Research classified by Journal of Economic Literature (JEL) codes

2016

• 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, Centre for Economic Policy Research, number 10947, Mar.
• van Wijnbergen, Sweder & Chan, Stephanie, 2016, "CoCo Design, Risk Shifting and Financial Fragility," CEPR Discussion Papers, Centre for Economic Policy Research, number 11099, Feb.
• Petrella, Ivan & Sola, Martin & Hevia, Constantino, 2016, "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers, Centre for Economic Policy Research, number 11169, Mar.
• Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016, "Term structures of asset prices and returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 11227, Apr.
• Miller, Marcus & Zhang, Lei & Rastapana, Songklod, 2016, "A comedy of errors: misguided policy, mis-sold mortgages, and more," CEPR Discussion Papers, Centre for Economic Policy Research, number 11533, Sep.
• Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016, "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016, "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, volume 56, issue C, pages 215-228, DOI: 10.1016/j.eneco.2016.03.022.
• Liu, Wei-han, 2016, "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, volume 56, issue C, pages 351-362, DOI: 10.1016/j.eneco.2016.03.026.
• Berger, Theo & Uddin, Gazi Salah, 2016, "On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes," Energy Economics, Elsevier, volume 56, issue C, pages 374-383, DOI: 10.1016/j.eneco.2016.03.024.
• Ergen, Ibrahim & Rizvanoghlu, Islam, 2016, "Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach," Energy Economics, Elsevier, volume 56, issue C, pages 64-74, DOI: 10.1016/j.eneco.2016.02.022.
• Fiuza de Bragança, Gabriel Godofredo & Daglish, Toby, 2016, "Can market power in the electricity spot market translate into market power in the hedge market?," Energy Economics, Elsevier, volume 58, issue C, pages 11-26, DOI: 10.1016/j.eneco.2016.05.010.
• Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016, "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, volume 59, issue C, pages 11-23, DOI: 10.1016/j.eneco.2016.07.006.
• Jaeck, Edouard & Lautier, Delphine, 2016, "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, volume 59, issue C, pages 300-313, DOI: 10.1016/j.eneco.2016.08.009.
• Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016, "Parametric model risk and power plant valuation," Energy Economics, Elsevier, volume 59, issue C, pages 423-434, DOI: 10.1016/j.eneco.2016.08.004.
• Guedes, José & Santos, Pedro, 2016, "Valuing an offshore oil exploration and production project through real options analysis," Energy Economics, Elsevier, volume 60, issue C, pages 377-386, DOI: 10.1016/j.eneco.2016.09.024.
• Peña, Juan Ignacio & Rodriguez, Rosa, 2016, "Time-zero efficiency of European power derivatives markets," Energy Policy, Elsevier, volume 95, issue C, pages 253-268, DOI: 10.1016/j.enpol.2016.05.010.
• Misund, Bård & Oglend, Atle, 2016, "Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach," Energy, Elsevier, volume 111, issue C, pages 178-189, DOI: 10.1016/j.energy.2016.05.124.
• Jin, Xing & Yang, Cheng-Yu, 2016, "Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 65-77, DOI: 10.1016/j.irfa.2016.01.009.
• Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016, "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 31-38, DOI: 10.1016/j.irfa.2016.01.019.
• Cummins, Mark & Dowling, Michael & Kearney, Fearghal, 2016, "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 211-218, DOI: 10.1016/j.irfa.2016.05.010.
• Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2016, "Is idiosyncratic volatility priced in commodity futures markets?," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 219-226, DOI: 10.1016/j.irfa.2016.06.002.
• Olkhov, Victor, 2016, "On Economic Space notion," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 372-381, DOI: 10.1016/j.irfa.2016.01.001.
• Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016, "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 182-192, DOI: 10.1016/j.irfa.2016.09.016.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2016, "Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy," Finance Research Letters, Elsevier, volume 16, issue C, pages 208-219, DOI: 10.1016/j.frl.2015.12.005.
• Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016, "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, volume 16, issue C, pages 220-229, DOI: 10.1016/j.frl.2015.12.004.
• Buchner, Axel & Wagner, Niklas, 2016, "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, volume 16, issue C, pages 283-289, DOI: 10.1016/j.frl.2015.12.010.
• Madan, Dilip B. & Wang, King, 2016, "Nonrandom price movements," Finance Research Letters, Elsevier, volume 17, issue C, pages 103-109, DOI: 10.1016/j.frl.2016.02.003.
• Han, Heejae & Jeon, Junkee & Kang, Myungjoo, 2016, "Closed form valuation of American chained knock-in options," Finance Research Letters, Elsevier, volume 17, issue C, pages 176-185, DOI: 10.1016/j.frl.2016.03.003.
• Luo, Xingguo & Qin, Shihua & Ye, Zinan, 2016, "The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market," Finance Research Letters, Elsevier, volume 19, issue C, pages 105-111, DOI: 10.1016/j.frl.2016.06.012.
• Liu, Yanchu & Cui, Zhenyu & Zhang, Ning, 2016, "Integral representation of vega for American put options," Finance Research Letters, Elsevier, volume 19, issue C, pages 204-208, DOI: 10.1016/j.frl.2016.07.013.
• Christopoulos, Andreas D. & Barratt, Joshua G., 2016, "Credit risk findings for commercial real estate loans using the reduced form," Finance Research Letters, Elsevier, volume 19, issue C, pages 228-234, DOI: 10.1016/j.frl.2016.08.004.
• Feng, Yun & Huang, Bing-hua & Huang, Yu, 2016, "Valuing resettable convertible bonds: Based on path decomposing," Finance Research Letters, Elsevier, volume 19, issue C, pages 279-290, DOI: 10.1016/j.frl.2016.09.002.
• Wang, Xingchun, 2016, "Pricing vulnerable options with stochastic default barriers," Finance Research Letters, Elsevier, volume 19, issue C, pages 305-313, DOI: 10.1016/j.frl.2016.09.005.
• Xiao, Shuang & Ma, Shihua, 2016, "Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani," Finance Research Letters, Elsevier, volume 19, issue C, pages 67-74, DOI: 10.1016/j.frl.2016.06.004.
• Wang, Xingchun, 2016, "Pricing power exchange options with correlated jump risk," Finance Research Letters, Elsevier, volume 19, issue C, pages 90-97, DOI: 10.1016/j.frl.2016.06.009.
• Lasser, Dennis J. & Spizman, Joshua D., 2016, "The value of the wildcard option in cash-settled American index options," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 116-131, DOI: 10.1016/j.finmar.2015.09.002.
• Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016, "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 103-124, DOI: 10.1016/j.finmar.2016.05.003.
• Abudy, Menachem Meni & Raviv, Alon, 2016, "How much can illiquidity affect corporate debt yield spread?," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 58-69, DOI: 10.1016/j.jfs.2016.06.011.
• Eichler, Stefan & Sobański, Karol, 2016, "National politics and bank default risk in the eurozone," Journal of Financial Stability, Elsevier, volume 26, issue C, pages 247-256, DOI: 10.1016/j.jfs.2016.07.008.
• van Eijkel, Remco & Kuper, Gerard H. & Moraga-González, José L., 2016, "Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas," International Journal of Industrial Organization, Elsevier, volume 49, issue C, pages 1-35, DOI: 10.1016/j.ijindorg.2016.07.001.
• Cui, Zhenyu & Nguyen, Duy, 2016, "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, volume 68, issue C, pages 150-161, DOI: 10.1016/j.insmatheco.2016.03.012.
• Siu, Tak Kuen, 2016, "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 168-193, DOI: 10.1016/j.insmatheco.2016.05.008.
• Wang, Ting & Young, Virginia R., 2016, "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 238-255, DOI: 10.1016/j.insmatheco.2016.05.006.
• Liang, Zongxia & Sheng, Wenlong, 2016, "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 45-58, DOI: 10.1016/j.insmatheco.2016.03.014.
• Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016, "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 59-69, DOI: 10.1016/j.insmatheco.2016.03.013.
• Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan, 2016, "Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality," Insurance: Mathematics and Economics, Elsevier, volume 70, issue C, pages 286-300, DOI: 10.1016/j.insmatheco.2016.06.014.
• Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016, "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, volume 71, issue C, pages 205-219, DOI: 10.1016/j.insmatheco.2016.09.010.
• Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016, "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, volume 71, issue C, pages 317-331, DOI: 10.1016/j.insmatheco.2016.09.008.
• Wang, Xingchun, 2016, "Catastrophe equity put options with target variance," Insurance: Mathematics and Economics, Elsevier, volume 71, issue C, pages 79-86, DOI: 10.1016/j.insmatheco.2016.08.010.
• Philip, Dennis & Shi, Yukun, 2016, "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 1-15, DOI: 10.1016/j.intfin.2016.03.003.
• Tanha, Hassan & Dempsey, Michael, 2016, "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 44-57, DOI: 10.1016/j.intfin.2016.03.006.
• Realdon, Marco, 2016, "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 44, issue C, pages 128-147, DOI: 10.1016/j.intfin.2016.05.002.
• Laminou Abdou, Souleymane & Moraux, Franck, 2016, "Pricing and hedging American and hybrid strangles with finite maturity," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 112-125, DOI: 10.1016/j.jbankfin.2015.10.003.
• Konstantinidi, Eirini & Skiadopoulos, George, 2016, "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 62-75, DOI: 10.1016/j.jbankfin.2015.10.006.
• Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016, "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 136-149, DOI: 10.1016/j.jbankfin.2015.12.010.
• Huang, Henry H. & Wang, Kent & Wang, Zhanglong, 2016, "A test of efficiency for the S&P 500 index option market using the generalized spectrum method," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 52-70, DOI: 10.1016/j.jbankfin.2015.11.007.
• Zhong, Angel & Gray, Philip, 2016, "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, volume 65, issue C, pages 76-90, DOI: 10.1016/j.jbankfin.2016.01.007.
• Kokholm, Thomas, 2016, "Pricing and hedging of derivatives in contagious markets," Journal of Banking & Finance, Elsevier, volume 66, issue C, pages 19-34, DOI: 10.1016/j.jbankfin.2016.01.012.
• Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus, 2016, "Seasonal Stochastic Volatility: Implications for the pricing of commodity options," Journal of Banking & Finance, Elsevier, volume 66, issue C, pages 53-65, DOI: 10.1016/j.jbankfin.2016.02.001.
• Schertler, Andrea, 2016, "Pricing effects when competitors arrive: The case of discount certificates in Germany," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 84-99, DOI: 10.1016/j.jbankfin.2016.03.009.
• Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin, 2016, "Jump and variance risk premia in the S&P 500," Journal of Banking & Finance, Elsevier, volume 69, issue C, pages 72-83, DOI: 10.1016/j.jbankfin.2016.03.013.
• Eaves, James & Williams, Jeffrey & Power, Gabriel J., 2016, "Do traders strategically time their pledges during real-world Walrasian auctions?," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 109-118, DOI: 10.1016/j.jbankfin.2016.04.018.
• Ahmed, Shamim & Tsvetanov, Daniel, 2016, "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 20-36, DOI: 10.1016/j.jbankfin.2016.06.011.
• Baller, Stefanie & Entrop, Oliver & McKenzie, Michael & Wilkens, Marco, 2016, "Market makers’ optimal price-setting policy for exchange-traded certificates," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 206-226, DOI: 10.1016/j.jbankfin.2016.04.012.
• Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016, "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 133-150, DOI: 10.1016/j.jbankfin.2016.08.002.
• Kim, Gi H., 2016, "Credit derivatives as a commitment device: Evidence from the cost of corporate debt," Journal of Banking & Finance, Elsevier, volume 73, issue C, pages 67-83, DOI: 10.1016/j.jbankfin.2016.08.007.
• Noussair, Charles N. & Tucker, Steven & Xu, Yilong, 2016, "Futures markets, cognitive ability, and mispricing in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, volume 130, issue C, pages 166-179, DOI: 10.1016/j.jebo.2016.07.010.
• Kumar, Satish, 2016, "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, volume 86, issue C, pages 16-32, DOI: 10.1016/j.jeconbus.2016.04.001.
• Abudy, Menachem (Meni) & Benninga, Simon, 2016, "Valuing restricted stock grants to non-executive employees," Journal of Economics and Business, Elsevier, volume 86, issue C, pages 33-51, DOI: 10.1016/j.jeconbus.2016.04.002.
• DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016, "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, volume 163, issue C, pages 410-434, DOI: 10.1016/j.jet.2016.01.009.
• Chambers, Christopher P. & Liu, Ce & Martinez, Seung-Keun, 2016, "A test for risk-averse expected utility," Journal of Economic Theory, Elsevier, volume 163, issue C, pages 775-785, DOI: 10.1016/j.jet.2016.03.002.
• Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016, "Quadratic variance swap models," Journal of Financial Economics, Elsevier, volume 119, issue 1, pages 44-68, DOI: 10.1016/j.jfineco.2015.08.015.
• González-Urteaga, Ana & Rubio, Gonzalo, 2016, "The cross-sectional variation of volatility risk premia," Journal of Financial Economics, Elsevier, volume 119, issue 2, pages 353-370, DOI: 10.1016/j.jfineco.2015.09.009.
• Birru, Justin & Wang, Baolian, 2016, "Nominal price illusion," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 578-598, DOI: 10.1016/j.jfineco.2016.01.027.
• Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016, "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 645-672, DOI: 10.1016/j.jfineco.2016.01.019.
• Carr, Peter & Wu, Liuren, 2016, "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, volume 120, issue 1, pages 1-20, DOI: 10.1016/j.jfineco.2016.01.004.
• Ge, Li & Lin, Tse-Chun & Pearson, Neil D., 2016, "Why does the option to stock volume ratio predict stock returns?," Journal of Financial Economics, Elsevier, volume 120, issue 3, pages 601-622, DOI: 10.1016/j.jfineco.2015.08.019.
• Feldhütter, Peter & Hotchkiss, Edith & Karakaş, Oğuzhan, 2016, "The value of creditor control in corporate bonds," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 1-27, DOI: 10.1016/j.jfineco.2016.03.007.
• Bessembinder, Hendrik & Carrion, Allen & Tuttle, Laura & Venkataraman, Kumar, 2016, "Liquidity, resiliency and market quality around predictable trades: Theory and evidence," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 142-166, DOI: 10.1016/j.jfineco.2016.02.011.
• Barras, Laurent & Malkhozov, Aytek, 2016, "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 79-92, DOI: 10.1016/j.jfineco.2016.02.014.
• Choi, Jaewon & Richardson, Matthew, 2016, "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 254-277, DOI: 10.1016/j.jfineco.2016.05.009.
• Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016, "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 278-299, DOI: 10.1016/j.jfineco.2016.05.008.
• Hasler, Michael & Marfè, Roberto, 2016, "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, volume 122, issue 1, pages 116-134, DOI: 10.1016/j.jfineco.2015.11.002.
• Byun, Suk-Joon & Kim, Da-Hea, 2016, "Gambling preference and individual equity option returns," Journal of Financial Economics, Elsevier, volume 122, issue 1, pages 155-174, DOI: 10.1016/j.jfineco.2016.06.004.
• Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016, "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, volume 63, issue C, pages 137-164, DOI: 10.1016/j.jimonfin.2016.01.003.
• Taylor, Nick, 2016, "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, volume 1, issue 1, pages 14-34, DOI: 10.1016/j.jcomm.2015.12.001.
• Miffre, Joëlle, 2016, "Long-short commodity investing: A review of the literature," Journal of Commodity Markets, Elsevier, volume 1, issue 1, pages 3-13, DOI: 10.1016/j.jcomm.2016.01.001.
• Asche, Frank & Misund, Bård & Oglend, Atle, 2016, "Determinants of the Atlantic salmon futures risk premium," Journal of Commodity Markets, Elsevier, volume 2, issue 1, pages 6-17, DOI: 10.1016/j.jcomm.2016.07.001.
• Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016, "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, volume 3, issue 1, pages 1-15, DOI: 10.1016/j.jcomm.2016.07.006.
• Chaves, Denis B. & Viswanathan, Vivek, 2016, "Momentum and mean-reversion in commodity spot and futures markets," Journal of Commodity Markets, Elsevier, volume 3, issue 1, pages 39-53, DOI: 10.1016/j.jcomm.2016.08.001.
• Lübbers, Johannes & Posch, Peter N., 2016, "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, volume 4, issue 1, pages 28-40, DOI: 10.1016/j.jcomm.2016.10.002.
• Takino, Kazuhiro, 2016, "An equilibrium model for the OTC derivatives market with a collateral agreement," Journal of Commodity Markets, Elsevier, volume 4, issue 1, pages 41-55, DOI: 10.1016/j.jcomm.2016.11.001.
• Bahloul, Walid & Bouri, Abdelfettah, 2016, "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, volume 36, issue C, pages 89-102, DOI: 10.1016/j.mulfin.2016.07.003.
• Gil-Alana, Luis A. & Gupta, Rangan & de Gracia, Fernando Perez, 2016, "Modeling persistence of carbon emission allowance prices," Renewable and Sustainable Energy Reviews, Elsevier, volume 55, issue C, pages 221-226, DOI: 10.1016/j.rser.2015.10.056.
• Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016, "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 88-102, DOI: 10.1016/j.iref.2015.11.001.
• Reboredo, Juan C. & Uddin, Gazi Salah, 2016, "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 284-298, DOI: 10.1016/j.iref.2015.10.043.
• Lu, Jin-Ray & Hwang, Chih-Chiang & Lin, Chien-Yi, 2016, "Do shareholders appreciate capital investment policies of corporations?," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 344-353, DOI: 10.1016/j.iref.2015.12.007.
• Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2016, "The importance of stock liquidity on option pricing," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 457-467, DOI: 10.1016/j.iref.2016.01.008.
• Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh, 2016, "Systematic risk and volatility skew," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 72-87, DOI: 10.1016/j.iref.2015.10.032.
• Lin, Yueh-Neng & Lin, Anchor Y., 2016, "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 88-106, DOI: 10.1016/j.iref.2015.10.033.
• Población, Javier & Serna, Gregorio, 2016, "Is the refining margin stationary?," International Review of Economics & Finance, Elsevier, volume 44, issue C, pages 169-186, DOI: 10.1016/j.iref.2016.04.011.
• Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing, 2016, "Swiss franc's one-sided target zone during 2011–2015," International Review of Economics & Finance, Elsevier, volume 44, issue C, pages 54-67, DOI: 10.1016/j.iref.2016.03.004.
• Shang, Hua & Yuan, Ping & Huang, Lin, 2016, "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, volume 45, issue C, pages 316-332, DOI: 10.1016/j.iref.2016.06.008.
• Taboga, Marco, 2016, "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, volume 45, issue C, pages 453-469, DOI: 10.1016/j.iref.2016.07.013.
• Buchner, Axel, 2016, "How much can lack of marketability affect private equity fund values?," Review of Financial Economics, Elsevier, volume 28, issue C, pages 35-45, DOI: 10.1016/j.rfe.2015.10.002.
• Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016, "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 1-16, DOI: 10.1016/j.ribaf.2015.10.004.
• Tsouknidis, Dimitris A., 2016, "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 91, issue C, pages 90-111, DOI: 10.1016/j.tre.2016.04.001.
• Martin, Ian & Wagner, Christian, 2016, "What is the expected return on a stock?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118957, Nov.
• Oehmke, Martin & Zawadowski, Adam, 2016, "The anatomy of the CDS market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118964, Nov.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2016, "An information based one-factor asset pricing model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118978, Apr.
• Dassios, Angelos & Zhang, You You, 2016, "The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 64959, Jun.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Applying exogenous variables and regime switching to multi-factor models on equity indices," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, volume 47, DOI: 10.17451/eko/47/2016/210.
• Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2016, "Dynamic Factor Models for the Volatility Surface☆," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035004.
• Kushankur Dey & Debasish Maitra, 2016, "Can futures markets accommodate Indian farmers?," Journal of Agribusiness in Developing and Emerging Economies, Emerald Group Publishing Limited, volume 6, issue 2, pages 150-172, November, DOI: 10.1108/JADEE-08-2013-0029.
• Narain & Narander Kumar Nigam & Piyush Pandey, 2016, "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, volume 13, issue 3, pages 271-291, November, DOI: 10.1108/JAMR-09-2015-0062.
• Paulo Pereira da Silva, 2016, "Earnings surprises and the response of CDS markets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 3, pages 377-402, August, DOI: 10.1108/SEF-11-2014-0217.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-15, Mar.
• Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016, "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-28, Jun.
• Chang, C-L. & McAleer, M.J. & Wang, Y., 2016, "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-29, Jun.
• Chang, C-L. & McAleer, M.J. & Tian, J., 2016, "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-30, Jun.
• Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016, "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-31, Jun.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-45, Dec.
• Jian Chen & Chenghu Ma, 2016, "Option Pricing Based on Alternative Jump Size Distributions," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 11, issue 3, pages 439-467, September.
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