Research classified by Journal of Economic Literature (JEL) codes

2015

• 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.
• Pereira da Silva, Paulo & Vieira, Isabel & Vieira, Carlos, 2015, "M&A operations: Further evidence of informed trading in the CDS market," Journal of Multinational Financial Management, Elsevier, volume 32, issue , pages 116-130, DOI: 10.1016/j.mulfin.2015.10.002.
• Daugherty, Mary Schmid & Jithendranathan, Thadavillil, 2015, "A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy," Journal of Multinational Financial Management, Elsevier, volume 32, issue , pages 95-115, DOI: 10.1016/j.mulfin.2015.10.003.
• Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015, "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, volume 33, issue C, pages 1-22, DOI: 10.1016/j.pacfin.2015.02.001.
• Baik, Bok & Kim, Young Jun & Kim, Jungbae & Lee, Su Jeong, 2015, "Usefulness of earnings in credit markets: Korean evidence," Pacific-Basin Finance Journal, Elsevier, volume 33, issue C, pages 93-113, DOI: 10.1016/j.pacfin.2015.01.009.
• Zheng, Yao, 2015, "The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach," The Quarterly Review of Economics and Finance, Elsevier, volume 58, issue C, pages 128-142, DOI: 10.1016/j.qref.2015.02.008.
• Değerli, Ahmet & Fendoğlu, Salih, 2015, "Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 166-179, DOI: 10.1016/j.iref.2014.09.011.
• Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2015, "Sentiment-prone investors and volatility dynamics between spot and futures markets," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 180-196, DOI: 10.1016/j.iref.2014.09.013.
• Chang, Charles & Lin, Emily, 2015, "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 197-213, DOI: 10.1016/j.iref.2014.09.003.
• Suh, Sangwon, 2015, "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 45-65, DOI: 10.1016/j.iref.2014.09.002.
• Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W., 2015, "A quasi-bounded target zone model — Theory and application to Hong Kong dollar," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 1-17, DOI: 10.1016/j.iref.2014.10.010.
• Jin, Xiaoye, 2015, "Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 340-353, DOI: 10.1016/j.iref.2014.12.005.
• Kamoto, Shinsuke, 2015, "Strategic capacity expansion under a potential entry threat," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 157-177, DOI: 10.1016/j.iref.2015.01.006.
• Gonzalez-Perez, Maria T., 2015, "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 141-159, DOI: 10.1016/j.iref.2015.02.018.
• Hui, Cho-Hoi & Fong, Tom Pak-Wing, 2015, "Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 174-190, DOI: 10.1016/j.iref.2015.02.011.
• Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat, 2015, "The time-varying causality between spot and futures crude oil prices: A regime switching approach," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 51-71, DOI: 10.1016/j.iref.2015.02.008.
• Karagiannidis, Iordanis & Sykes Wilford, D., 2015, "Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets," Review of Financial Economics, Elsevier, volume 25, issue C, pages 19-26, DOI: 10.1016/j.rfe.2015.02.005.
• Orlowski, Lucjan T., 2015, "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, Elsevier, volume 25, issue C, pages 3-9, DOI: 10.1016/j.rfe.2015.02.001.
• Schalck, Christophe & Chenavaz, Régis, 2015, "Oil commodity returns and macroeconomic factors: A time-varying approach," Research in International Business and Finance, Elsevier, volume 33, issue C, pages 290-303, DOI: 10.1016/j.ribaf.2014.05.002.
• Leo Krippner, 2015, "A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-48, Dec.
• Javier Prado-Dominguez & Carlos Fernández-Herráiz, 2015, "A Sharpe-ratio-based measure for currencies," European Journal of Government and Economics, Europa Grande, volume 4, issue 1, pages 67-75, June.
• Leiss, Matthias & Nax, Heinrich H. & Sornette, Didier, 2015, "Super-exponential growth expectations and the global financial crisis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65434, Jun.
• Daniël Linders & Jan Dhaene & Wim Schoutens, 2015, "Option prices and model-free measurement of implied herd behavior in stock markets," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven, number 485228.
• Niaz Bashiri Behmiri & Matteo Manera, 2015, "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Working Papers, Fondazione Eni Enrico Mattei, number 2015.77, Sep.
• Yang-Ho Park, 2015, "The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-71, Sep, DOI: 10.17016/FEDS.2015.071.
• Marianne Andries & Thomas M. Eisenbach & R. Jay Kahn & Martin C. Schmalz, 2015, "The term structure of the price of variance risk," Staff Reports, Federal Reserve Bank of New York, number 736, Aug.
• Piotr Giruæ, 2015, "Hedging strategies of derivatives instruments for commodity trading entities," GUT FME Conference Publications, Faculty of Management and Economics, Gdansk University of Technology, chapter 2, in: Blazej Prusak, "ENTERPRISES IN UNSTABLE ECONOMY".
• Robert J Bianchi & Michael E Drew & John Hua Fan, 2015, "Microscopic momentum in commodity futures," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201510, Oct.
• Andreas W. 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," Post-Print, HAL, number hal-01371712, DOI: 10.1007/s11147-014-9106-z.
• A. Leonhardt & Andreas W. Rathgeber & J. Stadler & Stefan Stöckl, 2015, "Pricing fx Forwards in OTC Markets," Post-Print, HAL, number hal-01371713, DOI: 10.1080/00036846.2015.1011309.
• Christophe Schalck & Régis Chenavaz, 2015, "Oil commodity returns and macroeconomic factors: A time-varying approach," Post-Print, HAL, number hal-01457334, Jan, DOI: 10.1016/j.ribaf.2014.05.002.
• Paolo Mazza & Mikael Petitjean, 2015, "How integrated is the European carbon derivatives market?," Post-Print, HAL, number hal-01526028, Nov, DOI: 10.1016/j.frl.2015.07.005.
• Julien Chevallier & Sofiane Aboura, 2015, "Geographical Diversification with a World Volatility Index," Post-Print, HAL, number hal-01529755, DOI: 10.1016/j.mulfin.2015.03.001.
• Tim Xiao, 2015, "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print, HAL, number hal-01812928, DOI: 10.1504/IJFMD.2015.066436.
• Philippe Bertrand & Jean-Luc Prigent, 2015, "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Post-Print, HAL, number hal-01833074.
• Green, Rikard, 2015, "A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2015/1, Jan.
• Green, Rikard, 2015, "No 2015:3 Closed Form Valuation of Three-Asset Spread Options With a view towards Clean Dark Spreads," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2015/3, May.
• Misund, Bård & Oglend, Atle, 2015, "Supply and Demand Determinants of Natural Gas Price Volatility in the U.K.: A Vector Autoregression Approach," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/10, Dec.
• Asche, Frank & Misund, Bard, 2015, "Hedging Efficiency of Atlantic Salmon Futures," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/12, Dec.
• Asche, Frank & Misund, Bard & Oglend, Atle, 2015, "Production Risk and the Futures Price Risk Premium?," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/13, Dec.
• Asche, Frank & Misund, Bard & Oglend, Atle, 2015, "The Spot-Forward Relationship in the Atlantic Salmon Market," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/16, Dec.
• Misund, Bård & Osmundsen, Petter, 2015, "Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/17, Dec.

2014

• 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, undated, "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, undated, "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, Centre for Economic Policy Research, 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, International Journal of Economics and Financial Issues, 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.
• Lukas, Elmar & Welling, Andreas, 2014, "On the investment–uncertainty relationship: A game theoretic real option approach," Finance Research Letters, Elsevier, volume 11, issue 1, pages 25-35, DOI: 10.1016/j.frl.2013.07.006.
• Spencer, Peter, 2014, "The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default," Finance Research Letters, Elsevier, volume 11, issue 1, pages 8-15, DOI: 10.1016/j.frl.2013.05.006.
• Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi, 2014, "Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model," Finance Research Letters, Elsevier, volume 11, issue 2, pages 161-172, DOI: 10.1016/j.frl.2013.09.002.
• Jarrow, Robert, 2014, "Computing present values: Capital budgeting done correctly," Finance Research Letters, Elsevier, volume 11, issue 3, pages 183-193, DOI: 10.1016/j.frl.2014.05.001.
• Tsai, Wei-Che, 2014, "Improved method for static replication under the CEV model," Finance Research Letters, Elsevier, volume 11, issue 3, pages 194-202, DOI: 10.1016/j.frl.2014.04.004.
• Cole, John A. & Cadogan, Godfrey, 2014, "Bankruptcy risk induced by career concerns of regulators," Finance Research Letters, Elsevier, volume 11, issue 3, pages 259-271, DOI: 10.1016/j.frl.2014.02.001.
• Kim, Soo-Hyun & Kang, Hyoung-Goo, 2014, "A new strategy using term-structure dynamics of commodity futures," Finance Research Letters, Elsevier, volume 11, issue 3, pages 282-288, DOI: 10.1016/j.frl.2013.11.007.
• Schorno, Patrick J. & Swidler, Steve M. & Wittry, Michael D., 2014, "Hedging house price risk with futures contracts after the bubble burst," Finance Research Letters, Elsevier, volume 11, issue 4, pages 332-340, DOI: 10.1016/j.frl.2014.06.002.
• Bank, Matthias & Kupfer, Alexander, 2014, "A sequential pricing framework for corporate securities: The case of rating-trigger step-up/-down bonds," Finance Research Letters, Elsevier, volume 11, issue 4, pages 437-445, DOI: 10.1016/j.frl.2014.07.005.
• Onan, Mustafa & Salih, Aslihan & Yasar, Burze, 2014, "Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX," Finance Research Letters, Elsevier, volume 11, issue 4, pages 454-462, DOI: 10.1016/j.frl.2014.07.006.
• Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2014, "Option pricing with stochastic liquidity risk: Theory and evidence," Journal of Financial Markets, Elsevier, volume 18, issue C, pages 77-95, DOI: 10.1016/j.finmar.2013.05.002.
• Brunetti, Celso & Reiffen, David, 2014, "Commodity index trading and hedging costs," Journal of Financial Markets, Elsevier, volume 21, issue C, pages 153-180, DOI: 10.1016/j.finmar.2014.08.001.
• Aramonte, Sirio, 2014, "Macroeconomic uncertainty and the cross-section of option returns," Journal of Financial Markets, Elsevier, volume 21, issue C, pages 25-49, DOI: 10.1016/j.finmar.2014.06.001.
• Barinov, Alexander & Wu, Juan (Julie), 2014, "High short interest effect and aggregate volatility risk," Journal of Financial Markets, Elsevier, volume 21, issue C, pages 98-122, DOI: 10.1016/j.finmar.2014.10.001.
• Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting, 2014, "Global contagion of market sentiment during the US subprime crisis," Global Finance Journal, Elsevier, volume 25, issue 1, pages 17-26, DOI: 10.1016/j.gfj.2014.03.003.
• Chen, An & Uzelac, Filip, 2014, "A risk-based premium: What does it mean for DB plan sponsors?," Insurance: Mathematics and Economics, Elsevier, volume 54, issue C, pages 1-11, DOI: 10.1016/j.insmatheco.2013.10.011.
• Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014, "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, volume 58, issue C, pages 103-115, DOI: 10.1016/j.insmatheco.2014.06.010.
• Ulm, Eric R., 2014, "Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws," Insurance: Mathematics and Economics, Elsevier, volume 58, issue C, pages 14-23, DOI: 10.1016/j.insmatheco.2014.06.003.
• Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014, "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, volume 58, issue C, pages 193-203, DOI: 10.1016/j.insmatheco.2014.07.008.
• Delong, Łukasz, 2014, "Pricing and hedging of variable annuities with state-dependent fees," Insurance: Mathematics and Economics, Elsevier, volume 58, issue C, pages 24-33, DOI: 10.1016/j.insmatheco.2014.06.002.
• Kumar, Satish & Trück, Stefan, 2014, "Unbiasedness and risk premiums in the Indian currency futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 29, issue C, pages 13-32, DOI: 10.1016/j.intfin.2013.10.010.
• Bessler, Wolfgang & Wolff, Dominik, 2014, "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 379-399, DOI: 10.1016/j.intfin.2014.08.006.
• Atilgan, Yigit, 2014, "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, volume 38, issue C, pages 205-215, DOI: 10.1016/j.jbankfin.2013.10.007.
• Mizrach, Bruce & Otsubo, Yoichi, 2014, "The market microstructure of the European climate exchange," Journal of Banking & Finance, Elsevier, volume 39, issue C, pages 107-116, DOI: 10.1016/j.jbankfin.2013.11.001.