Research classified by Journal of Economic Literature (JEL) codes

2019

• 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.
• Federico Carlini & Paolo Santucci de Magistris, 2019, "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-02, Jan.
• Muhammad Aamir Shahzad & Amar Razzaq & Ping Qing, 2019, "On The Wheat Price Support Policy in Pakistan," Journal of Economic Impact, Science Impact Publishers, volume 1, issue 3, pages 80-86.
• Igor Makarov & Antoinette Schoar, 2019, "Price Discovery in Cryptocurrency Markets," AEA Papers and Proceedings, American Economic Association, volume 109, pages 97-99, May.
• Gabriela Pesce & Gastón Milanesi & Emilio El Alabi & Joaquín Menna, 2019, "Valuación de un seguro de vida mediante opciones exóticas," Asociación Argentina de Economía Política: Working Papers, Asociación Argentina de Economía Política, number 4189, Nov.
• Niyazi TELÇEKEN & Murat KIYILAR & Eyüp KADIOĞLU, 2019, "Volatilite Endeksleri: Gelişimi, Türleri, Uygulamaları ve TRVIX Önerisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 4, issue 2, pages 204-228, DOI: 10.30784/epfad.534052.
• Stanimir Ivanov Kabaivanov & Veneta Markovska, 2019, "Making a Difference: Accounting for the Impact of Management Decisions in Environmental Management," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 66, issue 2, pages 131-139, June.
• İsmail Atacan & Erdinç Altay, 2019, "Analysis of Herd Behavior In Commodity Futures Markets," Alphanumeric Journal, Bahadir Fatih Yildirim, volume 7, issue 1, pages 37-54, June, DOI: http://doi.org/10.17093/alphanumeri.
• Alex Garivaltis, 2019, "Two Resolutions of the Margin Loan Pricing Puzzle," Papers, arXiv.org, number 1906.01025, Jun, revised Oct 2022.
• Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu, 2019, "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Papers, arXiv.org, number 1910.01044, Oct.
• Bahman Angoshtari & Tim Leung, 2019, "Optimal Trading of a Basket of Futures Contracts," Papers, arXiv.org, number 1910.04943, Oct.
• Wilkens, Sascha, 2019, "Machine learning in risk measurement: Gaussian process regression for value-at-risk and expected shortfall," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 12, issue 4, pages 374-383, September.
• Terrance Grieb & Nam Hoang, 2019, "The Effects of Hedging and Speculation on Cash-Futures Basis: Results from U.S. Wheat Markets," Review of Economics & Finance, Better Advances Press, Canada, volume 17, pages 1-15, August.
• Fabrizio Ferriani & Filippo Natoli & Giovanni Veronese & Federica Zeni, 2019, "Risk premium in the era of shale oil," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1215, Apr.
• Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2019, "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 625, Oct.
• Ian W. R. Martin & Christian Wagner, 2019, "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, volume 74, issue 4, pages 1887-1929, August, DOI: 10.1111/jofi.12778.
• Sun-Joong Yoon, 2019, "Determinants of Variance Risk Premium (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 25, issue 1, pages 1-33, March.
• Paul Schneider, 2019, "A Theory of Scenario Generation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-17, Mar.
• Altan Pazarbasi & Paul Schneider & Grigory Vilkov, 2019, "Sentimental Recovery," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-57, Oct.
• Artem Dyachenko & Walter Farkas & Marc Oliver Rieger, 2019, "Volatility Dependent Structured Products," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-64, Dec.
• Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan, 2019, "Option Trading and Stock Price Informativeness," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-74, Jun.
• Giovanni Barone-Adesi & Carlo Sala, 2019, "Testing Market Efficiency With the Pricing Kernel," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-77, Aug.
• Gastón Silverio Milanesi, 2019, "El modelo binomial, ahorros fiscales y valor ajustado de la firma por escenarios de continuidad o disolución," Estudios Gerenciales, Universidad Icesi, volume 35, issue 150, pages 47-58.
• Ricardo Troncoso Sepúlveda & Juan Cabas Monje, 2019, "Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 90, pages 9-44.
• Olijslagers, Stan & van Wijnbergen, Sweder, 2019, "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers, Centre for Economic Policy Research, number 13708, May.
• Martin, Ian, 2019, "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers, Centre for Economic Policy Research, number 13857, Jul.
• Distaso, Walter & Mele, Antonio & Vilkov, Grigory, 2019, "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 13873, Jul.
• Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao, 2019, "The Term Structure of Government Debt Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 13874, Jul.
• Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V., 2019, "Factor Structure in Commodity Futures Return and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 3, pages 1083-1115, June.
• Cyr, Don & Kwong, Lester & Sun, Ling, 2019, "Who Will Replace Parker? A Copula Function Analysis of Bordeaux En Primeur Wine Raters," Journal of Wine Economics, Cambridge University Press, volume 14, issue 2, pages 133-144, May.
• Gaëtan Le Quang, 2019, "Mind the Conversion Risk: a Theoretical Assessment of Contingent Convertible Bonds," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2019-5.
• Rhys ap Gwilym & M. Shahid Ebrahim & Abdelkader O. El Alaoui & Hamid Rahman & Abderrahim Taamouti, 2019, "Financial Frictions and the Futures Pricing Puzzle," Department of Economics Working Papers, Durham University, Department of Economics, number 2019_07, Jul.
• Hip lit Torr, 2019, "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 9, issue 2, pages 1-9.
• Bekiros, Stelios & Kouloumpou, Dimitra, 2019, "On the pricing of exotic options: A new closed-form valuation approach," Chaos, Solitons & Fractals, Elsevier, volume 122, issue C, pages 153-162, DOI: 10.1016/j.chaos.2019.03.012.
• Zaevski, Tsvetelin S. & Kounchev, Ognyan & Savov, Mladen, 2019, "Two frameworks for pricing defaultable derivatives," Chaos, Solitons & Fractals, Elsevier, volume 123, issue C, pages 309-319, DOI: 10.1016/j.chaos.2019.04.025.
• Zaevski, Tsvetelin S., 2019, "A new form of the early exercise premium for American type derivatives," Chaos, Solitons & Fractals, Elsevier, volume 123, issue C, pages 338-340, DOI: 10.1016/j.chaos.2019.04.024.
• Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019, "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, volume 100, issue C, pages 251-269, DOI: 10.1016/j.jedc.2018.11.008.
• Yang, Minxian, 2019, "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.103732.
• Bu, Di & Liao, Yin & Shi, Jing & Peng, Hongfeng, 2019, "Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103753.
• Dillschneider, Yannick & Maurer, Raimond, 2019, "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103750.
• Nishihara, Michi & Shibata, Takashi, 2019, "Liquidation, fire sales, and acquirers’ private information," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103769.
• Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019, "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, volume 77, issue C, pages 92-112, DOI: 10.1016/j.econmod.2017.12.005.
• Niu, Huawei & Hua, Wei, 2019, "An endogenous structural credit risk model incorporating with moral hazard and rollover risk," Economic Modelling, Elsevier, volume 78, issue C, pages 47-59, DOI: 10.1016/j.econmod.2018.09.012.
• Aït-Youcef, Camille, 2019, "How index investment impacts commodities: A story about the financialization of agricultural commodities," Economic Modelling, Elsevier, volume 80, issue C, pages 23-33, DOI: 10.1016/j.econmod.2018.04.007.
• Hu, May & Park, Jason, 2019, "Valuation of collateralized debt obligations: An equilibrium model," Economic Modelling, Elsevier, volume 82, issue C, pages 119-135, DOI: 10.1016/j.econmod.2019.08.014.
• Puwanenthiren, Premkanth & Dang, Man & Henry, Darren & Puwanenthiren, Pratheepkanth & Al Mamun, Md., 2019, "Does managerial ability matter for the choice of seasoned equity offerings?," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 442-460, DOI: 10.1016/j.najef.2018.06.002.
• Kim, See-Woo & Kim, Jeong-Hoon, 2019, "Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 149-169, DOI: 10.1016/j.najef.2019.01.018.
• Gomez-Puig, Marta & Singh, Manish K. & Sosvilla-Rivero, Simon, 2019, "The sovereign-bank nexus in peripheral euro area: Further evidence from contingent claims analysis," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 1-26, DOI: 10.1016/j.najef.2019.03.021.
• Qiao, Gaoxiu & Teng, Yuxin & Li, Weiping & Liu, Wenwen, 2019, "Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 133-151, DOI: 10.1016/j.najef.2019.04.003.
• Lee, Hangsuck & Ko, Bangwon & Song, Seongjoo, 2019, "Valuing step barrier options and their icicled variations," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 396-411, DOI: 10.1016/j.najef.2018.09.001.
• Chan, Tat Lung (Ron), 2019, "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.100984.
• Lee, Hangsuck & Ahn, Soohan & Ko, Bangwon, 2019, "Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101014.
• Zaremba, Adam & Mikutowski, Mateusz & Karathanasopoulos, Andreas & Osman, Mohamed, 2019, "Picking winners to pick your winners: The momentum effect in commodity risk factors," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101017.
• Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019, "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.100986.
• Aiube, Fernando Antonio Lucena & Faquieri, Winicius Botelho, 2019, "Can Gaussian factor models of commodity prices capture the financialization phenomenon?," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101028.
• Wang, Xingchun, 2019, "Valuation of new-designed contracts for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101041.
• Casiraghi, Marco & Miccoli, Marcello, 2019, "Inflation risk premia and risk-adjusted expectations of inflation," Economics Letters, Elsevier, volume 175, issue C, pages 36-39, DOI: 10.1016/j.econlet.2018.12.002.
• Delgado-Mohatar, Oscar & Felis-Rota, Marta & Fernández-Herraiz, Carlos, 2019, "The Bitcoin mining breakdown: Is mining still profitable?," Economics Letters, Elsevier, volume 184, issue C, DOI: 10.1016/j.econlet.2019.05.044.
• Fulop, Andras & Li, Junye, 2019, "Bayesian estimation of dynamic asset pricing models with informative observations," Journal of Econometrics, Elsevier, volume 209, issue 1, pages 114-138, DOI: 10.1016/j.jeconom.2018.11.014.
• Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019, "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, volume 209, issue 2, pages 208-237, DOI: 10.1016/j.jeconom.2019.01.002.
• Czudaj, Robert L., 2019, "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 78-145, DOI: 10.1016/j.ecosta.2019.05.002.
• Akron, Sagi, 2019, "The optimal derivative-based corporate hedging strategies under equity-linked managerial compensation," Emerging Markets Review, Elsevier, volume 41, issue C, DOI: 10.1016/j.ememar.2019.100631.
• Brandt, Michael W. & Gao, Lin, 2019, "Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil," Journal of Empirical Finance, Elsevier, volume 51, issue C, pages 64-94, DOI: 10.1016/j.jempfin.2019.01.007.
• Díaz-Hernández, Adán & Constantinou, Nick, 2019, "A multiple regime extension to the Heston–Nandi GARCH(1,1) model," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 162-180, DOI: 10.1016/j.jempfin.2019.05.004.
• Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019, "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, volume 77, issue C, pages 23-33, DOI: 10.1016/j.eneco.2018.09.010.
• Müller, Gernot & Seibert, Armin, 2019, "Bayesian estimation of stable CARMA spot models for electricity prices," Energy Economics, Elsevier, volume 78, issue C, pages 267-277, DOI: 10.1016/j.eneco.2018.10.016.
• Li, Bingxin, 2019, "Pricing dynamics of natural gas futures," Energy Economics, Elsevier, volume 78, issue C, pages 91-108, DOI: 10.1016/j.eneco.2018.10.024.
• Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019, "A branching process approach to power markets," Energy Economics, Elsevier, volume 79, issue C, pages 144-156, DOI: 10.1016/j.eneco.2018.03.002.
• Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019, "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, volume 79, issue C, pages 3-20, DOI: 10.1016/j.eneco.2018.11.019.
• Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019, "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, volume 79, issue C, pages 45-58, DOI: 10.1016/j.eneco.2018.06.003.
• Czudaj, Robert L., 2019, "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, volume 80, issue C, pages 793-811, DOI: 10.1016/j.eneco.2019.01.002.
• Lingohr, Daniel & Müller, Gernot, 2019, "Stochastic modeling of intraday photovoltaic power generation," Energy Economics, Elsevier, volume 81, issue C, pages 175-186, DOI: 10.1016/j.eneco.2019.03.007.
• Ruan, Xinfeng & Zhang, Jin E., 2019, "Moment spreads in the energy market," Energy Economics, Elsevier, volume 81, issue C, pages 598-609, DOI: 10.1016/j.eneco.2019.04.025.
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• Chang, Chia-Lin & Liu, Chia-Ping & McAleer, Michael, 2019, "Volatility spillovers for spot, futures, and ETF prices in agriculture and energy," Energy Economics, Elsevier, volume 81, issue C, pages 779-792, DOI: 10.1016/j.eneco.2019.04.017.
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• Armstrong, John & Brigo, Damiano, 2019, "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 122-135, DOI: 10.1016/j.jbankfin.2019.01.010.
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