Research classified by Journal of Economic Literature (JEL) codes

2018

• Erdinc Akyildirim & Duc Khuong Nguyen & Ahmet Sensoy, 2018, "A Tale of Two Risks in the EMU Sovereign Debt Markets," Working Papers, Department of Research, Ipag Business School, number 2018-004, Jan.
• Ming-Chang Wang & Yu-Jia Ding & Pei-Han Hsin, 2018, "Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 14, issue 2, pages 191-216, August.
• Magdalena Grothe & Aidan Meyler, 2018, "Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, volume 9, issue 1, pages 171-188, January, DOI: 10.5430/ijfr.v9n1p171.
• Vladislav Krasin & Ivan Smirnov & Alexander Melnikov, 2018, "Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes," Annals of Finance, Springer, volume 14, issue 2, pages 195-209, May, DOI: 10.1007/s10436-017-0309-9.
• Dilip B. Madan, 2018, "Financial equilibrium with non-linear valuations," Annals of Finance, Springer, volume 14, issue 2, pages 211-221, May, DOI: 10.1007/s10436-017-0312-1.
• Nikolai Dokuchaev, 2018, "On the implied market price of risk under the stochastic numéraire," Annals of Finance, Springer, volume 14, issue 2, pages 223-251, May, DOI: 10.1007/s10436-017-0315-y.
• Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018, "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, volume 14, issue 3, pages 289-329, August, DOI: 10.1007/s10436-017-0317-9.
• Josselin Garnier & Knut Sølna, 2018, "Option pricing under fast-varying and rough stochastic volatility," Annals of Finance, Springer, volume 14, issue 4, pages 489-516, November, DOI: 10.1007/s10436-018-0325-4.
• Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli, 2018, "Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 3, pages 379-406, March, DOI: 10.1007/s10614-016-9608-x.
• Seraina C. Anagnostopoulou & Aikaterini C. Ferentinou & Panagiotis A. Tsaousis & Andrianos E. Tsekrekos, 2018, "The Options Market Reaction to Bank Loan Announcements," Journal of Financial Services Research, Springer;Western Finance Association, volume 53, issue 1, pages 99-139, February, DOI: 10.1007/s10693-016-0243-4.
• Arzu Uluc, 2018, "Stabilising House Prices: the Role of Housing Futures Trading," The Journal of Real Estate Finance and Economics, Springer, volume 56, issue 4, pages 587-621, May, DOI: 10.1007/s11146-017-9606-3.
• Marcos Escobar & Christoph Gschnaidtner, 2018, "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, volume 21, issue 1, pages 1-43, April, DOI: 10.1007/s11147-017-9132-8.
• Sung Ik Kim & Young Shin Kim, 2018, "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, volume 21, issue 1, pages 119-148, April, DOI: 10.1007/s11147-017-9135-5.
• Felix Brinkmann & Olaf Korn, 2018, "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, volume 21, issue 2, pages 149-173, July, DOI: 10.1007/s11147-017-9136-4.
• Johannes Gerer & Gregor Dorfleitner, 2018, "Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions," Review of Derivatives Research, Springer, volume 21, issue 2, pages 175-199, July, DOI: 10.1007/s11147-017-9137-3.
• Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018, "The pricing kernel puzzle in forward looking data," Review of Derivatives Research, Springer, volume 21, issue 3, pages 253-276, October, DOI: 10.1007/s11147-017-9140-8.
• Matthias R. Fengler & Alexander Melnikov, 2018, "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, volume 21, issue 3, pages 277-305, October, DOI: 10.1007/s11147-017-9141-7.
• Robert Jarrow & Scott Fung & Shih-Chuan Tsai, 2018, "An empirical investigation of large trader market manipulation in derivatives markets," Review of Derivatives Research, Springer, volume 21, issue 3, pages 331-374, October, DOI: 10.1007/s11147-018-9143-0.
• Nan Hu & Ling Liu & Lu Zhu, 2018, "Credit default swap spreads and annual report readability," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 2, pages 591-621, February, DOI: 10.1007/s11156-017-0639-8.
• Boros, Péter, 2018, "A hitelértékelési kiigazítás tőketartalékolásának új szabályozása
  [New regulation of the Credit Valuation Adjustment for capital reserves]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 161-184, DOI: 10.18414/KSZ.2018.2.161.
• Dömötör, Barbara & Bihary, Zsolt, 2018, "Menedzserösztönzők hatása a vállalati fedezésre
  [Manager incentives-based model of corporate hedging]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 701-710, DOI: 10.18414/KSZ.2018.7-8.701.
• Chiaki Hara, 2018, "Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1005, Oct.
• Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018, "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers, University of Liverpool, Department of Economics, number 20183, Aug.
• Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018, "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1807.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The Risk-Asymmetry Index as a new Measure of Risk," Multinational Finance Journal, Multinational Finance Journal, volume 22, issue 3-4, pages 173-210, September.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The use of option prices in order to evaluate the skewness risk premium," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0132, Sep.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The properties of a skewness index and its relation with volatility and returns," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0133, Sep.
• Isabel Casas & Jiti Gao & Shangyu Xie, 2018, "Modelling time-varying income elasticities of health care expenditure for the OECD," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/18.
• Juliusz Jabłecki, 2018, "Instrumenty zabezpieczone obligacjami skarbowymi: próba wyceny i analizy ryzyka," Bank i Kredyt, Narodowy Bank Polski, volume 49, issue 4, pages 379-404.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2018, "The True Cost of Social Security," NBER Chapters, National Bureau of Economic Research, Inc, "Tax Policy and the Economy, Volume 33".
• Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018, "Corporate Credit Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 24213, Jan.
• Matthias Fleckenstein & Francis A. Longstaff, 2018, "Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 24224, Jan.
• George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018, "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 24575, May.
• Jose Pizarro & Eduardo S. Schwartz, 2018, "The Valuation of Fisheries Rights: A Real Options Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 25140, Oct.
• Dimitrios Bakas & Athanasios Triantafyllou, 2018, "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2018/02, Jan.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org, Center for Open Science, number 5uxef, Jun, DOI: 10.31219/osf.io/5uxef.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv, Center for Open Science, number 5hf4b, Jun, DOI: 10.31219/osf.io/5hf4b.
• Xiao, Tim, 2018, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv, Center for Open Science, number ds7zj, Aug, DOI: 10.31219/osf.io/ds7zj.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv, Center for Open Science, number kzbxf, Jun, DOI: 10.31219/osf.io/kzbxf.
• Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018, "A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 3, pages 425-460.
• Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018, "Corporate Credit Risk Premia
  [Fallen angels and price pressure]," Review of Finance, European Finance Association, volume 22, issue 2, pages 419-454.
• Deniz Anginer & Çelim Yıldızhan, 2018, "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns
  [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, volume 22, issue 2, pages 633-660.
• Andreas Kaeck, 2018, "Variance-of-Variance Risk Premium," Review of Finance, European Finance Association, volume 22, issue 4, pages 1549-1579.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2018, "The Factor Structure in Equity Options," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 595-637.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 1132-1183.
• Cangoz, Mehmet Coskun & Boitreaud, Sebastien & Dychala, Christopher Benjamin, 2018, "How Do Countries Use an Asset and Liability Management Approach? A Survey on Sovereign Balance Sheet Management," MPRA Paper, University Library of Munich, Germany, number 100309, Oct.
• White, Alan, 2018, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 85331, Mar.
• Lee, David, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper, University Library of Munich, Germany, number 85575, Mar.
• Sonntag, Dominik, 2018, "Die Theorie der fairen geometrischen Rendite
  [The Theory of Fair Geometric Returns]," MPRA Paper, University Library of Munich, Germany, number 87082, May.
• Ferriani, Fabrizio & Natoli, Filippo & Veronese, Giovanni & Zeni, Federica, 2018, "Futures risk premia in the era of shale oil," MPRA Paper, University Library of Munich, Germany, number 89097, Aug.
• Singh, Ritvik & Gangwar, Rachna, 2018, "A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 89689, Sep.
• Cifarelli, Giulio & Paesani, Paolo, 2018, "Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing," MPRA Paper, University Library of Munich, Germany, number 90470, Dec.
• Tumasyan, Hovik, 2018, "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," MPRA Paper, University Library of Munich, Germany, number 90806, Dec.
• He, Qing & Gan, Jingyun & Wang, Shuwan & Chong, Terence Tai Leung, 2018, "The Effects of Trading Suspensions in China," MPRA Paper, University Library of Munich, Germany, number 92037, Jan.
• Nizar, Muhammad Afdi, 2018, "Kontroversi Mata Uang Digital
  [The Controversies of Digital Currency]," MPRA Paper, University Library of Munich, Germany, number 97940, Nov.
• Elie Bouri & Rangan Gupta & David Roubaud, 2018, "Herding Behaviour in the Cryptocurrency Market," Working Papers, University of Pretoria, Department of Economics, number 201834, Jun.
• Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018, "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers, Queen Mary University of London, School of Economics and Finance, number 850, Jan.
• Konstantinos Gkionis & Alexandros Kostakis & George Skiadopoulos & Przemyslaw S. Stilger, 2018, "Positive Stock Information In Out-Of-The-Money Option Prices," Working Papers, Queen Mary University of London, School of Economics and Finance, number 859, May.
• Kazuhiro Hiraki & George Skiadopoulos, 2018, "The Contribution of Frictions to Expected Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 874, Oct.
• Mohamed-Ali Akari & Ramzi Ben-Abdallah & Michèle Breton & Georges Dionne, 2018, "The impact of central clearing on the market for single-name credit default swaps," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 18-1, Apr.
• Jamal Bouoiyour & Refk Selmi, 2018, "Are BRICS Markets Equally Exposed to Trump’s Agenda?," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 33, issue 2, pages 1203-1233.
• Kiran Kumar Kotha, 2018, "Mis-pricing in Single Stock Futures: Evidence from National Stock Exchange of India," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 7310288, Nov.
• Marcin Dec, 2018, "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis, number 2018-038, Jun, DOI: 10.33119/kaewps2018038.
• Marcin Dec, 2018, "On the trade-offs in money market benchmarks' stabilisation," KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis, number 2018-039, Aug, DOI: 10.33119/kaewps2018039.
• Sophie van Huellen, 2018, "Too Much of a Good Thing? Speculative Effects on Commodity Futures Curves," Working Papers, Department of Economics, SOAS University of London, UK, number 211, Jul.
• Sophie van Huellen, 2018, "Price Discovery in Commodity Futures and Cash Markets with Heterogenous Agents," Working Papers, Department of Economics, SOAS University of London, UK, number 213, Nov.
• Hamza Bahaji, 2018, "Are employee stock option exercise decisions better explained through the prospect theory?," Annals of Operations Research, Springer, volume 262, issue 2, pages 335-359, March, DOI: 10.1007/s10479-016-2127-2.
• Marco Nicolosi, 2018, "Optimal strategy for a fund manager with option compensation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 41, issue 1, pages 1-17, May, DOI: 10.1007/s10203-017-0204-x.
• Hirbod Assa & Nikolay Gospodinov, 2018, "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 41, issue 1, pages 65-90, May, DOI: 10.1007/s10203-018-0207-2.
• Luca Vincenzo Ballestra, 2018, "Fast and accurate calculation of American option prices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 41, issue 2, pages 399-426, November, DOI: 10.1007/s10203-018-0224-1.
• Xiaojie Xu, 2018, "Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis," Empirical Economics, Springer, volume 54, issue 3, pages 1267-1295, May, DOI: 10.1007/s00181-017-1245-2.
• Masaaki Fukasawa & Mitja Stadje, 2018, "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, volume 22, issue 2, pages 417-442, April, DOI: 10.1007/s00780-017-0352-4.
• 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.
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• 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.
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• Paola Pederzoli, 2018, "Crash Risk in Individual Stocks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-31, Mar, revised May 2018.
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• 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.
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• 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.
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