Research classified by Journal of Economic Literature (JEL) codes

2014

• 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.
• Schläfer, Timo & Uhrig-Homburg, Marliese, 2014, "Is recovery risk priced?," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 257-270, DOI: 10.1016/j.jbankfin.2013.11.033.
• Prokopczuk, Marcel & Wese Simen, Chardin, 2014, "The importance of the volatility risk premium for volatility forecasting," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 303-320, DOI: 10.1016/j.jbankfin.2013.12.002.
• Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014, "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 346-363, DOI: 10.1016/j.jbankfin.2013.11.034.
• Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri, 2014, "The determinants of CDS spreads," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 271-282, DOI: 10.1016/j.jbankfin.2013.12.005.
• Schultz, Emma & Swieringa, John, 2014, "Catalysts for price discovery in the European Union Emissions Trading System," Journal of Banking & Finance, Elsevier, volume 42, issue C, pages 112-122, DOI: 10.1016/j.jbankfin.2014.01.012.
• Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che, 2014, "The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market," Journal of Banking & Finance, Elsevier, volume 42, issue C, pages 123-133, DOI: 10.1016/j.jbankfin.2014.01.027.
• Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo, 2014, "Close form pricing formulas for Coupon Cancellable CoCos," Journal of Banking & Finance, Elsevier, volume 42, issue C, pages 339-351, DOI: 10.1016/j.jbankfin.2014.01.025.
• Chung, Shing Fung & Wong, Hoi Ying, 2014, "Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps," Journal of Banking & Finance, Elsevier, volume 44, issue C, pages 130-140, DOI: 10.1016/j.jbankfin.2014.04.011.
• Jobst, Andreas A., 2014, "Measuring systemic risk-adjusted liquidity (SRL)—A model approach," Journal of Banking & Finance, Elsevier, volume 45, issue C, pages 270-287, DOI: 10.1016/j.jbankfin.2014.04.013.
• Bernales, Alejandro & Guidolin, Massimo, 2014, "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, volume 46, issue C, pages 326-342, DOI: 10.1016/j.jbankfin.2014.06.002.
• Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur, 2014, "Forecasting volatility of the U.S. oil market," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 1-14, DOI: 10.1016/j.jbankfin.2014.05.026.
• Madan, Dilip B., 2014, "Modeling and monitoring risk acceptability in markets: The case of the credit default swap market," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 63-73, DOI: 10.1016/j.jbankfin.2014.05.024.
• Yun, Jaeho, 2014, "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 74-87, DOI: 10.1016/j.jbankfin.2014.06.024.
• Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014, "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 210-223, DOI: 10.1016/j.jbankfin.2014.03.028.
• Sakurai, Yuji & Uchida, Yoshihiko, 2014, "Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 361-373, DOI: 10.1016/j.jbankfin.2013.11.024.
• de Groot, Wilma & Karstanje, Dennis & Zhou, Weili, 2014, "Exploiting commodity momentum along the futures curves," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 79-93, DOI: 10.1016/j.jbankfin.2014.08.008.
• Cakici, Nusret & Goswami, Gautam & Tan, Sinan, 2014, "Options resilience during extreme volatility: Evidence from the market events of May 2010," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 262-274, DOI: 10.1016/j.jbankfin.2014.08.005.
• Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal, 2014, "Credit spread changes within switching regimes," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 41-55, DOI: 10.1016/j.jbankfin.2014.08.009.
• Choi, Darwin & Hui, Sam K., 2014, "The role of surprise: Understanding overreaction and underreaction to unanticipated events using in-play soccer betting market," Journal of Economic Behavior & Organization, Elsevier, volume 107, issue PB, pages 614-629, DOI: 10.1016/j.jebo.2014.02.009.
• Leippold, Markus & Strømberg, Jacob, 2014, "Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube," Journal of Financial Economics, Elsevier, volume 111, issue 1, pages 224-250, DOI: 10.1016/j.jfineco.2013.08.016.
• Banerjee, Snehal & Graveline, Jeremy J., 2014, "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, volume 111, issue 3, pages 589-608, DOI: 10.1016/j.jfineco.2013.11.008.
• Hu, Jianfeng, 2014, "Does option trading convey stock price information?," Journal of Financial Economics, Elsevier, volume 111, issue 3, pages 625-645, DOI: 10.1016/j.jfineco.2013.12.004.
• Loon, Yee Cheng & Zhong, Zhaodong Ken, 2014, "The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market," Journal of Financial Economics, Elsevier, volume 112, issue 1, pages 91-115, DOI: 10.1016/j.jfineco.2013.12.001.
• Chen, Ding & Härkönen, Hannu J. & Newton, David P., 2014, "Advancing the universality of quadrature methods to any underlying process for option pricing," Journal of Financial Economics, Elsevier, volume 114, issue 3, pages 600-612, DOI: 10.1016/j.jfineco.2014.07.014.
• Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram, 2014, "Currency jumps, cojumps and the role of macro news," Journal of International Money and Finance, Elsevier, volume 40, issue C, pages 42-62, DOI: 10.1016/j.jimonfin.2013.08.018.
• Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2014, "Bubbles in food commodity markets: Four decades of evidence," Journal of International Money and Finance, Elsevier, volume 42, issue C, pages 129-155, DOI: 10.1016/j.jimonfin.2013.08.008.
• Büyükşahin, Bahattin & Robe, Michel A., 2014, "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, volume 42, issue C, pages 38-70, DOI: 10.1016/j.jimonfin.2013.08.004.
• Hamilton, James D. & Wu, Jing Cynthia, 2014, "Risk premia in crude oil futures prices," Journal of International Money and Finance, Elsevier, volume 42, issue C, pages 9-37, DOI: 10.1016/j.jimonfin.2013.08.003.
• Da Fonseca, José & Gottschalk, Katrin, 2014, "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, volume 49, issue PB, pages 386-400, DOI: 10.1016/j.jimonfin.2014.03.010.
• Haque, Md. Aminul & Topal, Erkan & Lilford, Eric, 2014, "A numerical study for a mining project using real options valuation under commodity price uncertainty," Resources Policy, Elsevier, volume 39, issue C, pages 115-123, DOI: 10.1016/j.resourpol.2013.12.004.
• Gil-Alana, Luis A. & Tripathy, Trilochan, 2014, "Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets," Resources Policy, Elsevier, volume 41, issue C, pages 31-39, DOI: 10.1016/j.resourpol.2014.02.004.
• Arık, Evren & Mutlu, Elif, 2014, "Chinese steel market in the post-futures period," Resources Policy, Elsevier, volume 42, issue C, pages 10-17, DOI: 10.1016/j.resourpol.2014.08.002.
• Ambrose, Brent W. & Diop, Moussa, 2014, "Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market," Journal of Urban Economics, Elsevier, volume 81, issue C, pages 114-135, DOI: 10.1016/j.jue.2014.03.005.
• Judge, Amrit & Reancharoen, Tipprapa, 2014, "An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand," Pacific-Basin Finance Journal, Elsevier, volume 29, issue C, pages 335-358, DOI: 10.1016/j.pacfin.2014.05.003.
• Liski, Matti & Montero, Juan-Pablo, 2014, "Forward trading in exhaustible-resource oligopoly," Resource and Energy Economics, Elsevier, volume 37, issue C, pages 122-146, DOI: 10.1016/j.reseneeco.2013.12.002.
• Lin, Jyh-Horng & Tsai, Jeng-Yan & Hung, Wei-Ming, 2014, "Bank equity risk under bailout programs of loan guarantee and/or equity capital injection," International Review of Economics & Finance, Elsevier, volume 31, issue C, pages 263-274, DOI: 10.1016/j.iref.2014.02.005.
• Lin, Anchor Y. & Lin, Yueh-Neng, 2014, "Herding of institutional investors and margin traders on extreme market movements," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 186-198, DOI: 10.1016/j.iref.2014.05.001.
• Vortelinos, Dimitrios I., 2014, "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 199-216, DOI: 10.1016/j.iref.2014.05.004.
• Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014, "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 82-89, DOI: 10.1016/j.iref.2014.03.006.
• Lutzenberger, Fabian T., 2014, "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, volume 23, issue 3, pages 120-130, DOI: 10.1016/j.rfe.2014.02.001.
• Jacobs, Michael & Karagozoglu, Ahmet K., 2014, "On the characteristics of dynamic correlations between asset pairs," Research in International Business and Finance, Elsevier, volume 32, issue C, pages 60-82, DOI: 10.1016/j.ribaf.2014.03.004.
• Rifat KARAKUS & Israfil ZOR, 2014, "IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 1, pages 63-71.
• Ortiz-Ramírez, Ambrosio. & Venegas-Martínez, Francisco. & Durán-Bustamante, Mario., 2014, "Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B. Calibración de parámetros de volatilidad estocástica con funciones cuadráticas de pérdida," El Trimestre Económico, Fondo de Cultura Económica, volume 81, issue 324, pages .943-988, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v81i.
• Kristoffer J. Glover & Gerhard Hambusch, 2014, "The trade-off theory revisited: on the effect of operating leverage," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 10, issue 1, pages 2-22, January, DOI: 10.1108/IJMF-03-2013-0034.
• Maria Chiara Amadori & Lamia Bekkour & Thorsten Lehnert, 2014, "The relative informational efficiency of stocks, options and credit default swaps during the financial crisis," Journal of Risk Finance, Emerald Group Publishing Limited, volume 15, issue 5, pages 510-532, November, DOI: 10.1108/JRF-04-2014-0044.
• Jean Paul Rabanal, 2014, "Strategic default with social interactions: A laboratory experiment," Research in Experimental Economics, Emerald Group Publishing Limited, "Experiments in Financial Economics", DOI: 10.1108/S0193-2306(2013)0000016003.
• Ma. Teresa V. Martínez-Palacios. & Francisco Venegas-Martínez., 2014, "Un modelo macroeconómico con agentes de vida finita y estocástica: cobertura de riesgo de mercado con derivados americanos," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 41, issue 2, pages 71-106, Julio-Dic, DOI: 10.24275/ETYPUAM/NE/412014/Martinez.
• Jakub Cerny & Jiri Witzany, 2014, "Interest Rate Swap Credit Valuation Adjustment," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/16, May, revised May 2014.
• Hirbod Assa & Nikolay Gospodinov, 2014, "Hedging and Pricing in Imperfect Markets under Non-Convexity," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-13, Aug.
• Zhaogang Song & Haoxiang Zhu, 2014, "QE Auctions of Treasury Bonds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-48, Jun.
• Zhaogang Song & Dacheng Xiu, 2014, "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-58, Jan.
• Deepa Dhume Datta & Juan M. Londono & Landon J. Ross, 2014, "Generating Options-Implied Probability Densities to Understand Oil Market Events," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1122, Oct.
• Nina Boyarchenko & Andreas Fuster & David O. Lucca, 2014, "Understanding mortgage spreads," Staff Reports, Federal Reserve Bank of New York, number 674, May.
• Allan M. Malz, 2014, "Simple and reliable way to compute option-based risk-neutral distributions," Staff Reports, Federal Reserve Bank of New York, number 677, Jun.
• Erik Vogt, 2014, "Option-implied term structures," Staff Reports, Federal Reserve Bank of New York, number 706, Dec.
• Alexey I. Balaev & Evsey T. Gurvich & Ilya V. Prilepskiy & Alexandra L. Suslina, 2014, "Effect of Oil Price and Exchange Rate on the Fiscal Revenues," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 5-16, March.
• Raphaël Chiappini & Yves Jégourel, 2014, "Futures Market Volatility, Exchange Rate Uncertainty and Cereals Exports: Empirical Evidence from France," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2014-34, Nov.
• Alain François-Heude & Ouidad Yousfi, 2014, "On the liquidity of CAC 40 index options market," Post-Print, HAL, number hal-02050806, Aug, DOI: 10.1057/jdhf.2014.18.
• Franck Moraux & Florina Silaghi, 2014, "Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds," Post-Print, HAL, number halshs-01024229, DOI: 10.1016/j.jcorpfin.2014.05.012.

2013

• Almut E. D. Veraart & Luitgard A. M. Veraart, 2013, "Risk premia in energy markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-02, Jan.
• Peter Christoffersen & Du Du & Redouane Elkamhi, 2013, "Rare Disasters and Credit Market Puzzles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-45, 05.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2013, "The Factor Structure in Equity Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-47, 06.
• Revoredo-Giha, C. & Zuppiroli, M., 2013, "Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain ?," 2013 Second Congress, June 6-7, 2013, Parma, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 149773, Jun, DOI: 10.22004/ag.econ.149773.
• Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2013, "Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 151372, May, DOI: 10.22004/ag.econ.151372.
• Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2013, "Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten," IAMO Discussion Papers, Institute of Agricultural Development in Transition Economies (IAMO), number 161078, DOI: 10.22004/ag.econ.161078.
• Cavaliere, Giuseppe & ßrregaard Nielsen, Morten & Taylor, A.M. Robert, 2013, "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274634, Dec, DOI: 10.22004/ag.econ.274634.
• Almánzar, Miguel & Torero, Máximo & Grebmer, Klaus von, 2013, "Futures Commodities Prices and Media Coverage," Discussion Papers, University of Bonn, Center for Development Research (ZEF), number 149414, May, DOI: 10.22004/ag.econ.149414.
• Siddiqi, Hammad, 2013, "Analogy Making In Complete and Incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 156934, Sep, DOI: 10.22004/ag.econ.156934.
• Siddiqi, Hammad, 2013, "Managing Option Trading Risk with Greeks when Analogy Making Matters," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 160607, Nov, DOI: 10.22004/ag.econ.160607.
• Siddiqi, Hammad, 2013, "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 160608, Sep, DOI: 10.22004/ag.econ.160608.
• Milanesi, Gastón & Tohmé, Fernando, 2013, "Implicit binomial trees, higher order stochastic moments and options valuation," Revista de Economía Política de Buenos Aires, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), issue 12, pages 45-72, December.
• Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013, "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 394, Nov.
• Thomas J. Brennan, 2013, "Law and Finance: The Case of Constructive Sales," Annual Review of Financial Economics, Annual Reviews, volume 5, issue 1, pages 259-276, November.
• Marco Bianchetti & Mattia Carlicchi, 2013, "Markets Evolution After the Credit Crunch," Papers, arXiv.org, number 1301.7078, Jan.
• Lijun Bo & Agostino Capponi, 2013, "Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios," Papers, arXiv.org, number 1305.5575, May.
• Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013, "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers, arXiv.org, number 1307.6322, Jul, revised May 2014.
• Godfrey Charles-Cadogan & John A. Cole, 2013, "Bankruptcy Risk Induced by Career Concerns of Regulators," Papers, arXiv.org, number 1312.7346, Dec.
• N'Sougan, Yao Djifa & Soumaré, Issouf, 2013, "Modelling sovereign default risk: comparing models and capturing the impact of the business cycle," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 6, issue 1, pages 75-96, January.
• Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe, 2013, "The Financialization of Food?," Staff Working Papers, Bank of Canada, number 13-39, DOI: 10.34989/swp-2013-39.
• Selma Chaker & Nour Meddahi, 2013, "CoMargin," Staff Working Papers, Bank of Canada, number 13-47, DOI: 10.34989/swp-2013-47.
• Doruk KUCUKSARAC & Ozgur OZEL, 2013, "The Overnight Currency Swap Rates and ISE Overnight Repo Rates," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 7, issue 2, pages 37-53.
• Acharya, V. V., 2013, "A transparency standard for derivatives," Financial Stability Review, Banque de France, issue 17, pages 81-89, April.
• Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion, 2013, "The Determinants Of Cds Spreads," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 1318.
• Beißner, Patrick, 2014, "Coherent price systems and uncertainty-neutral valuation," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 464, Apr.
• Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2013, "The response of tail risk perceptions to unconventional monetary policy," BIS Working Papers, Bank for International Settlements, number 425, Sep.
• Evangelos C. Charalambakis, 2013, "On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms," Working Papers, Bank of Greece, number 164, Oct.
• Sasi-Brodesky Ana, 2013, "Assessing Default Risk of Israeli Companies Using a Structural Model," Israel Economic Review, Bank of Israel, volume 10, issue 2, pages 147-185.
• Chia-Lin Chang & David Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/06, Jan.
• Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013, "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 307, revised 2015.
• Denis Beau & Christophe Cahn & Laurent Clerc & Benoît Mojon, 2013, "Macro-Prudential Policy and the Conduct of Monetary Policy," Working Papers Central Bank of Chile, Central Bank of Chile, number 715, Dec.
• Damir Filipović & Elise Gourier & Loriano Mancini, 2013, "Quadratic Variance Swap Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-06, Mar.
• Yan Dolinsky & Halil Mete Soner, 2013, "Robust Hedging with Proportional Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-11, Mar.
• Yan Dolinsky & Halil Mete Soner, 2013, "Martingale Optimal Transport and Robust Hedging in Continuous Time," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-13, Apr.
• Antonio Mele & Yoshiki Obayashi & Catherine Shalen, 2013, "Dynamics of Interest Rate Swap and Equity Volatilities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-23, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Credit Variance Swaps and Volatility Indexes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-24, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Volatility Indexes and Contracts for Eurodollar and Related Deposits," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-25, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Volatility Indexes and Contracts for Government Bonds and Time Deposits," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-26, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "The Price of Government Bond Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-27, Apr.
• Chris Bardgett & Elise Gourier & Markus Leippold, 2013, "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-40, Jul, revised Dec 2016.
• Benjamin Junge & Anders B. Trolle, 2013, "Liquidity Risk in Credit Default Swap Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-65, Dec, revised Aug 2015.
• Olivier Bachem & Gabriel G. Drimus & Walter Farkas, 2013, "Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-68, Dec.
• Erwan Morellec & Boris Nikolov & Francesca Zucchi, 2013, "Competition, Cash Holdings, and Financing Decisions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-72, Dec.
• Ciprian Necula & Gabriel G. Drimus & Walter Farkas, 2015, "A General Closed Form Option Pricing Formula," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-53, Feb, revised Mar 2016.
• Matthias Thul & Ally Zhang, 2017, "Analytical Option Pricing Under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-78, Dec, revised Feb 2018.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and liquidity regimes in the bond market during the 2002-2012 period," Canadian Journal of Economics, Canadian Economics Association, volume 46, issue 4, pages 1160-1195, November, DOI: 10.1111/caje.12057.
• Ludmila D. SOBOL, 2013, "Provocări Implicate De Evaluarea Companiilor," Management Intercultural, Romanian Foundation for Business Intelligence, Editorial Department, issue 27, pages 98-107, February.
• Luis Guillermo Herrera Cardona & Darwin C�rdenas Giraldo, 2013, "Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano," Estudios Gerenciales, Universidad Icesi.
• Gastón Silverio Milanesi, 2013, "Asimetría y curtosis en el modelo binomial para valorar opciones reales: caso de aplicación para empresas de base tecnológica," Estudios Gerenciales, Universidad Icesi.
• CARPANTIER, Jean-François & SAMKHARADZE, Besik, 2013, "The asymmetric commodity inventory effect on the optimal hedge ratio," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2527, Jan.
• Sarno, Lucio & Della Corte, Pasquale, 2013, "Volatility Risk Premia and Exchange Rate Predictability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9549, Jul.
• Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013, "Carry," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9771, Dec.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2013, "On the inefficiency of Brownian motions and heavier tailed price processes," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number id-13-01.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 6, pages 1813-1845, December.
• Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013, "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series, HEC Paris, number 969, Jan.