Research classified by Journal of Economic Literature (JEL) codes

2012

• A. Schnytzer & V. Makropoulou & M. Lamers, 2012, "Pricing Decisions and Insider Trading in Horse Betting Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 12/772, Feb.
• M. Ali Khan & Kali P. Rath & Yeneng Sun & Haomiao Yu, 2012, "Large Games with a Bio-Social Typology," Working Papers, Toronto Metropolitan University, Department of Economics, number 035, Oct.
• M. Ali Khan & Kali P. Rath & Haomiao Yu & Yongchao Zhang, 2012, "Large Distributional Games with Traits," Working Papers, Toronto Metropolitan University, Department of Economics, number 037, Dec.
• Cruz aké, Salvador & Venegas Martínez, Francisco & Cabrera Llanos, Agustín Ignacio, 2012, "Inmunización del riesgo de crédito de un bono soberano en un ambiente de ingreso fiscal volátil: el caso de un bono mexicano denominado en dólares de Estados Unidos / Sovereign Bond’s Credit Risk Immunization in a Tax Income Volatility Environment: T," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 2, issue 2, pages 147-173, julio-dic.
• Xiaohu Wang & Jun Yu, 2012, "Double Asymptotics for Explosive Continuous Time Models," Working Papers, Singapore Management University, School of Economics, number 16-2012, Jan.
• Song-Ping Zhu & Jing Zhang, 2012, "How should a convertible bond be decomposed?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 35, issue 2, pages 113-149, November, DOI: 10.1007/s10203-011-0118-y.
• Josep Puigvert-Gutiérrez & Rupert Vincent-Humphreys, 2012, "A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 2, issue 1, pages 1-31, June, DOI: 10.14208/BF03353830.
• Rüdiger Frey & Thorsten Schmidt, 2012, "Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering," Finance and Stochastics, Springer, volume 16, issue 1, pages 105-133, January, DOI: 10.1007/s00780-011-0153-0.
• Emmanuel Denis & Yuri Kabanov, 2012, "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, volume 16, issue 1, pages 135-154, January, DOI: 10.1007/s00780-010-0144-6.
• Stefan Ankirchner & Gregor Heyne, 2012, "Cross hedging with stochastic correlation," Finance and Stochastics, Springer, volume 16, issue 1, pages 17-43, January, DOI: 10.1007/s00780-010-0148-2.
• René Carmona & Sergey Nadtochiy, 2012, "Tangent Lévy market models," Finance and Stochastics, Springer, volume 16, issue 1, pages 63-104, January, DOI: 10.1007/s00780-011-0158-8.
• Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2012, "Strict local martingale deflators and valuing American call-type options," Finance and Stochastics, Springer, volume 16, issue 2, pages 275-291, April, DOI: 10.1007/s00780-011-0155-y.
• Cassio Neri & Lorenz Schneider, 2012, "Maximum entropy distributions inferred from option portfolios on an asset," Finance and Stochastics, Springer, volume 16, issue 2, pages 293-318, April, DOI: 10.1007/s00780-011-0167-7.
• Peter Carr & Roger Lee & Liuren Wu, 2012, "Variance swaps on time-changed Lévy processes," Finance and Stochastics, Springer, volume 16, issue 2, pages 335-355, April, DOI: 10.1007/s00780-011-0157-9.
• Julien Grépat & Yuri Kabanov, 2012, "Small transaction costs, absence of arbitrage and consistent price systems," Finance and Stochastics, Springer, volume 16, issue 3, pages 357-368, July, DOI: 10.1007/s00780-011-0164-x.
• Elisa Alòs, 2012, "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Finance and Stochastics, Springer, volume 16, issue 3, pages 403-422, July, DOI: 10.1007/s00780-012-0177-0.
• Vladimir Vovk, 2012, "Continuous-time trading and the emergence of probability," Finance and Stochastics, Springer, volume 16, issue 4, pages 561-609, October, DOI: 10.1007/s00780-012-0180-5.
• Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013, "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, volume 17, issue 4, pages 717-742, October, DOI: 10.1007/s00780-013-0208-5.
• Jeffrey Stokes, 2012, "The value of the option to preserve farm real estate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 162-175, January, DOI: 10.1007/s12197-010-9138-7.
• Timo Greggers & Peter Nippel, 2012, "Verwässerungsschutz bei Finanzierungsinstrumenten mit Optionselementen am Beispiel von Wandelanleihen," Schmalenbach Journal of Business Research, Springer, volume 64, issue 5, pages 494-521, August, DOI: 10.1007/BF03373699.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2012, "Volatility in EMU sovereign bond yields: permanent and transitory components," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 17, pages 1453-1464, September, DOI: 10.1080/09603107.2012.661397.
• Lech A. Grzelak & Cornelis W. Oosterlee, 2012, "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, volume 19, issue 1, pages 1-35, February, DOI: 10.1080/1350486X.2011.570492.
• Erik Theissen, 2012, "Price discovery in spot and futures markets: a reconsideration," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 10, pages 969-987, November, DOI: 10.1080/1351847X.2011.601643.
• John Cotter & Jim Hanly, 2012, "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 2, pages 135-147, February, DOI: 10.1080/1351847X.2011.574977.
• Christophe Chorro & Dominique Gu�gan & Florian Ielpo, 2012, "Option pricing for GARCH-type models with generalized hyperbolic innovations," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 7, pages 1079-1094, April, DOI: 10.1080/14697688.2010.493180.
• Ke Tang & Wei Xiong, 2012, "Index Investment and the Financialization of Commodities," Financial Analysts Journal, Taylor & Francis Journals, volume 68, issue 6, pages 54-74, November, DOI: 10.2469/faj.v68.n6.5.
• P. Srinivasan & P. Ibrahim, 2012, "Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 5, issue 3, pages 65-80, December.
• Natalya Martynova & Enrico Perotti, 2012, "Convertible Bonds and Bank Risk-Taking," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-106/IV/DSF41, Oct, revised 10 Oct 2016.
• Holmberg, P. & Willems, Bert, 2012, "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-088.
• Holmberg, P. & Willems, Bert, 2012, "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2012-039.
• Holmberg, P. & Willems, Bert, 2012, "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Other publications TiSEM, Tilburg University, School of Economics and Management, number 29ee1be9-d566-4b3b-9ba0-0.
• Holmberg, P. & Willems, Bert, 2012, "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2d1fb9b4-fb84-44ab-92e9-f.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-08, Apr.
• Marcin Jaskowski & Michael McAleer, 2012, "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-28, Dec.
• David Bicchetti & Nicolas Maystre, 2012, "The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data," UNCTAD Discussion Papers, United Nations Conference on Trade and Development, number 208.
• Elisa Alòs & Rafael De Santiago & Josep Vives, 2012, "Calibration of stochastic volatility models via second order approximation: the Heston model case," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1346, Oct.
• Eling, Martin & Holder, Stefan, 2012, "The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design," Working Papers on Finance, University of St. Gallen, School of Finance, number 1221, Sep.
• Carl Chiarella & Chi-Fai Lo & Ming Xi Huang, 2012, "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 304, Mar.
• Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2012, "Alternative Term Structure Models for Reviewing Expectations Puzzles," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 305, Mar.
• Jan Baldeaux & Alexander Badran, 2012, "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 306, Mar.
• Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To, 2012, "Humps in the Volatility Structure of the Crude Oil Futures Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 308, Jun.
• Kristoffer Glover & Gerhard Hambusch, 2012, "Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 314, Sep.
• Martina Nardon & Paolo Pianca, 2012, "Prospect theory: An application to European option pricing," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012:34.
• Martina Nardon & Paolo Pianca, 2012, "Extracting information on implied volatilities and discrete dividends from American options prices," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_25.
• Chris Brooks & Alešs Černý & Joëlle Miffre, 2012, "Optimal hedging with higher moments," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 10, pages 909-944, October.
• Aaron Tornell & Chunming Yuan, 2012, "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 2, pages 122-151, February.
• Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2012, "Regime‐dependent smile‐adjusted delta hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 3, pages 203-229, March.
• Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi, 2012, "Variance risk premiums and predictive power of alternative forward variances in the corn market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 6, pages 587-608, June.
• Carol Alexander & Andreas Kaeck, 2012, "Does model fit matter for hedging? Evidence from FTSE 100 options," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 7, pages 609-638, July.
• Rohini Grover & Susan Thomas, 2012, "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 8, pages 714-741, August.
• Dilip B. Madan, 2012, "Execution Costs And Efficient Execution Frontiers," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 1-18, DOI: 10.1142/S2010495212500029.
• Robert Jarrow, 2012, "The Third Fundamental Theorem Of Asset Pricing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 1-11, DOI: 10.1142/S2010495212500078.
• Donald Lien & Keshab Shrestha, 2012, "The Effects Of Price Dynamics On Optimal Futures Hedging," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 1-10, DOI: 10.1142/S201049521250008X.
• Roman Horvath & Petr Poldauf, 2012, "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 1, pages 1-21, March, DOI: 10.1515/1524-5861.1788.
• Silvia Centanni & Marco Minozzo, 2012, "Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 03, pages 1-22, DOI: 10.1142/S0219024912500185.
• Álvaro Cartea & José Penalva, 2012, "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 03, pages 1-46, DOI: 10.1142/S2010139212500140.
• Francis In & Sangbae Kim, 2012, "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, ISBN: ARRAY(0x5fc840f0), September.
• Fred Espen Benth & Jūratė Šaltytė Benth, 2012, "Modeling and Pricing in Financial Markets for Weather Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8457, ISBN: ARRAY(0x60c9a398), September.
• Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012, "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/02.
• Marcin Magdziarz & Janusz Gajda, 2012, "Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/04.
• Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias, 2012, "Portfolioallokation: Einbezug verschiedener Assetklassen," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers), University of Bayreuth, Chair of Finance and Banking, number 2012-01.
• Gaul, Jürgen & Theissen, Erik, 2012, "A partially linear approach to modelling the dynamics of spot and futures prices," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-01.
• Schmidt, Wolfgang M., 2012, "Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 33.
• Tinschert, Jonas & Cremers, Heinz, 2012, "Fixed income strategies for trading and for asset management," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 191.
• Ghosh, Saurabh, 2012, "Volatility spillover in the foreign exchange market: The Indian experience," Kiel Advanced Studies Working Papers, Kiel Institute for the World Economy, number 460.
• Scalas, Enrico & Politi, Mauro, 2012, "A parsimonious model for intraday European option pricing," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-14.
• Grove, Nico & Agic, Damir & Sedlmeir, Joachim, 2012, "Network neutrality and consumer discrimination: Comparing ISP's GTCs and DPI application," 23rd European Regional ITS Conference, Vienna 2012, International Telecommunications Society (ITS), number 60403.
• Schuster, Philipp & Uhrig-Homburg, Marliese, 2012, "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 45, DOI: 10.5445/IR/1000030964.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012, "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2012-26.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012, "Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2012-27.
• Messow, Philip, 2012, "Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 317, DOI: 10.4419/86788366.
• Söhl, Jakob, 2012, "Confidence sets in nonparametric calibration of exponential Lévy models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-012.
• Söhl, Jakob & Trabs, Mathias, 2012, "Option calibration of exponential Lévy models: Implementation and empirical results," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-017.
• Härdle, Wolfgang Karl & Silyakova, Elena, 2012, "Implied basket correlation dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-066.
• Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Casper, 2012, "The forward premium puzzle and latent factors day by day," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62017.
• Christian Bach & Matt P. Dziubinski, 2012, "Commodity derivatives pricing with inventory effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-06, Feb.
• Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012, "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-50, May.
• Tim Bollerslev & Lai Xu & Hao Zhou, 2012, "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-51, Nov.
• Ana Fostel & John Geanakoplos, 2012, "Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 190-225, January.
• Yacine Aït-Sahalia & Jean Jacod, 2012, "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, volume 50, issue 4, pages 1007-1050, December.
• Richard Ebil Ottoo, 2012, "Valuation of a Hydro-Electric Power Project in Emerging Markets: An Application of Real Options," The African Finance Journal, Africagrowth Institute, volume 14, issue 1, pages 1-36.
• Juarez-Torres, Miriam & Sanchez, Leonardo & Vedenov, Dmitry V., 2012, "Effectiveness of Weather Derivatives as Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124813, DOI: 10.22004/ag.econ.124813.
• Pedersen, Michael Friis, , "Reallocation of price risk among members," 123rd Seminar, February 23-24, 2012, Dublin, Ireland, European Association of Agricultural Economists, number 122529, DOI: 10.22004/ag.econ.122529.
• Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2012, "Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 122868, Apr, DOI: 10.22004/ag.econ.122868.
• Irwin, Scott H., 2012, "Does the Masters Hypothesis Explain Recent Food Price Spikes?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists, number 126877, DOI: 10.22004/ag.econ.126877.
• Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2012, "Information Demand and Agriculture Commodity Prices," 2012 International European Forum, February 13-17, 2012, Innsbruck-Igls, Austria, International European Forum on System Dynamics and Innovation in Food Networks, number 144973, Sep, DOI: 10.22004/ag.econ.144973.
• Cordier, Jean & Gohin, Alexandre, 2012, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Working Papers, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), number 207989, DOI: 10.22004/ag.econ.207989.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Financialization and Structural Change in Commodity Futures Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 44, issue 3, pages 1-26, August, DOI: 10.22004/ag.econ.130280.
• Silveira, Rodrigo Lanna Franco da & Cruz Júnior, José César & Saes, Maria Sylvia Macchione, None, "Uma Análise da Gestão de Risco de Preço Por Parte dos Produtores de 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 50, issue 3, pages 1-14, DOI: 10.22004/ag.econ.156014.
• Irwin, Scott H., 2012, "Does the Masters Hypothesis Explain Recent Food Price Spikes?," Working Papers, Structure and Performance of Agriculture and Agri-products Industry (SPAA), number 126944, Jun, DOI: 10.22004/ag.econ.126944.
• Mircea Gabriel Ciolpan & Jenica Popescu, 2012, "Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 40, pages 195-204.
• K. Geert Rouwenhorst & Ke Tang, 2012, "Commodity Investing," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 447-467, October.
• Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012, "Smiles all around: FX joint calibration in a multi-Heston model," Papers, arXiv.org, number 1201.1782, Jan, revised Jun 2013.
• Peter Carr & Travis Fisher & Johannes Ruf, 2012, "On the Hedging of Options On Exploding Exchange Rates," Papers, arXiv.org, number 1202.6188, Feb, revised Nov 2013.
• Fred Espen Benth & Jukka Lempa, 2012, "Optimal portfolios in commodity futures markets," Papers, arXiv.org, number 1204.2667, Apr.
• St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2012, "Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets," Papers, arXiv.org, number 1205.4089, May.
• Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012, "The Reactive Volatility Model," Papers, arXiv.org, number 1209.5190, Sep, revised Apr 2013.
• Marco Bianchetti, 2012, "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," Papers, arXiv.org, number 1210.7329, Oct.
• Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou, 2012, "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Papers, arXiv.org, number 1211.5502, Nov.
• Jonathan Ziveyi & Craig Blackburn & Michael Sherris, 2012, "Pricing European Options on Deferred Insurance," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201202, Feb.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012, "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers, Bank of Canada, number 12-11, DOI: 10.34989/swp-2012-11.
• Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi, 2012, "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Staff Working Papers, Bank of Canada, number 12-34, DOI: 10.34989/swp-2012-34.
• Jean-Sébastien Fontaine, 2012, "Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy," Staff Working Papers, Bank of Canada, number 12-41, DOI: 10.34989/swp-2012-41.
• Javier Mencía & Enrique Sentana, 2012, "Valuation of vix derivatives," Working Papers, Banco de España, number 1232, Sep.
• Alessandro Borin & Virginia Di Nino, 2012, "The role of financial investments in agricultural commodity derivatives markets," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 849, Jan.
• Carlos León, 2012, "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia, Banco de la Republica de Colombia, number 743, Oct, DOI: 10.32468/be.743.
• Yaroslav Ivanenko & Bertrand Munier, 2012, "Price as a choice under nonstochastic randomness in finance," Working papers, Banque de France, number 381.
• Denis Beau & Laurent Clerc & Benoit Mojon, 2012, "Macro-Prudential Policy and the Conduct of Monetary Policy," Working papers, Banque de France, number 390.
• Alain Monfort & Fulvio Pegoraro, 2012, "Asset Pricing with Second-Order Esscher Transforms," Working papers, Banque de France, number 397.
• Zvika Afik & Ohad Arad & Koresh Galil, 2012, "Using Merton model: an empirical assessment of alternatives," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 1202.
• Alessio Anzuini & Fabio Fornari, 2012, "Macroeconomic Determinants of Carry Trade Activity," Review of International Economics, Wiley Blackwell, volume 20, issue 3, pages 468-488, August, DOI: j.1467-9396.2012.01034.x.
• Rupert de Vincent-Humphreys & Joseph Noss, 2012, "Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions," Bank of England working papers, Bank of England, number 455, Jun.
• Jianjun Miao & Bin Wei & Hao Zhou, 2012, "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2012-009, Jan.
• Horvath Roman & Poldauf Petr, 2012, "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.1515/1524-5861.1788.
• Mordecai Avriel & Jens Hilscher & Alon Raviv, 2012, "Inflation Derivatives Under Inflation Target Regimes," Working Papers, Brandeis University, Department of Economics and International Business School, number 43, Apr.
• Jens Hilscher & Alon Raviv, 2012, "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Working Papers, Brandeis University, Department of Economics and International Business School, number 53, Sep, revised Jan 2014.
• Mark J. Roe, 2012, "Les marchés de produits dérivés et la loi américaine sur les faillites," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 231-250.
• Annette L. Nazareth & Gabriel D. Rosenberg, 2012, "La nouvelle régulation des swaps : une opportunité manquée," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 281-292.
• Holmberg, P. & Willems, B., 2012, "Relaxing competition through speculation: Committing to a negative supply slope," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1252, Dec.
• Joy, Mark, 2012, "Sovereign default and macroeconomic tipping points," Research Technical Papers, Central Bank of Ireland, number 10/RT/12, Sep.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/10, Apr.
• Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini, 2018, "The Term Structure of Variance Swaps and Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-37, May.
• Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012, "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2012/12, Dec.
• A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012, "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201214.
• Carlos Le�n, 2012, "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia, Banco de la Republica, number 10075, Oct.
• Javier Orlando Pantoja Robayo & Andrea Roncoroni, 2012, "Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10668, Dec.
• CARPANTIER, Jean-François & SAMKHARADZE, Besik, 2012, "The asymmetric commodity inventory effect on the optimal hedge ratio," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012020, May.
• Van Nieuwerburgh, Stijn & Lustig, Hanno & Kelly, Bryan, 2012, "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9023, Jun.
• Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff, 2012, "Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-4.
• Yoichi Otsubo, 2012, "Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-6.
• Yoichi Otsubo & Bruce Mizrach, 2012, "The Market Microstructure of the European Climate Exchange," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-7.
• Restrepo, Diana & Correia, Ricardo & Población, Javier, 2012, "Political risk and corporate investment decisions," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 13114, Jan.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Financialization and Structural Change in Commodity Futures Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 44, issue 3, pages 371-396, August.
• Bouchard, Bruno (ed.), 2012, "A contribution in stochastic control applied to finance and insurance," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10711.
• Saban Celik, 2012, "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 2, pages 141-178.
• Wojakowski, Rafał M., 2012, "How should firms selectively hedge? Resolving the selective hedging puzzle," Journal of Corporate Finance, Elsevier, volume 18, issue 3, pages 560-569, DOI: 10.1016/j.jcorpfin.2012.02.003.
• Barinov, Alexander, 2012, "Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle," Journal of Corporate Finance, Elsevier, volume 18, issue 4, pages 763-781, DOI: 10.1016/j.jcorpfin.2012.05.005.
• Caporin, Massimiliano & Preś, Juliusz, 2012, "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3459-3476, DOI: 10.1016/j.csda.2010.06.019.
• Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk, 2012, "Valuation of power options under Heston's stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 11, pages 1796-1813, DOI: 10.1016/j.jedc.2012.05.005.
• Lim, Dongjae & Li, Lingfei & Linetsky, Vadim, 2012, "Evaluating callable and putable bonds: An eigenfunction expansion approach," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 12, pages 1888-1908, DOI: 10.1016/j.jedc.2012.06.002.
• Davis, Graham A. & Cairns, Robert D., 2012, "Good timing: The economics of optimal stopping," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 2, pages 255-265, DOI: 10.1016/j.jedc.2011.09.008.
• Hackbarth, Dirk & Miao, Jianjun, 2012, "The dynamics of mergers and acquisitions in oligopolistic industries," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 585-609, DOI: 10.1016/j.jedc.2011.12.001.
• Gabay, Daniel & Grasselli, Martino, 2012, "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 657-669, DOI: 10.1016/j.jedc.2011.12.002.
• Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E., 2012, "A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 5, pages 708-715, DOI: 10.1016/j.jedc.2012.01.002.
• Lin, Yueh-Neng & Chang, Chien-Hung, 2012, "Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 5, pages 716-718, DOI: 10.1016/j.jedc.2012.01.003.
• Bao, Qunfang & Chen, Si & Li, Shenghong, 2012, "Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest," Economic Modelling, Elsevier, volume 29, issue 2, pages 471-477, DOI: 10.1016/j.econmod.2011.12.002.
• Yagi, Kyoko & Takashima, Ryuta, 2012, "The impact of convertible debt financing on investment timing," Economic Modelling, Elsevier, volume 29, issue 6, pages 2407-2416, DOI: 10.1016/j.econmod.2012.06.032.
• Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012, "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, volume 29, issue 6, pages 2651-2663, DOI: 10.1016/j.econmod.2012.07.016.
• Fong, Tom Pak Wing & Wong, Alfred Y-T., 2012, "Gauging potential sovereign risk contagion in Europe," Economics Letters, Elsevier, volume 115, issue 3, pages 496-499, DOI: 10.1016/j.econlet.2011.12.112.
• de Frutos, María-Ángeles & Fabra, Natalia, 2012, "How to allocate forward contracts: The case of electricity markets," European Economic Review, Elsevier, volume 56, issue 3, pages 451-469, DOI: 10.1016/j.euroecorev.2011.11.005.
• Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012, "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, volume 223, issue 1, pages 188-202, DOI: 10.1016/j.ejor.2012.06.002.
• Gospodinov, Nikolay & Jamali, Ibrahim, 2012, "The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 497-510, DOI: 10.1016/j.jempfin.2012.04.009.
• Gospodinov, Nikolay & Hirukawa, Masayuki, 2012, "Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 595-609, DOI: 10.1016/j.jempfin.2012.04.001.
• Cartea, Álvaro & González-Pedraz, Carlos, 2012, "How much should we pay for interconnecting electricity markets? A real options approach," Energy Economics, Elsevier, volume 34, issue 1, pages 14-30, DOI: 10.1016/j.eneco.2011.06.002.
• Sadorsky, Perry, 2012, "Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies," Energy Economics, Elsevier, volume 34, issue 1, pages 248-255, DOI: 10.1016/j.eneco.2011.03.006.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, volume 34, issue 1, pages 256-269, DOI: 10.1016/j.eneco.2011.10.008.
• Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012, "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, volume 34, issue 1, pages 316-326, DOI: 10.1016/j.eneco.2011.02.011.