Research classified by Journal of Economic Literature (JEL) codes

2016

• Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016, "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 435.
• Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016, "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-087, Sep, DOI: 10.17016/FEDS.2016.087.
• Nick Gebbia, 2016, "Option-Implied Libor Rate Expectations across Currencies," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1182, Oct, DOI: 10.17016/IFDP.2016.1182.
• David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term structures of asset prices and returns," Staff Reports, Federal Reserve Bank of New York, number 774, Apr.
• Peter Van Tassel & Erik Vogt, 2016, "Global variance term premia and intermediary risk appetite," Staff Reports, Federal Reserve Bank of New York, number 789, Aug.
• Rousse, O. & Sévi, B., 2016, "Informed trading in oil-futures market," Working Papers, Grenoble Applied Economics Laboratory (GAEL), number 2016-07.
• Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2016, "Valuing American options using fast recursive projections," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:82087.
• Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016, "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:84999.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016, "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01314609, Feb.
• Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016, "Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors," Post-Print, HAL, number hal-01282601, Sep, DOI: 10.1016/j.insmatheco.2016.09.008.
• Mark Cummins & Michael Dowling & Fearghal Kearney, 2016, "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," Post-Print, HAL, number hal-01387596, Jul, DOI: 10.1016/j.irfa.2016.05.010.
• Edouard Jaeck & Delphine Lautier, 2016, "Volatility in electricity derivative markets: the Samuelson effect revisited," Post-Print, HAL, number hal-01488127, DOI: 10.1016/j.eneco.2016.08.009.
• Souleymane Laminou Abdou & Franck Moraux, 2016, "Pricing and hedging American and hybrid strangles with finite maturity," Post-Print, HAL, number halshs-01242610, Jan, DOI: 10.1016/j.jbankfin.2015.10.003.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016, "Rational land and housing bubbles in infinite-horizon economies," Post-Print, HAL, number halshs-01314609, Feb.
• Olivier Rousse & Benoît Sévi, 2016, "Informed Trading in Oil-Futures Market," Working Papers, HAL, number hal-01410093, Dec, DOI: 10.2139/ssrn.2871932.
• Herbertsson, Alexander & Frey, Rüdiger, 2016, "Cds Index Options Under Incomplete Information," Working Papers in Economics, University of Gothenburg, Department of Economics, number 685, Dec.
• Grodecka, Anna, 2016, "Subprime Borrowers, Securitization and the Transmission of Business Cycles," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 317, Mar.
• Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau, 2016, "Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets," Working Papers, Hong Kong Institute for Monetary Research, number 072016, May.
• Chi-Fai Lo & Cho-Hoi Hui, 2016, "Pricing Corporate Bonds With Interest Rates Following Double Square-root Process," Working Papers, Hong Kong Institute for Monetary Research, number 112016, Jun.
• Cho-Hoi Hui & Edward Tan, 2016, "Dynamic interactions between government bonds and exchange rate expectations in currency options," Working Papers, Hong Kong Institute for Monetary Research, number 182016, Sep.

2015

• Lucia Švábová, 2015, "Estimating The Parameter Delta In The Black Model Using The Finite Difference Method For Futures Options," CBU International Conference Proceedings, ISE Research Institute, volume 3, issue 0, pages 109-114, September, DOI: 10.12955/cbup.v3.591.
• Marek Ďurica, 2015, "Modification Of Delta For Chooser Options," CBU International Conference Proceedings, ISE Research Institute, volume 3, issue 0, pages 123-128, September, DOI: 10.12955/cbup.v3.593.
• Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015, "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-13, Jan.
• Jean-Guy Simonato & Lars Stentoft, 2015, "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-32, Jul.
• Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2015, "Hybrid scheme for Brownian semistationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-43, Sep.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015, "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-54, Nov.
• Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015, "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2015-17, Sep.
• Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015, "Sovereigns and banks in the euro area: A tale of two crises," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 15-01, Jan.
• Elena CARA & Olga GANCEARUC, 2015, "Forecast Of Brent Oil Price - A Deliberation On Use Of Futures Contracts Or/And Of The Econometric Models Forecasts," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 4, issue 1, pages 18-28, JULY.
• Zuppiroli, Marco & Donati, Michele & Riani, Marco & Verga, Giovanni, 2015, "The Impact of Trading Activity in Agricultural Futures Markets," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 207848, Jun, DOI: 10.22004/ag.econ.207848.
• Behmiri, Niaz Bashiri & Manera, Matteo, , "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 208768, DOI: 10.22004/ag.econ.208768.
• Prehn, S. & Glauben, T. & Loy, J.-P. & Pies, I. & Will, M.G., None, "Der Einfluss von long-only-Indexfonds auf die Preisbildung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), volume 50, DOI: 10.22004/ag.econ.261708.
• Siddiqi, Hammad, 2015, "Analogy Based Valuation of Commodity Options," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 197334, Jan, DOI: 10.22004/ag.econ.197334.
• Siddiqi, Hammad, 2015, "Relative Risk Perception and the Puzzle of Covered Call Writing," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 199882, Mar, DOI: 10.22004/ag.econ.199882.
• Siddiqi, Hammad, 2015, "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 207677, Jul, DOI: 10.22004/ag.econ.207677.
• Petitjean, Mikael, 2015, "How integrated is the European carbon derivatives market?," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2015004, Jan.
• Robert A. Jarrow, 2015, "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 201-218, December, DOI: 10.1146/annurev-financial-030215-03.
• Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and Its Implications for Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 219-252, December, DOI: 10.1146/annurev-financial-111914-04.
• Eric Dahlgren & Tim Leung, 2015, "An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions," Papers, arXiv.org, number 1502.00861, Feb.
• Ricardo Crisostomo, 2015, "An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," Papers, arXiv.org, number 1502.02963, Feb, revised Mar 2015.
• Gianluca Cassese, 2015, "Non Parametric Estimates of Option Prices Using Superhedging," Papers, arXiv.org, number 1502.03978, Feb.
• M. Bonollo & L. Di Persio & I. Oliva & A. Semmoloni, 2015, "A Quantization Approach to the Counterparty Credit Exposure Estimation," Papers, arXiv.org, number 1503.01754, Mar.
• Carlo Marinelli & Stefano d'Addona, 2015, "Nonparametric estimates of pricing functionals," Papers, arXiv.org, number 1506.06568, Jun, revised Sep 2017.
• Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2015, "The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew," Papers, arXiv.org, number 1512.04741, Dec, revised Oct 2018.
• Valeriy Dudnyk & Ludmila Lozovska, 2015, "Indicator System For Measurement Of Financial And Economic Activities In Public Institutions," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 1, issue 1, DOI: 10.30525/2256-0742/2015-1-1-81-85.
• Javier Mencía & Enrique Sentana, 2015, "Volatility-related exchange traded assets: an econometric investigation," Working Papers, Banco de España, number 1510, Apr.
• Alfredo Ibáñez, 2015, "Default near-the-default-point: the value of and the distance to default," Working Papers, Banco de España, number 1514, Jun.
• Marco Casiraghi & Marcello Miccoli, 2015, "Risk-adjusted expectations of inflation," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 286, Jul.
• Sara Cecchetti & Filippo Natoli & Laura Sigalotti, 2015, "Tail comovement in option-implied inflation expectations as an indicator of anchoring," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1025, Jul.
• Zvika Afik & Ohad Arad & Koresh Galil, 2015, "Using Merton model: an empirical assessment of alternatives," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 1503.
• Marcin Jaskowski & Michael McAleer, 2015, "Volatility smirk as an externality of agency conflict and growing debt," International Journal of Economic Theory, The International Society for Economic Theory, volume 11, issue 4, pages 389-404, December.
• Michael Chin & Zhuoshi Liu, 2015, "A joint affine model of commodity futures and US Treasury yields," Bank of England working papers, Bank of England, number 526, Mar.
• Marek Raczko, 2015, "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England working papers, Bank of England, number 552, Sep.
• Arzu Uluc, 2015, "Stabilising house prices: the role of housing futures trading," Bank of England working papers, Bank of England, number 559, Oct.
• Jaehun CHOI & Hosung LIM & Rogelio Jr. MERCADO & Cyn-Young PARK, 2015, "Price Discovery and Foreign Participation in Korea's Government Bond Cash and Futures Markets," Working Papers, Economic Research Institute, Bank of Korea, number 2015-8, Mar.
• Hertrich, Markus & Zimmermann, Heinz, 2015, "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Working papers, Faculty of Business and Economics - University of Basel, number 2015/09.
• Philippe Bertrand & Jean-Luc Prigent, 2015, "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Finance, Presses universitaires de Grenoble, volume 36, issue 2, pages 67-105.
• Roberto Marfè, 2015, "Corporate Fraction and the Equilibrium Term-Structure of Equity Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 409.
• Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015, "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 439.
• Silvester Van Koten, 2015, "Forward Premia in Electricity Markets: Two Caveats," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp543, Jun.
• Markus LEIPPOLD & Nikola VASILJEVIC, 2015, "Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-08, Feb, revised Mar 2015.
• Semyon MALAMUD, 2015, "Noisy Arrow-Debreu Equilibria," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-09, Feb.
• Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2015, "Hedging with Small Uncertainty Aversion," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-19, Jul, revised Apr 2017.
• Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI, 2015, "The Price of the Smile and Variance Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-36, Sep.
• Sebastian Herrmann & Johannes Muhle-Karbe, 2015, "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-52, Nov, revised Jul 2016.
• Javier Mencía & Enrique Sentana, 2015, "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers, CEMFI, number wp2015_1501, Feb.
• Andrés Mauricio Molina & Jos� Alfredo Jim�nez, 2015, "Valoración de derivados europeos con mixtura de distribuciones Weibull," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Andrés Mora-Valencia & Germ�n Gonz�lez-Echeverri & Juan Gregorio Solano, 2015, "Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad," Estudios Gerenciales, Universidad Icesi, volume 31, issue 136, pages 287-298.
• Andrés Mora-Valencia & Germa?n Gonza?lez-Echeverri & Juan Gregorio Solano, 2015, "Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad," Estudios Gerenciales, Universidad Icesi, volume 31, issue 136, pages 287-298.
• Julio C. Alonso & Andr�s M. Arcila & Sebasti�n Montenegro, 2015, "¿Estabiliza el FEPA los precios locales del azúcar?," Estudios Gerenciales, Universidad Icesi, issue 04.
• Luis Eduardo Giron & Ferney Herrera Cruz, 2015, "Calculo y comparacion de la prima de un reaseguro de salud usando el modelo de opciones de Black-Scholes y el modelo actuarial," Revista de Economía del Rosario, Universidad del Rosario, volume 18, issue 2, pages 211-248.
• Pablo Moreno-Alemay & Catherine Pereira-Villa, 2015, "Why does Colombia lack agricultural commodity futures?," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 7, issue 2, pages 325-339.
• Julio C. Alonso & AndrÔøΩs M. Arcila & SebastiÔøΩn Montenegro, 2015, "¬øEstabiliza el FEPA los precios locales del az√∫car?," Icesi Economics Working Papers, Universidad Icesi, number 14581, Jun.
• Vrins, F. & Jeanblanc, M., 2015, "The [phi]-Martingale," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015022, Apr.
• Paolo MAZZA & Mikael PETITJEAN, 2015, "How integrated is the European carbon derivatives market?," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2777, Jan.
• Sentana, Enrique & Mencía, Javier, 2015, "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers, Centre for Economic Policy Research, number 10444, Mar.
• Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015, "Early Option Exercise: Never Say Never," CEPR Discussion Papers, Centre for Economic Policy Research, number 11019, Dec.
• Philipp Adämmer & Martin T. Bohl & Christian Gross, 2015, "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3915, Apr.
• Philipp Adämmer & Martin T. Bohl, 2015, "Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4415, Dec.
• Dimitrios I. Vortelinos, 2015, "The Effect of Macro News on Volatility and Jumps," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 425-447, November.
• Larmande , Francois & Belze , Loïc & Schneider , Lorenz, 2015, "Pricing Model Management: Evidence from Employee Stock Option (Un)Fair Valuation," HEC Research Papers Series, HEC Paris, number 1103, Sep.
• Laura Ballotta & Griselda Deelstra & Grégory Rayée, 2015, "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-36, Oct.
• Meyler, Aidan & Grothe, Magdalena, 2015, "Inflation forecasts: Are market-based and survey-based measures informative?," Working Paper Series, European Central Bank, number 1865, Nov.
• Bao, Jack & Chen, Jia & Hou, Kewei & Lu, Lei, 2015, "Prices and Volatilities in the Corporate Bond Market," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-18, Aug.
• Li, Jian & Li, Chongguang & Chavas, Jean-Paul, 2015, "Food Price Bubbles and Government Intervention: Is China Different?," Staff Paper Series, University of Wisconsin, Agricultural and Applied Economics, number 579, Jun.
• Fethi Belhaj & Ezzeddine Abaoub, 2015, "A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 354-364.
• Tanattrin Bunnag, 2015, "Hedging Petroleum Futures with Multivariate GARCH Models," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 1, pages 105-120.
• Mohamed Osman, 2015, "Dynamic Asymmetries in the Electric Consumption of the GCC Countries," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 461-467.
• Tanattrin Bunnag, 2015, "Volatility Transmission in Oil Futures Markets and Carbon Emissions Futures," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 3, pages 647-659.
• Finnerty, John D., 2015, "Valuing convertible bonds and the option to exchange bonds for stock," Journal of Corporate Finance, Elsevier, volume 31, issue C, pages 91-115, DOI: 10.1016/j.jcorpfin.2014.12.012.
• Zhou, Xinghua & Reesor, R. Mark, 2015, "Misrepresentation and capital structure: Quantifying the impact on corporate debt value," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 293-310, DOI: 10.1016/j.jcorpfin.2015.07.007.
• Attaoui, Sami & Poncet, Patrice, 2015, "Write-Down Bonds and Capital and Debt Structures," Journal of Corporate Finance, Elsevier, volume 35, issue C, pages 97-119, DOI: 10.1016/j.jcorpfin.2015.08.009.
• Suda, Shintaro & Muroi, Yoshifumi, 2015, "Computation of Greeks using binomial trees in a jump-diffusion model," Journal of Economic Dynamics and Control, Elsevier, volume 51, issue C, pages 93-110, DOI: 10.1016/j.jedc.2014.09.032.
• Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara, 2015, "Pricing external barrier options in a regime-switching model," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 123-143, DOI: 10.1016/j.jedc.2015.02.007.
• Colwell, David B. & Feldman, David & Hu, Wei, 2015, "Non-transferable non-hedgeable executive stock option pricing," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 161-191, DOI: 10.1016/j.jedc.2015.02.002.
• Dahlgren, Eric & Leung, Tim, 2015, "An optimal multiple stopping approach to infrastructure investment decisions," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 251-267, DOI: 10.1016/j.jedc.2015.02.001.
• Chen, Yingshan & Dai, Min & Xu, Jing & Xu, Mingyu, 2015, "Superhedging under ratio constraint," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 250-264, DOI: 10.1016/j.jedc.2015.06.009.
• Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015, "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 34-57, DOI: 10.1016/j.jedc.2015.05.016.
• Ewald, Christian-Oliver & Yor, Marc, 2015, "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, volume 59, issue C, pages 22-36, DOI: 10.1016/j.jedc.2015.07.004.
• Bianconi, Marcelo & MacLachlan, Scott & Sammon, Marco, 2015, "Implied volatility and the risk-free rate of return in options markets," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 1-26, DOI: 10.1016/j.najef.2014.10.003.
• Yu, Xisheng & Xie, Xiaoke, 2015, "Pricing American options: RNMs-constrained entropic least-squares approach," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 155-173, DOI: 10.1016/j.najef.2014.10.009.
• Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015, "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, volume 33, issue C, pages 115-133, DOI: 10.1016/j.najef.2015.04.001.
• Ma, Jingtang & Deng, Dongya & Lai, Yongzeng, 2015, "Explicit approximate analytic formulas for timer option pricing with stochastic interest rates," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 1-21, DOI: 10.1016/j.najef.2015.07.002.
• Fengler, Matthias R. & Hin, Lin-Yee, 2015, "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, volume 184, issue 2, pages 242-261, DOI: 10.1016/j.jeconom.2014.09.003.
• Shaliastovich, Ivan, 2015, "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 18-42, DOI: 10.1016/j.jeconom.2015.02.007.
• Choi, Seungmoon, 2015, "Explicit form of approximate transition probability density functions of diffusion processes," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 57-73, DOI: 10.1016/j.jeconom.2015.02.003.
• Asai, Manabu & McAleer, Michael, 2015, "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 436-446, DOI: 10.1016/j.jeconom.2015.02.029.
• Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015, "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 458-471, DOI: 10.1016/j.jeconom.2015.02.031.
• Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015, "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 486-497, DOI: 10.1016/j.jeconom.2015.02.033.
• Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015, "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 498-511, DOI: 10.1016/j.jeconom.2015.02.034.
• Eraker, Bjørn & Wang, Jiakou, 2015, "A non-linear dynamic model of the variance risk premium," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 547-556, DOI: 10.1016/j.jeconom.2015.02.038.
• Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015, "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 557-579, DOI: 10.1016/j.jeconom.2015.02.039.
• Sojli, Elvira & Tham, Wing Wah, 2015, "Divided governments and futures prices," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 622-633, DOI: 10.1016/j.jeconom.2015.02.043.
• Peat, Maurice & Svec, Jiri & Wang, Jue, 2015, "The effects of fiscal opacity on sovereign credit spreads," Emerging Markets Review, Elsevier, volume 24, issue C, pages 34-45, DOI: 10.1016/j.ememar.2015.05.001.
• Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui, 2015, "Explaining the default risk anomaly by the two-beta model," Journal of Empirical Finance, Elsevier, volume 30, issue C, pages 16-33, DOI: 10.1016/j.jempfin.2014.11.006.
• Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015, "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, volume 31, issue C, pages 72-84, DOI: 10.1016/j.jempfin.2015.02.004.
• Chesney, Marc & Crameri, Remo & Mancini, Loriano, 2015, "Detecting abnormal trading activities in option markets," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 263-275, DOI: 10.1016/j.jempfin.2015.03.008.
• Bekkour, Lamia & Jin, Xisong & Lehnert, Thorsten & Rasmouki, Fanou & Wolff, Christian, 2015, "Euro at risk: The impact of member countries' credit risk on the stability of the common currency," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 67-83, DOI: 10.1016/j.jempfin.2015.06.004.
• Gao, Lin & Süss, Stephan, 2015, "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 84-103, DOI: 10.1016/j.jempfin.2015.07.001.
• Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015, "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 260-274, DOI: 10.1016/j.jempfin.2015.07.003.
• Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015, "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 34-44, DOI: 10.1016/j.jempfin.2015.08.005.
• Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian, 2015, "The impact of fundamental and financial traders on the term structure of oil," Energy Economics, Elsevier, volume 48, issue C, pages 276-287, DOI: 10.1016/j.eneco.2015.01.001.
• Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur, 2015, "A comparison of implied and realized volatility in the Nordic power forward market," Energy Economics, Elsevier, volume 48, issue C, pages 288-294, DOI: 10.1016/j.eneco.2014.12.021.
• Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015, "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, volume 48, issue C, pages 336-349, DOI: 10.1016/j.eneco.2014.11.006.
• Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M., 2015, "The overnight risk premium in electricity forward contracts," Energy Economics, Elsevier, volume 49, issue C, pages 293-300, DOI: 10.1016/j.eneco.2014.12.022.
• Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S., 2015, "Expected commodity returns and pricing models," Energy Economics, Elsevier, volume 49, issue C, pages 60-71, DOI: 10.1016/j.eneco.2015.01.015.
• Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B., 2015, "A multi-factor model with time-varying and seasonal risk premiums for the natural gas market," Energy Economics, Elsevier, volume 50, issue C, pages 207-214, DOI: 10.1016/j.eneco.2015.04.013.
• Mahringer, Steffen & Prokopczuk, Marcel, 2015, "An empirical model comparison for valuing crack spread options," Energy Economics, Elsevier, volume 51, issue C, pages 177-187, DOI: 10.1016/j.eneco.2015.06.015.
• Hitzemann, Steffen & Uhrig-Homburg, Marliese & Ehrhart, Karl-Martin, 2015, "Emission permits and the announcement of realized emissions: Price impact, trading volume, and volatilities," Energy Economics, Elsevier, volume 51, issue C, pages 560-569, DOI: 10.1016/j.eneco.2015.07.007.
• Benth, Fred Espen & Koekebakker, Steen, 2015, "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, volume 52, issue PA, pages 104-117, DOI: 10.1016/j.eneco.2015.09.009.
• Lucia, Julio J. & Mansanet-Bataller, Maria & Pardo, Ángel, 2015, "Speculative and hedging activities in the European carbon market," Energy Policy, Elsevier, volume 82, issue C, pages 342-351, DOI: 10.1016/j.enpol.2014.11.014.
• Marra, Miriam, 2015, "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, volume 37, issue C, pages 148-167, DOI: 10.1016/j.irfa.2014.11.016.
• Philip, Dennis & Shi, Yukun, 2015, "Impact of allowance submissions in European carbon emission markets," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 27-37, DOI: 10.1016/j.irfa.2015.05.004.
• Byun, Suk Joon & Chang, Ki Cheon, 2015, "Volatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 88-102, DOI: 10.1016/j.irfa.2015.03.018.
• Yang, Zhaojun & Zhao, Zhiming, 2015, "Valuation and analysis of contingent convertible securities with jump risk," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 124-135, DOI: 10.1016/j.irfa.2015.05.029.
• Narayan, Seema & Smyth, Russell, 2015, "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 380-393, DOI: 10.1016/j.irfa.2015.09.003.
• Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015, "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 447-458, DOI: 10.1016/j.irfa.2015.09.009.
• Voelzke, Jan, 2015, "Weakening the Gain–Loss-Ratio measure to make it stronger," Finance Research Letters, Elsevier, volume 12, issue C, pages 58-66, DOI: 10.1016/j.frl.2014.11.007.
• Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih, 2015, "Long memory and the relation between options and stock prices," Finance Research Letters, Elsevier, volume 12, issue C, pages 77-91, DOI: 10.1016/j.frl.2014.11.005.
• Han, Jihun & Park, Hyungbin, 2015, "The intrinsic bounds on the risk premium of Markovian pricing kernels," Finance Research Letters, Elsevier, volume 13, issue C, pages 36-44, DOI: 10.1016/j.frl.2015.03.005.
• Makarov, R. & Metzler, A. & Ni, Z., 2015, "Modelling default risk with occupation times," Finance Research Letters, Elsevier, volume 13, issue C, pages 54-65, DOI: 10.1016/j.frl.2015.03.003.
• Hu, Jun & Kanniainen, Juho, 2015, "Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics," Finance Research Letters, Elsevier, volume 14, issue C, pages 1-10, DOI: 10.1016/j.frl.2015.07.004.
• Fouquau, Julien & Six, Pierre, 2015, "A comparison of the convenience yield and interest-adjusted basis," Finance Research Letters, Elsevier, volume 14, issue C, pages 142-149, DOI: 10.1016/j.frl.2015.05.005.
• Ballestra, Luca Vincenzo & Cecere, Liliana, 2015, "Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley," Finance Research Letters, Elsevier, volume 14, issue C, pages 45-55, DOI: 10.1016/j.frl.2015.05.017.
• Ehsani, Sina & Lien, Donald, 2015, "A note on minimum riskiness hedge ratio," Finance Research Letters, Elsevier, volume 15, issue C, pages 11-17, DOI: 10.1016/j.frl.2015.05.002.
• Wang, Xingchun & Fu, Jianping & Wang, Guanying & Wang, Yongjin, 2015, "Quadratic hedging strategies for volatility swaps," Finance Research Letters, Elsevier, volume 15, issue C, pages 125-132, DOI: 10.1016/j.frl.2015.09.002.
• Buchner, Axel, 2015, "Equilibrium option pricing: A Monte Carlo approach," Finance Research Letters, Elsevier, volume 15, issue C, pages 138-145, DOI: 10.1016/j.frl.2015.09.004.
• Mazza, Paolo & Petitjean, Mikael, 2015, "How integrated is the European carbon derivatives market?," Finance Research Letters, Elsevier, volume 15, issue C, pages 18-30, DOI: 10.1016/j.frl.2015.07.005.
• Luo, Xingguo & Ye, Zinan, 2015, "Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?," Finance Research Letters, Elsevier, volume 15, issue C, pages 68-77, DOI: 10.1016/j.frl.2015.08.005.
• Cifarelli, Giulio & Paladino, Giovanna, 2015, "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, volume 25, issue C, pages 1-15, DOI: 10.1016/j.finmar.2015.07.002.
• Berkowitz, Jason P. & Depken, Craig A. & Gandar, John M., 2015, "Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market," Journal of Financial Markets, Elsevier, volume 25, issue C, pages 16-32, DOI: 10.1016/j.finmar.2015.06.003.
• Park, Yang-Ho, 2015, "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, volume 26, issue C, pages 38-63, DOI: 10.1016/j.finmar.2015.05.003.
• Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015, "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, volume 21, issue C, pages 95-109, DOI: 10.1016/j.jfs.2015.09.003.
• Fard, Farzad Alavi, 2015, "Analytical pricing of vulnerable options under a generalized jump–diffusion model," Insurance: Mathematics and Economics, Elsevier, volume 60, issue C, pages 19-28, DOI: 10.1016/j.insmatheco.2014.10.007.
• Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015, "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, volume 62, issue C, pages 62-78, DOI: 10.1016/j.insmatheco.2015.02.005.
• Hunt, Andrew & Blake, David, 2015, "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, volume 63, issue C, pages 12-29, DOI: 10.1016/j.insmatheco.2015.03.017.
• Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015, "State price densities implied from weather derivatives," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 106-125, DOI: 10.1016/j.insmatheco.2015.05.001.
• Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2015, "Geometric stopping of a random walk and its applications to valuing equity-linked death benefits," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 313-325, DOI: 10.1016/j.insmatheco.2015.06.006.
• Hao, Xuemiao & Li, Xuan, 2015, "Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform," Insurance: Mathematics and Economics, Elsevier, volume 65, issue C, pages 103-110, DOI: 10.1016/j.insmatheco.2015.09.005.
• Rombouts, Jeroen V.K. & Stentoft, Lars, 2015, "Option pricing with asymmetric heteroskedastic normal mixture models," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 635-650, DOI: 10.1016/j.ijforecast.2014.09.002.
• Billings, Mary Brooke & Jennings, Robert & Lev, Baruch, 2015, "On guidance and volatility," Journal of Accounting and Economics, Elsevier, volume 60, issue 2, pages 161-180, DOI: 10.1016/j.jacceco.2015.07.008.
• Wang, Junbo & Wu, Chunchi, 2015, "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 183-203, DOI: 10.1016/j.jbankfin.2014.10.003.
• Doumpos, Michael & Niklis, Dimitrios & Zopounidis, Constantin & Andriosopoulos, Kostas, 2015, "Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 599-607, DOI: 10.1016/j.jbankfin.2014.01.010.
• Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine, 2015, "Rate fears gauges and the dynamics of fixed income and equity volatilities," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 256-265, DOI: 10.1016/j.jbankfin.2014.04.030.
• Bo, Lijun & Capponi, Agostino, 2015, "Counterparty risk for CDS: Default clustering effects," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 29-42, DOI: 10.1016/j.jbankfin.2014.11.010.
• Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015, "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 34-48, DOI: 10.1016/j.jbankfin.2014.11.018.
• Perrakis, Stylianos & Zhong, Rui, 2015, "Credit spreads and state-dependent volatility: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 215-231, DOI: 10.1016/j.jbankfin.2015.02.017.
• Schuster, Philipp & Uhrig-Homburg, Marliese, 2015, "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 143-159, DOI: 10.1016/j.jbankfin.2014.10.016.
• Tarsalewska, Monika, 2015, "The timing of mergers along the production chain, capital structure, and risk dynamics," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 51-64, DOI: 10.1016/j.jbankfin.2015.03.014.
• Correia, Ricardo & Población, Javier, 2015, "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 112-130, DOI: 10.1016/j.jbankfin.2015.03.011.
• Leippold, Markus & Su, Lujing, 2015, "Collateral smile," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 15-28, DOI: 10.1016/j.jbankfin.2015.03.019.
• Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015, "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 343-360, DOI: 10.1016/j.jbankfin.2015.05.003.
• Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni, 2015, "Trading strategies with implied forward credit default swap spreads," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 361-375, DOI: 10.1016/j.jbankfin.2015.04.018.
• Barsotti, Flavia & Viva, Luca Del, 2015, "Performance and determinants of the Merton structural model: Evidence from hedging coefficients," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 95-111, DOI: 10.1016/j.jbankfin.2015.04.007.
• Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015, "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 38-56, DOI: 10.1016/j.jbankfin.2015.05.009.
• Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015, "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 423-444, DOI: 10.1016/j.jbankfin.2015.07.006.
• Duyvesteyn, Johan & de Zwart, Gerben, 2015, "Riding the swaption curve," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 57-75, DOI: 10.1016/j.jbankfin.2015.05.012.
• Le Courtois, Olivier & Menoncin, Francesco, 2015, "Portfolio optimisation with jumps: Illustration with a pension accumulation scheme," Journal of Banking & Finance, Elsevier, volume 60, issue C, pages 127-137, DOI: 10.1016/j.jbankfin.2015.08.001.
• Adams, Zeno & Glück, Thorsten, 2015, "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, volume 60, issue C, pages 93-111, DOI: 10.1016/j.jbankfin.2015.07.008.
• Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay, 2015, "Short-term options: Clienteles, market segmentation, and event trading," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 237-250, DOI: 10.1016/j.jbankfin.2015.09.001.
• Chen, An & Hentschel, Felix & Klein, Jakob K., 2015, "A utility- and CPT-based comparison of life insurance contracts with guarantees," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 327-339, DOI: 10.1016/j.jbankfin.2015.09.016.
• Audrino, Francesco & Fengler, Matthias R., 2015, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 46-63, DOI: 10.1016/j.jbankfin.2015.08.018.
• Sebehela, Tumellano, 2015, "Rationally financing an acquisition," Journal of Economics and Business, Elsevier, volume 81, issue C, pages 1-20, DOI: 10.1016/j.jeconbus.2015.05.004.
• Muzzioli, Silvia, 2015, "The optimal corridor for implied volatility: From periods of calm to turmoil," Journal of Economics and Business, Elsevier, volume 81, issue C, pages 77-94, DOI: 10.1016/j.jeconbus.2015.07.001.
• Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M., 2015, "Put–Call Parity and market frictions," Journal of Economic Theory, Elsevier, volume 157, issue C, pages 730-762, DOI: 10.1016/j.jet.2014.12.011.
• Uyanık, Metin, 2015, "On the nonemptiness of the α-core of discontinuous games: Transferable and nontransferable utilities," Journal of Economic Theory, Elsevier, volume 158, issue PA, pages 213-231, DOI: 10.1016/j.jet.2015.04.005.
• Holmberg, Pär & Willems, Bert, 2015, "Relaxing competition through speculation: Committing to a negative supply slope," Journal of Economic Theory, Elsevier, volume 159, issue PA, pages 236-266, DOI: 10.1016/j.jet.2015.06.004.
• Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015, "Bank risk behavior and connectedness in EMU countries," Journal of International Money and Finance, Elsevier, volume 57, issue C, pages 161-184, DOI: 10.1016/j.jimonfin.2015.07.014.
• Bedoui, Rihab & Hamdi, Haykel, 2015, "Option-implied risk aversion estimation," The Journal of Economic Asymmetries, Elsevier, volume 12, issue 2, pages 142-152, DOI: 10.1016/j.jeca.2015.06.001.
• Bosch, David & Pradkhan, Elina, 2015, "The impact of speculation on precious metals futures markets," Resources Policy, Elsevier, volume 44, issue C, pages 118-134, DOI: 10.1016/j.resourpol.2015.02.006.
• Nicolau, Mihaela & Palomba, Giulio, 2015, "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, volume 45, issue C, pages 130-143, DOI: 10.1016/j.resourpol.2015.04.004.
• Cummins, Mark & Dowling, Michael & Lucey, Brian M., 2015, "Behavioral influences in non-ferrous metals prices," Resources Policy, Elsevier, volume 45, issue C, pages 9-22, DOI: 10.1016/j.resourpol.2015.03.002.
• Behmiri, Niaz Bashiri & Manera, Matteo, 2015, "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, volume 46, issue P2, pages 139-150, DOI: 10.1016/j.resourpol.2015.09.004.
• Aboura, Sofiane & Chevallier, Julien, 2015, "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, volume 30, issue C, pages 62-82, DOI: 10.1016/j.mulfin.2015.03.001.
• Lafuente, Juan Angel & Serrano, Pedro, 2015, "On the compensation for illiquidity in sovereign credit markets," Journal of Multinational Financial Management, Elsevier, volume 30, issue C, pages 83-100, DOI: 10.1016/j.mulfin.2015.03.003.