Research classified by Journal of Economic Literature (JEL) codes

2016

• Jian Wu, 2016, "When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance," Bankers, Markets & Investors, ESKA Publishing, issue 142, pages 42-53, May-June.
• Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016, "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers, Society for Economic Dynamics, number 432.
• Lasse Pedersen & David Lando & Christian Skov Jensen, 2016, "Generalized Recovery," 2016 Meeting Papers, Society for Economic Dynamics, number 935.
• Pratap Kumar Jena, 2016, "Financialisation of Commodity Market in India : A Closer Look at the Evidence," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 19, issue 60, pages 147-168, June.
• Osama M. Badr & Ahmed F. El-khadrawi, 2016, "Macroeconomic Variables, Government Effectiveness and Sovereign Credit Rating: A Case of Egypt," Applied Economics and Finance, Redfame publishing, volume 3, issue 4, pages 29-36, November.
• George Kopits & Benno Ferrarini & Arief Ramayandi, 2016, "Exploring Risk-Adjusted Fiscal Sustainability Analysis for Asian Economies," ADB Economics Working Paper Series, Asian Development Bank, number 483, May.
• Marie Brière & Benno Ferrarini & Arief Ramayandi, 2016, "Contingent Claims Analysis of Sovereign Debt Sustainability in Asian Emerging Markets," ADB Economics Working Paper Series, Asian Development Bank, number 486, Jun.
• Adam Zaremba, 2016, "Strategies Based on Momentum and Term Structure in Financialized Commodity Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 1, pages 31-46.
• Álvaro Tresierra & Claudia Carrasco, 2016, "Valorización de opciones reales: modelo Ornstein-Uhlenbeck," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 21, issue 41, pages 56-62.
• Philipp Lauenstein & André Küster Simic, 2016, "Information Processing in Freight and Freight Forward Markets: An Event Study on OPEC Announcements," Working Paper, Helmut Schmidt University, Hamburg, number 172/2016, Sep.
• Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³, 2016, "Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 12, issue 2, pages 23-35, October.
• Michael J O’Neill & Zhangxin (Frank) Liu, 2016, "Tail risk hedging for mutual funds using equity market state prices," Australian Journal of Management, Australian School of Business, volume 41, issue 4, pages 687-698, November, DOI: 10.1177/0312896215615170.
• Thiagu Ranganathan & Sarthak Gaurav & Ashish Singh, 2016, "Demand for Price Insurance among Farmers in India: A Choice Experiment-based Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 10, issue 2, pages 198-224, May, DOI: 10.1177/0973801015625266.
• Brajesh Kumar, 2016, "Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205752, Mar.
• Milanesi, Gastón Silverio, 2016, "Un modelo "naive" de opción barrera para la predicción de fracaso financiero / A “naive” barrier option model to predict final distress," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 6, issue 2, pages 159-186, julio-dic.
• Sanjay Sehgal & Mala Dutt, 2016, "Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, volume 43, issue 3, pages 239-258, September, DOI: 10.1007/s40622-016-0137-1.
• Xiaodong Du & Fengxia Dong, 2016, "Responses to market information and the impact on price volatility and trading volume: the case of Class III milk futures," Empirical Economics, Springer, volume 50, issue 2, pages 661-678, March, DOI: 10.1007/s00181-015-0933-z.
• Lukito Adi Nugroho, 2016, "Franchise ownership redirection: real options perspective," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 2, issue 1, pages 1-11, December, DOI: 10.1186/s40854-016-0030-0.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016, "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 1-50, January, DOI: 10.1007/s00780-015-0283-x.
• Arash Fahim & Yu-Jui Huang, 2016, "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, volume 20, issue 1, pages 51-81, January, DOI: 10.1007/s00780-015-0284-9.
• Bruno Bouchard & Marcel Nutz, 2016, "Consistent price systems under model uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 83-98, January, DOI: 10.1007/s00780-015-0286-7.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016, "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 1-50, January, DOI: 10.1007/s00780-015-0283-x.
• Peter Bank & Selim Gökay, 2016, "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, volume 20, issue 1, pages 153-182, January, DOI: 10.1007/s00780-015-0278-7.
• Arash Fahim & Yu-Jui Huang, 2016, "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, volume 20, issue 1, pages 51-81, January, DOI: 10.1007/s00780-015-0284-9.
• Bruno Bouchard & Marcel Nutz, 2016, "Consistent price systems under model uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 83-98, January, DOI: 10.1007/s00780-015-0286-7.
• Kim Weston, 2016, "Stability of utility maximization in nonequivalent markets," Finance and Stochastics, Springer, volume 20, issue 2, pages 511-541, April, DOI: 10.1007/s00780-016-0289-z.
• Jiatu Cai & Masaaki Fukasawa, 2016, "Asymptotic replication with modified volatility under small transaction costs," Finance and Stochastics, Springer, volume 20, issue 2, pages 381-431, April, DOI: 10.1007/s00780-016-0294-2.
• Pierre Henry-Labordère & Nizar Touzi, 2016, "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, volume 20, issue 3, pages 635-668, July, DOI: 10.1007/s00780-016-0299-x.
• Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016, "Additive subordination and its applications in finance," Finance and Stochastics, Springer, volume 20, issue 3, pages 589-634, July, DOI: 10.1007/s00780-016-0300-8.
• Angelos Dassios & You You Zhang, 2016, "The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing," Finance and Stochastics, Springer, volume 20, issue 3, pages 773-804, July, DOI: 10.1007/s00780-016-0302-6.
• Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016, "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, volume 20, issue 3, pages 705-740, July, DOI: 10.1007/s00780-016-0303-5.
• Damir Filipović & Martin Larsson, 2016, "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, volume 20, issue 4, pages 931-972, October, DOI: 10.1007/s00780-016-0304-4.
• Tianyang Nie & Marek Rutkowski, 2016, "A BSDE approach to fair bilateral pricing under endogenous collateralization," Finance and Stochastics, Springer, volume 20, issue 4, pages 855-900, October, DOI: 10.1007/s00780-016-0306-2.
• Andrew Lyasoff, 2016, "Another look at the integral of exponential Brownian motion and the pricing of Asian options," Finance and Stochastics, Springer, volume 20, issue 4, pages 1061-1096, October, DOI: 10.1007/s00780-016-0307-1.
• Yuri Kabanov & Constantinos Kardaras & Shiqi Song, 2016, "No arbitrage of the first kind and local martingale numéraires," Finance and Stochastics, Springer, volume 20, issue 4, pages 1097-1108, October, DOI: 10.1007/s00780-016-0310-6.
• Thaddeus Neururer & George Papadakis & Edward J. Riedl, 2016, "Tests of investor learning models using earnings innovations and implied volatilities," Review of Accounting Studies, Springer, volume 21, issue 2, pages 400-437, June, DOI: 10.1007/s11142-015-9348-5.
• Markus HERTRICH, 2016, "A Note on Credit Spread Forwards," Journal of Advanced Studies in Finance, ASERS Publishing, volume 7, issue 1, pages 77-81.
• David Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term structures of asset prices and returns," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 16-08.
• Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016, "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers, University of Sydney, School of Economics, number 2016-14, Aug.
• Lumengo Bonga-Bonga & Ekerete Umoetok, 2016, "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, volume 48, issue 42, pages 3999-4018, September, DOI: 10.1080/00036846.2016.1150948.
• Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016, "Recovering the real-world density and liquidity premia from option data," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 7, pages 1147-1164, July, DOI: 10.1080/14697688.2015.1128117.
• Stephanie Chan & Sweder van Wijnbergen, 2016, "Coco Design, Risk Shifting Incentives and Capital Regulation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-007/VI, Feb, revised 13 Nov 2017.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-014/III, Mar, revised 30 Jan 2017.
• Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016, "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-046/III, Jun.
• Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016, "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-047/III, Jun.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016, "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-052/III, Jul.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016, "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-053/III, Jul.
• Straub, Ludwig & Ulbricht, Robert, 2016, "Endogenous Second Moments: A Unified Approach to Fluctuations in Risk, Dispersion, and Uncertainty," TSE Working Papers, Toulouse School of Economics (TSE), number 16-664, Jun, revised Mar 2018.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-03, Mar.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016, "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-09, Jun.
• Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016, "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-10, Jun.
• Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016, "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-11, Jun.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016, "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-12, Jun.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-04, Dec.
• C. José García Martín & Begoña Herrero Piqueras & Ana María Ibáñez Escribano, 2016, "The informational role of thin options markets: Empirical evidence from the Spanish case," Estudios de Economia, University of Chile, Department of Economics, volume 43, issue 2 Year 20, pages 233-263, December.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2016, "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2016_01, Mar.
• Ben Ammar, Semir, 2016, "Pricing of Catastrophe Risk and the Implied Volatility Smile," Working Papers on Finance, University of St. Gallen, School of Finance, number 1617, Jul.
• Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2016, "Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns," Working Papers on Finance, University of St. Gallen, School of Finance, number 1621, Dec.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 367, Jan.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016, "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 374, Aug.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 375, Sep.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Empirical Hedging Performance on Long-Dated Crude Oil Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 376, Sep.
• Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016, "Detecting Money Market Bubbles," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 378, Oct.
• Eckhard Platen & David Taylor, 2016, "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 379, Oct.
• Martina Nardon & Paolo Pianca, 2016, "Covered call writing in a cumulative prospect theory framework," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:35.
• Sakowski Paweł & Ślepaczuk Robert & Wywiał Mateusz, 2016, "Cross-Sectional Returns with Volatility Regimes from a Diverse Portfolio of Emerging and Developed Equity Indices," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 12, issue 2, pages 23-35, DOI: 10.1515/fiqf-2016-0141.
• Łukaszewski Tomasz & Głoćko Wojciech, 2016, "An Assessment of Wind Farm Construction Efficiency Using the Real Option Method," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 2, pages 84-102, December, DOI: 10.1515/foli-2016-0027.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-08.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-09.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-10.
• Julian S. Leppin & Stefan Reitz, 2016, "The Role of a Changing Market Environment for Credit Default Swap Pricing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 21, issue 3, pages 209-223, July.
• Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô, 2016, "The Return–Volatility Relation in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 2, pages 127-152, February.
• Stefan Trück & Rafał Weron, 2016, "Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 6, pages 587-611, June.
• Philipp Adämmer & Martin T. Bohl & Christian Gross, 2016, "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 9, pages 851-869, September.
• Song Han & Hao Zhou, 2016, "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 03, pages 1-49, September, DOI: 10.1142/S2010139216500129.
• Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016, "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/10, Nov.
• Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2016, "Stock Illiquidity, option prices, and option returns," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 16-08.
• Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G., 2016, "Why do investors buy sovereign default insurance?," CFS Working Paper Series, Center for Financial Studies (CFS), number 540, DOI: 10.2139/ssrn.2848944.
• Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Subrahmanyam, Marti G., 2016, "How do insiders trade?," CFS Working Paper Series, Center for Financial Studies (CFS), number 541.
• Hofmann, Maurice & Rottmann, Horst, 2016, "Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 55.
• Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016, "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 131, DOI: 10.2139/ssrn.2759314.
• Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016, "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 131 [rev.], revised 2016, DOI: 10.2139/ssrn.2759314.
• Grith, Maria & Härdle, Wolfgang Karl & Kneip, Alois & Wagner, Heiko, 2016, "Functional principal component analysis for derivatives of multivariate curves," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-033.
• Dilger, Alexander, 2016, "Bedingte Aktiengeschäfte," Discussion Papers of the Institute for Organisational Economics, University of Münster, Institute for Organisational Economics, number 08/2016.
• Gelman, Sergey & Kliger, Doron, 2016, "Time-Induced Stress Effect on Financial Decision Making in Real Markets: The Case of Traffic Congestion," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145915.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016, "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-20, Jun.
• Alexandru Badescu & Joan del Castillo & Juan-Pablo Ortega, 2016, "Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options," Annals of Economics and Statistics, GENES, issue 123-124, pages 271-306, DOI: 10.15609/annaeconstat2009.123-124.0.
• Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2016, "Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees," American Economic Review, American Economic Association, volume 106, issue 6, pages 1278-1319, June.
• Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016, "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, volume 8, issue 2, pages 111-136, April.
• Christopher R. Knittel & Robert S. Pindyck, 2016, "The Simple Economics of Commodity Price Speculation," American Economic Journal: Macroeconomics, American Economic Association, volume 8, issue 2, pages 85-110, April.
• Daniel J. Clarke, 2016, "A Theory of Rational Demand for Index Insurance," American Economic Journal: Microeconomics, American Economic Association, volume 8, issue 1, pages 283-306, February.
• Li, Jian & Chavas, Jean-Paul & Etienne, Xiaoli & Li, Chongguang, 2016, "Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235068, DOI: 10.22004/ag.econ.235068.
• Joseph, Kishore & Garcia, Philip, , "Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235772, DOI: 10.22004/ag.econ.235772.
• Chen, Kuan-Ju & Chen, Kuan-Heng, 2016, "Analysis of Energy and Agricultural Commodity Markets with the Policy Mandated: A Vine Copula-based ARMA-EGARCH Model," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 236028, DOI: 10.22004/ag.econ.236028.
• Joseph, Kishore & Garcia, Philip & Peterson, Paul E., , "Does the Boxed Beef Price Inform the Live Cattle Futures Price?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 236166, DOI: 10.22004/ag.econ.236166.
• Shah, Anand, 2016, "Pricing of Rainfall Insurance in India using Gaussian and t Copulas," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK, Agricultural Economics Society, number 236288, Apr, DOI: 10.22004/ag.econ.236288.
• Janzen, Joseph P. & Adjemian, Michael K., 2016, "Estimating the Location of World Wheat Price Discovery," 2017 Allied Social Sciences Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois, Agricultural and Applied Economics Association, number 250112, Nov, DOI: 10.22004/ag.econ.250112.
• Beatriz Martínez, Beatriz Martínez & Hipòlit Torró, Hipòlit Torró, , "Anatomy of Risk Premium in UK Natural Gas Futures," ESP: Energy Scenarios and Policy, Fondazione Eni Enrico Mattei (FEEM), number 232212, DOI: 10.22004/ag.econ.232212.
• Rousse, Olivier & Sévi, Benoît, , "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy, Fondazione Eni Enrico Mattei (FEEM), number 249788, DOI: 10.22004/ag.econ.249788.
• Ferreira Frascaroli, Bruno & Soares de Araújo Carvalho, Patrícia, 2016, "Transmissão De Preços No Mercado De Bioetanol Entre Alagoas E Pernambuco: Uma Análise De Cointegração," Revista de Economia e Agronegócio / Brazilian Review of Economics and Agribusiness, Federal University of Vicosa, Department of Agricultural Economics, volume 14, issue 01-2-3, pages 1-34, DOI: 10.22004/ag.econ.253028.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016, "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Papers, arXiv.org, number 1608.04683, Aug, revised Mar 2018.
• Kevin Guo & Tim Leung, 2016, "Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options," Papers, arXiv.org, number 1610.09403, Oct, revised Apr 2017.
• Eckhard Platen & David Taylor, 2016, "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers, arXiv.org, number 1610.09875, Oct.
• Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi, 2016, "Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion," Papers, arXiv.org, number 1612.01979, Dec.
• Vitaliy Semenyuk, 2016, "Pragmatics Of Using A Modified Capm Model For Estimating Cost Of Equity On Emerging Markets," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 2, issue 2, DOI: 10.30525/2256-0742/2016-2-2-135-142.
• Bo Young Chang & Greg Orosi, 2016, "Equity Option-Implied Probability of Default and Equity Recovery Rate," Staff Working Papers, Bank of Canada, number 16-58, DOI: 10.34989/swp-2017-58.
• Jean-Sébastien Fontaine, 2016, "What Fed Funds Futures Tell Us About Monetary Policy Uncertainty," Staff Working Papers, Bank of Canada, number 16-61, DOI: 10.34989/swp-2017-61.
• Abdulkadir KAYA, 2016, "The Feature of Being Leading Indicator of Futures and Spot Markets That Based on Share Market: Evidence From Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 10, issue 1, pages 35-64.
• Ozge KORKMAZ & Deniz ERER & Elif ERER, 2016, "Do the Bubbles in Alternative Financial Instruments Affect the Turkish Stock Market? An Application to BIST100," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 10, issue 2, pages 29-61.
• Ricardo Gimeno & Eva Ortega, 2016, "The evolution of inflation expectations in euro area markets," Working Papers, Banco de España, number 1627, Nov.
• Onofrio Panzarino & Francesco Potente & Alfonso Puorro, 2016, "BTP futures and cash relationships: a high frequency data analysis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1083, Sep.
• Benavides Guillermo, 2016, "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Working Papers, Banco de México, number 2016-11, Jun.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2016, "Risk premia and seasonality in commodity futures," Bank of England working papers, Bank of England, number 591, Apr.
• Yuliya Baranova & Zijun Liu & Joseph Noss, 2016, "The role of collateral in supporting liquidity," Bank of England working papers, Bank of England, number 609, Aug.
• James Benford & Mark Joy & Mark Kruger, 2016, "Sovereign GDP-linked bonds," Bank of England Financial Stability Papers, Bank of England, number 39, Sep.
• Sun-Joong Yoon & Chang Gyun Park, 2016, "Non-Recourse Mortgage Loans and Implied Option Prices (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 22, issue 1, pages 63-92, March.
• Härdle Wolfgang Karl & Silyakova Elena, 2016, "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, volume 33, issue 1-2, pages 1-20, September, DOI: 10.1515/strm-2014-1176.
• Michael Hasler & Roberto Marfè, 2016, "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 458.
• Augusto Carvalho & Bernardo Guimaraes, 2016, "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers, Centre for Macroeconomics (CFM), number 1702, Dec.
• Martin HERDEGEN & Martin SCHWEIZER, 2016, "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-02, Jan.
• Giovanni Barone-Adesi & Chiara Legnazzi & Antonietta Mira, 2016, "A Bayesian Estimate of the Pricing Kernel," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-14, Feb.
• Markus Leippold & Steven Schaerer, 2016, "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-15, Mar.
• Damir Filipović & Martin Larsson & Anders B. Trolle, 2016, "On the Relation between Linearity-Generating Processes and Linear-Rational Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-23, Mar.
• Damien Ackerer & Damir Filipović, 2016, "Linear Credit Risk Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-34, May, revised Jun 2016.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016, "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-35, May, revised Jun 2016.
• Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016, "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-41, Jul.
• Damir Filipovic & Yerkin Kitapbayev, 2016, "On the American Swaption in the Linear-Rational Framework," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-44, Jul.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016, "WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-53, Dec.
• Damien Ackerer & Thibault Vatter, 2016, "Dependent Defaults and Losses with Factor Copula Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-59, Oct.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016, "S&P 500 Index, an Option Implied Risk Analysis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-62, Nov.
• Yan Dolinsky & Halil Mete Soner, 2016, "Convex Duality with Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-71, Apr.
• Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018, "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-40, Jun.
• René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016, "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers, CIRANO, number 2016s-20, Apr.
• Skander Ben Abdallah & Pierre Lasserre, 2016, "Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry," CIRANO Working Papers, CIRANO, number 2016s-37, Aug.
• Gastón Silverio Milanesi, 2016, "Valuación de opciones simples y complejas contenidas en arrendamientos financieros," Estudios Gerenciales, Universidad Icesi, volume 32, issue 138, pages 25-34.
• Julio César Alonso Cifuentes & Andr�s Mauricio Arcila V�squez & Sebasti�n Montenegro Arana, 2016, "Herramientas de estabilización de los precios internos del azúcar en Colombia: ¿Funcionan?," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 86, pages 105-126.
• Chernov, Mikhail & Longstaff, Francis & Dunn, Brett R., 2016, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10947, Mar.
• van Wijnbergen, Sweder & Chan, Stephanie, 2016, "CoCo Design, Risk Shifting and Financial Fragility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11099, Feb.
• Petrella, Ivan & Sola, Martin & Hevia, Constantino, 2016, "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11169, Mar.
• Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016, "Term structures of asset prices and returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11227, Apr.
• Miller, Marcus & Zhang, Lei & Rastapana, Songklod, 2016, "A comedy of errors: misguided policy, mis-sold mortgages, and more," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11533, Sep.
• Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016, "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11576, Oct.
• Martin T. Bohl & Christian Gross & Waldemar Souza, 2016, "The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 5116, Jul.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016, "Coherent Pricing," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number 22932, May.
• Balbás, Alejandro & Garrido, José & Okhrati, Ramin, 2016, "Good deal measurement in asset pricing: Actuarial and financial implications," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number 23546, Sep.
• Ashton, Robert H., 2016, "The Value of Expert Opinion in the Pricing of Bordeaux Wine Futures," Journal of Wine Economics, Cambridge University Press, volume 11, issue 2, pages 261-288, August.
• Ruxing Xu & Dan Wu & Ronghua Yi, 2016, "Pricing Cdss And Cds Options Under A Regime-Switching Cev Process With Jump To Default," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 1, pages 253-271.
• Xinyu WU & Hailin ZHOU, 2016, "GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 1, pages 327-342.
• Kyoung-Sook Moon & Yunju Jeong & Hongjoong Kim, 2016, "An Efficient Binomial Method for Pricing Asian Options," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 2, pages 151-164.
• Atanu DAS, 2016, "Higher Order Adaptive Kalman Filter For Time Varying Alpha And Cross Market Beta Estimation In Indian Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 3, pages 211-228.
• Иван Иванов, 2016, "Алтернативни Инвестиции В Зелена Енергия," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 11, issue 11 Year 2, pages 705-714.
• Стефан Симеонов, 2016, "Измерители На Борсовата Активност – Изследване На Индикаторите И Анализ На Пазарния Тренд," "Economic World" Library, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 131 Year , pages 3-228.
• Vergote, Olivier, 2016, "Credit risk spillover between financials and sovereigns in the euro area during 2007-2015," Working Paper Series, European Central Bank, number 1898, Apr.
• Huang, Jing-Zhi & Shi, Zhan, 2016, "Hedging Interest Rate Risk Using a Structural Model of Credit Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-04, Feb.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016, "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-2, Jan.
• Chen, Zhiyao & Strebulaev, Ilya A., 2016, "Bargaining Power, Business Cycle and Levered Equity Risk," Research Papers, Stanford University, Graduate School of Business, number 3466, Jun.
• Nessrine Hamzaoui & Boutheina Regaieg, 2016, "The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1608-1615.
• Woradee Jongadsayakul, 2016, "A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1744-1749.
• Wajih Abbasi & Petr H jek & Diana Ismailova & Saira Yessimzhanova & Zouhaier Ben Khelifa & Kholnazar Amonov, 2016, "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1918-1929.
• Tanattrin Bunnag, 2016, "Volatility Transmission in Crude Oil, Gold, Standard and Poor s 500 and US Dollar Index Futures using Vector Autoregressive Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 1, pages 39-52.
• Ching-Chun Wei & Shu-Min Chen, 2016, "Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 1, pages 58-64.
• Ching-Chun Wei & Ya-Ling Lin, 2016, "Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 4, pages 655-662.
• Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016, "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, volume 48, issue 2, pages 134-150, DOI: 10.1016/j.bar.2016.03.001.
• Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016, "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, volume 48, issue 4, pages 431-447, DOI: 10.1016/j.bar.2015.11.001.
• Sun, Lei & Widdicks, Martin, 2016, "Why do employees like to be paid with Options?: A multi-period prospect theory approach," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 106-125, DOI: 10.1016/j.jcorpfin.2016.03.002.
• Dai, Min & Tang, Ling & Yue, Xingye, 2016, "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, volume 64, issue C, pages 66-81, DOI: 10.1016/j.jedc.2016.01.002.
• Glover, Kristoffer J. & Hambusch, Gerhard, 2016, "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, volume 67, issue C, pages 1-21, DOI: 10.1016/j.jedc.2016.03.006.
• Ben Abdallah, Skander & Lasserre, Pierre, 2016, "Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 144-164, DOI: 10.1016/j.jedc.2016.07.008.
• He, Xin-Jiang & Zhu, Song-Ping, 2016, "An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching," Journal of Economic Dynamics and Control, Elsevier, volume 71, issue C, pages 77-85, DOI: 10.1016/j.jedc.2016.08.002.
• Soumaré, Issouf & Lai, Van Son, 2016, "An analysis of government loan guarantees and direct investment through public-private partnerships," Economic Modelling, Elsevier, volume 59, issue C, pages 508-519, DOI: 10.1016/j.econmod.2016.08.012.
• Chen, Chen & Lee, Hsiu-Chuan & Liao, Tzu-Hsiang, 2016, "Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 203-225, DOI: 10.1016/j.najef.2015.10.010.
• Gogolin, Fabian & Kearney, Fearghal, 2016, "Does speculation impact what factors determine oil futures prices?," Economics Letters, Elsevier, volume 144, issue C, pages 119-122, DOI: 10.1016/j.econlet.2016.05.007.
• Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016, "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, volume 145, issue C, pages 225-229, DOI: 10.1016/j.econlet.2016.05.035.
• Jang, Woon Wook & Eom, Young Ho & Kang, Yong Joo, 2016, "Corporate bond pricing model with stochastically volatile firm value process," Economics Letters, Elsevier, volume 148, issue C, pages 41-44, DOI: 10.1016/j.econlet.2016.09.018.
• Ghoddusi, Hamed & Fahim, Arash, 2016, "Volatility can be detrimental to option values!," Economics Letters, Elsevier, volume 149, issue C, pages 5-9, DOI: 10.1016/j.econlet.2016.10.001.
• Song, Zhaogang & Xiu, Dacheng, 2016, "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, volume 190, issue 1, pages 176-196, DOI: 10.1016/j.jeconom.2015.06.024.
• Park, Yang-Ho, 2016, "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 313-328, DOI: 10.1016/j.jeconom.2016.01.001.
• Wang, Xiaohu & Yu, Jun, 2016, "Double asymptotics for explosive continuous time models," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 35-53, DOI: 10.1016/j.jeconom.2016.02.014.
• Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016, "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 43-67, DOI: 10.1016/j.jempfin.2015.09.004.
• Tu, Anthony H. & Hsieh, Wen-Liang G. & Wu, Wei-Shao, 2016, "Market uncertainty, expected volatility and the mispricing of S&P 500 index futures," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 78-98, DOI: 10.1016/j.jempfin.2015.10.006.
• Agliardi, Elettra & Amel-Zadeh, Amir & Koussis, Nicos, 2016, "Leverage changes and growth options in mergers and acquisitions," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 37-58, DOI: 10.1016/j.jempfin.2016.02.004.
• Kim, Myeong Jun & Park, Sung Y., 2016, "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 139-156, DOI: 10.1016/j.jempfin.2016.06.002.
• Teterin, Pavel & Brooks, Robert & Enders, Walter, 2016, "Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 22-36, DOI: 10.1016/j.jempfin.2016.05.005.
• Figuerola-Ferretti, Isabel & McCrorie, J. Roderick, 2016, "The shine of precious metals around the global financial crisis," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 717-738, DOI: 10.1016/j.jempfin.2016.02.013.
• Baum, Christopher F. & Zerilli, Paola, 2016, "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Energy Economics, Elsevier, volume 53, issue C, pages 175-181, DOI: 10.1016/j.eneco.2014.10.007.
• Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2016, "Modelling futures price volatility in energy markets: Is there a role for financial speculation?," Energy Economics, Elsevier, volume 53, issue C, pages 220-229, DOI: 10.1016/j.eneco.2014.07.001.
• Almansour, Abdullah, 2016, "Convenience yield in commodity price modeling: A regime switching approach," Energy Economics, Elsevier, volume 53, issue C, pages 238-247, DOI: 10.1016/j.eneco.2014.06.016.
• Xu, Li & Deng, Shi-Jie & Thomas, Valerie M., 2016, "Carbon emission permit price volatility reduction through financial options," Energy Economics, Elsevier, volume 53, issue C, pages 248-260, DOI: 10.1016/j.eneco.2014.06.001.
• Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang, 2016, "An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments," Energy Economics, Elsevier, volume 54, issue C, pages 213-223, DOI: 10.1016/j.eneco.2015.12.005.
• Benedetto, F. & Giunta, G. & Mastroeni, L., 2016, "On the predictability of energy commodity markets by an entropy-based computational method," Energy Economics, Elsevier, volume 54, issue C, pages 302-312, DOI: 10.1016/j.eneco.2015.12.009.
• Kang, Sang Baum & Létourneau, Pascal, 2016, "Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk," Energy Economics, Elsevier, volume 54, issue C, pages 96-107, DOI: 10.1016/j.eneco.2015.11.023.