Research classified by Journal of Economic Literature (JEL) codes

2017

• Dion Bongaerts & Frank de Jong & Joost Driessen, 2017, "An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1229-1269.
• Saqib Khan & Zeigham Khokher & Timothy Simin, 2017, "The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 8, pages 2818-2850.
• I-Ming Jiang & Chia Chun Lo & Andreas Karathanasopoulos & Konstantinos Skindilias, 2017, "A risk control tool for foreign financial activities – A new derivatives pricing model," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 4, pages 269-294, July, DOI: 10.1057/s41260-016-0023-6.
• Greg Orosi, 2017, "Information content of right option tails: Evidence from S&P 500 index options," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 7, pages 516-526, December, DOI: 10.1057/s41260-017-0049-4.
• Agata Gniadkowska-Szymanska, 2017, "The Multifactorial Pastor-Stambaugh Model: Explaining The Impact Of Liquidity On The Rate Of Return Based On The Example Of The Warsaw Stock Exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 12, issue 2, pages 211-228, June, DOI: 10.24136/eq.v12i2.11.
• Pinshi, Christian, 2017, "Une perspective macroprudentielle pour la stabilité financière
  [A macroprudential perspective of financial stability]," MPRA Paper, University Library of Munich, Germany, number 79189, May, revised 16 May 2017.
• Cantillo, Miguel, 2017, "A Reconsideration of the Equity Premium Puzzle," MPRA Paper, University Library of Munich, Germany, number 79357, May.
• Pinshi Paula, Christian, 2017, "Une perspective macroprudentielle pour la stabilité financière
  [A macroprudential perspective on financial stability]," MPRA Paper, University Library of Munich, Germany, number 80505, Jun, revised Jun 2017.
• Chong, Terence Tai Leung & Tsui, Chun & Chan, Wing Hong, 2017, "Factor Pricing in Commodity Futures and the Role of Liquidity," MPRA Paper, University Library of Munich, Germany, number 80555, Feb.
• Hou, Yang & Nartea, Gilbert, 2017, "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper, University Library of Munich, Germany, number 81995, Oct.
• Hou, Yang & Li, Steven, 2017, "Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets," MPRA Paper, University Library of Munich, Germany, number 81999, Oct.
• Hou, Yang & Holmes, Mark, 2017, "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper, University Library of Munich, Germany, number 82000, Oct.
• Oubdi, Lahsen & Raghibi, Abdessamad, 2017, "An Overview on the Practice and Issues of Hedging in Islamic Finance," MPRA Paper, University Library of Munich, Germany, number 82646, Oct.
• Hassett, Kevin & Zhong, Weifeng, 2017, "On the Observational Implications of Knightian Uncertainty," MPRA Paper, University Library of Munich, Germany, number 82998, Oct.
• Cifarelli, Giulio & Paesani, Paolo, 2017, "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," MPRA Paper, University Library of Munich, Germany, number 84009, Oct.
• Xiao, Tim, 2017, "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper, University Library of Munich, Germany, number 87088, Jul.
• Degiannakis, Stavros & Filis, George, 2017, "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper, University Library of Munich, Germany, number 96276.
• Chang, Kuo-Ping, 2017, "On Using Risk-Neutral Probabilities to Price Assets," MPRA Paper, University Library of Munich, Germany, number 96564, Nov.
• Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017, "The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 201725, Apr.
• Jonathan Hambur & Nick Stenner, 2017, "Financialisation and the Term Structure of Commodity Risk Premiums," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2017-03, May.
• Filipe Martins da Rocha & Yiannis Vailakis, 2017, "Borrowing in Excess of Natural Ability to Repay," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 23, pages 42-59, January, DOI: 10.1016/j.red.2016.09.006.
• Christian Wagner & Ian Martin, 2017, "What Is the Expected Return on a Stock?," 2017 Meeting Papers, Society for Economic Dynamics, number 146.
• Peter Van Tassel, 2017, "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers, Society for Economic Dynamics, number 149.
• Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017, "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers, Society for Economic Dynamics, number 1641.
• Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau, 2017, "Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets," ADB Economics Working Paper Series, Asian Development Bank, number 530, Dec.
• Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017, "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 18-2017, Nov.
• Jamie Alcock & Godfrey Smith, 2017, "Non-parametric American option valuation using Cressie–Read divergences," Australian Journal of Management, Australian School of Business, volume 42, issue 2, pages 252-275, May, DOI: 10.1177/0312896215622799.
• Shuang Li & Yanli Zhou & Yonghong Wu & Xiangyu Ge, 2017, "Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility," Australian Journal of Management, Australian School of Business, volume 42, issue 2, pages 276-295, May, DOI: 10.1177/0312896215619966.
• Niall Farrell & Mel T. Devine & William T. Lee & James P. Gleeson & Seán Lyons, 2017, "Specifying An Efficient Renewable Energy Feed-in Tariff," The Energy Journal, , volume 38, issue 2, pages 53-76, March, DOI: 10.5547/01956574.38.2.nfar.
• Zi-Yi Guo, 2017, "A Stochastic Factor Model for Risk Management of Commodity Derivatives," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 4507452, Apr.
• Gavira Durón, Nora & Aguilar Galindo, Julio Irving, 2017, "Métodos numéricos para cálculo de la prima de opciones asiáticas / Numerical Methods for Calculation of Asian Options Premium," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 7, issue 1, pages 27-66, enero-jun.
• Olivares Aguayo, Héctor Alonso & Ortiz Ramírez, Ambrosio & Venegas Martínez, Francisco, 2017, "Valuación de una nota estructurada que vincula el rendimiento de un bono cupón cero con una opción en un portafolio de inversión / Pricing a Structured Note that Links a Zero-Coupon Bond Return with an Option in an Investment Porfolio," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 7, issue 2, pages 201-235, julio-dic.
• M. Papi & L. Pontecorvi & C. Donatucci, 2017, "Weighted average price in the Heston stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 40, issue 1, pages 351-373, November, DOI: 10.1007/s10203-017-0197-5.
• Qiang Liu & Gaoxiu Qiao, 2017, "The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market," Empirical Economics, Springer, volume 52, issue 4, pages 1569-1585, June, DOI: 10.1007/s00181-016-1115-3.
• Constantinos Kardaras & Scott Robertson, 2017, "Continuous-time perpetuities and time reversal of diffusions," Finance and Stochastics, Springer, volume 21, issue 1, pages 65-110, January, DOI: 10.1007/s00780-016-0308-0.
• Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017, "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, volume 21, issue 1, pages 1-64, January, DOI: 10.1007/s00780-016-0309-z.
• David Hobson & Anthony Neuberger, 2017, "Model uncertainty and the pricing of American options," Finance and Stochastics, Springer, volume 21, issue 1, pages 285-329, January, DOI: 10.1007/s00780-016-0314-2.
• Ivan Guo & Marek Rutkowski, 2017, "Arbitrage-free pricing of multi-person game claims in discrete time," Finance and Stochastics, Springer, volume 21, issue 1, pages 111-155, January, DOI: 10.1007/s00780-016-0315-1.
• Neofytos Rodosthenous & Mihail Zervos, 2017, "Watermark options," Finance and Stochastics, Springer, volume 21, issue 1, pages 157-186, January, DOI: 10.1007/s00780-016-0319-x.
• Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017, "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, volume 21, issue 2, pages 487-508, April, DOI: 10.1007/s00780-016-0320-4.
• Luciano Campi & Ismail Laachir & Claude Martini, 2017, "Change of numeraire in the two-marginals martingale transport problem," Finance and Stochastics, Springer, volume 21, issue 2, pages 471-486, April, DOI: 10.1007/s00780-016-0322-2.
• Beatrice Acciaio & Martin Larsson & Walter Schachermayer, 2017, "The space of outcomes of semi-static trading strategies need not be closed," Finance and Stochastics, Springer, volume 21, issue 3, pages 741-751, July, DOI: 10.1007/s00780-017-0329-3.
• Vladimir Vovk, 2017, "The role of measurability in game-theoretic probability," Finance and Stochastics, Springer, volume 21, issue 3, pages 719-739, July, DOI: 10.1007/s00780-017-0336-4.
• Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017, "Hybrid scheme for Brownian semistationary processes," Finance and Stochastics, Springer, volume 21, issue 4, pages 931-965, October, DOI: 10.1007/s00780-017-0335-5.
• Mathias Beiglböck & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Prömel, 2017, "Pathwise superreplication via Vovk’s outer measure," Finance and Stochastics, Springer, volume 21, issue 4, pages 1141-1166, October, DOI: 10.1007/s00780-017-0338-2.
• Sebastian Herrmann & Johannes Muhle-Karbe, 2017, "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, volume 21, issue 4, pages 873-930, October, DOI: 10.1007/s00780-017-0342-6.
• Masahiko Egami & Tadao Oryu, 2017, "A direct solution method for pricing options involving the maximum process," Finance and Stochastics, Springer, volume 21, issue 4, pages 967-993, October, DOI: 10.1007/s00780-017-0343-5.
• Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017, "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 463-473, July, DOI: 10.1007/s12197-016-9363-9.
• A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017, "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 63, issue 1, pages 309-345, January, DOI: 10.1007/s00199-016-1031-y.
• Gianluca Cassese, 2017, "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 64, issue 3, pages 539-570, October, DOI: 10.1007/s00199-016-0999-7.
• M. Ali Khan & Yongchao Zhang, 2017, "Existence of pure-strategy equilibria in Bayesian games: a sharpened necessity result," International Journal of Game Theory, Springer;Game Theory Society, volume 46, issue 1, pages 167-183, March, DOI: 10.1007/s00182-016-0528-8.
• Dirk Becherer & Klebert Kentia, 2017, "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 86, issue 1, pages 171-214, August, DOI: 10.1007/s00186-017-0588-y.
• Simone Farinelli & Luisa Tibiletti, 2017, "Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets," Operations Research Proceedings, Springer, in: Karl Franz Dörner & Ivana Ljubic & Georg Pflug & Gernot Tragler, "Operations Research Proceedings 2015", DOI: 10.1007/978-3-319-42902-1_85.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017, "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, Springer, chapter 0, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis, "Sunspots and Non-Linear Dynamics", DOI: 10.1007/978-3-319-44076-7_9.
• Vasilios Sogiakas, 2017, "Option trading for optimizing volatility forecasting," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 6, issue 3, pages 1-3.
• José Fajardo, 2017, "A new factor to explain implied volatility smirk," Applied Economics, Taylor & Francis Journals, volume 49, issue 40, pages 4026-4034, August, DOI: 10.1080/00036846.2016.1273505.
• Manabu Asai & Michael McAleer, 2017, "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 1-3, pages 42-59, March, DOI: 10.1080/07474938.2015.1114235.
• Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017, "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 11, pages 1745-1757, November, DOI: 10.1080/14697688.2017.1312506.
• Khan, Mohammed Ali & Rath, Kali P. & Yu, Haomiao & Zhang, Yongchao, 2017, "On the equivalence of large individualized and distributionalized games," Theoretical Economics, Econometric Society, volume 12, issue 2, May.
• Sun, Hang & Bos, Jaap W.B. & Li, Zhuo, 2017, "In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 019, Aug, DOI: 10.26481/umagsb.2017019.
• Fengler, Matthias & Melnikov, Alexander, 2017, "GARCH option pricing models with Meixner innovations," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1702, Feb.
• Dare, Wale, 2017, "Statistical arbitrage in the U.S. treasury futures market," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1716, Sep.
• Dietmar P.J. Leisen & Eckhard Platen, 2017, "Investing for the Long Run," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 381, May.
• Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017, "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 384, May.
• Kabaivanov Stanimir & Markovska Veneta, 2017, "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business, Paradigm, volume 64, issue 4, pages 423-430, December, DOI: 10.1515/saeb-2017-0031.
• Markus Hertrich & Heinz Zimmermann, 2017, "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, volume 49, issue 2-3, pages 567-578, March, DOI: 10.1111/jmcb.12390.
• Korn, Olaf & Krischak, Paolo & Theissen, Erik, 2017, "Illiquidity transmission from spot to futures markets," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 14-10, revised 2017.
• Heidorn, Thomas & Maier, F. & Winker, M., 2017, "The effectiveness of seasonal investments in European Share Portfolios," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 224.
• 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, undated, "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.
• 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 Staff Working Paper series, 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.
• Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2017, "Corporate Debt Maturity Profiles," CEPR Discussion Papers, Centre for Economic Policy Research, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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.