Research classified by Journal of Economic Literature (JEL) codes

2019

• Lee, Hwang Hee & Hyun, Jung-Soon, 2019, "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 125-136, DOI: 10.1016/j.jbankfin.2018.11.001.
• Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019, "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 1-20, DOI: 10.1016/j.jbankfin.2018.11.012.
• Da Fonseca, José & Ignatieva, Katja, 2019, "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 45-62, DOI: 10.1016/j.jbankfin.2018.11.014.
• Shiller, Robert J. & Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2019, "Continuous Workout Mortgages: Efficient pricing and systemic implications," Journal of Economic Behavior & Organization, Elsevier, volume 157, issue C, pages 244-274, DOI: 10.1016/j.jebo.2017.12.006.
• Lang, Ruitian, 2019, "Try before you buy: A theory of dynamic information acquisition," Journal of Economic Theory, Elsevier, volume 183, issue C, pages 1057-1093, DOI: 10.1016/j.jet.2019.07.014.
• Straub, Ludwig & Ulbricht, Robert, 2019, "Endogenous second moments: A unified approach to fluctuations in risk, dispersion, and uncertainty," Journal of Economic Theory, Elsevier, volume 183, issue C, pages 625-660, DOI: 10.1016/j.jet.2019.07.007.
• Bolton, Patrick & Wang, Neng & Yang, Jinqiang, 2019, "Investment under uncertainty with financial constraints," Journal of Economic Theory, Elsevier, volume 184, issue C, DOI: 10.1016/j.jet.2019.06.008.
• Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2019, "The leverage effect and the basket-index put spread," Journal of Financial Economics, Elsevier, volume 131, issue 1, pages 186-205, DOI: 10.1016/j.jfineco.2018.07.015.
• Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019, "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 593-618, DOI: 10.1016/j.jfineco.2018.09.008.
• Lu, Zhongjin & Murray, Scott, 2019, "Bear beta," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 736-760, DOI: 10.1016/j.jfineco.2018.09.006.
• Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019, "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 182-204, DOI: 10.1016/j.jfineco.2018.11.011.
• Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019, "Generalized recovery," Journal of Financial Economics, Elsevier, volume 133, issue 1, pages 154-174, DOI: 10.1016/j.jfineco.2018.12.003.
• Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019, "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, volume 133, issue 2, pages 397-417, DOI: 10.1016/j.jfineco.2019.02.002.
• Atmaz, Adem & Basak, Suleyman, 2019, "Option prices and costly short-selling," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 1-28, DOI: 10.1016/j.jfineco.2019.04.004.
• Shi, Zhan, 2019, "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 617-646, DOI: 10.1016/j.jfineco.2019.04.013.
• Li, Gang & Zhang, Chu, 2019, "Counterparty credit risk and derivatives pricing," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 647-668, DOI: 10.1016/j.jfineco.2019.04.011.
• van Huellen, Sophie, 2019, "Price discovery in commodity futures and cash markets with heterogeneous agents," Journal of International Money and Finance, Elsevier, volume 95, issue C, pages 1-13, DOI: 10.1016/j.jimonfin.2019.03.003.
• Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019, "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, volume 98, issue C, pages 1-1, DOI: 10.1016/j.jimonfin.2019.102063.
• Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019, "A review of the evidence on the relation between crude oil prices and petroleum product prices," Journal of Commodity Markets, Elsevier, volume 13, issue C, pages 1-15, DOI: 10.1016/j.jcomm.2018.09.002.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019, "Jumps in commodity markets," Journal of Commodity Markets, Elsevier, volume 13, issue C, pages 55-70, DOI: 10.1016/j.jcomm.2018.10.002.
• Awan, Obaid A., 2019, "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, volume 16, issue C, DOI: 10.1016/j.jcomm.2019.02.001.
• Lo, Chien-Ling & Shih, Pai-Ta & Wang, Yaw-Huei & Yu, Min-Teh, 2019, "VIX derivatives: Valuation models and empirical evidence," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 1-21, DOI: 10.1016/j.pacfin.2018.09.004.
• Zhao, Yang & Yu, Min-Teh, 2019, "Measuring the liquidity impact on catastrophe bond spreads," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 197-210, DOI: 10.1016/j.pacfin.2019.06.006.
• Hsieh, Ming-Hua & Lee, Yi-Hsi & Shyu, So-De & Chiu, Yu-Fen, 2019, "Estimating multifactor portfolio credit risk: A variance reduction approach," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2018.08.001.
• Chiu, Yu-Fen & Hsieh, Ming-Hua & Tsai, Chenghsien, 2019, "Valuation and analysis on complex equity indexed annuities," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2019.101175.
• Chai, Daniel & Chiah, Mardy & Zhong, Angel, 2019, "Choosing factors: Australian evidence," Pacific-Basin Finance Journal, Elsevier, volume 58, issue C, DOI: 10.1016/j.pacfin.2019.101223.
• Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019, "Momentum and contrarian effects on the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 523, issue C, pages 691-701, DOI: 10.1016/j.physa.2019.02.057.
• Wang, Guanying & Wang, Xingchun, 2019, "Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 526, issue C, DOI: 10.1016/j.physa.2019.04.045.
• Inaba, Kei-Ichiro, 2019, "The behaviour of bidders in quantitative-easing auctions of sovereign bonds in Japan: Determinants of the popularity of the 9 to 10-year maturity segment," The Quarterly Review of Economics and Finance, Elsevier, volume 72, issue C, pages 206-214, DOI: 10.1016/j.qref.2018.12.008.
• Garivaltis, Alex, 2019, "Two resolutions of the margin loan pricing puzzle," Research in Economics, Elsevier, volume 73, issue 2, pages 199-207, DOI: 10.1016/j.rie.2019.04.006.
• Fassas, Athanasios P. & Siriopoulos, Costas, 2019, "Intraday price discovery and volatility spillovers in an emerging market," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 333-346, DOI: 10.1016/j.iref.2018.09.008.
• Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019, "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 347-368, DOI: 10.1016/j.iref.2018.10.002.
• Zhang, Huiming & Watada, Junzo, 2019, "An analysis of the arbitrage efficiency of the Chinese SSE 50ETF options market," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 474-489, DOI: 10.1016/j.iref.2018.10.011.
• Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019, "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, volume 60, issue C, pages 203-215, DOI: 10.1016/j.iref.2018.11.002.
• Mili, Mehdi, 2019, "The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 187-200, DOI: 10.1016/j.ribaf.2018.12.013.
• Landini, S. & Uberti, M. & Casellina, S., 2019, "Credit risk migration rates modelling as open systems II: A simulation model and IFRS9-baseline principles," Structural Change and Economic Dynamics, Elsevier, volume 50, issue C, pages 175-189, DOI: 10.1016/j.strueco.2019.06.013.
• Lim, Kian Guan & Nomikos, Nikos K. & Yap, Nelson, 2019, "Understanding the fundamentals of freight markets volatility," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 130, issue C, pages 1-15, DOI: 10.1016/j.tre.2019.08.003.
• Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2019, "Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-42, Jun.
• Makarov, Igor & Schoar, Antoinette, 2019, "Price discovery in cryptocurrency markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100410, May.
• Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019, "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102043, Dec.
• Jorge Miguel Bravo, 2019, "Funding for longer lives. Retirement wallet and risk-sharing annuities," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 96, issue 02, pages 268-291.
• Athanasios Fassas & Stephanos Papadamou & Dionisis Philippas, 2019, "Investors’ risk aversion integration and quantitative easing," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 12, issue 2, pages 170-183, August, DOI: 10.1108/RBF-02-2019-0027.
• Ako Doffou, 2019, "Testing derivatives pricing models under higher-order moment swaps," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 36, issue 2, pages 154-167, March, DOI: 10.1108/SEF-04-2018-0106.
• Yong Jae Shin & Unyong Pyo, 2019, "Liquidity hedging with futures and forward contracts," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 36, issue 2, pages 265-290, June, DOI: 10.1108/SEF-04-2018-0109.
• Vasile BRÄ‚TIAN, 2019, "Evaluation of Options using the Black-Scholes Methodology," Expert Journal of Economics, Sprint Investify, volume 7, issue 2, pages 59-65.
• Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2019, "The Two-Pillar Policy for the RMB," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2019-8, Apr, DOI: 10.29338/wp2019-08.
• Yang-Ho Park, 2019, "Variance Disparity and Market Frictions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-059, Aug, DOI: 10.17016/FEDS.2019.059.
• Robert J. Barro & Gordon Y. Liao, 2019, "Tractable Rare Disaster Probability and Options-Pricing," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-073, Sep, DOI: 10.17016/FEDS.2019.073.
• Juan M. Londono & Nancy R. Xu, 2019, "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1247, Jul, DOI: 10.17016/IFDP.2019.1247.
• Sumit Agarwal & Brent W. Ambrose & Moussa Diop, 2019, "Do Minimum Wage Increases Benefit Intended Households? Evidence from the Performance of Residential Leases," Working Papers, Federal Reserve Bank of Philadelphia, number 19-28, Jul, DOI: 10.21799/frbp.wp.2019.28.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019, "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, volume 12, issue 8, pages 1-24, April.
• Fabien Le Floc’h & Cornelis W. Oosterlee, 2019, "Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II," Risks, MDPI, volume 7, issue 1, pages 1-21, March.
• Ana Margarida Monteiro & António Alberto Ferreira Santos, 2019, "Kernel density estimation using local cubic polynomials through option prices applied to intraday data," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2019-02, Feb.
• Chong-Meng, 2019, "Effect of Stock Price Information on Timing of Share Repurchases," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr155, Mar.
• Tim Xiao, 2019, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers, HAL, number hal-02165501, Jun.
• Herbetsson, Alexander, 2019, "CDS index options in Markov chain models," Working Papers in Economics, University of Gothenburg, Department of Economics, number 748, Jan.
• Armerin, Fredrik, 2019, "Stochastic discount factors and the optimal timing of irreversible investments," Working Paper Series, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, number 19/11, Dec.
• Armerin, Fredrik & Gunnelin, Åke, 2019, "Competitive investment with varying risk premia," Working Paper Series, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, number 19/12, Dec.
• Michail Filippidis & Renatas Kizys & George Filis & Christos Floros, 2019, "The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, volume 10, issue 1, pages 3-38.
• Tetsuya Adachi & Takumi Sueshige & Toshinao Yoshiba, 2019, "Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 19-E-01, Jan.
• Araceli Matías González & María Teresa Verónica Martínez-Palacios & Ambrosio Ortiz-Ramírez, 2019, "Consumo e inversión óptimos y valuación de opciones asiáticas en un entorno estocástico con fundamentos microeconómicos y simulación Monte Carlo," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 14, issue 3, pages 397-414, Julio - S.
• Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2019, "A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Management Science, INFORMS, volume 65, issue 10, pages 4927-4949, October, DOI: 10.1287/mnsc.2018.3049.
• Frédéric Godiny & Van Son Lai & Denis-Alexandre Trottier, 2019, "Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence," Working Papers, Department of Research, Ipag Business School, number 2019-014, Jan.
• João Guerra & Manuel Guerra & Zachary Polaski, 2019, "Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2019/74, Feb.
• Raquel M. Gaspar & Paulo M. Silva, 2019, "Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2019/92, Sep.
• Dilip B. Madan & Wim Schoutens, 2019, "Conic asset pricing and the costs of price fluctuations," Annals of Finance, Springer, volume 15, issue 1, pages 29-58, March, DOI: 10.1007/s10436-018-0328-1.
• Archil Gulisashvili & Frederi Viens & Xin Zhang, 2019, "Extreme-strike asymptotics for general Gaussian stochastic volatility models," Annals of Finance, Springer, volume 15, issue 1, pages 59-101, March, DOI: 10.1007/s10436-018-0338-z.
• 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, DOI: 10.1093/jjfinec/nbaa042.
• 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.