Research classified by Journal of Economic Literature (JEL) codes

2018

• Fred Espen Benth & Paul Krühner, 2018, "Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models," Finance and Stochastics, Springer, volume 22, issue 2, pages 327-366, April, DOI: 10.1007/s00780-018-0355-9.
• Johannes Muhle-Karbe & Marcel Nutz, 2018, "A risk-neutral equilibrium leading to uncertain volatility pricing," Finance and Stochastics, Springer, volume 22, issue 2, pages 281-295, April, DOI: 10.1007/s00780-018-0356-8.
• Zhaoxu Hou & Jan Obłój, 2018, "Robust pricing–hedging dualities in continuous time," Finance and Stochastics, Springer, volume 22, issue 3, pages 511-567, July, DOI: 10.1007/s00780-018-0363-9.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2018, "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, volume 22, issue 3, pages 667-700, July, DOI: 10.1007/s00780-018-0364-8.
• Hyungbin Park, 2018, "Sensitivity analysis of long-term cash flows," Finance and Stochastics, Springer, volume 22, issue 4, pages 773-825, October, DOI: 10.1007/s00780-018-0370-x.
• Teemu Pennanen & Ari-Pekka Perkkiö, 2018, "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, volume 22, issue 4, pages 733-771, October, DOI: 10.1007/s00780-018-0372-8.
• Laurence E. Blose & Vijay Gondhalekar & Alan Kort, 2018, "Overnight versus day returns in gold and gold related assets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 42, issue 3, pages 526-549, July, DOI: 10.1007/s12197-017-9403-0.
• Sarveshwar Kumar Inani, 2018, "Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 16, issue 1, pages 129-154, March, DOI: 10.1007/s40953-017-0074-7.
• Alok Dixit & Shivam Singh, 2018, "Ad-Hoc Black–Scholes vis-à-vis TSRV-based Black–Scholes: Evidence from Indian Options Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 16, issue 1, pages 57-88, March, DOI: 10.1007/s40953-017-0078-3.
• Juan Ignacio Guzmán & Enrique Silva, 2018, "Copper price determination: fundamentals versus non-fundamentals," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, volume 31, issue 3, pages 283-300, October, DOI: 10.1007/s13563-017-0130-y.
• Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018, "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers, Swansea University, School of Management, number 2018-27, Mar.
• Javier Mencía & Enrique Sentana, 2018, "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 4, pages 599-614, October, DOI: 10.1080/07350015.2016.1216852.
• Stan Olijslagers & Annelie Petersen & Nander de Vette & Sweder (S.J.G.) van Wijnbergen, 2018, "What Option Prices tell us about the ECB's Unconventional Monetary Policies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-096/VI, Dec.
• Marcin Jaskowski & Michael McAleer, 2018, "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-21, Sep.
• Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018, "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 394, Oct.
• AROSKAR, Rajarshi (Raj) & OGDEN, A. William, 2018, "A Comparative Study Of The Volatility And Efficiency Of Commodity Futures Index Roll Methods," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 22, issue 3, pages 27-40, September.
• Mallika Mathew & Sulphey M. M., 2018, "Gold Exchange Traded Fund - Price Discovery and Performance Analysis," Scientific Annals of Economics and Business, Sciendo, volume 65, issue 4, pages 477-495, December, DOI: 10.2478/saeb-2018-0024.
• Krzysztof Kość & Paweł Sakowski & Robert Ślepaczuk, 2018, "Momentum and contrarian effects on the cryptocurrency market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2018-09.
• Małgorzata Jabłczyńska & Krzysztof Kosc & Przemysław Ryś & Robert Ślepaczuk & Paweł Sakowski & Grzegorz Zakrzewski, 2018, "Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2018-18.
• Cangoz,Mehmet Coskun & Boitreaud,Sebastien-000379895 & Dychala,Christopher Benjamin, 2018, "How Do Countries Use an Asset and Liability Management Approach ? A Survey on Sovereign Balance Sheet Management," Policy Research Working Paper Series, The World Bank, number 8624, Oct.
• Martin T. Bohl, Pierre Siklos, Claudia Wellenreuther, 2018, "Speculative Activity and Returns to Volatility of Chinese Major Agricultural Commodity Futures," LCERPA Working Papers, Laurier Centre for Economic Research and Policy Analysis, number 0111, Jan, revised 30 Jan 2018.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2018, "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 33, issue 6, pages 853-873, September, DOI: 10.1002/jae.2631.
• Ricardo Crisóstomo & Lorena Couso, 2018, "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., volume 37, issue 5, pages 589-603, August, DOI: 10.1002/for.2521.
• Martynova, Natalya & Perotti, Enrico C., 2018, "Convertible bonds and bank risk-taking," Discussion Papers, Deutsche Bundesbank, number 24/2018.
• Pal, Sumantra, 2018, "How to intervene in foreign exchange market without buying/selling dollars?," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 181880.
• Singh, Ritvik & Gangwar, Rachna, 2018, "A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 183471.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 202549.
• Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018, "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers, Kiel Institute for the World Economy, number 2018-67.
• Detering, Nils & Packham, Natalie, 2018, "Model risk of contingent claims," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-036.
• Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018, "Volatility-of-volatility risk," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 210, DOI: 10.2139/ssrn.3183610.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-02, Jan.
• Isabel Casas & Jiti Gao & Shangyu Xie, 2018, "Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-29, Nov.
• Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2018, "Option-Based Credit Spreads," American Economic Review, American Economic Association, volume 108, issue 2, pages 454-488, February.
• Kerry McCullough, 2018, "Intraday Information Transmission in the South African Equities Market," The African Finance Journal, Africagrowth Institute, volume 20, issue 2, pages 1-20.
• Torró, Hipòlit, , "The Response of European Energy Prices to ECB Monetary Policy," ETA: Economic Theory and Applications, Fondazione Eni Enrico Mattei (FEEM), number 269537, DOI: 10.22004/ag.econ.269537.
• Stephen Figlewski, 2018, "Risk-Neutral Densities: A Review," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 329-359, November, DOI: 10.1146/annurev-financial-110217-02.
• Hao Zhou, 2018, "Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 481-497, November, DOI: 10.1146/annurev-financial-110217-02.
• Ricardo Crisostomo & Lorena Couso, 2018, "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers, arXiv.org, number 1801.08007, Jan, revised May 2018.
• David Lee, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers, arXiv.org, number 1804.02289, Apr.
• Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018, "Accounting Noise and the Pricing of CoCos," Papers, arXiv.org, number 1804.06890, Apr.
• Tim Xiao, 2018, "A New Model for Pricing Collateralized Financial Derivatives," Papers, arXiv.org, number 1805.11981, May.
• Carol Alexander & Xi Chen, 2018, "Model Risk in Real Option Valuation," Papers, arXiv.org, number 1809.00817, Sep, revised Sep 2018.
• Mesias Alfeus & Martino Grasselli & Erik Schlogl, 2018, "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Papers, arXiv.org, number 1809.06643, Sep.
• Erhan Bayraktar & Matteo Burzoni, 2018, "On the quasi-sure superhedging duality with frictions," Papers, arXiv.org, number 1809.07516, Sep, revised Sep 2019.
• Michail Filippidis & George Filis & Christos Floros & Renatas Kizys, 2018, "The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES19, Mar.
• Patricia Palhau Mora, 2018, "The “Too Big to Fail” Subsidy in Canada: Some Estimates," Staff Working Papers, Bank of Canada, number 18-9, DOI: 10.34989/swp-2018-9.
• Filippo Natoli, 2018, "Analyzing the structural transformation of commodity markets: financialization revisited," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 419, Jan.
• Sven Klingler & Suresh Sundaresan, 2018, "An explanation of negative swap spreads: demand for duration from underfunded pension plans," BIS Working Papers, Bank for International Settlements, number 705, Feb.
• Semyon Malamud & Andreas Schrimpf, 2018, "An intermediation-based model of exchange rates," BIS Working Papers, Bank for International Settlements, number 743, Sep.
• Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018, "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics, Boston College Department of Economics, number 952, Jun, revised 29 May 2019.
• Kumar Satish, 2018, "An Empirical Examination of Risk Premiums in the Indian Currency Futures Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, volume 12, issue 1, pages 1-24, January, DOI: 10.1515/apjri-2016-0031.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018, "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp619, Jun.
• Sander Willems, 2018, "Asian Option Pricing with Orthogonal Polynomials," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-09, Feb, revised Feb 2018.
• Semyon Malamud & Andreas Schrimpf, 2018, "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-14, Mar, revised Jun 2018.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2018, "S&P 500 Index, an Option-Implied Risk Analysis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-29, Apr.
• Paola Pederzoli, 2018, "Crash Risk in Individual Stocks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-31, Mar, revised May 2018.
• Damir Filipović & Martin Larsson & Tony Ware, 2018, "Polynomial Processes for Power Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-34, May.
• Harald Hau & Gabriela Hrasko, 2018, "Are CoCo Bonds a Good Substitute for Equity? Evidence from European Banks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-67, Oct.
• Hackbarth, Dirk & Rivera, Alejandro & Wong, Tak-Yuen, 2018, "Optimal Short-Termism," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12588, Jan.
• Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018, "Generalized Recovery," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12665, Jan.
• Buss, Adrian & Vilkov, Grigory & ,, 2018, "Expected Correlation and Future Market Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12760, Dec.
• van Wijnbergen, Sweder & Spreij, Peter & Derksen, Mike, 2018, "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12869, Apr.
• Martin, Ian, 2018, "Options and the Gamma Knife," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12883, Apr.
• Basak, Suleyman & Atmaz, Adem, 2018, "Option Prices and Costly Short-Selling," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13029, Jul.
• Malamud, Semyon & Schrimpf, Paul, 2018, "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13182, Sep.
• Heider, Florian & Biais, Bruno & Hoerova, Marie, 2018, "Variation margins, fire sales, and information-constrained optimality," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13192, Sep.
• van Wijnbergen, Sweder & Olijslagers, Stan & Petersen, Annelie & de Vette, Nander, 2018, "What Option Prices tell us about the ECB's Unconventional Monetary Policies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13371, Dec.
• Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2018, "Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7518, Oct.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2018, "Golden options in financial mathematics," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number 27672, Nov.
• Victor H. ROSAS MARTINEZ, 2018, "Expectations over durable assets: How to avoid the formation of value bubbles," Journal of Economics Library, EconSciences Journals, volume 5, issue 3, pages 200-210, September.
• Теодор Тодоров, 2018, "Тестване Обективността На Прецизиращите Параметри На Валутните Опции," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 14, issue 14 Year 2, pages 97-122.
• Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2018, "Estimating a Latent Risk Premium in Exchange Rate Futures," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1733.
• Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018, "Variation margins, fire sales, and information-constrained optimality," Working Paper Series, European Central Bank, number 2191, Oct.
• Ritika Jaiswal & Rashmi Uchil, 2018, "An Analysis of Gold Futures as an Alternative Asset: Evidence from India," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 6, pages 144-150.
• Mustafa Kemal Yilmaz & Necla I. Kucukcolak & R. Ali Kucukcolak, 2018, "Market Efficiency and Risk Premium in the Turkish Wholesale Electricity Market," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 5, pages 76-88.
• Dolores Furio & Javier Poblacion, 2018, "Electricity and Natural Gas Prices Sharing the Long-term Trend: Some Evidence from the Spanish Market," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 5, pages 173-180.
• Bohl, Martin T. & Siklos, Pierre L. & Wellenreuther, Claudia, 2018, "Speculative activity and returns volatility of Chinese agricultural commodity futures," Journal of Asian Economics, Elsevier, volume 54, issue C, pages 69-91, DOI: 10.1016/j.asieco.2017.12.003.
• Han, Xingyu, 2018, "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, volume 112, issue C, pages 103-115, DOI: 10.1016/j.chaos.2018.04.042.
• Shibata, Takashi & Nishihara, Michi, 2018, "Investment timing, reversibility, and financing constraints," Journal of Corporate Finance, Elsevier, volume 48, issue C, pages 771-796, DOI: 10.1016/j.jcorpfin.2017.12.024.
• Nishihara, Michi & Shibata, Takashi, 2018, "Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders," Journal of Economic Dynamics and Control, Elsevier, volume 90, issue C, pages 118-137, DOI: 10.1016/j.jedc.2018.02.006.
• Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018, "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, volume 92, issue C, pages 1-29, DOI: 10.1016/j.jedc.2018.04.002.
• Nazliben, K. Korhan & Rodríguez, Juan Carlos, 2018, "Permanent shocks, signal extraction, and portfolio selection," Journal of Economic Dynamics and Control, Elsevier, volume 92, issue C, pages 47-68, DOI: 10.1016/j.jedc.2018.04.005.
• Ruan, Xinfeng & Zhang, Jin E., 2018, "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, volume 96, issue C, pages 42-60, DOI: 10.1016/j.jedc.2018.08.011.
• Niroomand, Naghmeh & Jenkins, Glenn P., 2018, "A comparison of stated preference methods for the valuation of improvement in road safety," Economic Analysis and Policy, Elsevier, volume 59, issue C, pages 138-149, DOI: 10.1016/j.eap.2018.06.006.
• McNevin, Bruce D. & Nix, Joan, 2018, "The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors," Economic Modelling, Elsevier, volume 68, issue C, pages 570-585, DOI: 10.1016/j.econmod.2017.03.024.
• Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018, "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, volume 72, issue C, pages 140-150, DOI: 10.1016/j.econmod.2018.01.015.
• Tsuji, Chikashi, 2018, "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, volume 74, issue C, pages 167-185, DOI: 10.1016/j.econmod.2018.05.007.
• Chen, Wei-Peng & Ling Lin, Shu & Lu, Jun & Wu, Chih-Chiang, 2018, "The impact of funding liquidity on market quality," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 153-166, DOI: 10.1016/j.najef.2017.12.002.
• Marcato, Gianluca & Sebehela, Tumellano & Campani, Carlos Heitor, 2018, "Volatility smiles when information is lagged in prices," The North American Journal of Economics and Finance, Elsevier, volume 46, issue C, pages 151-165, DOI: 10.1016/j.najef.2018.03.004.
• Ruddell, Keith & Downward, Anthony & Philpott, Andy, 2018, "Market power and forward prices," Economics Letters, Elsevier, volume 166, issue C, pages 6-9, DOI: 10.1016/j.econlet.2018.02.016.
• Akyildirim, Erdinc & Nguyen, Duc Khuong & Sensoy, Ahmet, 2018, "A tale of two risks in the EMU sovereign debt markets," Economics Letters, Elsevier, volume 172, issue C, pages 102-106, DOI: 10.1016/j.econlet.2018.08.042.
• Galai, Dan & Wiener, Zvi, 2018, "Dividend policy relevance in a levered firm—The binomial case," Economics Letters, Elsevier, volume 172, issue C, pages 78-80, DOI: 10.1016/j.econlet.2018.08.021.
• Amengual, Dante & Xiu, Dacheng, 2018, "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 297-315, DOI: 10.1016/j.jeconom.2017.12.003.
• Miao, Hong & Ramchander, Sanjay & Ryan, Patricia & Wang, Tianyang, 2018, "Default prediction models: The role of forward-looking measures of returns and volatility," Journal of Empirical Finance, Elsevier, volume 46, issue C, pages 146-162, DOI: 10.1016/j.jempfin.2018.01.001.
• Junttila, Juha & Myllymäki, Valtteri & Raatikainen, Juhani, 2018, "Pricing of electricity futures based on locational price differences: The case of Finland," Energy Economics, Elsevier, volume 71, issue C, pages 222-237, DOI: 10.1016/j.eneco.2018.02.018.
• Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2018, "Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices," Energy Economics, Elsevier, volume 72, issue C, pages 486-504, DOI: 10.1016/j.eneco.2018.04.005.
• Ruan, Xinfeng & Zhang, Jin E., 2018, "Risk-neutral moments in the crude oil market," Energy Economics, Elsevier, volume 72, issue C, pages 583-600, DOI: 10.1016/j.eneco.2018.04.026.
• Gong, Xu & Lin, Boqiang, 2018, "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, volume 74, issue C, pages 370-386, DOI: 10.1016/j.eneco.2018.06.005.
• Aliakbari, Elmira & McKitrick, Ross, 2018, "Information aggregation in a prediction market for climate outcomes," Energy Economics, Elsevier, volume 74, issue C, pages 97-106, DOI: 10.1016/j.eneco.2018.06.002.
• Alasseur, C. & Féron, O., 2018, "Structural price model for coupled electricity markets," Energy Economics, Elsevier, volume 75, issue C, pages 104-119, DOI: 10.1016/j.eneco.2018.07.018.
• Liu, Li & Wang, Yudong & Yang, Li, 2018, "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, volume 75, issue C, pages 193-205, DOI: 10.1016/j.eneco.2018.08.010.
• Bevin-McCrimmon, Fergus & Diaz-Rainey, Ivan & McCarten, Matthew & Sise, Greg, 2018, "Liquidity and risk premia in electricity futures," Energy Economics, Elsevier, volume 75, issue C, pages 503-517, DOI: 10.1016/j.eneco.2018.09.002.
• Martínez, Beatriz & Torró, Hipòlit, 2018, "Hedging spark spread risk with futures," Energy Policy, Elsevier, volume 113, issue C, pages 731-746, DOI: 10.1016/j.enpol.2017.11.038.
• Daskalakis, George, 2018, "Temporal restrictions on emissions trading and the implications for the carbon futures market: Lessons from the EU emissions trading scheme," Energy Policy, Elsevier, volume 115, issue C, pages 88-91, DOI: 10.1016/j.enpol.2018.01.008.
• Peña, Juan Ignacio & Rodriguez, Rosa, 2018, "Default supply auctions in electricity markets: Challenges and proposals," Energy Policy, Elsevier, volume 122, issue C, pages 142-151, DOI: 10.1016/j.enpol.2018.07.031.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018, "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, volume 151, issue C, pages 984-997, DOI: 10.1016/j.energy.2018.01.017.
• Jang, Hyun Jin & Na, Young Hoon & Zheng, Harry, 2018, "Contingent convertible bonds with the default risk premium," International Review of Financial Analysis, Elsevier, volume 59, issue C, pages 77-93, DOI: 10.1016/j.irfa.2018.07.003.
• Ahmed, Shamim & Judge, Amrit & Mahmud, Syed Ehsan, 2018, "Does derivatives use reduce the cost of equity?," International Review of Financial Analysis, Elsevier, volume 60, issue C, pages 1-16, DOI: 10.1016/j.irfa.2018.09.004.
• Sensoy, Ahmet & Omole, John, 2018, "Implied volatility indices: A review and extension in the Turkish case," International Review of Financial Analysis, Elsevier, volume 60, issue C, pages 151-161, DOI: 10.1016/j.irfa.2018.08.006.
• Blazsek, Szabolcs & Carrizo, Daniela & Eskildsen, Ricardo & Gonzalez, Humberto, 2018, "Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH," Finance Research Letters, Elsevier, volume 24, issue C, pages 193-198, DOI: 10.1016/j.frl.2017.09.006.
• Jang, Bong-Gyu & Tae, Hyeon-Wuk, 2018, "Option pricing under regime switching: Integration over simplexes method," Finance Research Letters, Elsevier, volume 24, issue C, pages 301-312, DOI: 10.1016/j.frl.2017.09.021.
• Zhipeng, Yan & Shenghong, Li, 2018, "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, volume 24, issue C, pages 49-55, DOI: 10.1016/j.frl.2017.06.015.
• (Meni) Abudy, Menachem & Binsky, Hadar & Raviv, Alon, 2018, "The effect of liquidity on non-marketable securities," Finance Research Letters, Elsevier, volume 26, issue C, pages 139-144, DOI: 10.1016/j.frl.2017.12.017.
• Javadi, Siamak & Mollagholamali, Mohsen, 2018, "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, volume 26, issue C, pages 266-273, DOI: 10.1016/j.frl.2018.02.002.
• Wang, Xingchun, 2018, "Valuing executive stock options under correlated employment shocks," Finance Research Letters, Elsevier, volume 27, issue C, pages 38-45, DOI: 10.1016/j.frl.2018.02.028.
• Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018, "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, volume 35, issue C, pages 38-52, DOI: 10.1016/j.jfs.2016.10.012.
• Khan, M. Ali & Zhang, Yongchao, 2018, "On pure-strategy equilibria in games with correlated information," Games and Economic Behavior, Elsevier, volume 111, issue C, pages 289-304, DOI: 10.1016/j.geb.2017.12.006.
• Mozumder, Sharif & Choudhry, Taufiq & Dempsey, Michael, 2018, "Spectral measures of risk for international futures markets: A comparison of extreme value and Lévy models," Global Finance Journal, Elsevier, volume 37, issue C, pages 248-261, DOI: 10.1016/j.gfj.2018.07.001.
• Du, Brian & Fung, Scott, 2018, "Directional information effects of options trading: Evidence from the banking industry," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 149-168, DOI: 10.1016/j.intfin.2018.02.009.
• Pereira, John & Sorwar, Ghulam & Nurullah, Mohamed, 2018, "What drives corporate CDS spreads? A comparison across US, UK and EU firms," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 188-200, DOI: 10.1016/j.intfin.2018.02.002.
• Junttila, Juha & Pesonen, Juho & Raatikainen, Juhani, 2018, "Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 255-280, DOI: 10.1016/j.intfin.2018.01.002.
• Bettis, J. Carr & Bizjak, John & Coles, Jeffrey L. & Kalpathy, Swaminathan, 2018, "Performance-vesting provisions in executive compensation," Journal of Accounting and Economics, Elsevier, volume 66, issue 1, pages 194-221, DOI: 10.1016/j.jacceco.2018.05.001.
• Fernandez-Perez, Adrian & Frijns, Bart & Fuertes, Ana-Maria & Miffre, Joelle, 2018, "The skewness of commodity futures returns," Journal of Banking & Finance, Elsevier, volume 86, issue C, pages 143-158, DOI: 10.1016/j.jbankfin.2017.06.015.
• Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018, "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, volume 87, issue C, pages 369-379, DOI: 10.1016/j.jbankfin.2017.10.017.
• Tarsalewska, Monika, 2018, "Buyouts under the threat of preemption," Journal of Banking & Finance, Elsevier, volume 89, issue C, pages 39-58, DOI: 10.1016/j.jbankfin.2018.01.012.
• Jeanneret, Alexandre, 2018, "Sovereign credit spreads under good/bad governance," Journal of Banking & Finance, Elsevier, volume 93, issue C, pages 230-246, DOI: 10.1016/j.jbankfin.2018.04.005.
• Casassus, Jaime & Collin-Dufresne, Pierre & Routledge, Bryan R., 2018, "Equilibrium commodity prices with irreversible investment and non-linear technologies," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 128-147, DOI: 10.1016/j.jbankfin.2018.04.001.
• Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018, "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 148-166, DOI: 10.1016/j.jbankfin.2017.05.012.
• Schneider, Lorenz & Tavin, Bertrand, 2018, "From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 185-202, DOI: 10.1016/j.jbankfin.2016.12.001.
• Frino, Alex & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2018, "The impact of commodity benchmarks on derivatives markets: The case of the dated Brent assessment and Brent futures," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 27-43, DOI: 10.1016/j.jbankfin.2017.08.017.
• Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018, "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 44-63, DOI: 10.1016/j.jbankfin.2017.10.007.
• Christoffersen, Peter & Pan, Xuhui (Nick), 2018, "Oil volatility risk and expected stock returns," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 5-26, DOI: 10.1016/j.jbankfin.2017.07.004.
• Li, Bingxin, 2018, "Speculation, risk aversion, and risk premiums in the crude oil market," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 64-81, DOI: 10.1016/j.jbankfin.2018.06.002.
• Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018, "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 82-96, DOI: 10.1016/j.jbankfin.2017.06.001.
• Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018, "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, volume 96, issue C, pages 185-206, DOI: 10.1016/j.jbankfin.2018.08.010.
• Hain, Martin & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2018, "Managing renewable energy production risk," Journal of Banking & Finance, Elsevier, volume 97, issue C, pages 1-19, DOI: 10.1016/j.jbankfin.2018.09.001.
• Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2018, "What makes individual investors exercise early? Empirical evidence from non-tradable fixed-income products," Journal of Banking & Finance, Elsevier, volume 97, issue C, pages 318-334, DOI: 10.1016/j.jbankfin.2018.10.011.
• Li, Xindan & Subrahmanyam, Avanidhar & Yang, Xuewei, 2018, "Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market," Journal of Financial Economics, Elsevier, volume 128, issue 1, pages 38-65, DOI: 10.1016/j.jfineco.2018.01.010.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018, "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, volume 129, issue 1, pages 1-23, DOI: 10.1016/j.jfineco.2018.04.005.
• Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2018, "Corporate debt maturity profiles," Journal of Financial Economics, Elsevier, volume 130, issue 3, pages 484-502, DOI: 10.1016/j.jfineco.2018.07.009.
• Martynova, Natalya & Perotti, Enrico, 2018, "Convertible bonds and bank risk-taking," Journal of Financial Intermediation, Elsevier, volume 35, issue PB, pages 61-80, DOI: 10.1016/j.jfi.2018.01.002.
• Gimeno, Ricardo & Ibáñez, Alfredo, 2018, "The eurozone (expected) inflation: An option's eyes view," Journal of International Money and Finance, Elsevier, volume 86, issue C, pages 70-92, DOI: 10.1016/j.jimonfin.2018.03.018.
• Bakas, Dimitrios & Triantafyllou, Athanasios, 2018, "The impact of uncertainty shocks on the volatility of commodity prices," Journal of International Money and Finance, Elsevier, volume 87, issue C, pages 96-111, DOI: 10.1016/j.jimonfin.2018.06.001.
• Main, Scott & Irwin, Scott H. & Sanders, Dwight R. & Smith, Aaron, 2018, "Financialization and the returns to commodity investments," Journal of Commodity Markets, Elsevier, volume 10, issue C, pages 22-28, DOI: 10.1016/j.jcomm.2018.05.004.
• Haase, Marco & Huss, Matthias, 2018, "Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures," Journal of Commodity Markets, Elsevier, volume 10, issue C, pages 29-46, DOI: 10.1016/j.jcomm.2017.10.001.
• Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018, "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, volume 10, issue C, pages 3-21, DOI: 10.1016/j.jcomm.2017.06.001.
• Spencer, Simon & Bredin, Don & Conlon, Thomas, 2018, "Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets," Journal of Commodity Markets, Elsevier, volume 9, issue C, pages 1-20, DOI: 10.1016/j.jcomm.2017.12.001.
• Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2018, "Latent jump diffusion factor estimation for commodity futures," Journal of Commodity Markets, Elsevier, volume 9, issue C, pages 35-54, DOI: 10.1016/j.jcomm.2018.01.001.
• Fizaine, Florian, 2018, "Toward generalization of futures contracts for raw materials: A probabilistic answer applied to metal markets," Resources Policy, Elsevier, volume 59, issue C, pages 379-388, DOI: 10.1016/j.resourpol.2018.08.010.
• Choi, Jaewon & Kim, Yongjun, 2018, "Anomalies and market (dis)integration," Journal of Monetary Economics, Elsevier, volume 100, issue C, pages 16-34, DOI: 10.1016/j.jmoneco.2018.06.003.
• Bahloul, Walid & Balcilar, Mehmet & Cunado, Juncal & Gupta, Rangan, 2018, "The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test," Journal of Multinational Financial Management, Elsevier, volume 45, issue C, pages 52-71, DOI: 10.1016/j.mulfin.2018.04.002.
• Su, Fei & Zhang, Jingjing, 2018, "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, volume 48, issue C, pages 35-55, DOI: 10.1016/j.pacfin.2018.01.002.
• Zhong, Angel, 2018, "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, volume 50, issue C, pages 105-125, DOI: 10.1016/j.pacfin.2017.06.010.
• Pan, Zheyao & Chan, Kam Fong, 2018, "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, volume 50, issue C, pages 200-215, DOI: 10.1016/j.pacfin.2016.12.007.
• Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2018, "Testing CEV stochastic volatility models using implied volatility index data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 499, issue C, pages 224-232, DOI: 10.1016/j.physa.2018.02.001.
• Carvalho, Augusto & Guimaraes, Bernardo, 2018, "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Journal of Public Economics, Elsevier, volume 159, issue C, pages 66-78, DOI: 10.1016/j.jpubeco.2018.02.002.
• Markellos, Raphael N. & Psychoyios, Dimitris, 2018, "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 190-202, DOI: 10.1016/j.qref.2017.08.005.
• Jou, Jyh-Bang, 2018, "R&D investment and patent renewal decisions," The Quarterly Review of Economics and Finance, Elsevier, volume 69, issue C, pages 144-154, DOI: 10.1016/j.qref.2017.12.005.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018, "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, volume 81, issue P1, pages 1002-1018, DOI: 10.1016/j.rser.2017.07.024.
• Lee, Sunghoon & Burris, Mark W., 2018, "Estimating the Option Value of managed lanes," Research in Transportation Economics, Elsevier, volume 70, issue C, pages 28-36, DOI: 10.1016/j.retrec.2018.07.016.
• Tian, Yuan, 2018, "Optimal policy for attracting FDI: Investment cost subsidy versus tax rate reduction," International Review of Economics & Finance, Elsevier, volume 53, issue C, pages 151-159, DOI: 10.1016/j.iref.2017.10.018.
• Ming, Lei & Yang, Shenggang & Song, Dandan, 2018, "Valuation and analysis of performance sensitive debt with contingent convertibility," International Review of Economics & Finance, Elsevier, volume 53, issue C, pages 98-108, DOI: 10.1016/j.iref.2017.10.014.
• Hong, Hui & Sung, Hao-Chang & Yang, Jingjing, 2018, "On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions," International Review of Economics & Finance, Elsevier, volume 55, issue C, pages 295-307, DOI: 10.1016/j.iref.2017.07.012.
• Jitmaneeroj, Boonlert, 2018, "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, volume 58, issue C, pages 282-298, DOI: 10.1016/j.iref.2018.03.027.
• Martínez, Beatriz & Torró, Hipòlit, 2018, "Analysis of risk premium in UK natural gas futures," International Review of Economics & Finance, Elsevier, volume 58, issue C, pages 621-636, DOI: 10.1016/j.iref.2018.07.004.
• Arnold, Ivo J.M. & Soederhuizen, Beau, 2018, "Bank stability and refinancing operations during the crisis: Which way causality?," Research in International Business and Finance, Elsevier, volume 43, issue C, pages 79-89, DOI: 10.1016/j.ribaf.2017.07.122.
• Aboura, Sofiane & Chevallier, Julien, 2018, "Tail risk and the return-volatility relation," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 16-29, DOI: 10.1016/j.ribaf.2016.07.036.
• Fassas, Athanasios P. & Papadamou, Stephanos, 2018, "Variance risk premium and equity returns," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 462-470, DOI: 10.1016/j.ribaf.2018.06.003.
• Kumar, Satish, 2018, "Price discovery in emerging currency markets," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 528-536, DOI: 10.1016/j.ribaf.2018.07.001.
• Gavriilidis, Konstantinos & Kambouroudis, Dimos S. & Tsakou, Katerina & Tsouknidis, Dimitris A., 2018, "Volatility forecasting across tanker freight rates: The role of oil price shocks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 118, issue C, pages 376-391, DOI: 10.1016/j.tre.2018.08.012.
• Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018, "Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-06, Jan.
• A. Can Inci, 2018, "Cointegration and causality in capital markets," Journal of Capital Markets Studies, Emerald Group Publishing Limited, volume 2, issue 1, pages 82-94, June, DOI: 10.1108/JCMS-03-2018-0009.
• Jaskowski, M. & McAleer, M.J., 2018, "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 208-34, Aug.
• Vasile BRÄ‚TIAN, 2018, "Evaluation of Options using the Monte Carlo Method and the Entropy of Information," Expert Journal of Economics, Sprint Investify, volume 6, issue 2, pages 35-43.
• Hipòlit Torró, 2018, "The Response of European Energy Prices to ECB Monetary Policy," Working Papers, Fondazione Eni Enrico Mattei, number 2018.09, Mar.
• Jianjun Miao & Bin Wei & Hao Zhou, 2018, "Ambiguity Aversion and Variance Premium," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2018-14, Dec, DOI: 10.29338/wp2018-14.
• Nina Boyarchenko & Pooja Gupta & Nick Steele & Jacqueline Yen, 2018, "Negative swap spreads," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 1-14.
• Nina Boyarchenko & Pooja Gupta & Nick Steele & Jacqueline Yen, 2018, "Trends in credit basis spreads," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 15-37.
• Peter Van Tassel, 2018, "Equity Volatility Term Premia," Staff Reports, Federal Reserve Bank of New York, number 867, Sep.
• Adrian Fernandez-Perez & Bart Frijns & Ana-Maria Fuertes & Joelle Miffre, 2018, "The skewness of commodity futures returns," Post-Print, HAL, number hal-01678744, DOI: 10.1016/j.jbankfin.2017.06.015.
• Jamal Bouoiyour & Refk Selmi, 2018, "Are BRICs Markets equally exposed to Trump’s agenda," Post-Print, HAL, number hal-01879666, DOI: 10.11130/jei.2018.33.2.1203.
• Florian Fizaine, 2018, "Toward generalization of futures contracts for raw materials: A probabilistic answer applied to metal markets," Post-Print, HAL, number halshs-01957410.
• David Lee, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers, HAL, number hal-01758922, Apr.

2017

• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017, "Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-10, Mar.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017, "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-15, Apr.
• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017, "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-21, May.
• Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017, "The TIPS Liquidity Premium," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-27, Aug.
• Ayben Koy & Güldenur Çetin & İhsan Ersan, 2017, "Regime Dynamics of International Precious Metal Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 32, issue 107, pages 26-40, April, DOI: https://doi.org/10.33203/mfy.307172.
• Sims, Eric N. & Quintanar, Sarah, 2017, "Analyzing Barrel Purchasing Decisions on Winery Costs," Working Papers, American Association of Wine Economists, number 253849, Feb, DOI: 10.22004/ag.econ.253849.
• Juárez-Torres, Miriam & Sánchez-Aragón, Leonardo & Vedenov, Dmitry, None, "Weather Derivatives and Water Management in Developing Countries: An Application for an Irrigation District in Central Mexico," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, volume 42, issue 2, DOI: 10.22004/ag.econ.257995.
• Stanimir Kabaivanov & Veneta Markovska, 2017, "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 64, issue 4, pages 423-430, December.
• Stanimir Kabaivanov & Veneta Markovska, 2017, "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 64, issue 4, pages 423-430, December, DOI: 10.1515/saeb-2017-0031.
• John E. Parsons, 2017, "The Fundamentals Underlying Oil and Natural Gas Derivative Markets," Annual Review of Financial Economics, Annual Reviews, volume 9, issue 1, pages 283-300, November, DOI: 10.1146/annurev-financial-110716-03.