Research classified by Journal of Economic Literature (JEL) codes

2012

• 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.
• Lingyan Cao & Zheng-Feng Guo, 2012, "A Comparison Of Gradient Estimation Techniques For European Call Options," Accounting & Taxation, The Institute for Business and Finance Research, volume 4, issue 1, pages 75-81.
• Peng He, 2012, "Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 5, pages 65-72.
• Lingyan Cao & Zheng-Feng Guo, 2012, "A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 25-34.
• Po-Cheng Wu & Chih-Wei Lee & Cheng-Kun Kuo, 2012, "Pricing Of Payment Deferred Vulnerable Options And Its Application To Vulnerable Range Accrual Notes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 2, pages 91-100.

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.
• Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Mario Domingues Simões & Leonardo Lima Gomes, 2011, "Hedge Effectiveness in the Brazilian US Dollar Futures Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 3, pages 365-382.
• Pascal François & Georges Hübner & Jean-Roch Sibille, 2011, "A Structural Balance Sheet Model of Sovereign Credit Risk," Finance, Presses universitaires de Grenoble, volume 32, issue 2, pages 137-165.
• Isao Ishida & Michael McAleer & Kosuke Oya, 2011, "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/11, Feb.
• Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011, "Options introduction and volatility in the EU ETS," Working Papers, Chaire Economie du climat, number 1107, Jun.
• Marc Gronwald & Janina Ketterer & Stefan Trück, 2011, "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series, CESifo, number 3418.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Levine's Working Paper Archive, David K. Levine, number 786969000000000168, Jul.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Levine's Working Paper Archive, David K. Levine, number 786969000000000192, Aug.
• A. Fiori Maccioni, 2011, "The risk neutral valuation paradox," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201112.
• Juan Sergio Cruz Merchán & Jaime Vargas Vives, 2011, "Aproximación De Reclamos Contingentes Para La Predicción De Riesgo De Crédito En Sus Medidas De Determinación De La Distancia De Default Y Su Probabil," Estudios Gerenciales, Universidad Icesi.
• Carlos Giovanni González Espitia & Jhon James Mora Rodríguez, 2011, "Políticas Activas De Empleo Para Cali-Colombia," Estudios Gerenciales, Universidad Icesi.
• Ziegler, Alexandre & Schürhoff, Norman, 2011, "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8268, Feb.
• Chemla, Gilles & Touzi, Nizar & Aïd, René & Porchet, Arnaud, 2011, "Hedging and Vertical Integration in Electricity Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8313, Apr.
• Makarov, Igor & Chernov, Mikhail & Gorbenko, Alexander, 2011, "CDS Auctions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8456, Jun.
• Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011, "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 11-04.
• Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori, 2011, "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 11-13.
• Figuerola-Ferretti, Isabel & Paraskevopoulos, Ioannis, 2011, "Pairing market risk with credit risk," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb110201, Feb.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2011, "Good deals in markets with frictions," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb110302, Feb.
• Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2011, "Continuous Workout Mortgages," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1794, Apr.
• Andreas Fritz & Christoph Weber, 2011, "Informational Efficiency in Futures Markets for Crude Oil," EWL Working Papers, University of Duisburg-Essen, Chair for Management Science and Energy Economics, number 1103, Mar, revised Jan 2012.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011, "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-11, Jun.
• Mahayni, Antje & Schoenmakers, John G.M., 2011, "Minimum return guarantees with fund switching rights—An optimal stopping problem," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1880-1897, DOI: 10.1016/j.jedc.2011.06.003.
• Kraft, Holger & Kühn, Christoph, 2011, "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1898-1915, DOI: 10.1016/j.jedc.2011.06.001.
• Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2011, "Pricing executive stock options under employment shocks," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 1, pages 97-114, January.
• Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 235-245, January.
• Chiarella, Carl & Fanelli, Viviana & Musti, Silvana, 2011, "Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model," European Journal of Operational Research, Elsevier, volume 208, issue 2, pages 95-108, January.
• Wong, Alfred Y-T. & Fong, Tom Pak Wing, 2011, "Analysing interconnectivity among economies," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 432-442, DOI: 10.1016/j.ememar.2011.06.004.
• Stentoft, Lars, 2011, "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 880-902, DOI: 10.1016/j.jempfin.2011.09.004.
• Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011, "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, volume 33, issue 3, pages 497-503, May.
• Regnard, Nazim & Zakoïan, Jean-Michel, 2011, "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1240-1251, DOI: 10.1016/j.eneco.2011.02.004.
• Husmann, Sven & Todorova, Neda, 2011, "CAPM option pricing," Finance Research Letters, Elsevier, volume 8, issue 4, pages 213-219, DOI: 10.1016/j.frl.2011.03.001.
• Simonato, Jean-Guy, 2011, "Computing American option prices in the lognormal jump–diffusion framework with a Markov chain," Finance Research Letters, Elsevier, volume 8, issue 4, pages 220-226, DOI: 10.1016/j.frl.2011.01.002.
• Chen, An, 2011, "A risk-based model for the valuation of pension insurance," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 401-409, DOI: 10.1016/j.insmatheco.2011.06.002.
• Li, Jing & Szimayer, Alexander, 2011, "The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 471-486, DOI: 10.1016/j.insmatheco.2011.08.001.
• Braun, Alexander, 2011, "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 520-536, DOI: 10.1016/j.insmatheco.2011.08.003.
• Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011, "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 547-564, DOI: 10.1016/j.insmatheco.2011.08.012.
• Schmeiser, H. & Wagner, J., 2011, "A joint valuation of premium payment and surrender options in participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 580-596, DOI: 10.1016/j.insmatheco.2011.08.004.
• Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1984-2000, August.
• Rombouts, Jeroen V.K. & Stentoft, Lars, 2011, "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2267-2281, September.
• Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2011, "Effects of background risks on cautiousness with an application to a portfolio choice problem," Journal of Economic Theory, Elsevier, volume 146, issue 1, pages 346-358, January.
• Bloise, Gaetano & Reichlin, Pietro, 2011, "Asset prices, debt constraints and inefficiency," Journal of Economic Theory, Elsevier, volume 146, issue 4, pages 1520-1546, July.
• Lettau, Martin & Wachter, Jessica A., 2011, "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, volume 101, issue 1, pages 90-113, July.
• Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu, 2011, "Performance maximization of actively managed funds," Journal of Financial Economics, Elsevier, volume 101, issue 3, pages 574-595, September.
• Kristensen, Dennis & Mele, Antonio, 2011, "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 390-415, DOI: 10.1016/j.jfineco.2011.05.007.
• Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011, "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, volume 30, issue 4, pages 623-640, June.
• Chen, Li-Hsueh & Hammoudeh, Shawkat & Yuan, Yuan, 2011, "Asymmetric convergence in US financial credit default swap sector index markets," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 408-418, DOI: 10.1016/j.qref.2011.06.001.
• Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011, "Options introduction and volatility in the EU ETS," Resource and Energy Economics, Elsevier, volume 33, issue 4, pages 855-880, DOI: 10.1016/j.reseneeco.2011.07.002.
• Nishihara, Michi & Shibata, Takashi, 2011, "The effects of costly exploration on optimal investment timing," Review of Financial Economics, Elsevier, volume 20, issue 3, pages 105-112, August.
• Leo Krippner, 2011, "Modifying Gaussian term structure models when interest rates are near the zero lower bound," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-36, Oct.
• Linda Margarita Medina Herrera & José Benito Díaz Hernández, 2011, "Caracterización y modelado de redes: el caso de la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 5, issue 1, pages 23-32.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011, "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119061, Oct.
• Mueller, Philippe & Vedolin, Andrea & Zhou, Hao, 2011, "Short run bond risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119065, Jun.
• Dag Einar Sommervoll & Gavin Wood, 2011, "Home equity insurance," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 1, pages 66-85, April, DOI: 10.1108/17576381111116768.
• Linus Wilson, 2011, "Stock demand curves and TARP returns," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 3, pages 229-242, August, DOI: 10.1108/17576381111152218.
• Ishida, I. & McAleer, M.J. & Oya, K., 2011, "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-10, Feb.
• L. Arturo Bernal Ponce & Francisco Venegas Martínez, 2011, "Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 26, issue 2, pages 187-216.
• Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos, 2011, "Herding the Mutual Fund Managers in the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 131-154.
• Robert Flasza & Milan Rippel & Jan Šolc, 2011, "Modelling Long-Term Electricity Contracts at EEX," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/08, Mar, revised Mar 2011.
• Andrea Klimešová & Tomáš Václavík, 2011, "Pricing of Gas Swing Options using Monte Carlo Methods," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/15, Jul, revised Jul 2011.