 2018, "Financial equilibrium with non-linear valuations," Annals of Finance, Springer, volume 14, issue 2, pages 211-221, May, DOI: 10.1007/s10436-017-0312-1.
• Nikolai Dokuchaev, 2018, "On the implied market price of risk under the stochastic numéraire," Annals of Finance, Springer, volume 14, issue 2, pages 223-251, May, DOI: 10.1007/s10436-017-0315-y.
• Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018, "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, volume 14, issue 3, pages 289-329, August, DOI: 10.1007/s10436-017-0317-9.
• Josselin Garnier & Knut Sølna, 2018, "Option pricing under fast-varying and rough stochastic volatility," Annals of Finance, Springer, volume 14, issue 4, pages 489-516, November, DOI: 10.1007/s10436-018-0325-4.
• Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli, 2018, "Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 3, pages 379-406, March, DOI: 10.1007/s10614-016-9608-x.
• Seraina C. Anagnostopoulou & Aikaterini C. Ferentinou & Panagiotis A. Tsaousis & Andrianos E. Tsekrekos, 2018, "The Options Market Reaction to Bank Loan Announcements," Journal of Financial Services Research, Springer;Western Finance Association, volume 53, issue 1, pages 99-139, February, DOI: 10.1007/s10693-016-0243-4.
• Arzu Uluc, 2018, "Stabilising House Prices: the Role of Housing Futures Trading," The Journal of Real Estate Finance and Economics, Springer, volume 56, issue 4, pages 587-621, May, DOI: 10.1007/s11146-017-9606-3.
• Marcos Escobar & Christoph Gschnaidtner, 2018, "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, volume 21, issue 1, pages 1-43, April, DOI: 10.1007/s11147-017-9132-8.
• Sung Ik Kim & Young Shin Kim, 2018, "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, volume 21, issue 1, pages 119-148, April, DOI: 10.1007/s11147-017-9135-5.
• Felix Brinkmann & Olaf Korn, 2018, "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, volume 21, issue 2, pages 149-173, July, DOI: 10.1007/s11147-017-9136-4.
• Johannes Gerer & Gregor Dorfleitner, 2018, "Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions," Review of Derivatives Research, Springer, volume 21, issue 2, pages 175-199, July, DOI: 10.1007/s11147-017-9137-3.
• Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018, "The pricing kernel puzzle in forward looking data," Review of Derivatives Research, Springer, volume 21, issue 3, pages 253-276, October, DOI: 10.1007/s11147-017-9140-8.
• Matthias R. Fengler & Alexander Melnikov, 2018, "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, volume 21, issue 3, pages 277-305, October, DOI: 10.1007/s11147-017-9141-7.
• Robert Jarrow & Scott Fung & Shih-Chuan Tsai, 2018, "An empirical investigation of large trader market manipulation in derivatives markets," Review of Derivatives Research, Springer, volume 21, issue 3, pages 331-374, October, DOI: 10.1007/s11147-018-9143-0.
• Nan Hu & Ling Liu & Lu Zhu, 2018, "Credit default swap spreads and annual report readability," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 2, pages 591-621, February, DOI: 10.1007/s11156-017-0639-8.
• Boros, Péter, 2018, "A hitelértékelési kiigazítás tőketartalékolásának új szabályozása
  [New regulation of the Credit Valuation Adjustment for capital reserves]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 161-184, DOI: 10.18414/KSZ.2018.2.161.
• Dömötör, Barbara & Bihary, Zsolt, 2018, "Menedzserösztönzők hatása a vállalati fedezésre
  [Manager incentives-based model of corporate hedging]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 701-710, DOI: 10.18414/KSZ.2018.7-8.701.
• Chiaki Hara, 2018, "Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1005, Oct.
• Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018, "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers, University of Liverpool, Department of Economics, number 20183, Aug.
• Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018, "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1807.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The Risk-Asymmetry Index as a new Measure of Risk," Multinational Finance Journal, Multinational Finance Journal, volume 22, issue 3-4, pages 173-210, September.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The use of option prices in order to evaluate the skewness risk premium," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0132, Sep.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The properties of a skewness index and its relation with volatility and returns," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0133, Sep.
• Isabel Casas & Jiti Gao & Shangyu Xie, 2018, "Modelling time-varying income elasticities of health care expenditure for the OECD," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/18.
• Juliusz Jabłecki, 2018, "Instrumenty zabezpieczone obligacjami skarbowymi: próba wyceny i analizy ryzyka," Bank i Kredyt, Narodowy Bank Polski, volume 49, issue 4, pages 379-404.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2018, "The True Cost of Social Security," NBER Chapters, National Bureau of Economic Research, Inc, "Tax Policy and the Economy, Volume 33".
• Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018, "Corporate Credit Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 24213, Jan.
• Matthias Fleckenstein & Francis A. Longstaff, 2018, "Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 24224, Jan.
• George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018, "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 24575, May.
• Jose Pizarro & Eduardo S. Schwartz, 2018, "The Valuation of Fisheries Rights: A Real Options Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 25140, Oct.
• Dimitrios Bakas & Athanasios Triantafyllou, 2018, "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2018/02, Jan.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org, Center for Open Science, number 5uxef, Jun, DOI: 10.31219/osf.io/5uxef.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv, Center for Open Science, number 5hf4b, Jun, DOI: 10.31219/osf.io/5hf4b.
• Xiao, Tim, 2018, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv, Center for Open Science, number ds7zj, Aug, DOI: 10.31219/osf.io/ds7zj.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv, Center for Open Science, number kzbxf, Jun, DOI: 10.31219/osf.io/kzbxf.
• Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018, "A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 3, pages 425-460.
• Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018, "Corporate Credit Risk Premia
  [Fallen angels and price pressure]," Review of Finance, European Finance Association, volume 22, issue 2, pages 419-454.
• Deniz Anginer & Çelim Yıldızhan, 2018, "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns
  [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, volume 22, issue 2, pages 633-660.
• Andreas Kaeck, 2018, "Variance-of-Variance Risk Premium," Review of Finance, European Finance Association, volume 22, issue 4, pages 1549-1579.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2018, "The Factor Structure in Equity Options," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 595-637.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 1132-1183.
• Cangoz, Mehmet Coskun & Boitreaud, Sebastien & Dychala, Christopher Benjamin, 2018, "How Do Countries Use an Asset and Liability Management Approach? A Survey on Sovereign Balance Sheet Management," MPRA Paper, University Library of Munich, Germany, number 100309, Oct.
• White, Alan, 2018, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 85331, Mar.
• Lee, David, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper, University Library of Munich, Germany, number 85575, Mar.
• Sonntag, Dominik, 2018, "Die Theorie der fairen geometrischen Rendite
  [The Theory of Fair Geometric Returns]," MPRA Paper, University Library of Munich, Germany, number 87082, May.
• Ferriani, Fabrizio & Natoli, Filippo & Veronese, Giovanni & Zeni, Federica, 2018, "Futures risk premia in the era of shale oil," MPRA Paper, University Library of Munich, Germany, number 89097, Aug.
• Singh, Ritvik & Gangwar, Rachna, 2018, "A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 89689, Sep.
• Cifarelli, Giulio & Paesani, Paolo, 2018, "Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing," MPRA Paper, University Library of Munich, Germany, number 90470, Dec.
• Tumasyan, Hovik, 2018, "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," MPRA Paper, University Library of Munich, Germany, number 90806, Dec.
• He, Qing & Gan, Jingyun & Wang, Shuwan & Chong, Terence Tai Leung, 2018, "The Effects of Trading Suspensions in China," MPRA Paper, University Library of Munich, Germany, number 92037, Jan.
• Nizar, Muhammad Afdi, 2018, "Kontroversi Mata Uang Digital
  [The Controversies of Digital Currency]," MPRA Paper, University Library of Munich, Germany, number 97940, Nov.
• Elie Bouri & Rangan Gupta & David Roubaud, 2018, "Herding Behaviour in the Cryptocurrency Market," Working Papers, University of Pretoria, Department of Economics, number 201834, Jun.
• Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018, "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers, Queen Mary University of London, School of Economics and Finance, number 850, Jan.
• Konstantinos Gkionis & Alexandros Kostakis & George Skiadopoulos & Przemyslaw S. Stilger, 2018, "Positive Stock Information In Out-Of-The-Money Option Prices," Working Papers, Queen Mary University of London, School of Economics and Finance, number 859, May.
• Kazuhiro Hiraki & George Skiadopoulos, 2018, "The Contribution of Frictions to Expected Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 874, Oct.
• Mohamed-Ali Akari & Ramzi Ben-Abdallah & Michèle Breton & Georges Dionne, 2018, "The impact of central clearing on the market for single-name credit default swaps," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 18-1, Apr.
• Jamal Bouoiyour & Refk Selmi, 2018, "Are BRICS Markets Equally Exposed to Trump’s Agenda?," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 33, issue 2, pages 1203-1233.
• Kiran Kumar Kotha, 2018, "Mis-pricing in Single Stock Futures: Evidence from National Stock Exchange of India," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 7310288, Nov.
• Marcin Dec, 2018, "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis, number 2018-038, Jun.
• Marcin Dec, 2018, "On the trade-offs in money market benchmarks' stabilisation," KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis, number 2018-039, Aug.
• Sophie van Huellen, 2018, "Too Much of a Good Thing? Speculative Effects on Commodity Futures Curves," Working Papers, Department of Economics, SOAS University of London, UK, number 211, Jul.
• Sophie van Huellen, 2018, "Price Discovery in Commodity Futures and Cash Markets with Heterogenous Agents," Working Papers, Department of Economics, SOAS University of London, UK, number 213, Nov.
• Hamza Bahaji, 2018, "Are employee stock option exercise decisions better explained through the prospect theory?," Annals of Operations Research, Springer, volume 262, issue 2, pages 335-359, March, DOI: 10.1007/s10479-016-2127-2.
• Marco Nicolosi, 2018, "Optimal strategy for a fund manager with option compensation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 41, issue 1, pages 1-17, May, DOI: 10.1007/s10203-017-0204-x.
• Hirbod Assa & Nikolay Gospodinov, 2018, "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 41, issue 1, pages 65-90, May, DOI: 10.1007/s10203-018-0207-2.
• Luca Vincenzo Ballestra, 2018, "Fast and accurate calculation of American option prices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 41, issue 2, pages 399-426, November, DOI: 10.1007/s10203-018-0224-1.
• Xiaojie Xu, 2018, "Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis," Empirical Economics, Springer, volume 54, issue 3, pages 1267-1295, May, DOI: 10.1007/s00181-017-1245-2.
• Masaaki Fukasawa & Mitja Stadje, 2018, "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, volume 22, issue 2, pages 417-442, April, DOI: 10.1007/s00780-017-0352-4.