Research classified by Journal of Economic Literature (JEL) codes

2016

• 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), Paradigm, 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, Paradigm, 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.
• Robert Ślepaczuk, 2016, "Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices," Financial Internet Quarterly, University of Information Technology and Management in Rzeszów, volume 12, issue 2, pages 24-35, January, DOI: 10.1515/fiqf-2016-0141.
• 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.

2015

• C. H. Hui & C. F. Lo & T. Fong, 2015, "A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015," Working Papers, Hong Kong Institute for Monetary Research, number 152015, Jul.
• Cho-Hoi Hui & Chi-Fai Lo & Xiao-Fen Zheng & Tom Fong, 2015, "Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets," Working Papers, Hong Kong Institute for Monetary Research, number 182015, Aug.
• Jun-Biao Lin, 2015, "Hedging Strategy Comparisons Of Volatility Index Options Using Diffusion Models," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 3, pages 59-69.
• Woradee Jongadsayakul, 2015, "Determinants Of Silver Futures Price Volatility: Evidence From The Thailand Futures Exchange," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 4, pages 81-87.
• Eduardo Sandoval, 2015, "Small Vs Large Caps. Evidence From Developed And Emerging Stock Markets During Periods With And Without Financial Crisis, Small Vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergentes En Periodos Con Vs Sin Crisis Financiera," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 8, issue 4, pages 27-44.
• García-Machado, Juan J. & Rybczynski, Jaroslaw, 2015, "Three-Point Volatility Smile Classification: Evidence From The Warsow Stock Exchange During Volatile Summer 2011 / Clasificación De Las Sonrisas De Volatilidad Según Tres Puntos De Monetización: Evidencia Empírica Para La Bolsa De Varsovia Durante El," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 21, issue 1, pages 17-25.
• Tim Xiao, 2015, "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, volume 4, issue 1, pages 1-25.
• Tetsuya Adachi & Yoshihiko Uchida, 2015, "Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 15-E-11, Jul.
• Nidhi Aggarwal, 2015, "Limits to arbitrage: The case of single stock futures and spot prices," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2015-010, May.
• Rohini Grover, 2015, "The informational role of algorithmic traders in the option market," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2015-012, May.
• Aguilar-Juárez, Isabel Patricia. & Venegas-Martínez, Francisco., 2015, "Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 20, pages 7-46, primer se.
• Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015, "“Sovereigns and banks in the euro area: a tale of two crises”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201504, Jan, revised Jan 2015.
• Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015, "“Bank risk behavior and connectedness in EMU countries”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201517, Jun, revised Jun 2015.
• Maul Daniel & Fischer Martin & Schiereck Dirk, 2015, "Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen / Speculation in Futures Markets and the Impact on Agricultural Commodity Prices: A Time S," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 235, issue 6, pages 608-629, December, DOI: 10.1515/jbnst-2015-0606.
• Dilip Madan, 2015, "Asset pricing theory for two price economies," Annals of Finance, Springer, volume 11, issue 1, pages 1-35, February, DOI: 10.1007/s10436-014-0255-8.
• Robert Elliott & Jia Shen, 2015, "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, volume 11, issue 2, pages 199-220, May, DOI: 10.1007/s10436-015-0260-6.
• Robert Elliott & Jia Shen, 2015, "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, volume 11, issue 3, pages 319-344, November, DOI: 10.1007/s10436-015-0259-z.
• Kazuhiro Yoshikawa, 2015, "An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 22, issue 2, pages 185-207, May, DOI: 10.1007/s10690-014-9199-2.
• Paulo Silva, 2015, "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 4, pages 381-427, November, DOI: 10.1007/s11408-015-0258-0.
• Jyh-Bang Jou & Tan (Charlene) Lee, 2015, "How Do Density Ceiling Controls Affect Housing Prices and Urban Boundaries?," The Journal of Real Estate Finance and Economics, Springer, volume 50, issue 2, pages 219-241, February, DOI: 10.1007/s11146-014-9460-5.
• Geonwoo Kim & Hyuncheul Lim & Sungchul Lee, 2015, "On pricing options with stressed-beta in a reduced form model," Review of Derivatives Research, Springer, volume 18, issue 1, pages 29-50, April, DOI: 10.1007/s11147-014-9103-2.
• Andrés Mirantes & Javier Población & Gregorio Serna, 2015, "Commodity derivative valuation under a factor model with time-varying market prices of risk," Review of Derivatives Research, Springer, volume 18, issue 1, pages 75-93, April, DOI: 10.1007/s11147-014-9104-1.
• Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015, "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, volume 18, issue 2, pages 107-143, July, DOI: 10.1007/s11147-014-9106-z.
• Chun-Ying Chen & Hsiao-Chuan Wang & Jr-Yan Wang, 2015, "The valuation of forward-start rainbow options," Review of Derivatives Research, Springer, volume 18, issue 2, pages 145-188, July, DOI: 10.1007/s11147-014-9105-0.
• Finbarr Murphy & Ehud Ronn, 2015, "The valuation and information content of options on crude-oil futures contracts," Review of Derivatives Research, Springer, volume 18, issue 2, pages 95-106, July, DOI: 10.1007/s11147-014-9107-y.
• Tianyang Wang & James Dyer & Warren Hahn, 2015, "A copula-based approach for generating lattices," Review of Derivatives Research, Springer, volume 18, issue 3, pages 263-289, October, DOI: 10.1007/s11147-015-9111-x.
• Luiz Vitiello & Ivonia Rebelo, 2015, "A note on the pricing of multivariate contingent claims under a transformed-gamma distribution," Review of Derivatives Research, Springer, volume 18, issue 3, pages 291-300, October, DOI: 10.1007/s11147-015-9112-9.
• Konstantinos Skindilias & Chia Lo, 2015, "Local volatility calibration during turbulent periods," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 3, pages 425-444, April, DOI: 10.1007/s11156-013-0412-6.
• Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015, "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 4, pages 755-789, May, DOI: 10.1007/s11156-013-0425-1.
• Cheng-Few Lee & Oleg Sokolinskiy, 2015, "R-2GAM stochastic volatility model: flexibility and calibration," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 3, pages 463-483, October, DOI: 10.1007/s11156-014-0443-7.
• Thomas Bollinger & Axel Kind, 2015, "Risk Premiums in the Cross-Section of Commodity Convenience Yields," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2015-17, Aug.
• Jolanta Zombirt, 2015, "Contingent Convertible Bonds as an Alternative to Strengthen Banks' Ability in Financing a Real Economy," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., volume 3, issue 1, pages 135-149.
• Tai Young-Taft, 2015, "Marx's Theory of Money and 21st-century Macrodynamics," Economics Working Paper Archive, Levy Economics Institute, number wp_841, Jul.
• Sebastian Schich & Arturo Estrella, 2015, "Valuing guaranteed bank debt: Role of strength and size of the bank and the guarantor," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 3, issue 5, pages 19-32, October.
• Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2015, "Valuing American options using fast recursive projections," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 15-20.
• Panayiotis Theodossiou, 2015, "Skewed Generalized Error Distribution of Financial Assets and Option Pricing," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 4, pages 223-266, December.
• Gianluca Cassese, 2015, "Nonparametric Estimates of Option Prices Using Superhedging," Working Papers, University of Milano-Bicocca, Department of Economics, number 293, Feb, revised Feb 2015.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2015, "Towards a skewness index for the Italian stock market," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0064, Nov.
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015, "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0058, Dec.
• Seema Narayan & Russell Smyth, 2015, "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers, Monash University, Department of Economics, number 06-15, Jan.
• Skander BEN ABDALLAH & Pierre LASSERRE, 2015, "Optimum Forest Rotations of Alternative Tree Species," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 06-2015.
• Michael Osei & Zhiguang Wang, 2015, "Seasonality and Stochastic Volatility in Wheat Options," Journal of Economic Insight, Missouri Valley Economic Association, volume 41, issue 1, pages 1-20.
• George M. Constantinides & Lei Lian, 2015, "The Supply and Demand of S&P 500 Put Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21161, May.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21491, Aug.
• Xiao, Tim, 2015, "An Efficient Lattice Algorithm For The Libor Market Model," arabixiv.org, Center for Open Science, number fvtxd, Jul, DOI: 10.31221/osf.io/fvtxd.
• Xiao, Tim, 2015, "An Efficient Lattice Algorithm For The Libor Market Model," FrenXiv, Center for Open Science, number dxvnw, Jul, DOI: 10.31226/osf.io/dxvnw.
• Xiao, Tim, 2015, "An Efficient Lattice Algorithm For The Libor Market Model," SocArXiv, Center for Open Science, number qmh9c, Jul, DOI: 10.31235/osf.io/qmh9c.
• Morana Mesaric & Luka Burilovic, 2015, "Management Of Ict-Based Enterprises - Approach Through Frameworks For Business Architecture, It Governance And It Management," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, volume 11, pages 1027-1038.
• Branimir Dukic & Sanja Coric & Danijel Bara, 2015, "Information System Reengineering Effects Through The Establishment Of The Special Department For Business Intelligence In Business Entities," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, volume 11, pages 936-954.
• Eduardo Rossi & Dean Fantazzini, 2015, "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 4, pages 922-961.
• Chanatip Kitwiwattanachai & Neil D. Pearson, 2015, "Inferring Correlations of Asset Values and Distances-to-Default from CDS Spreads: A Structural Model Approach," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 1, pages 112-154.
• Antje Berndt, 2015, "A Credit Spread Puzzle for Reduced-Form Models," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 1, pages 48-91.
• Siddiqi, Hammad, 2015, "Analogy based Valuation of Commodity Options," MPRA Paper, University Library of Munich, Germany, number 61083, Jan.
• García Muñoz, Luis Manuel & de Lope Contreras, Fernando & Palomar Burdeus, Juan Esteban, 2015, "Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA," MPRA Paper, University Library of Munich, Germany, number 62086, Feb.
• Siddiqi, Hammad, 2015, "Analogy Based Valuation of Currency Options," MPRA Paper, University Library of Munich, Germany, number 62333, Feb.
• Siddiqi, Hammad, 2015, "Relative Risk Perception and the Puzzle of Covered Call writing," MPRA Paper, University Library of Munich, Germany, number 62763, Mar.
• Bonga-Bonga, Lumengo & Umoetok, Ekerete, 2015, "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," MPRA Paper, University Library of Munich, Germany, number 62932, Mar.
• Ibañez, Francisco & Romero-Meza, Rafael & Coronado-Ramírez, Semei & Venegas-Martínez, Francisco, 2015, "Innovaciones financieras en América Latina: mercados de derivados y determinantes de la administración de riesgo
  [Financial Innovations in Latin America: Derivatives markets and Determinants of Risk Management]," MPRA Paper, University Library of Munich, Germany, number 63151, Mar.
• Siddiqi, Hammad, 2015, "Anchoring Heuristic in Option Pricing," MPRA Paper, University Library of Munich, Germany, number 63218, Mar.
• Siddiqi, Hammad, 2015, "Explaining the Smile in Currency Options: Is it Anchoring?," MPRA Paper, University Library of Munich, Germany, number 63528, Apr.
• Cayton, Peter Julian, 2015, "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper, University Library of Munich, Germany, number 63755, Apr.
• Hammad, Siddiqi, 2015, "Index Option Returns from an Anchoring Perspective," MPRA Paper, University Library of Munich, Germany, number 65331, Jun.
• Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad & Karimli, Tural, 2015, "Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması
  [Extracting risk-neutral probability distribution from Brent oil options]," MPRA Paper, University Library of Munich, Germany, number 65704, Jul.
• Mehta, Deepshikha, 2015, "Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices," MPRA Paper, University Library of Munich, Germany, number 66494, Aug.
• Grothe, Magdalena & Meyler, Aidan, 2015, "Inflation forecasts: Are market-based and survey-based measures informative?," MPRA Paper, University Library of Munich, Germany, number 66982.
• Hertrich, Markus, 2015, "A Note on Credit Spread Forwards," MPRA Paper, University Library of Munich, Germany, number 67838.
• Bornah, Mathew, 2015, "The key characteristics of the EURO 2012 arenas and the sources of their financing," MPRA Paper, University Library of Munich, Germany, number 68203, Dec.
• Siddiqi, Hammad, 2015, "Anchoring and Adjustment Heuristic in Option Pricing," MPRA Paper, University Library of Munich, Germany, number 68595, Dec.
• Cayton, Peter Julian & Ho, Kin-Yip, 2015, "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper, University Library of Munich, Germany, number 79134, Apr.
• Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta, 2015, "Modeling Persistence of Carbon Emission Allowance Prices," Working Papers, University of Pretoria, Department of Economics, number 201515, Mar.
• Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015, "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers, Queen Mary University of London, School of Economics and Finance, number 741, Mar.
• Zhong Chen & Bo Han & Yeqin Zeng, 2015, "Does Corporate Financial Risk Management Add Value? Evidence from Cross-Border Mergers and Acquisitions," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2015-04, Apr.
• Cyn-Young Park & Rogelio Mercado & Jaehun Choi & Hosung Lim, 2015, "Price Discovery and Foreign Participation in the Republic of Korea’s Government Bond Cash and Futures Markets," ADB Economics Working Paper Series, Asian Development Bank, number 427, Mar.
• Babu Jose & Daniel Lazar, 2015, "Causality between Indian Futures and Cash Markets - Analysis with Granger Causality Block Exogenity Model," Asian Business Review, Asian Business Consortium, volume 5, issue 3, pages 103-110.
• Adam Zaremba, 2015, "Inflation, Business Cycles, and Commodity Investing in Financialized Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 1, pages 1-18.
• Ersan Ersoy & Levent Çıtak, 2015, "Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 3, pages 1-18.
• Aparna Bhat & Kirti Arekar, 2015, "An Empirical Test of Efficiency of Exchange-Traded Currency Options in India," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 4, pages 1-17.
• Imlak Shaikh & Puja Padhi, 2015, "On the Relationship of Ex-ante and Ex-post Volatility: A Sub-period Analysis of S&P CNX Nifty Index Options," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 14, issue 2, pages 140-175, August, DOI: 10.1177/0972652715584266.
• Markus Hertrich, 2015, "A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 151, issue 3, pages 227-260, September.
• Olivares Aguayo, Héctor Alonso & Ortiz Ramírez, Ambrosio & Bucio Pacheco, Christian, 2015, "Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing low volatility using European call and put option," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 5, issue 1, pages 65-94, enero-jun.
• Gastón Silverio, Milanesi, 2015, "Modelo binomial borroso, el valor de la firma apalancada y los efectos de la deuda / Fuzzy binomial model, the value of levered firms and the debt effects," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 5, issue 1, pages 9-42, enero-jun.
• Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva, 2015, "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2015_08, May.
• Pascal François & Sophie Pardo, 2015, "Prepayment risk on callable bonds: theory and test," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 38, issue 2, pages 147-176, October, DOI: 10.1007/s10203-015-0162-0.
• Georg Lehecka, 2015, "Do hedging and speculative pressures drive commodity prices, or the other way round?," Empirical Economics, Springer, volume 49, issue 2, pages 575-603, September, DOI: 10.1007/s00181-014-0886-7.
• David Hobson & Martin Klimmek, 2015, "Robust price bounds for the forward starting straddle," Finance and Stochastics, Springer, volume 19, issue 1, pages 189-214, January, DOI: 10.1007/s00780-014-0249-4.
• Jean-François Chassagneux & Romuald Elie & Idris Kharroubi, 2015, "When terminal facelift enforces delta constraints," Finance and Stochastics, Springer, volume 19, issue 2, pages 329-362, April, DOI: 10.1007/s00780-015-0260-4.
• Peter Bank & Dmitry Kramkov, 2015, "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, volume 19, issue 2, pages 449-472, April, DOI: 10.1007/s00780-015-0258-y.
• Philipp Mayer & Natalie Packham & Wolfgang Schmidt, 2015, "Static hedging under maturity mismatch," Finance and Stochastics, Springer, volume 19, issue 3, pages 509-539, July, DOI: 10.1007/s00780-014-0254-7.
• Romuald Elie & Emmanuel Lépinette, 2015, "Approximate hedging for nonlinear transaction costs on the volume of traded assets," Finance and Stochastics, Springer, volume 19, issue 3, pages 541-581, July, DOI: 10.1007/s00780-015-0262-2.
• Amel Bentata & Rama Cont, 2015, "Forward equations for option prices in semimartingale models," Finance and Stochastics, Springer, volume 19, issue 3, pages 617-651, July, DOI: 10.1007/s00780-015-0265-z.
• Denis Belomestny & Mark Joshi & John Schoenmakers, 2015, "Addendum to: Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, volume 19, issue 3, pages 681-684, July, DOI: 10.1007/s00780-015-0267-x.
• Fred Benth & Nils Detering, 2015, "Pricing and hedging Asian-style options on energy," Finance and Stochastics, Springer, volume 19, issue 4, pages 849-889, October, DOI: 10.1007/s00780-015-0270-2.
• Lingfei Li & Vadim Linetsky, 2015, "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, volume 19, issue 4, pages 941-977, October, DOI: 10.1007/s00780-015-0271-1.
• Udo Broll & Peter Welzel & Kit Wong, 2015, "Futures hedging with basis risk and expectation dependence," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 62, issue 3, pages 213-221, September, DOI: 10.1007/s12232-015-0240-1.
• Terrance Grieb, 2015, "Mean and volatility transmission for commodity futures," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 39, issue 1, pages 100-118, January, DOI: 10.1007/s12197-012-9245-8.
• Ingo Pies, 2015, "Spekulation mit Agrarrohstoffen – eine Replik," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 95, issue 11, pages 789-795, November, DOI: 10.1007/s10273-015-1903-y.
• Christian Conrad, 2015, "Die Auswirkungen der Spekulation mit Nahrungsmitteln und Rohstoffen," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 95, issue 6, pages 429-435, June, DOI: 10.1007/s10273-015-1843-6.
• Nico Katzke & Chris Garbers, 2015, "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?," Working Papers, Stellenbosch University, Department of Economics, number 06/2015.
• Hooi Hooi Lean & Russell Smyth, 2015, "Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks," Applied Economics, Taylor & Francis Journals, volume 47, issue 16, pages 1710-1721, April, DOI: 10.1080/00036846.2014.1002905.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2015, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Applied Economics, Taylor & Francis Journals, volume 47, issue 2, pages 129-147, January, DOI: 10.1080/00036846.2014.967379.
• Evangelos C. Charalambakis, 2015, "On the Prediction of Corporate Financial Distress in the Light of the Financial Crisis: Empirical Evidence from Greek Listed Firms," International Journal of the Economics of Business, Taylor & Francis Journals, volume 22, issue 3, pages 407-428, November, DOI: 10.1080/13571516.2015.1020131.
• Daniele Girardi, 2015, "Financialization of food . Modelling the time-varying relation between agricultural prices and stock market dynamics," International Review of Applied Economics, Taylor & Francis Journals, volume 29, issue 4, pages 482-505, July, DOI: 10.1080/02692171.2015.1016406.
• Daniël Linders & Jan Dhaene & Wim Schoutens, 2015, "Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-002/IV/DSF 83, Jan.
• Lin Zhao & Sweder van Wijnbergen, 2015, "Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-104/VI/DSF95, Aug.
• Holmberg, Par & Willems, Bert, 2015, "Relaxing competition through speculation : Committing to a negative supply slope," Other publications TiSEM, Tilburg University, School of Economics and Management, number e39e21c0-d1d3-495e-83c5-b.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2015, "Duplication without Constraints: Alvarez Nogal and Chamley’s Analysis of Debt Policy under Philip II," Economics working papers, Vancouver School of Economics, number mauricio_drelichman-2015-, Sep, revised 02 Sep 2015.
• Drelichman, Mauricio & Hans-Joachim, Voth, 2015, "Returns to Investing in Sovereign Debt: a Response to Alvarez Nogal and Chamley," Economics working papers, Vancouver School of Economics, number mauricio_drelichman-2015-, Sep, revised 02 Sep 2015.
• Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel, 2015, "Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach," Working Papers on Finance, University of St. Gallen, School of Finance, number 1512, Jun.
• Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2015, "Recovering the Real-World Density and Liquidity Premia From Option Data," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 363, Sep.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015, "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 366, Dec.
• Martina Nardon & Paolo Pianca, 2015, "Probability weighting functions," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:29.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2015, "Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2015-39.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, volume 83, issue 3, pages 1081-1145, May.
• James D. Hamilton & Jing Cynthia Wu, 2015, "Effects Of Index‐Fund Investing On Commodity Futures Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 56, issue 1, pages 187-205, February, DOI: 10.1111/iere.12099.
• Jaime Casassus & Peng Liu & Ke Tang, 2015, "Maximal Gaussian Affine Models for Multiple Commodities: A Note," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 1, pages 75-86, January.