Research classified by Journal of Economic Literature (JEL) codes

2012

• 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.
• Khalifa & Hammoudeh & E. Otranto & 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, Centre for Economic Policy Research, 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.
• Mizrach, Bruce, 2012, "Integration of the global carbon markets," Energy Economics, Elsevier, volume 34, issue 1, pages 335-349, DOI: 10.1016/j.eneco.2011.10.011.
• Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent, 2012, "Clustering in crude oil prices and the target pricing zone hypothesis," Energy Economics, Elsevier, volume 34, issue 4, pages 1115-1123, DOI: 10.1016/j.eneco.2011.09.009.
• Haugom, Erik & Ullrich, Carl J., 2012, "Market efficiency and risk premia in short-term forward prices," Energy Economics, Elsevier, volume 34, issue 6, pages 1931-1941, DOI: 10.1016/j.eneco.2012.08.003.
• Tsai, Jeng-Yan & Lin, Jyh-Horng, 2012, "A contingent claim analysis of sunflower management under board monitoring and capital regulation," International Review of Financial Analysis, Elsevier, volume 21, issue C, pages 1-9, DOI: 10.1016/j.irfa.2011.09.002.
• McMillan, David G. & Philip, Dennis, 2012, "Short-sale constraints and efficiency of the spot–futures dynamics," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 129-136, DOI: 10.1016/j.irfa.2012.09.001.
• Tao, Juan & Green, Christopher J., 2012, "Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 26-37, DOI: 10.1016/j.irfa.2012.07.002.
• Lukas, Elmar & Welling, Andreas, 2012, "Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage," Finance Research Letters, Elsevier, volume 9, issue 1, pages 29-35, DOI: 10.1016/j.frl.2011.09.002.
• Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin, 2012, "A jump-diffusion approach to modelling vulnerable option pricing," Finance Research Letters, Elsevier, volume 9, issue 1, pages 48-56, DOI: 10.1016/j.frl.2011.07.001.
• Jarrow, Robert & Protter, Philip, 2012, "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, volume 9, issue 2, pages 58-62, DOI: 10.1016/j.frl.2012.03.002.
• Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping, 2012, "Discrete time hedging with liquidity risk," Finance Research Letters, Elsevier, volume 9, issue 3, pages 135-143, DOI: 10.1016/j.frl.2012.02.002.
• Zumbach, Gilles, 2012, "Option pricing and ARCH processes," Finance Research Letters, Elsevier, volume 9, issue 3, pages 144-156, DOI: 10.1016/j.frl.2012.01.002.
• Hsu, Pao-Peng & Chen, Ying-Hsiu, 2012, "Barrier option pricing for exchange rates under the Levy–HJM processes," Finance Research Letters, Elsevier, volume 9, issue 3, pages 176-181, DOI: 10.1016/j.frl.2011.10.002.
• Bick, Avi, 2012, "The relationship between reciprocal currency futures prices," Finance Research Letters, Elsevier, volume 9, issue 4, pages 194-201, DOI: 10.1016/j.frl.2012.03.001.
• Birru, Justin & Figlewski, Stephen, 2012, "Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008," Journal of Financial Markets, Elsevier, volume 15, issue 2, pages 151-180, DOI: 10.1016/j.finmar.2011.09.001.
• Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E., 2012, "Stock option contract adjustments: The case of special dividends," Journal of Financial Markets, Elsevier, volume 15, issue 2, pages 233-257, DOI: 10.1016/j.finmar.2011.10.001.
• Wilson, Linus & Wu, Yan Wendy, 2012, "Escaping TARP," Journal of Financial Stability, Elsevier, volume 8, issue 1, pages 32-42, DOI: 10.1016/j.jfs.2011.02.002.
• Siriopoulos, Costas & Fassas, Athanasios, 2012, "An investor sentiment barometer — Greek Implied Volatility Index (GRIV)," Global Finance Journal, Elsevier, volume 23, issue 2, pages 77-93, DOI: 10.1016/j.gfj.2012.03.001.
• Melnikov, Alexander & Smirnov, Ivan, 2012, "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 182-190, DOI: 10.1016/j.insmatheco.2012.03.011.
• Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2012, "Valuing equity-linked death benefits and other contingent options: A discounted density approach," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 73-92, DOI: 10.1016/j.insmatheco.2012.03.001.
• Truong, Cameron & Corrado, Charles & Chen, Yangyang, 2012, "The options market response to accounting earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 423-450, DOI: 10.1016/j.intfin.2012.01.006.
• Smales, Lee A., 2012, "30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 1006-1023, DOI: 10.1016/j.intfin.2011.12.004.
• Nejadmalayeri, Ali & Singh, Manohar, 2012, "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2900-2916, DOI: 10.1016/j.jbankfin.2011.07.021.
• Kaeck, Andreas & Alexander, Carol, 2012, "Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3110-3121, DOI: 10.1016/j.jbankfin.2012.07.012.
• Beliaeva, Natalia & Nawalkha, Sanjay, 2012, "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 151-163, DOI: 10.1016/j.jbankfin.2011.06.012.
• Li, Junye, 2012, "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 249-260, DOI: 10.1016/j.jbankfin.2011.07.005.
• Câmara, António & Popova, Ivilina & Simkins, Betty, 2012, "A comparative study of the probability of default for global financial firms," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 717-732, DOI: 10.1016/j.jbankfin.2011.02.019.
• Rittler, Daniel, 2012, "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 774-785, DOI: 10.1016/j.jbankfin.2011.09.009.
• Chalamandaris, Georgios & Rompolis, Leonidas S., 2012, "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1028-1044, DOI: 10.1016/j.jbankfin.2011.10.016.
• Kassberger, Stefan & Liebmann, Thomas, 2012, "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1304-1310, DOI: 10.1016/j.jbankfin.2011.11.017.
• Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012, "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1381-1391, DOI: 10.1016/j.jbankfin.2011.12.003.
• Branger, Nicole & Muck, Matthias, 2012, "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1577-1591, DOI: 10.1016/j.jbankfin.2012.01.004.
• Forte, Santiago & Lovreta, Lidija, 2012, "Endogenizing exogenous default barrier models: The MM algorithm," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1639-1652, DOI: 10.1016/j.jbankfin.2012.01.010.
• Monfort, Alain & Pegoraro, Fulvio, 2012, "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1678-1687, DOI: 10.1016/j.jbankfin.2012.01.014.
• Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George, 2012, "Volatility spillovers and the effect of news announcements," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2260-2273, DOI: 10.1016/j.jbankfin.2012.04.006.
• Huang, Hsing-Hua & Huang, Hongming & Shih, Pai-Ta, 2012, "Real options and earnings-based bonus compensation," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2389-2402, DOI: 10.1016/j.jbankfin.2012.05.002.
• Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi, 2012, "Derivatives traders’ reaction to mispricing in the underlying equity," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2438-2454, DOI: 10.1016/j.jbankfin.2012.04.018.
• Wilson, Linus, 2012, "Anchoring bias in the TARP warrant negotiations," Journal of Economics and Business, Elsevier, volume 64, issue 1, pages 63-76, DOI: 10.1016/j.jeconbus.2011.03.002.
• Luo, Guo Ying, 2012, "Conservative traders, natural selection and market efficiency," Journal of Economic Theory, Elsevier, volume 147, issue 1, pages 310-335, DOI: 10.1016/j.jet.2011.10.016.
• Hugonnier, Julien, 2012, "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, volume 147, issue 6, pages 2260-2302, DOI: 10.1016/j.jet.2012.05.003.
• Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012, "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, volume 103, issue 1, pages 204-220, DOI: 10.1016/j.jfineco.2011.08.011.
• Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A., 2012, "Counterparty credit risk and the credit default swap market," Journal of Financial Economics, Elsevier, volume 103, issue 2, pages 280-293, DOI: 10.1016/j.jfineco.2011.10.001.
• Qiu, Jiaping & Yu, Fan, 2012, "Endogenous liquidity in credit derivatives," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 611-631, DOI: 10.1016/j.jfineco.2011.10.010.
• Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012, "Time series momentum," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 228-250, DOI: 10.1016/j.jfineco.2011.11.003.
• Mitchell, Mark & Pulvino, Todd, 2012, "Arbitrage crashes and the speed of capital," Journal of Financial Economics, Elsevier, volume 104, issue 3, pages 469-490, DOI: 10.1016/j.jfineco.2011.09.002.
• Driessen, Joost & Van Hemert, Otto, 2012, "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 37-61, DOI: 10.1016/j.jfineco.2012.02.006.
• Bates, David S., 2012, "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, volume 105, issue 2, pages 229-259, DOI: 10.1016/j.jfineco.2012.03.004.
• Hong, Harrison & Yogo, Motohiro, 2012, "What does futures market interest tell us about the macroeconomy and asset prices?," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 473-490, DOI: 10.1016/j.jfineco.2012.04.005.
• Kapadia, Nikunj & Pu, Xiaoling, 2012, "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 542-564, DOI: 10.1016/j.jfineco.2011.10.014.
• Johnson, Travis L. & So, Eric C., 2012, "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 262-286, DOI: 10.1016/j.jfineco.2012.05.008.
• Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012, "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 447-472, DOI: 10.1016/j.jfineco.2012.05.017.
• Golez, Benjamin & Jackwerth, Jens Carsten, 2012, "Pinning in the S&P 500 futures," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 566-585, DOI: 10.1016/j.jfineco.2012.06.010.
• Siddiqi, Hammad, 2012, "The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study," Journal of Economic Psychology, Elsevier, volume 33, issue 1, pages 19-29, DOI: 10.1016/j.joep.2011.08.008.
• Jou, Jyh-Bang, 2012, "Efficient growth boundaries in the presence of population externalities and stochastic rents," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 349-357, DOI: 10.1016/j.qref.2012.10.004.
• Clapp, John M. & Bardos, Katsiaryna Salavei & Wong, S.K., 2012, "Empirical estimation of the option premium for residential redevelopment," Regional Science and Urban Economics, Elsevier, volume 42, issue 1-2, pages 240-256, DOI: 10.1016/j.regsciurbeco.2011.08.007.
• Tsai, Jeng-Yan & Chang, Chuen-Ping, 2012, "Call-pricing equity returns and default risks of entry mode with brand perception in retail banking," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 29-41, DOI: 10.1016/j.iref.2011.04.001.
• Shibata, Takashi & Tian, Yuan, 2012, "Debt reorganization strategies with complete verification under information asymmetry," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 141-160, DOI: 10.1016/j.iref.2011.09.007.
• Wong, Kit Pong, 2012, "Production and futures hedging with state-dependent background risk," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 177-184, DOI: 10.1016/j.iref.2012.03.002.
• Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012, "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 315-326, DOI: 10.1016/j.iref.2012.04.002.
• Wang, Chou-Wen & Wu, Chin-Wen & Tzang, Shyh-Weir, 2012, "Implementing option pricing models when asset returns follow an autoregressive moving average process," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 8-25, DOI: 10.1016/j.iref.2011.12.003.
• Nishihara, Michi, 2012, "Real option valuation of abandoned farmland," Review of Financial Economics, Elsevier, volume 21, issue 4, pages 188-192, DOI: 10.1016/j.rfe.2012.07.002.
• Leo Krippner, 2012, "Modifying Gaussian Term Structure Models When Interest Rates Are near the Zero lower bound (this is a revised version of CAMA working paper 36/2011)," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-05, Feb.
• Leo Krippner, 2012, "Measuring the Stance of Monetary Policy in Zero Lower Bound Environments," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-35, Jul.
• Vedolin, Andrea, 2012, "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43091, Nov.
• Ling‐Yun He & Wen‐Si Xie, 2012, "Who has the final say?," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 4, issue 3, pages 379-390, August, DOI: 10.1108/17561371211263383.
• J. Alexander Nuetah & Yitian Xiao & Pei Guo, 2012, "Is China entering a high food price era?," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 4, issue 3, pages 391-399, August, DOI: 10.1108/17561371211263392.
• Hammoudeh, S.M. & McAleer, M.J., 2012, "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-14, Apr.
• Pär Holmberg & Bert Willems, 2012, "Relaxing competition through speculation: Committing to a negative supply slope," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1224, Nov.
• Francisco Álvarez Echeverría & Pablo López Sarabia & Francisco Venegas-Martínez, 2012, "Valuación económica de proyectos energéticos mediante opciones reales: el caso de energía nuclear en México," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 1, pages 75-98, May.
• Bala Batavia & Nandakumar Parameswar & Cheick Wagué, 2012, "Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3, pages 33-48.
• Gianna Figa-Talamanca & Maria Letizia Guerra, 2012, "Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 162-179, May.
• Andrea Bastianin & Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012, "Speculation, Returns, Volume and Volatility in Commodities Futures Markets," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, January.
• Bahattin Büyüksahin & Michel A. Robe, 2012, "Does It Matter Who Trades Energy Derivatives?," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, March.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012, "Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach," Working Papers, Fondazione Eni Enrico Mattei, number 2012.23, Apr.
• Ventura, André & Garcia, Marcio Gomes Pinto, 2012, "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 66, issue 1, March.
• Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012, "No good deals—no bad models," Staff Reports, Federal Reserve Bank of New York, number 589.
• Flavia Barsotti, 2012, "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-02, Jan.
• Flavia Barsotti & Simona Sanfelici, 2012, "Microstructure effect on firm’s volatility risk," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-05, Oct.
• Helder Sebastião, 2012, "The Relative Contemporaneous Information Response: A New Cointegration-Based Measure of Price Discovery," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-04, Mar.
• Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012, "Valuing American options using fast recursive projections," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:41856.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012, "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00511965, DOI: 10.1080/14697688.2010.493180.
• Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012, "Option pricing with discrete time jump processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00611706, Apr.
• Jean-François Carpantier & Besik Samkharadze, 2012, "The asymmetric commodity inventory effect on the optimal hedge ratio," Working Papers, HAL, number hal-01821148, May.
• Bielecki, T.R. & Cousin, A. & Crépey, S. & Herbertsson, Alexander, 2012, "A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries," Working Papers in Economics, University of Gothenburg, Department of Economics, number 545, Oct.
• Holmberg, Pär & Willems, Bert, 2012, "Relaxing Competition through Speculation: Committing to a Negative Supply Slope," Working Paper Series, Research Institute of Industrial Economics, number 937, Nov.
• Warren Bailey & Lin Zheng & Yinggang Zhou, 2012, "What Makes the VIX Tick?," Working Papers, Hong Kong Institute for Monetary Research, number 222012, Sep.
• C. F. Lo & C. H. Hui & S. W. Chu & T. Fong, 2012, "A Quasi-Bounded Target Zone Model - Theory and Application to Hong Kong Dollar," Working Papers, Hong Kong Institute for Monetary Research, number 282012, Nov.

2011

• Christian Bach & Bent Jesper Christensen, 2011, "Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-61, Feb.
• Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011, "Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-22, Jun.
• Lars Stentoft, 2011, "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-34, Sep.
• Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011, "Forecasting with Option Implied Information," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-46, Dec.
• Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011, "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-49, Nov.
• Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
• Lars Stentoft, 2011, "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-52, Dec.
• Shimon Kogan & Anthony M. Kwasnica & Roberto A. Weber, 2011, "Coordination in the Presence of Asset Markets," American Economic Review, American Economic Association, volume 101, issue 2, pages 927-947, April.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 11-03, Apr.
• Bozic, Marin & Fortenbery, T. Randall, , "Pricing Options on Commodity Futures: The Role of Weather and Storage," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania, Agricultural and Applied Economics Association, number 103638, DOI: 10.22004/ag.econ.103638.
• Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2011, "Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation," 2011 International European Forum, February 14-18, 2011, Innsbruck-Igls, Austria, International European Forum on System Dynamics and Innovation in Food Networks, number 122002, Nov, DOI: 10.22004/ag.econ.122002.
• Robert A. Jarrow, 2011, "The Economics of Credit Default Swaps," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 235-257, December.
• Karen K. Lewis, 2011, "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 435-466, December.
• Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011, "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, volume 3, issue 1, pages 87-118, October.
• Marco Bianchetti & Mattia Carlicchi, 2011, "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," Papers, arXiv.org, number 1103.2567, Mar, revised Apr 2012.
• John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Papers, arXiv.org, number 1103.5411, Mar.
• Damien Lamberton & Mohammed Mikou, 2011, "Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model," Papers, arXiv.org, number 1105.0284, May.
• Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2011, "A note on essential smoothness in the Heston model," Papers, arXiv.org, number 1107.4881, Jul.
• Soumaré, Issouf & Youbissi, Fabien & Gendron, Michel, 2011, "Comparative analysis of multiple-guarantor agreements," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 146-161, March.
• Di Giorgio, Giorgio & Rotondi, Zeno, 2011, "Monetary policy, financial stability and interest rate rules," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 3, pages 229-242, June.
• Álvaro Cartea & José Penalva, 2011, "Where is the value in high frequency trading?," Working Papers, Banco de España, number 1111, May.
• Alessio Anzuini & Fabio Fornari, 2011, "Macroeconomic determinants of carry trade activity," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 817, Sep.
• Todorov, Viktor & Tauchen, George, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 356-371.
• Beau, D. & Clerc, L. & Mojon, B., 2011, "Macro-prudential policy and the conduct of monetary policy," Occasional papers, Banque de France, number 8.
• Vorbrink, Jörg, 2016, "American options with multiple priors in continuous time," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 448, Feb.
• George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2011, "Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1407-1437, August.
• Joonhyuk Song, 2011, "Analysis on the Forecasting Performance of KOSPI200 Volatility between Long Memory Model and Regime-Switching Model (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 17, issue 4, pages 99-127, December.
• Hail Park, 2011, "Limits to Arbitrage in the Swap and Bond Markets: the Case of Korea," Working Papers, Economic Research Institute, Bank of Korea, number 2011-14, May.
• Jianjun Miao & Dirk Hackbarth, 2011, "The dynamics of mergers and acquisitions in oligopolistic industries," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2011-029, Jan.
• José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011, "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 9-26.