Research classified by Journal of Economic Literature (JEL) codes

2017

• 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.
• Sierra-Juárez, Guillermo & Méndez García, Daniela, 2017, "Un modelo de inversión óptima para fondos soberanos: caso fondo mexicano del petróleo para la estabilización y el desarrollo," El Trimestre Económico, Fondo de Cultura Económica, volume 0, issue 335, pages .731-756, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v84i.
• Hong Yu Xin Pan & Jun Song, 2017, "Volatility cones and volatility arbitrage strategies – empirical study based on SSE ETF option," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 2, pages 203-227, May, DOI: 10.1108/CFRI-05-2016-0041.
• Ryan McKeon, 2017, "Empirical patterns of time value decay in options," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 4, pages 429-449, September, DOI: 10.1108/CFRI-09-2016-0108.
• Yurun Yang & Ahmet Goncu & Athanasios Pantelous, 2017, "Pairs trading with commodity futures: evidence from the Chinese market," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 3, pages 274-294, August, DOI: 10.1108/CFRI-09-2016-0109.
• Youssef El-Khatib & Abdulnasser Hatemi-J, 2017, "Option valuation and hedging in markets with a crunch," Journal of Economic Studies, Emerald Group Publishing Limited, volume 44, issue 5, pages 801-815, October, DOI: 10.1108/JES-04-2016-0083.
• 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.
• Timo Korkeamäki & Eva Liljeblom & Markus Pfister, 2016, "Airline fuel hedging and management ownership," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 5, pages 492-509, November, DOI: 10.1108/JRF-06-2016-0077.
• 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.
• Tomas Konecny & Jakub Seidler & Aelta Belyaeva & Konstantin Belyaev, 2017, "The Time Dimension of the Links Between Loss Given Default and the Macroeconomy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 67, issue 6, pages 462-491, October.
• Astorino, Eduardo & Chague, Fernando & Giovannetti, Bruno Cara & da Silva, Marcos Eugênio, 2017, "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 71, issue 1, May.
• Nikolay Gospodinov, 2017, "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2017-11, Nov.
• Lily Liu, 2017, "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 17-1, May.
• Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz, 2017, "Is There an On-the-Run Premium in TIPS?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-10, May, DOI: 10.24148/wp2017-10.
• Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020, "The TIPS Liquidity Premium," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-11, Jul, DOI: 10.24148/wp2017-11.
• Esen Onur & John S. Roberts & Tugkan Tuzun, 2017, "Trader Positions and Marketwide Liquidity Demand," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-103, Oct, DOI: 10.17016/FEDS.2017.103.
• Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017, "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-058, Jun, DOI: 10.17016/FEDS.2017.058.
• Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017, "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1212, Aug, DOI: 10.17016/IFDP.2017.1212.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017, "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," IJFS, MDPI, volume 6, issue 1, pages 1-24, December.
• 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.
• Sofiane Aboura & Eser Arisoy, 2017, "Can Exposure to Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies?," CEPN Working Papers, HAL, number hal-01529356, DOI: 10.2139/ssrn.2832893.
• Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017, "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01397606.
• Victor Filipe Martins da Rocha & Yiannis Vailakis, 2017, "Borrowing in Excess of Natural Ability to Repay," Post-Print, HAL, number hal-01249202, Jan, DOI: 10.1016/j.red.2016.09.006.
• Yves Rannou, 2017, "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Post-Print, HAL, number hal-01650533, Jan, DOI: 10.1016/j.ribaf.2014.09.008.
• Tim Xiao, 2017, "A New Model for Pricing Collateralized Financial Derivatives," Post-Print, HAL, number hal-01800559.
• Olivier Rousse & Benoît Sévi, 2017, "Informed trading in oil futures markets," Post-Print, HAL, number hal-02089758, May.
• Olivier Rousse & Benoît Sévi, 2017, "Informed trading in oil futures markets," Post-Print, HAL, number hal-02089772, Jun.
• Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017, "Rational land and housing bubbles in infinite-horizon economies," Post-Print, HAL, number halshs-01397606.
• Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017, "Rational land and housing bubbles in infinite-horizon economies," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-01397606.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017, "Jumps in Commodity Markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-615, Nov.
• Tangerås, Thomas & Wolak, Frank A., 2017, "The Competitive Effects of Linking Electricity Markets Across Space and Time," Working Paper Series, Research Institute of Industrial Economics, number 1184, Oct.
• Ruddell, Keith & Downward, Tony & Philpott, Andy, 2017, "Market Power and Forward Prices," Working Paper Series, Research Institute of Industrial Economics, number 1193, Nov.
• Juan Carlos Alonso & Mario Luis Perossa & Pablo Waldman & Santiago Gigler, 2017, "The Effects Of Information On Stock Indexes: The Contagion Of The 2007/2008 Crisis From The Core Countries To The Periphery, El Efecto De La Informacion Sobre Los Indices Bursatiles: La Transferencia De La Crisis 2007/2008 De Los Paises Centrales A L," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 10, issue 2, pages 41-52.
• 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.
• Zi-Yi Guo & Yangxiaoteng Luo, 2017, "Dynamic Stochastic Factors, Risk Management and the Energy Futures," International Business Research, Canadian Center of Science and Education, volume 10, issue 9, pages 50-59, September.
• Park Kwang Hee & Woon Kyung Song, 2017, "Factors Affecting Derivatives Use for Life Insurance Companies," International Journal of Economics and Finance, Canadian Center of Science and Education, volume 9, issue 12, pages 168-174, December.
• 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.
• Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017, "Hedging spark spread risk with futures," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2017-01, Jul.
• Hideharu Funahashi & Masaaki Kijima, 2017, "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, volume 13, issue 1, pages 55-74, February, DOI: 10.1007/s10436-016-0289-1.
• Ping Wu & Robert J. Elliott, 2017, "A simple efficient approximation to price basket stock options with volatility smile," Annals of Finance, Springer, volume 13, issue 1, pages 1-29, February, DOI: 10.1007/s10436-017-0292-1.
• 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.
• Marta Biancardi & Giovanni Villani, 2017, "Robust Monte Carlo Method for R&D Real Options Valuation," Computational Economics, Springer;Society for Computational Economics, volume 49, issue 3, pages 481-498, March, DOI: 10.1007/s10614-016-9578-z.
• Ping Wu & Robert J. Elliott, 2017, "Valuation of certain CMS spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 31, issue 4, pages 445-467, November, DOI: 10.1007/s11408-017-0301-4.
• 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.
• Dirk Veestraeten, 2017, "On the multiplicity of option prices under CEV with positive elasticity of variance," Review of Derivatives Research, Springer, volume 20, issue 1, pages 1-13, April, DOI: 10.1007/s11147-016-9122-2.
• Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017, "A bias in the volatility smile," Review of Derivatives Research, Springer, volume 20, issue 1, pages 47-90, April, DOI: 10.1007/s11147-016-9124-0.
• Jr-Yan Wang & Hsiao-Chuan Wang & Yi-Chen Ko & Mao-Wei Hung, 2017, "Rainbow trend options: valuation and applications," Review of Derivatives Research, Springer, volume 20, issue 2, pages 91-133, July, DOI: 10.1007/s11147-016-9125-z.
• Max F. Schöne & Stefan Spinler, 2017, "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, volume 20, issue 2, pages 135-165, July, DOI: 10.1007/s11147-016-9126-y.
• Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017, "Implied volatility and skewness surface," Review of Derivatives Research, Springer, volume 20, issue 2, pages 167-202, July, DOI: 10.1007/s11147-016-9127-x.
• Hideharu Funahashi & Masaaki Kijima, 2017, "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, volume 20, issue 3, pages 203-229, October, DOI: 10.1007/s11147-017-9128-4.
• Ralf Meyer, 2017, "Profitability patterns in the interest rate derivatives market," Review of Derivatives Research, Springer, volume 20, issue 3, pages 231-254, October, DOI: 10.1007/s11147-017-9129-3.
• Shiyu Song & Yongjin Wang, 2017, "Pricing double barrier options under a volatility regime-switching model with psychological barriers," Review of Derivatives Research, Springer, volume 20, issue 3, pages 255-280, October, DOI: 10.1007/s11147-017-9130-x.
• 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.
• Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017, "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 1, pages 219-237, January, DOI: 10.1007/s11156-015-0548-7.
• Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen, 2017, "The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 3, pages 819-848, April, DOI: 10.1007/s11156-016-0569-x.
• 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.
• Dr. Erin Vicente, 2017, "An Exploration of Contingent Faculty Experiences at a Private, Liberal Arts College," Review of Social Sciences, LAR Center Press, volume 2, issue 3, pages 9-23, March.
• Peter Reichling & Anastasiia Zbandut, 2017, "Costs of capital under credit risk," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 170003, Jan.
• You-How Go & Wee-Yeap Lau, 2017, "The Relationship of Crude Palm Oil Spot-Futures under Inflationary Expectation in Gold Market," Capital Markets Review, Malaysian Finance Association, volume 25, issue 1, pages 43-62.
• Takahiro Hattori, 2017, "J-liquidity Measure: the Term Structure of the Liquidity Premium and the Decomposition of the Municipal Bond Spread," Discussion papers, Policy Research Institute, Ministry of Finance Japan, number ron290, Mar.
• Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017, "Transmisión de precios futuros de maíz del Chicago Board of Trade al mercado spot mexicano," Contaduría y Administración, Accounting and Management, volume 62, issue 3, pages 924-940, Julio-Sep.
• Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017, "Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market," Contaduría y Administración, Accounting and Management, volume 62, issue 3, pages 941-957, Julio-Sep.
• José Antonio Climent Hernández & Carolina Cruz Matú, 2017, "Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables," Contaduría y Administración, Accounting and Management, volume 62, issue 4, pages 1136-1159, Octubre-D.
• José Antonio Climent Hernández & Carolina Cruz Matú, 2017, "Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process," Contaduría y Administración, Accounting and Management, volume 62, issue 4, pages 1160-1182, Octubre-D.
• José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017, "The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen," Contaduría y Administración, Accounting and Management, volume 62, issue 5, pages 11-12, Diciembre.
• César Augusto Giraldo-Prietoa & Gabriel Jaime González Uribe & Cristhian Vesga Bermejo & Diana Carolina Ferreira Herrera, 2017, "Coberturas financieras con derivados y su incidencia enel valor de mercado en empresas colombianas quecotizan en Bolsa," Contaduría y Administración, Accounting and Management, volume 62, issue 5, pages 17-18, Diciembre.
• César Augusto Giraldo-Prietoa & Gabriel Jaime González Uribe & Cristhian Vesga Bermejo & Diana Carolina Ferreira Herrera, 2017, "Financial hedging with derivatives and its impact on the Colombian market value for listed companies," Contaduría y Administración, Accounting and Management, volume 62, issue 5, pages 19-20, Diciembre.
• José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017, "Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen," Contaduría y Administración, Accounting and Management, volume 62, issue 5, pages 9-10, Diciembre.
• Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor, 2017, "Sharing R&D Risk in Healthcare via FDA Hedges," NBER Working Papers, National Bureau of Economic Research, Inc, number 23344, Apr.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2017, "Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows," NBER Working Papers, National Bureau of Economic Research, Inc, number 23474, Jun.
• George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2017, "Mispriced Index Option Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 23708, Aug.
• Geoffrey Heal, 2017, "Price Uncertainty and Price-Contingent Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 23723, Aug.
• William Gornall & Ilya A. Strebulaev, 2017, "Squaring Venture Capital Valuations with Reality," NBER Working Papers, National Bureau of Economic Research, Inc, number 23895, Oct.
• Abdinardo Moreira Barreto de Oliveira & Joséte Florencio dos Santos, 2017, "Previsões de razões ótimas de hedge para a manga exportada brasileira [Forecasting of optimal hedge ratios for the Brazilian exported mango]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 27, issue 3, pages 671-703, September.
• Hom Nath Gaire, 2017, "Forecasting NEPSE Index: An ARIMA And GARCH Approach," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 29, issue 1, pages 53-68, April.
• Mariya Paskaleva, 2017, "Risk Measurements-credit Default Swaps versus Capital Markets – Relationship, Dynamics and Forecast Ability," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 138-151, October.
• Xiao, Tim, 2017, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," arabixiv.org, Center for Open Science, number ez659, Jul, DOI: 10.31219/osf.io/ez659.
• Xiao, Tim, 2017, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," FrenXiv, Center for Open Science, number unz4k, Jul, DOI: 10.31219/osf.io/unz4k.
• Xiao, Tim, 2017, "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv, Center for Open Science, number fvdzh, Jul, DOI: 10.31219/osf.io/fvdzh.
• Xiao, Tim, 2017, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," SocArXiv, Center for Open Science, number zr7hp, Jul, DOI: 10.31219/osf.io/zr7hp.
• Michi Nishihara & Takashi Shibata, 2017, "Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 17-18, Jul.
• Michi Nishihara & Takashi Shibata, 2018, "Liquidation, fire sales, and acquirers' private information," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 18-25, Aug.
• Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu, 2017, "On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 99, issue 1, pages 207-224.
• Valentina G. Bruno & Bahattin Büyükşahin & Michel A. Robe, 2017, "The Financialization of Food?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 99, issue 1, pages 243-264.
• Joseph P. Janzen & Michael K. Adjemian, 2017, "Estimating the Location of World Wheat Price Discovery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 99, issue 5, pages 1188-1207.
• Liuren Wu & Jingyi Zhu, 2017, "Simple Robust Hedging with Nearby Contracts," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 1, pages 1-35.
• Gianni Amisano & Roberto Savona, 2017, "Mutual Funds Dynamics and Economic Predictors," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 2, pages 302-330.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 333-376.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017, "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 377-387.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 418-426.
• Konstantinos Metaxoglou & Aaron Smith, 2017, "Forecasting Stock Returns Using Option-Implied State Prices," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 427-473.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 504-504.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017, "Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 505-505.
• Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega, 2017, "Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 4, pages 602-648.
• Pablo Moran, 2017, "Information Revelation in Merger Waves," The Review of Corporate Finance Studies, Society for Financial Studies, volume 6, issue 2, pages 174-233.
• Maria Grith & Wolfgang K. Härdle & Volker Krätschmer, 2017, "Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle," Review of Finance, European Finance Association, volume 21, issue 1, pages 269-298.
• Hanxue Yang & Juho Kanniainen, 2017, "Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets," Review of Finance, European Finance Association, volume 21, issue 2, pages 811-844.
• Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2017, "Commodity Markets, Long-Run Predictability, and Intertemporal Pricing," Review of Finance, European Finance Association, volume 21, issue 3, pages 1159-1188.
• Johan Walden, 2017, "Recovery with Unbounded Diffusion Processes," Review of Finance, European Finance Association, volume 21, issue 4, pages 1403-1444.
• Athina Georgopoulou & Jiaguo (George) Wang, 2017, "The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets," Review of Finance, European Finance Association, volume 21, issue 4, pages 1557-1592.
• Frank J. Fabozzi & Ahmet K. Karagozoglu & Na Wang, 2017, "Effects of Spot Market Short-Sale Constraints on Index Futures Trading," Review of Finance, European Finance Association, volume 21, issue 5, pages 1975-2005.
• Holger M. Mueller & Paige P. Ouimet & Elena Simintzi, 2017, "Within-Firm Pay Inequality," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 10, pages 3605-3635.
• Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2017, "Contingent Capital, Tail Risk, and Debt-Induced Collapse," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 11, pages 3921-3969.
• Jack Bao & Kewei Hou, 2017, "De Facto Seniority, Credit Risk, and Corporate Bond Prices," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 11, pages 4038-4080.
• Martin Oehmke & Adam Zawadowski, 2017, "The Anatomy of the CDS Market," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 1, pages 80-119.
• Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017, "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 2, pages 442-504.
• 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.