Research classified by Journal of Economic Literature (JEL) codes

2017

• Mohd Aminul Islam, 2017, "An Empirical Evaluation of Hedging Effectiveness of Crude Palm Oil Futures Market in Malaysia," International Journal of Economics and Financial Research, Academic Research Publishing Group, volume 3, issue 11, pages 303-314, 11-2017.
• Dietmar Leisen & Eckhard Platen, 2017, "Investing for the Long Run," Papers, arXiv.org, number 1705.03929, May.
• Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017, "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers, arXiv.org, number 1712.03566, Dec.
• Andrea Paltrinieri & Enrico Geretto & Maurizio Polato, 2017, "Volatility Exchange Traded Notes: a case study," BANCARIA, Bancaria Editrice, volume 12, pages 64-72, December.
• David Nickerson & Robert Jones, 2017, "Collateral Risk and Demographic Discrimination in Mortgage Market Equilibria," Review of Economics & Finance, Better Advances Press, Canada, volume 9, pages 13-28, August.
• Rodrigo Hernandez & Yingying Shao & Pu Liu, 2017, "Leverage Certificates - A Case of Innovative Financial Engineering," Review of Economics & Finance, Better Advances Press, Canada, volume 9, pages 71-82, August.
• Reinhard Ellwanger, 2017, "On the Tail Risk Premium in the Oil Market," Staff Working Papers, Bank of Canada, number 17-46, DOI: 10.34989/swp-2017-46.
• Ricardo Gimeno & Alfredo Ibáñez, 2017, "The eurozone (expected) inflation: an option’s eyes view," Working Papers, Banco de España, number 1722, Jun.
• Filippo Natoli & Laura Sigalotti, 2017, "An indicator of inflation expectations anchoring," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1103, Feb.
• Jian Li & Chongguang Li & Jean-Paul Chavas, 2017, "Food Price Bubbles and Government Intervention: Is China Different?," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, volume 65, issue 1, pages 135-157, March.
• BRATIAN Vasile, 2017, "Options Evaluation Using Monte Carlo Simulation," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 69, issue 4, pages 30-42, November.
• Melanie Houllier & David Murphy, 2017, "Borderline: judging the adequacy of return distribution estimation techniques in initial margin models," Bank of England working papers, Bank of England, number 673, Sep.
• Evangelia Kasimati & Nikolaos Veraros, 2017, "Is there accuracy of forward freight agreements in forecasting future freight rates? An empirical investigation," Working Papers, Bank of Greece, number 230, Jun.
• Jędrzej Białkowski & Jan Koeman, 2017, "Does the Design of Spot Markets Matter for the Success of Futures Markets? Evidence from Dairy Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 17/18, Dec.
• Raushan Kumar, 2017, "Price Discovery in Some Primary Commodity Markets in India," Working papers, Centre for Development Economics, Delhi School of Economics, number 276, Jun.
• Marcus Miller & Lei Zhang & Songklod Rastapana, 2017, "Subprime assets and financial crisis: theory, policy and the law," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 340.
• Erwan Morellec & Alexei Zhdanov, 2017, "Product Market Competition and Option Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-07, Feb.
• Sascha KOLARIC & Florian KIESEL & Steven ONGENA, 2017, "Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-09, Mar.
• Thorsten Hens & Terje Lensberg & Klaus Reiner Schenk-Hoppé, 2017, "Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-10, Mar, revised Sep 2017.
• Damir Filipović & Martin Larsson & Francesco Statti, 2017, "Unspanned Stochastic Volatility in the Multi-Factor CIR Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-16, May, revised Apr 2018.
• Martin Schweizer & Danijel Zivoi & Mario Sikic, 2017, "Dynamic Mean-Variance Optimisation Problems with Deterministic Information," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-29, Oct, revised Feb 2018.
• Damien Ackerer & Damir Filipović, 2017, "Option Pricing with Orthogonal Polynomial Expansions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-41, Nov.
• Damir Filipović & Sander Willems, 2017, "A Term Structure Model for Dividends and Interest Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-52, Aug.
• Damir Filipović & Martin Larsson, 2017, "Polynomial Jump-Diffusion Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-60, Nov.
• Ricardo Crisóstomo, 2017, "Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Ricardo Crisóstomo & Lorena Couso, 2017, "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Carlos Andrés Barrera Montoya & Belky Esperanza Guti�rrez Casta�eda, 2017, "Riesgo idiosincrático y retornos en el mercado accionario de Colombia," Borradores Departamento de Economía, Universidad de Antioquia, CIE, number 17495, Jan.
• Zechner, Josef & Choi, Jaewon & Hackbarth, Dirk, 2017, "Corporate Debt Maturity Profiles," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12289, Sep.
• Christian Gross, 2017, "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6317, Jul.
• Cyr, Don & Kwong, Lester & Sun, Ling, 2017, "An Examination of Tail Dependence in Bordeaux Futures Prices and Parker Ratings," Journal of Wine Economics, Cambridge University Press, volume 12, issue 3, pages 252-266, August.
• Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017, "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2114, Dec.
• Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017, "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2116, Dec.
• Xinyu WU & Senchun REN & Hailin ZHOU, 2017, "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 51, issue 4, pages 263-278.
• Michael Hachula & Malte Rieth, 2017, "Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1646.
• Natoli, Filippo & Sigalotti, Laura, 2017, "A new indicator of inflation expectations anchoring," Working Paper Series, European Central Bank, number 1996, Jan.
• Natoli, Filippo & Sigalotti, Laura, 2017, "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series, European Central Bank, number 1997, Jan.
• Seidler, Jakub & Konečný, Tomáš & Belyaeva, Aelita & Belyaev, Konstantin, 2017, "The time dimension of the links between loss given default and the macroeconomy," Working Paper Series, European Central Bank, number 2037, Mar.
• Bao, Jack & Hou, Kewei, 2017, "De Facto Seniority, Credit Risk, and Corporate Bond Prices," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-17, Sep.
• Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017, "Corporate Credit Risk Premia," Research Papers, Stanford University, Graduate School of Business, number repec:ecl:stabus:3617, Nov.
• Muhammad Sofjan, 2017, "The Effect of Liberalization on Export-import in Indonesia," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 672-676.
• Samih Antoine Azar, 2017, "Risk-free Yields, Risk Aversion, and Volatility," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 3, pages 105-112.
• He, Xin-Jiang & Zhu, Song-Ping, 2017, "How should a local regime-switching model be calibrated?," Journal of Economic Dynamics and Control, Elsevier, volume 78, issue C, pages 149-163, DOI: 10.1016/j.jedc.2017.03.005.
• Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017, "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, volume 82, issue C, pages 312-330, DOI: 10.1016/j.jedc.2017.06.007.
• Yang, Nian & Chen, Nan & Liu, Yanchu & Wan, Xiangwei, 2017, "Approximate arbitrage-free option pricing under the SABR model," Journal of Economic Dynamics and Control, Elsevier, volume 83, issue C, pages 198-214, DOI: 10.1016/j.jedc.2017.08.004.
• Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017, "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, volume 85, issue C, pages 59-89, DOI: 10.1016/j.jedc.2017.09.008.
• Wei, Yu & Cao, Yang, 2017, "Forecasting house prices using dynamic model averaging approach: Evidence from China," Economic Modelling, Elsevier, volume 61, issue C, pages 147-155, DOI: 10.1016/j.econmod.2016.12.002.
• Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017, "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, volume 64, issue C, pages 295-301, DOI: 10.1016/j.econmod.2017.04.009.
• Ryu, Doojin & Yang, Heejin, 2017, "Price disagreements and adjustments in index derivatives markets," Economics Letters, Elsevier, volume 151, issue C, pages 104-106, DOI: 10.1016/j.econlet.2016.12.016.
• Chaudhury, Mo, 2017, "Volatility and expected option returns: A note," Economics Letters, Elsevier, volume 152, issue C, pages 1-4, DOI: 10.1016/j.econlet.2016.12.014.
• Realdon, Marco & Boonyanet, Wachira, 2017, "Linear–quadratic term structure models for negative euro area yields," Economics Letters, Elsevier, volume 155, issue C, pages 149-153, DOI: 10.1016/j.econlet.2017.03.029.
• Plante, Michael & Dhaliwal, Navi, 2017, "Inventory shocks and the oil–ethanol–grain price nexus," Economics Letters, Elsevier, volume 156, issue C, pages 58-60, DOI: 10.1016/j.econlet.2017.03.036.
• Marinelli, Carlo & d’Addona, Stefano, 2017, "Nonparametric estimates of pricing functionals," Journal of Empirical Finance, Elsevier, volume 44, issue C, pages 19-35, DOI: 10.1016/j.jempfin.2017.07.005.
• Ghoddusi, Hamed, 2017, "Blending under uncertainty: Real options analysis of ethanol plants and biofuels mandates," Energy Economics, Elsevier, volume 61, issue C, pages 110-120, DOI: 10.1016/j.eneco.2016.11.007.
• Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E., 2017, "Joint price and volumetric risk in wind power trading: A copula approach," Energy Economics, Elsevier, volume 62, issue C, pages 139-154, DOI: 10.1016/j.eneco.2016.11.023.
• Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017, "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, volume 63, issue C, pages 31-40, DOI: 10.1016/j.eneco.2017.01.020.
• Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J., 2017, "Generating options-implied probability densities to understand oil market events," Energy Economics, Elsevier, volume 64, issue C, pages 440-457, DOI: 10.1016/j.eneco.2016.01.006.
• Gersema, Gerke & Wozabal, David, 2017, "An equilibrium pricing model for wind power futures," Energy Economics, Elsevier, volume 65, issue C, pages 64-74, DOI: 10.1016/j.eneco.2017.04.032.
• Diaz-Rainey, Ivan & Roberts, Helen & Lont, David H., 2017, "Crude inventory accounting and speculation in the physical oil market," Energy Economics, Elsevier, volume 66, issue C, pages 508-522, DOI: 10.1016/j.eneco.2017.03.029.
• Cortazar, Gonzalo & Lopez, Matias & Naranjo, Lorenzo, 2017, "A multifactor stochastic volatility model of commodity prices," Energy Economics, Elsevier, volume 67, issue C, pages 182-201, DOI: 10.1016/j.eneco.2017.08.007.
• Da Fonseca, José & Xu, Yahua, 2017, "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, volume 67, issue C, pages 410-422, DOI: 10.1016/j.eneco.2017.08.024.
• Hess, Markus, 2017, "Modeling positive electricity prices with arithmetic jump-diffusions," Energy Economics, Elsevier, volume 67, issue C, pages 496-507, DOI: 10.1016/j.eneco.2017.08.016.
• Pircalabu, A. & Benth, F.E., 2017, "A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets," Energy Economics, Elsevier, volume 68, issue C, pages 283-302, DOI: 10.1016/j.eneco.2017.10.008.
• Tegnér, Martin & Ernstsen, Rune Ramsdal & Skajaa, Anders & Poulsen, Rolf, 2017, "Risk-minimisation in electricity markets: Fixed price, unknown consumption," Energy Economics, Elsevier, volume 68, issue C, pages 423-439, DOI: 10.1016/j.eneco.2017.10.014.
• Tunaru, Radu & Zheng, Teng, 2017, "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, volume 53, issue C, pages 80-93, DOI: 10.1016/j.irfa.2017.08.004.
• Park, Jin Suk & Shi, Yukun, 2017, "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, volume 54, issue C, pages 176-191, DOI: 10.1016/j.irfa.2016.12.001.
• Gzyl, H. & Milev, M. & Tagliani, A., 2017, "Discontinuous payoff option pricing by Mellin transform: A probabilistic approach," Finance Research Letters, Elsevier, volume 20, issue C, pages 281-288, DOI: 10.1016/j.frl.2016.10.011.
• Braouezec, Yann, 2017, "How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach," Finance Research Letters, Elsevier, volume 21, issue C, pages 92-99, DOI: 10.1016/j.frl.2016.11.001.
• Drago, Danilo & Tommaso, Caterina Di & Thornton, John, 2017, "What determines bank CDS spreads? Evidence from European and US banks," Finance Research Letters, Elsevier, volume 22, issue C, pages 140-145, DOI: 10.1016/j.frl.2016.12.035.
• Madan, Dilip B. & Smith, Robert H. & Wang, King, 2017, "Laplacian risk management," Finance Research Letters, Elsevier, volume 22, issue C, pages 202-210, DOI: 10.1016/j.frl.2016.12.013.
• Gürtler, Marc & Stolpe, Julia, 2017, "Cumulative Prospect Theory for piecewise continuous distributions," Finance Research Letters, Elsevier, volume 22, issue C, pages 5-10, DOI: 10.1016/j.frl.2017.05.009.
• Liao, Qunfeng & Mehdian, Seyed & Rezvanian, Rasoul, 2017, "An examination of investors’ reaction to the announcement of CoCo bonds issuance: A global outlook," Finance Research Letters, Elsevier, volume 22, issue C, pages 58-65, DOI: 10.1016/j.frl.2016.12.034.
• Alexakis, Christos & Bagnarosa, Guillaume & Dowling, Michael, 2017, "Do cointegrated commodities bubble together? the case of hog, corn, and soybean," Finance Research Letters, Elsevier, volume 23, issue C, pages 96-102, DOI: 10.1016/j.frl.2017.02.007.
• Tang, Dragon Yongjun & Yan, Hong, 2017, "Understanding transactions prices in the credit default swaps market," Journal of Financial Markets, Elsevier, volume 32, issue C, pages 1-27, DOI: 10.1016/j.finmar.2016.09.005.
• Bai, Xuelian & Hu, Nan & Liu, Ling & Zhu, Lu, 2017, "Credit derivatives and stock return synchronicity," Journal of Financial Stability, Elsevier, volume 28, issue C, pages 79-90, DOI: 10.1016/j.jfs.2016.12.006.
• Clements, Sherwood & Tidwell, Alan & Jin, Changha, 2017, "Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs," Journal of Forest Economics, Elsevier, volume 28, issue C, pages 70-79, DOI: 10.1016/j.jfe.2017.06.003.
• Benlagha, Noureddine & Chargui, Sana, 2017, "Range-based and GARCH volatility estimation: Evidence from the French asset market," Global Finance Journal, Elsevier, volume 32, issue C, pages 149-165, DOI: 10.1016/j.gfj.2016.04.001.
• Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017, "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, volume 74, issue C, pages 46-62, DOI: 10.1016/j.insmatheco.2017.02.010.
• Zhu, Wenge, 2017, "Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test," Insurance: Mathematics and Economics, Elsevier, volume 77, issue C, pages 14-23, DOI: 10.1016/j.insmatheco.2017.08.006.
• Bu, Ruijun & Jawadi, Fredj & Li, Yuyi, 2017, "An empirical comparison of transformed diffusion models for VIX and VIX futures," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 46, issue C, pages 116-127, DOI: 10.1016/j.intfin.2016.08.003.
• Orlowski, Lucjan T., 2017, "Volatility of commodity futures prices and market-implied inflation expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 51, issue C, pages 133-141, DOI: 10.1016/j.intfin.2017.10.002.
• Leippold, Markus & Schärer, Steven, 2017, "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 1-16, DOI: 10.1016/j.jbankfin.2016.11.014.
• Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017, "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 167-183, DOI: 10.1016/j.jbankfin.2016.11.012.
• González-Urteaga, Ana & Rubio, Gonzalo, 2017, "The joint cross-sectional variation of equity returns and volatilities," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 17-34, DOI: 10.1016/j.jbankfin.2016.11.013.
• Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2017, "Corporate liquidity and dividend policy under uncertainty," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 200-214, DOI: 10.1016/j.jbankfin.2016.11.015.
• Chen, Zhuo & Lu, Andrea, 2017, "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 98-108, DOI: 10.1016/j.jbankfin.2016.11.010.
• Kiesel, Rüdiger & Rahe, Florentin, 2017, "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, volume 76, issue C, pages 120-138, DOI: 10.1016/j.jbankfin.2016.11.006.
• Christopoulos, Andreas D., 2017, "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, volume 76, issue C, pages 215-239, DOI: 10.1016/j.jbankfin.2016.12.005.
• Leippold, Markus & Vasiljević, Nikola, 2017, "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, volume 77, issue C, pages 78-94, DOI: 10.1016/j.jbankfin.2017.01.014.
• Chiang, I-Hsuan Ethan & Hughen, W. Keener, 2017, "Do oil futures prices predict stock returns?," Journal of Banking & Finance, Elsevier, volume 79, issue C, pages 129-141, DOI: 10.1016/j.jbankfin.2017.02.012.
• Buchner, Axel & Wagner, Niklas F., 2017, "Rewarding risk-taking or skill? The case of private equity fund managers," Journal of Banking & Finance, Elsevier, volume 80, issue C, pages 14-32, DOI: 10.1016/j.jbankfin.2017.03.014.
• Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin, 2017, "Variance risk in commodity markets," Journal of Banking & Finance, Elsevier, volume 81, issue C, pages 136-149, DOI: 10.1016/j.jbankfin.2017.05.003.
• Lambrecht, Bart M., 2017, "Real options in finance," Journal of Banking & Finance, Elsevier, volume 81, issue C, pages 166-171, DOI: 10.1016/j.jbankfin.2017.03.006.
• Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2017, "Corporate liquidity and dividend policy under uncertainty," Journal of Banking & Finance, Elsevier, volume 81, issue C, pages 221-235, DOI: 10.1016/j.jbankfin.2017.01.021.
• Hull, John & White, Alan, 2017, "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, volume 82, issue C, pages 180-190, DOI: 10.1016/j.jbankfin.2017.05.006.
• Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017, "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, volume 168, issue C, pages 400-431, DOI: 10.1016/j.jet.2016.11.005.
• Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017, "The price of variance risk," Journal of Financial Economics, Elsevier, volume 123, issue 2, pages 225-250, DOI: 10.1016/j.jfineco.2016.04.003.
• Han, Bing & Subrahmanyam, Avanidhar & Zhou, Yi, 2017, "The term structure of credit spreads, firm fundamentals, and expected stock returns," Journal of Financial Economics, Elsevier, volume 124, issue 1, pages 147-171, DOI: 10.1016/j.jfineco.2017.01.002.
• Eraker, Bjørn & Wu, Yue, 2017, "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, volume 125, issue 1, pages 72-98, DOI: 10.1016/j.jfineco.2017.04.007.
• Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017, "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, volume 73, issue PA, pages 162-187, DOI: 10.1016/j.jimonfin.2017.01.002.
• Degiannakis, Stavros & Filis, George, 2017, "Forecasting oil price realized volatility using information channels from other asset classes," Journal of International Money and Finance, Elsevier, volume 76, issue C, pages 28-49, DOI: 10.1016/j.jimonfin.2017.05.006.
• Shanker, Latha, 2017, "New indices of adequate and excess speculation and their relationship with volatility in the crude oil futures market," Journal of Commodity Markets, Elsevier, volume 5, issue C, pages 18-35, DOI: 10.1016/j.jcomm.2016.11.003.
• Dimpfl, Thomas & Flad, Michael & Jung, Robert C., 2017, "Price discovery in agricultural commodity markets in the presence of futures speculation," Journal of Commodity Markets, Elsevier, volume 5, issue C, pages 50-62, DOI: 10.1016/j.jcomm.2017.01.002.
• Guo, Kevin & Leung, Tim, 2017, "Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options," Journal of Commodity Markets, Elsevier, volume 6, issue C, pages 32-49, DOI: 10.1016/j.jcomm.2017.04.001.
• Yan, Lei & Garcia, Philip, 2017, "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, volume 8, issue C, pages 43-55, DOI: 10.1016/j.jcomm.2017.10.002.
• Aminrostamkolaee, Behnam & Scroggs, Jeffrey S. & Borghei, Matin Sadat & Safdari-Vaighani, Ali & Mohammadi, Teymour & Hossein Pourkazemi, Mohammad, 2017, "Valuation of a hypothetical mining project under commodity price and exchange rate uncertainties by using numerical methods," Resources Policy, Elsevier, volume 52, issue C, pages 296-307, DOI: 10.1016/j.resourpol.2017.04.004.
• Go, You-How & Lau, Wee-Yeap, 2017, "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, volume 53, issue C, pages 135-146, DOI: 10.1016/j.resourpol.2017.06.009.
• Muteba Mwamba, John W. & Hammoudeh, Shawkat & Gupta, Rangan, 2017, "Financial tail risks in conventional and Islamic stock markets: A comparative analysis," Pacific-Basin Finance Journal, Elsevier, volume 42, issue C, pages 60-82, DOI: 10.1016/j.pacfin.2016.01.003.
• Wang, Guanying & Wang, Xingchun & Zhou, Ke, 2017, "Pricing vulnerable options with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 485, issue C, pages 91-103, DOI: 10.1016/j.physa.2017.04.146.
• Mu, Congming & Wang, Anxing & Yang, Jinqiang, 2017, "Optimal capital structure with moral hazard," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 326-338, DOI: 10.1016/j.iref.2016.12.006.
• Kim, Kwanho, 2017, "Liquidity basis between credit default swaps and corporate bonds markets," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 98-115, DOI: 10.1016/j.iref.2016.11.013.
• Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao, 2017, "Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 1-16, DOI: 10.1016/j.iref.2016.04.009.
• Yoon, Sun-Joong, 2017, "Time-varying risk aversion and return predictability," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 327-339, DOI: 10.1016/j.iref.2017.02.006.
• Zhu, Jiaqing & Li, Guangzhong & Li, Jie, 2017, "Merge to be too big to fail: A real option approach," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 342-353, DOI: 10.1016/j.iref.2017.06.008.
• Tan, Yingxian & Yang, Zhaojun, 2017, "Growth option, contingent capital and agency conflicts," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 354-369, DOI: 10.1016/j.iref.2017.06.006.
• Wong, Kit Pong, 2017, "Production and hedging under state-dependent preferences and background risk," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 527-534, DOI: 10.1016/j.iref.2017.07.026.
• Rannou, Yves, 2017, "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Research in International Business and Finance, Elsevier, volume 39, issue PB, pages 779-808, DOI: 10.1016/j.ribaf.2014.09.008.
• Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E., 2017, "Accounting quality, information risk and the term structure of implied volatility around earnings announcements," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 445-460, DOI: 10.1016/j.ribaf.2017.04.046.
• Charteris, Ailie & Musadziruma, Arnold, 2017, "Feedback trading in stock index futures: Evidence from South Africa," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1289-1297, DOI: 10.1016/j.ribaf.2017.07.065.
• Ahmad, Wasim, 2017, "On the dynamic dependence and investment performance of crude oil and clean energy stocks," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 376-389, DOI: 10.1016/j.ribaf.2017.07.140.
• Hadhri, Sinda & Ftiti, Zied, 2017, "Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 39-60, DOI: 10.1016/j.ribaf.2017.04.057.
• Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017, "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 98, issue C, pages 82-104, DOI: 10.1016/j.tre.2016.12.007.
• Leo Krippner, 2017, "A Comment on Wu and Xia (2016) from a Macroeconomic Perspective," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-41, Jun.
• Kardaras, Constantinos & Robertson, Scott, 2017, "Continuous-time perpetuities and time reversal of diffusions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67495, Jan.
• Rodosthenous, Neofytos & Zervos, Mihail, 2017, "Watermark options," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67859, Jan.
• Campi, Luciano & Laachir, Ismail & Martini, Claude, 2017, "Change of numeraire in the two-marginals martingale transport problem," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 68783, Apr.
• Carvalho, Augusto & Guimaraes, Bernardo, 2017, "State-controlled companies and political risk: evidence from the 2014 Brazilian election," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86172, Dec.
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• Abdul Rashid & Farooq Ahmad & Ammara Yasmin, 2017, "Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan," Journal of Risk Finance, Emerald Group Publishing Limited, volume 18, issue 4, pages 368-380, August, DOI: 10.1108/JRF-03-2017-0049.
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• Geoffrey Loudon, 2017, "The impact of global financial market uncertainty on the risk-return relation in the stock markets of G7 countries," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 34, issue 1, pages 2-23, March, DOI: 10.1108/SEF-05-2013-0069.
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• Nikolay Gospodinov, 2017, "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2017-11, Nov.
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• Elmira Aliakbari & Ross McKitrick, 2017, "Information Aggregation in a Prediction Market for Climate Outcomes," Working Papers, University of Guelph, Department of Economics and Finance, number 1702.
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• Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017, "Jumps in Commodity Markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-615, Nov.
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• Mario Luis Perossa & Alejandra Marinaro & Walter Velardez, 2017, "Evolution Of Energy Company Share Prices And Their Relationship With Macroeconomic Variables: Evidence From Argentina Evolucion De Precios De Acciones De Empresa De Energia Y Su Relacion Con Las Variables Macroeconomicas: Evidencia De Argentina," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 10, issue 4, pages 1-14.
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• Ponce-Gutiérrez, Blanca Estela & Portillo-Vázquez, Marcos, 2017, "Modelo de seguro agrícola aplicado al distrito de desarrollo rural de guasave, sinaloa," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 12, issue 46, pages 81-88, Primer se.
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• Liu Gan & Zhaojun Yang, 2017, "Investment, agency conflicts, debt maturity, and loan guarantees by negotiation," Annals of Finance, Springer, volume 13, issue 3, pages 253-271, August, DOI: 10.1007/s10436-017-0298-8.
• Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi, 2017, "Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 24, issue 3, pages 169-191, September, DOI: 10.1007/s10690-017-9229-y.
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• Dong Zou & Pu Gong, 2017, "A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate," The Journal of Real Estate Finance and Economics, Springer, volume 55, issue 2, pages 242-263, August, DOI: 10.1007/s11146-016-9576-x.
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• Antje Mahayni & Matthias Muck, 2017, "The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk," Review of Derivatives Research, Springer, volume 20, issue 3, pages 281-308, October, DOI: 10.1007/s11147-017-9131-9.
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• Ying Jiang & Shamim Ahmed & Xiaoquan Liu, 2017, "Volatility forecasting in the Chinese commodity futures market with intraday data," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 4, pages 1123-1173, May, DOI: 10.1007/s11156-016-0570-4.
• Julio César Alonso Cifuentes & Andrés Mauricio Arcila Vásquez & Sebastián Montenegro Arana, 2017, "Internal price stabilization tools in the Colombian sugar market: Do they work?," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 86, pages 105-126, Enero - J, DOI: 10.17533/udea.le.n86a04.