Research classified by Journal of Economic Literature (JEL) codes

2014

• Eirini Konstantinidi & George Skiadopoulos, 2014, "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 732, Oct.
• Francisco Venegas Martinez & Francisco Lopez Herrera & Ambrosio Ortiz Ramirez, 2014, "Decisiones de consumo y portafolio con un nivel de confianza sobre la riqueza final en un horizonte finito de planeacion: Evidencia empirica," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 11, issue 2, pages 100-147, Julio-Dic.
• Adam Clements & Neda Todorova, 2014, "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series, National Centre for Econometric Research, number 102, Jun.
• Vincent Lacoste & Pierre Six, 2014, "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities," Bankers, Markets & Investors, ESKA Publishing, issue 130, pages 24-40, May-June.
• Juan C. Arismendi & Marcel Prokopczuk, 2014, "An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-07, Aug.
• Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji, 2014, "Commodity Risk Factors and the Cross-Section of Equity Returns," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-09, Sep.
• Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis, 2014, "Liquidity Risk Premia in the International Shipping Derivatives Market," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-15, Dec.
• Christian A. Conrad, 2014, "Commodity and Food Speculation, Is There a Need for Regulation? A Discussion of the International Research," Applied Economics and Finance, Redfame publishing, volume 1, issue 2, pages 58-64, November.
• Dinica, Mihai Cristian & Armeanu, Daniel, 2014, "The Optimal Hedging Ratio for Non-Ferrous Metals," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 105-122, March.
• Moisa Altar & Adam-Nelu Altar-Samuel & Ioana Marcu, 2014, "Measuring Systemic Risk using Contingent Claims Analysis (CCA)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 22-48, December.
• Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray, 2014, "Explaining the bid-ask spread in the foreign exchange market: A test of alternate models," Australian Journal of Management, Australian School of Business, volume 39, issue 4, pages 573-591, November, DOI: 10.1177/0312896213499028.
• Semih Yon & Cafer Erhan Bozdag, 2014, "Test of Log-Normal Process with Importance Sampling for Options Pricing," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 0401571, Jul.
• Climent Hernández, José Antonio, 2014, "La ecuación de segundo grado en la estimación de parámetros de la martingala y la valuación de opciones americanas a través de la programación dinámica estocástica / The quadratic equation in the parameter estimation of the riskless probability and t," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 4, issue 2, pages 155-190, julio-dic.
• Cyril Monnet & Thomas Nellen, 2014, "The Collateral Costs of Clearing," Working Papers, Swiss National Bank, number 2014-04.
• Kit Wong, 2014, "Hedging and the competitive firm under correlated price and background risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 329-340, October, DOI: 10.1007/s10203-012-0137-3.
• Romuald Kenmoe & Simona Sanfelici, 2014, "An application of nonparametric volatility estimators to option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 393-412, October, DOI: 10.1007/s10203-013-0150-1.
• Kit Wong, 2014, "Production and hedging in futures markets with multiple delivery specifications," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 413-421, October, DOI: 10.1007/s10203-013-0152-z.
• Xianzhe Chen & Weidong Tian, 2014, "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 453-474, October, DOI: 10.1007/s10203-013-0154-x.
• Chau Le & Dickinson David, 2014, "Asset price volatility and financial contagion: analysis using the MS-VAR framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 2, pages 133-162, December, DOI: 10.1007/s40822-014-0009-y.
• Seokchin Kim & Cheolho Park & Youngjun Yun, 2014, "Hedging with mini gold futures: evidence from Korea," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 2, pages 163-176, December, DOI: 10.1007/s40822-014-0012-3.
• Yan Dolinsky & H. Soner, 2014, "Robust hedging with proportional transaction costs," Finance and Stochastics, Springer, volume 18, issue 2, pages 327-347, April, DOI: 10.1007/s00780-014-0227-x.
• Kun Gao & Roger Lee, 2014, "Asymptotics of implied volatility to arbitrary order," Finance and Stochastics, Springer, volume 18, issue 2, pages 349-392, April, DOI: 10.1007/s00780-013-0223-6.
• Koichiro Takaoka & Martin Schweizer, 2014, "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, volume 18, issue 2, pages 393-405, April, DOI: 10.1007/s00780-014-0229-8.
• Fred Benth & Jukka Lempa, 2014, "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, volume 18, issue 2, pages 407-430, April, DOI: 10.1007/s00780-013-0224-5.
• Lijun Bo & Agostino Capponi, 2014, "Bilateral credit valuation adjustment for large credit derivatives portfolios," Finance and Stochastics, Springer, volume 18, issue 2, pages 431-482, April, DOI: 10.1007/s00780-013-0217-4.
• Vicky Henderson & Gechun Liang, 2014, "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, volume 18, issue 3, pages 593-615, July, DOI: 10.1007/s00780-014-0235-x.
• Jakob Söhl, 2014, "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, volume 18, issue 3, pages 617-649, July, DOI: 10.1007/s00780-014-0228-9.
• Maxim Bichuch, 2014, "Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment," Finance and Stochastics, Springer, volume 18, issue 3, pages 651-694, July, DOI: 10.1007/s00780-014-0233-z.
• Teemu Pennanen, 2014, "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, volume 18, issue 4, pages 733-754, October, DOI: 10.1007/s00780-014-0240-0.
• Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014, "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, volume 18, issue 4, pages 755-789, October, DOI: 10.1007/s00780-014-0239-6.
• Jörn Sass & Martin Smaga, 2014, "FTAP in finite discrete time with transaction costs by utility maximization," Finance and Stochastics, Springer, volume 18, issue 4, pages 805-823, October, DOI: 10.1007/s00780-014-0241-z.
• Curdin Ott, 2014, "Bottleneck options," Finance and Stochastics, Springer, volume 18, issue 4, pages 845-872, October, DOI: 10.1007/s00780-013-0222-7.
• Anders Grosen & Pernille Jessen & Thomas Kokholm, 2014, "An asset protection scheme for banks exposed to troubled loan portfolios," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 38, issue 4, pages 568-588, October, DOI: 10.1007/s12197-012-9233-z.
• Takeshi Inoue & Shigeyuki Hamori, 2014, "Market efficiency of commodity futures in India," Applied Economics Letters, Taylor & Francis Journals, volume 21, issue 8, pages 522-527, May, DOI: 10.1080/13504851.2013.872751.
• Jan Baldeaux & Alexander Badran, 2014, "Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Applied Mathematical Finance, Taylor & Francis Journals, volume 21, issue 4, pages 299-312, September, DOI: 10.1080/1350486X.2013.868631.
• Saurabh Ghosh, 2014, "Volatility spillover in the foreign exchange market: the Indian experience," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 7, issue 1, pages 175-194, March, DOI: 10.1080/17520843.2013.856334.
• Petter Bjerksund & Gunnar Stensland, 2014, "Closed form spread option valuation," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 10, pages 1785-1794, October, DOI: 10.1080/14697688.2011.617775.
• Noussair, C.N. & Tucker, S. & Xu, Yilong, 2014, "A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-051.
• Noussair, C.N. & Tucker, S. & Xu, Yilong, 2014, "A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders," Other publications TiSEM, Tilburg University, School of Economics and Management, number 43ded173-9eee-48a4-8a15-6.
• Marcelo Bianconi & Scott MacLachlan & Marco Sammon, 2014, "Implied Volatility and the Risk-Free Rate of Return in Options Markets," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0777.
• Elisa Alòs & Yan Yang, 2014, "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1446, Oct.
• D. Cassimon & P.J. Engelen & L. Liedekerke, 2014, "When Do Firms Invest in Corporate Social Responsibility?: A Real Option Framework," Working Papers, Utrecht School of Economics, number 14-06.
• Audrino, Francesco & Huitema, Robert & Ludwig, Markus, 2014, "An Empirical Analysis of the Ross Recovery Theorem," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1411, May.
• Adams, Zeno & Glueck, Thorsten, 2014, "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1413, Jun, revised Aug 2015.
• Daniele Girardi, 2014, "Explaining the time-varying relation between agricultural prices and stock market dynamics," Department of Economics University of Siena, Department of Economics, University of Siena, number 701, Oct.
• Yang Chang & Erik Schlogl, 2014, "A Consistent Framework for Modelling Basis Spreads in Tenor Swaps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 348, May.
• David Heath & Eckhard Platen, 2014, "A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 350, Aug.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014, "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:22.
• Martina Nardon & Paolo Pianca, 2014, "European option pricing with constant relative sensitivity probability weighting function," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:25.
• Charles Noussair & Steven J.Tucker & Yilong Xu, 2014, "A Futures Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders," Working Papers in Economics, University of Waikato, number 14/12, Oct.
• Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014, "Simple heuristics for pricing VIX options," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2014-25.
• Menzie D. Chinn & Olivier Coibion, 2014, "The Predictive Content of Commodity Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 34, issue 7, pages 607-636, July.
• Biao Guo & Qian Han & Bin Zhao, 2014, "The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 34, issue 8, pages 788-806, August.
• Leh-Chyan So, 2014, "Are Real Options "Real"? Isolating Uncertainty From Risk In Real Options Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 01, pages 1-18, DOI: 10.1142/S2010495214500018.
• Tumellano Sebehela, 2014, "The "Delta" Of The Margrabe Formula," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 03, pages 1-19, DOI: 10.1142/S2010495214500079.
• Weiping Li & Su Chen, 2014, "Pricings and hedgings of the perpetual Russian options," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-22, DOI: 10.1142/S2345768614500111.
• Antje Berndt & Anastasiya Ostrovnaya, 2014, "Do Equity Markets Favor Credit Market News Over Options Market News?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 02, pages 1-51, DOI: 10.1142/S2010139214500062.
• Oleg Bondarenko, 2014, "Why Are Put Options So Expensive?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 03, pages 1-50, DOI: 10.1142/S2010139214500153.
• Takeshi Inoue & Shigeyuki Hamori, 2014, "Market Efficiency of Commodity Futures in India," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India".
• Zachary McGurk & Adam Nowak, 2014, "The Relationship Between Stock Returns and Investor Sentiment: Evidence from Social Media," Working Papers, Department of Economics, West Virginia University, number 14-38, Dec.
• Qian Han & Bin Zhao, 2014, "The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2014-01-15, Jan.
• Hasan, Iftekhar & Liu, Liuling & Zhang, Gaiyan, 2014, "The determinants of global bank credit-default-swap spreads," Bank of Finland Research Discussion Papers, Bank of Finland, number 33/2014.
• Scharnagl, Michael & Stapf, Jelena, 2014, "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers, Deutsche Bundesbank, number 24/2014.
• Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014, "Portfolio optimization using forward-looking information," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-10 [rev.].
• Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014, "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-08 [rev.].
• Brinkmann, Felix & Korn, Olaf, 2014, "Risk-adjusted option-implied moments," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 14-07.
• Fink, Christopher & Theissen, Erik, 2014, "Dividend taxation and DAX futures prices," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 14-08.
• Injadat, Ehab M. M., 2014, "Futures and Forwards Contracts from Perspective of Islamic Law," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 1, issue 2, pages 241-252, DOI: 10.1453/jepe.v1i2.68.
• Leppin, Julia S. & Reitz, Stefan, 2014, "The Role of a Changing Market Environment for Credit Default Swap Pricing," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 7.
• Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian, 2014, "The impact of fundamental and financial traders on the term structure of oil," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 209.
• Leppin, Julian S. & Reitz, Stefan, 2014, "The role of a changing market: Environment for credit default swap pricing," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 153.
• Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2014, "The impact of long-only index funds on price discovery and market performance in agricultural futures markets
  [Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten]," IAMO Discussion Papers, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), number 147.
• da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2014, "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 8, pages 1-27, DOI: 10.5018/economics-ejournal.ja.2014-.
• Leppin, Julian S. & Reitz, Stefan, 2014, "The role of a changing market environment for credit default swap pricing," Kiel Working Papers, Kiel Institute for the World Economy, number 1946.
• Chao, Shih-kang & Härdle, Wolfgang Karl & Hien, Pham-thu, 2014, "Credit risk calibration based on CDS spreads," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-026.
• Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014, "Individual investors and suboptimal early exercises in the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 14.
• Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014, "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-22, Aug.
• Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2014, "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-24, Jul.
• Peter Christoffersen & Asger Lunde & Kasper V. Olesen, 2014, "Factor Structure in Commodity Futures Return and Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-31, Sep.
• Peter Christoffersen & Xuhui (Nick) Pan, 2014, "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-06, Dec.
• Ryan Kellogg, 2014, "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, volume 104, issue 6, pages 1698-1734, June.
• Yeon-Koo Che & Rajiv Sethi, 2014, "Credit Market Speculation and the Cost of Capital," American Economic Journal: Microeconomics, American Economic Association, volume 6, issue 4, pages 1-34, November.
• Woradee Jongadsayakul, 2014, "Determinants of the Gold Futures Price Volatility: The Case of Thailand Futures Exchange," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 21, issue 1, pages 59-78, June.
• Werner, Dan, 2014, "Electricity Market Price Volatility: The Importance of Ramping Costs," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 169619, DOI: 10.22004/ag.econ.169619.
• Du, Xiaodong & Dong, Fengxia, 2014, "Heterogeneous Responses to Market Information and The Impact on Price Volatility and Trading Volume: The Case of Class III Milk Futures," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 169769, DOI: 10.22004/ag.econ.169769.
• Xu, Xiaojie, 2014, "Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 169809, DOI: 10.22004/ag.econ.169809.
• Cordier, Jean & Gohin, Alexandre, 2014, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), volume 343, issue September.
• Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2014, "The impact of long-only index funds on price discovery and market performance in agricultural futures markets," IAMO Discussion Papers, Institute of Agricultural Development in Transition Economies (IAMO), number 169081, DOI: 10.22004/ag.econ.169081.
• Wolf, Christopher A. & Widmar, Nicole J. Olynk, 2014, "Adoption of Milk and Feed Forward Pricing Methods by Dairy Farmers," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 46, issue 4, pages 1-14, November, DOI: 10.22004/ag.econ.189100.
• Dolatabadi, Sepideh & ßrregaard Nielsen, Morten & Xu, Ke, 2014, "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274654, Jul, DOI: 10.22004/ag.econ.274654.
• Silveira, Rodrigo Lanna Franco da & Maciel, Leandro & Ballini, Rosangela, None, "Derivativos sobre Commodities Influenciam a Volatilidade dos Preços à Vista? Uma análise nos mercados de boi gordo e café arábica no Brasil," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 52, issue 3, pages 1-20, DOI: 10.22004/ag.econ.211665.
• Siddiqi, Hammad, 2014, "Mental Accounting: A New Behavioral Explanation of Covered Call Performance," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 162567, Jan, DOI: 10.22004/ag.econ.162567.
• Siddiqi, Hammad, 2014, "The Financial Market Consequences of Growing Awareness: The Case of Implied Volatiltiy Skew," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 162568, Jan, DOI: 10.22004/ag.econ.162568.
• Siddiqi, Hammad, , "Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew: Theory and Empirical Evidence," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 177302, DOI: 10.22004/ag.econ.177302.
• Siddiqi, Hammad, 2014, "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 187407, Oct, DOI: 10.22004/ag.econ.187407.
• Lect. Raducu Stefan BRATU, PhD & Assist.Lect. Sorin Marius TUDOR, PhD, 2014, "The Growing Importance Of Capital Market Derivatives In Romania And Their Impact In The European Economy," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 23, pages 101-108, November.
• Stuart M. Turnbull, 2014, "Counterparty Risk: A Review," Annual Review of Financial Economics, Annual Reviews, volume 6, issue 1, pages 241-258, December.
• Jérôme Detemple, 2014, "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, volume 6, issue 1, pages 459-487, December.
• Vicky Henderson & Gechun Liang, 2014, "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers, arXiv.org, number 1403.7830, Mar.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014, "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers, arXiv.org, number 1409.1956, Sep.
• Gianluca Cassese, 2014, "Asset Pricing in an Imperfect World," Papers, arXiv.org, number 1410.6408, Oct.
• Thiagu Ranganathan & Sarthak Gaurav & Ashish Singh, 2014, "Using choice experiments, we estimate the willingness to pay for price insurance among cotton and paddy farmers in the Indian state of Gujarat. We also identify the interactions between the demand for price insurance and the existing informal and for," IEG Working Papers, Institute of Economic Growth, number 340.
• Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014, "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers, Bank of Canada, number 14-42, DOI: 10.34989/swp-2014-42.
• Hernández Juan R., 2014, "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers, Banco de México, number 2014-09, May.
• Hernández del Valle Gerardo, 2014, "On a new class of barrier options," Working Papers, Banco de México, number 2014-23, Nov.
• Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2014, "The Joint Cross Section of Stocks and Options," Journal of Finance, American Finance Association, volume 69, issue 5, pages 2279-2337, October.
• Christian Hilpert & Jing Li & Alexander Szimayer, 2014, "The Effect of Secondary Markets on Equity-Linked Life Insurance With Surrender Guarantees," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 81, issue 4, pages 943-968, December.
• Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014, "Time-Varying Spot and Futures Oil Price Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, volume 61, issue 1, pages 78-97, February.
• Christopher F Baum & Paola Zerilli, 2014, "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Boston College Working Papers in Economics, Boston College Department of Economics, number 860, Oct.
• Evangelos C. Charalambakis, 2014, "On corporate financial distress prediction: what can we learn from private firms in a small open economy?," Working Papers, Bank of Greece, number 188, Nov.
• Nesrine Bentemessek Kahia, 2014, "Actif sous-jacent et produits dérivés financiers de la Compagnie des Mers du Sud. La rationalité de la bulle reconsidérée," Revue économique, Presses de Sciences-Po, volume 65, issue 5, pages 781-803.
• Petar Jevtic & Patrizia Semeraro, 2014, "A class of multivariate marked Poisson processes to model asset returns," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 351.
• Denis Beau & Christophe Cahn & Laurent Clerc & Benoît Mojon, 2014, "Macro-Prudential Policy and the Conduct of Monetary Policy," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, chapter 9, in: Sofía Bauducco & Lawrence Christiano & Claudio Raddatz, "Macroeconomic and Financial Stability: challenges for Monetary Policy".
• Damir Filipovic & Anders B. Trolle, 2014, "Fed Funds Futures Variance Futures," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-66, Nov, revised Mar 2016.
• Ricardo Crisóstomo, 2014, "An analisys of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no 58.
• Rafael Serrano, 2014, "Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors," Documentos de Trabajo, Universidad del Rosario, number 12233, Oct.
• Julio C. Alonso & Andr�s M. Arcila, 2014, "Eficiencia semifuerte del mercado internacional del azúcar entre los anos 2001 y 2011," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Jhon Alexis Díaz Contreras & Gloria In�s Mac�as Villalba & Edgar Luna Gonz�lez, 2014, "Estrategia de cobertura con productos derivados para el mercado energético colombiano," Estudios Gerenciales, Universidad Icesi.
• Gastón Silverio Milanesi, 2014, "Momentos estocásticos de orden superior y la estimación de lavolatilidad implícita: aplicación de la expansión de Edgeworth en elmodelo Black-Scholes," Estudios Gerenciales, Universidad Icesi.
• Silvia Bou Ysas & Magda Cay�n Costa & Albert Hern�ndez, 2014, "Análisis de la heurística en la contratación empresarial a través de una cartera de derivados reales," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 6, issue 1, pages 73-94.
• Joanna Górka, 2014, "Option Pricing under Sign RCA-GARCH Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 14, pages 145-160.
• Veronesi, Pietro & Nozawa, Yoshio & Culp, Christopher L., 2014, "Option-Based Credit Spreads," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10318, Dec.
• Jan Voelzke, 2014, "Weakening the Gain-Loss-Ratio measure to make it stronger," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3114, Jun.
• Matteo Ferraris & Elena Pagliarino, 2014, "Real Option Theory and Application to the Fishery Industry: A survey of the literature," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 201408, Jul.
• Groba, Jonatan & Serrano, Pedro & Lafuente Luengo, Juan Ángel, 2014, "On the compensation for illiquidity in sovereign credit markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb142911, Oct.
• Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014, "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 49, issue 3, pages 663-697, June.
• Hodder, James E. & Jackwerth, Jens Carsten & Kolokolova, Olga, 2014, "Recovering Delisting Returns of Hedge Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 49, issue 3, pages 797-815, June.
• Lepinette, Emmanuel (ed.), 2014, "Some contributions to financial market modelling with transaction costs," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14402.
• Luisa Dressler, 2014, "Support Schemes for Renewable Electricity in the European Union: Producer Strategies and Competition," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-54, Dec.
• Mustafa Serdar Basoglu & Turhan Korkmaz & Emrah Ismail Cevik, 2014, "London Metal Exchange: Causality Relationship between the Price Series of Non-Ferrous Metal Contracts," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 4, pages 726-734.
• King, Tao-Hsien Dolly & Mauer, David C., 2014, "Determinants of corporate call policy for convertible bonds," Journal of Corporate Finance, Elsevier, volume 24, issue C, pages 112-134, DOI: 10.1016/j.jcorpfin.2012.06.011.
• Kim, Dong H. & Stock, Duane, 2014, "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, volume 26, issue C, pages 20-35, DOI: 10.1016/j.jcorpfin.2014.02.005.
• Moraux, Franck & Silaghi, Florina, 2014, "Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds," Journal of Corporate Finance, Elsevier, volume 27, issue C, pages 269-295, DOI: 10.1016/j.jcorpfin.2014.05.012.
• Hilscher, Jens & Raviv, Alon, 2014, "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Journal of Corporate Finance, Elsevier, volume 29, issue C, pages 542-560, DOI: 10.1016/j.jcorpfin.2014.03.009.
• Christensen, Peter Ove & Flor, Christian Riis & Lando, David & Miltersen, Kristian R., 2014, "Dynamic capital structure with callable debt and debt renegotiations," Journal of Corporate Finance, Elsevier, volume 29, issue C, pages 644-661, DOI: 10.1016/j.jcorpfin.2013.09.001.
• Rombouts, Jeroen V.K. & Stentoft, Lars, 2014, "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 588-605, DOI: 10.1016/j.csda.2013.06.023.
• Cai, Ning & Sun, Lihua, 2014, "Valuation of stock loans with jump risk," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 213-241, DOI: 10.1016/j.jedc.2014.01.004.
• Joshi, Mark & Tang, Robert, 2014, "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 25-45, DOI: 10.1016/j.jedc.2013.12.001.
• Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus, 2014, "Cross-hedging minimum return guarantees: Basis and liquidity risks," Journal of Economic Dynamics and Control, Elsevier, volume 41, issue C, pages 93-109, DOI: 10.1016/j.jedc.2014.02.010.
• Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014, "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, volume 42, issue C, pages 13-32, DOI: 10.1016/j.jedc.2014.03.001.
• Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014, "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, volume 47, issue C, pages 239-262, DOI: 10.1016/j.jedc.2014.08.014.
• Bu, Di & Liao, Yin, 2014, "Corporate credit risk prediction under stochastic volatility and jumps," Journal of Economic Dynamics and Control, Elsevier, volume 47, issue C, pages 263-281, DOI: 10.1016/j.jedc.2014.08.006.
• Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan, 2014, "Analyses of retirement benefits with options," Economic Modelling, Elsevier, volume 36, issue C, pages 130-135, DOI: 10.1016/j.econmod.2013.09.025.
• Beckmann, Joscha & Czudaj, Robert, 2014, "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, volume 36, issue C, pages 541-546, DOI: 10.1016/j.econmod.2013.09.036.
• Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2014, "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Economic Modelling, Elsevier, volume 36, issue C, pages 8-17, DOI: 10.1016/j.econmod.2013.09.011.
• Floros, Christos & Salvador, Enrique, 2014, "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, volume 37, issue C, pages 216-223, DOI: 10.1016/j.econmod.2013.10.036.
• Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2014, "Pricing foreign equity options with regime-switching," Economic Modelling, Elsevier, volume 37, issue C, pages 296-305, DOI: 10.1016/j.econmod.2013.11.009.
• Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014, "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, volume 40, issue C, pages 400-409, DOI: 10.1016/j.econmod.2013.12.026.
• Dong, Yinghui & Wang, Guojing, 2014, "Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain," Economic Modelling, Elsevier, volume 40, issue C, pages 91-100, DOI: 10.1016/j.econmod.2014.03.004.
• Lai, Hung-Cheng & Wang, Kuan-Min, 2014, "Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns," Economic Modelling, Elsevier, volume 41, issue C, pages 156-165, DOI: 10.1016/j.econmod.2014.05.007.
• Zhang, Ran & Xu, Shuang, 2014, "Optimal stopping time with stochastic volatility," Economic Modelling, Elsevier, volume 41, issue C, pages 319-328, DOI: 10.1016/j.econmod.2014.05.016.
• Haugom, Erik & Lien, Gudbrand & Veka, Steinar & Westgaard, Sjur, 2014, "Covariance estimation using high-frequency data: Sensitivities of estimation methods," Economic Modelling, Elsevier, volume 43, issue C, pages 416-425, DOI: 10.1016/j.econmod.2014.08.016.
• Liu, Qiang & Guo, Shuxin, 2014, "Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 77-89, DOI: 10.1016/j.najef.2014.02.002.
• Choe, Geon Ho & Koo, Ki Hwan, 2014, "Probability of multiple crossings and pricing of double barrier options," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 156-184, DOI: 10.1016/j.najef.2014.05.007.
• Peat, Maurice & Svec, Jiri & Wang, Jue, 2014, "Reporting bias in incomplete information model," Economics Letters, Elsevier, volume 123, issue 1, pages 45-49, DOI: 10.1016/j.econlet.2014.01.021.
• Ludwig, Alexander & Sobański, Karol, 2014, "Banking sector fragility linkages in the euro area: Evidence for crisis years 2007–2010," Economics Letters, Elsevier, volume 125, issue 3, pages 451-454, DOI: 10.1016/j.econlet.2014.10.010.
• Bondarenko, Oleg, 2014, "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, volume 180, issue 1, pages 81-97, DOI: 10.1016/j.jeconom.2014.02.001.
• Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014, "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, volume 28, issue C, pages 151-170, DOI: 10.1016/j.jempfin.2014.06.004.
• Arslanalp, Serkan & Liao, Yin, 2014, "Banking sector contingent liabilities and sovereign risk," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 316-330, DOI: 10.1016/j.jempfin.2014.08.007.
• Maxwell, Christian & Davison, Matt, 2014, "Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities," Energy Economics, Elsevier, volume 42, issue C, pages 140-151, DOI: 10.1016/j.eneco.2013.12.004.
• Halova Wolfe, Marketa & Rosenman, Robert, 2014, "Bidirectional causality in oil and gas markets," Energy Economics, Elsevier, volume 42, issue C, pages 325-331, DOI: 10.1016/j.eneco.2013.12.010.
• Koch, Nicolas, 2014, "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, volume 43, issue C, pages 195-205, DOI: 10.1016/j.eneco.2014.02.015.
• Brigida, Matthew, 2014, "The switching relationship between natural gas and crude oil prices," Energy Economics, Elsevier, volume 43, issue C, pages 48-55, DOI: 10.1016/j.eneco.2014.01.014.
• Weron, Rafał & Zator, Michał, 2014, "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, volume 44, issue C, pages 178-190, DOI: 10.1016/j.eneco.2014.03.007.
• Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay, 2014, "Crude oil moments and PNG stock returns," Energy Economics, Elsevier, volume 44, issue C, pages 222-235, DOI: 10.1016/j.eneco.2014.04.010.
• Benth, Fred Espen & Klüppelberg, Claudia & Müller, Gernot & Vos, Linda, 2014, "Futures pricing in electricity markets based on stable CARMA spot models," Energy Economics, Elsevier, volume 44, issue C, pages 392-406, DOI: 10.1016/j.eneco.2014.03.020.
• Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014, "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, volume 45, issue C, pages 475-484, DOI: 10.1016/j.eneco.2014.08.005.
• Bu, Hui, 2014, "Effect of inventory announcements on crude oil price volatility," Energy Economics, Elsevier, volume 46, issue C, pages 485-494, DOI: 10.1016/j.eneco.2014.05.015.
• Sanders, Dwight R. & Irwin, Scott H., 2014, "Energy futures prices and commodity index investment: New evidence from firm-level position data," Energy Economics, Elsevier, volume 46, issue S1, pages 57-68, DOI: 10.1016/j.eneco.2014.09.005.
• Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen, 2014, "Trend following, risk parity and momentum in commodity futures," International Review of Financial Analysis, Elsevier, volume 31, issue C, pages 1-12, DOI: 10.1016/j.irfa.2013.10.001.
• Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J., 2014, "Option pricing under stochastic volatility and tempered stable Lévy jumps," International Review of Financial Analysis, Elsevier, volume 31, issue C, pages 101-108, DOI: 10.1016/j.irfa.2013.10.004.
• Stanescu, Silvia & Tunaru, Radu & Candradewi, Made Reina, 2014, "Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 177-188, DOI: 10.1016/j.irfa.2014.05.012.
• Bredin, Don & Hyde, Stuart & Muckley, Cal, 2014, "A microstructure analysis of the carbon finance market," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 222-234, DOI: 10.1016/j.irfa.2014.03.003.