Research classified by Journal of Economic Literature (JEL) codes

2024

• Lee, Hangsuck & Ha, Hongjun & Lee, Gaeun & Lee, Minha, 2024, "Valuing American options using multi-step rebate options," The North American Journal of Economics and Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.najef.2024.102227.
• Kim, Bara & Kim, Jeongsim & Yoon, Hyungkuk & Lee, Jinyoung, 2024, "Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model," The North American Journal of Economics and Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.najef.2024.102239.
• Alamah, Zein & Elgammal, Walid & Fakih, Ali, 2024, "Does twitter economic uncertainty matter for wheat prices?," Economics Letters, Elsevier, volume 234, issue C, DOI: 10.1016/j.econlet.2023.111463.
• Chaudhuri, Shomesh E. & Lo, Andrew W., 2024, "Financially adaptive clinical trials via option pricing analysis," Journal of Econometrics, Elsevier, volume 240, issue 2, DOI: 10.1016/j.jeconom.2020.08.012.
• Li, Yifan & Nolte, Ingmar & Pham, Manh Cuong, 2024, "Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures," Journal of Econometrics, Elsevier, volume 241, issue 2, DOI: 10.1016/j.jeconom.2024.105748.
• Boswijk, H. Peter & Laeven, Roger J.A. & Vladimirov, Evgenii, 2024, "Estimating option pricing models using a characteristic function-based linear state space representation," Journal of Econometrics, Elsevier, volume 244, issue 1, DOI: 10.1016/j.jeconom.2024.105864.
• Zhang, Yuanyuan & Zhang, Qian & Wang, Zerong & Wang, Qi, 2024, "Option valuation via nonaffine dynamics with realized volatility," Journal of Empirical Finance, Elsevier, volume 77, issue C, DOI: 10.1016/j.jempfin.2024.101486.
• Jacobs, Kris & Mai, Anh Thu, 2024, "The role of intermediaries in derivatives markets: Evidence from VIX options," Journal of Empirical Finance, Elsevier, volume 77, issue C, DOI: 10.1016/j.jempfin.2024.101492.
• Ghanbari, Hamed, 2024, "Persistent and transient variance components in option pricing models with variance-dependent Kernel," Journal of Empirical Finance, Elsevier, volume 79, issue C, DOI: 10.1016/j.jempfin.2024.101531.
• Alexiou, Lykourgos & Rompolis, Leonidas S., 2024, "Jump tail risk exposure and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, volume 79, issue C, DOI: 10.1016/j.jempfin.2024.101565.
• Pierre, Erwan & Schneider, Lorenz, 2024, "Intermittently coupled electricity markets," Energy Economics, Elsevier, volume 130, issue C, DOI: 10.1016/j.eneco.2024.107327.
• Fang, Mingyu & Tan, Ken Seng & Wirjanto, Tony S., 2024, "Valuation of carbon emission allowance options under an open trading phase," Energy Economics, Elsevier, volume 131, issue C, DOI: 10.1016/j.eneco.2024.107351.
• Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024, "Forecasting oil futures returns with news," Energy Economics, Elsevier, volume 134, issue C, DOI: 10.1016/j.eneco.2024.107606.
• Detemple, Jérôme & Kitapbayev, Yerkin & Reppen, A. Max, 2024, "Renewable energy investment under stochastic interest rate with regime-switching volatility," Energy Economics, Elsevier, volume 136, issue C, DOI: 10.1016/j.eneco.2024.107734.
• Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B. & Sheng, Ni & Wei, Xinyang, 2024, "Variance dynamics and term structure of the natural gas market," Energy Economics, Elsevier, volume 137, issue C, DOI: 10.1016/j.eneco.2024.107780.
• Pombo-Romero, Julio & Rúas-Barrosa, Oliver & Vázquez, Carlos, 2024, "Assessing the value and risk of renewable PPAs," Energy Economics, Elsevier, volume 139, issue C, DOI: 10.1016/j.eneco.2024.107861.
• Apostolakis, George N., 2024, "Bitcoin price volatility transmission between spot and futures markets," International Review of Financial Analysis, Elsevier, volume 94, issue C, DOI: 10.1016/j.irfa.2024.103251.
• Ahn, Jungkyu, 2024, "Options illiquidity in an over-the-counter market," International Review of Financial Analysis, Elsevier, volume 94, issue C, DOI: 10.1016/j.irfa.2024.103303.
• Gan, Liu & Xia, Xin & Xu, Wenyang & Zhang, Hai, 2024, "Convertible bond maturity and debt overhang," International Review of Financial Analysis, Elsevier, volume 95, issue PB, DOI: 10.1016/j.irfa.2024.103410.
• Nielsen, Ole Linnemann & Posselt, Anders Merrild, 2024, "Betting on mean reversion in the VIX? Evidence from ETP flows," International Review of Financial Analysis, Elsevier, volume 95, issue PB, DOI: 10.1016/j.irfa.2024.103421.
• Grobys, Klaus, 2024, "A universal exponent governing foreign exchange rate risks," International Review of Financial Analysis, Elsevier, volume 95, issue PB, DOI: 10.1016/j.irfa.2024.103422.
• Nakagawa, Kei & Sakemoto, Ryuta, 2024, "Commodity sectors and factor investment strategies," International Review of Financial Analysis, Elsevier, volume 95, issue PC, DOI: 10.1016/j.irfa.2024.103493.
• Liu, Yakun & Chen, Yan, 2024, "Skewness risk and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, volume 96, issue PA, DOI: 10.1016/j.irfa.2024.103626.
• Yue, Tian & Li, Lu-Lu & Ruan, Xinfeng & Zhang, Jin E., 2024, "Smirking in the energy market: Evidence from the Chinese crude oil options market," International Review of Financial Analysis, Elsevier, volume 96, issue PA, DOI: 10.1016/j.irfa.2024.103637.
• Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W. & Mahapatra, Biplab, 2024, "Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period," Finance Research Letters, Elsevier, volume 59, issue C, DOI: 10.1016/j.frl.2023.104658.
• Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo, 2024, "Pricing first-touch digitals with a multi-step double boundary and American barrier options," Finance Research Letters, Elsevier, volume 59, issue C, DOI: 10.1016/j.frl.2023.104699.
• Dahlen, Niklas & Lahmann, Alexander & Schreiter, Maximilian, 2024, "Panacea for M&A dealmaking? Investor perceptions of earnouts," Finance Research Letters, Elsevier, volume 60, issue C, DOI: 10.1016/j.frl.2023.104850.
• Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2024, "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," Finance Research Letters, Elsevier, volume 61, issue C, DOI: 10.1016/j.frl.2023.104938.
• Switzer, Lorne N. & Tu, Qiao, 2024, "The impact of position limits on options trading," Finance Research Letters, Elsevier, volume 61, issue C, DOI: 10.1016/j.frl.2023.104969.
• Taussig, Roi D., 2024, "Pension expenses, risk, and implications for stock returns," Finance Research Letters, Elsevier, volume 61, issue C, DOI: 10.1016/j.frl.2024.105016.
• Grobys, Klaus, 2024, "No reward—no effort: Will Bitcoin collapse near to the year 2140?," Finance Research Letters, Elsevier, volume 63, issue C, DOI: 10.1016/j.frl.2024.105294.
• Grobys, Klaus, 2024, "On co-dependent power-law behavior across cryptocurrencies," Finance Research Letters, Elsevier, volume 63, issue C, DOI: 10.1016/j.frl.2024.105295.
• Chen, Yan & Liu, Yakun, 2024, "Idiosyncratic asymmetry in stock returns: An entropy measure," Finance Research Letters, Elsevier, volume 64, issue C, DOI: 10.1016/j.frl.2024.105317.
• Fung, Scott & Loveland, Robert, 2024, "Option trading activity and capital reallocation efficiency: Evidence from corporate restructurings," Finance Research Letters, Elsevier, volume 66, issue C, DOI: 10.1016/j.frl.2024.105537.
• Glover, Kristoffer, 2024, "A comment on the relationship between operating leverage and financial leverage," Finance Research Letters, Elsevier, volume 67, issue PA, DOI: 10.1016/j.frl.2024.105522.
• Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo, 2024, "Foreign equity lookback options with partial monitoring," Finance Research Letters, Elsevier, volume 67, issue PA, DOI: 10.1016/j.frl.2024.105726.
• Chibane, Messaoud & Joubrel, Mathieu, 2024, "The ESG-efficient frontier under ESG rating uncertainty," Finance Research Letters, Elsevier, volume 67, issue PB, DOI: 10.1016/j.frl.2024.105881.
• Liu, Zheng & Li, Dongchen & Qian, Linyi & Yao, Jing, 2024, "On the pricing of vulnerable Parisian options," Finance Research Letters, Elsevier, volume 68, issue C, DOI: 10.1016/j.frl.2024.105995.
• Wang, Jiazhen & Fang, Yvonne & Hu, Xiaolu & Zhong, Angel, 2024, "War discourse and global equity returns," Finance Research Letters, Elsevier, volume 69, issue PA, DOI: 10.1016/j.frl.2024.106068.
• V.K., Anand Krishnan & Chalissery, Meera Davi & Thomas, Sony, 2024, "A bibliometric review of Market Microstructure literature: Current status, development, and future directions," Finance Research Letters, Elsevier, volume 69, issue PA, DOI: 10.1016/j.frl.2024.106086.
• Shi, Shimeng & Zhai, Jia, 2024, "California carbon allowance futures," Finance Research Letters, Elsevier, volume 70, issue C, DOI: 10.1016/j.frl.2024.106265.
• Hadad, Elroi & Malhotra, Davinder & Vasileiou, Evangelos, 2024, "Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach," Finance Research Letters, Elsevier, volume 70, issue C, DOI: 10.1016/j.frl.2024.106372.
• Bangsgaard, Christine & Kokholm, Thomas, 2024, "The lead–lag relation between VIX futures and SPX futures," Journal of Financial Markets, Elsevier, volume 67, issue C, DOI: 10.1016/j.finmar.2023.100851.
• Chen, Xi & Wang, Junbo & Wu, Chunchi & Wu, Di, 2024, "Extreme illiquidity and cross-sectional corporate bond returns," Journal of Financial Markets, Elsevier, volume 68, issue C, DOI: 10.1016/j.finmar.2024.100895.
• Wang, Jianqiu & Wu, Ke & Yang, Sijie & Zhou, Dexin, 2024, "Asymmetry and the Cross-section of Option Returns," Journal of Financial Markets, Elsevier, volume 71, issue C, DOI: 10.1016/j.finmar.2024.100932.
• Pezzo, Luca & Zhu, Yinchu & Hassan, M. Kabir & Tian, Jiayuan, 2024, "Testing the boundaries of applicability of standard Stochastic Discount Factor models," Journal of Financial Stability, Elsevier, volume 72, issue C, DOI: 10.1016/j.jfs.2024.101268.
• Orlov, Alexei G. & Sharma, Rajiv, 2024, "Which witch is which? Deconstructing the foreign exchange markets activity," Global Finance Journal, Elsevier, volume 60, issue C, DOI: 10.1016/j.gfj.2024.100947.
• Bacinello, Anna Rita & Maggistro, Rosario & Zoccolan, Ivan, 2024, "Risk-neutral valuation of GLWB riders in variable annuities," Insurance: Mathematics and Economics, Elsevier, volume 114, issue C, pages 1-14, DOI: 10.1016/j.insmatheco.2023.10.001.
• Kizaki, Keisuke & Saito, Taiga & Takahashi, Akihiko, 2024, "A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment," Insurance: Mathematics and Economics, Elsevier, volume 114, issue C, pages 132-155, DOI: 10.1016/j.insmatheco.2023.11.006.
• Da Fonseca, José, 2024, "Pricing guaranteed annuity options in a linear-rational Wishart mortality model," Insurance: Mathematics and Economics, Elsevier, volume 115, issue C, pages 122-131, DOI: 10.1016/j.insmatheco.2024.01.004.
• Chen, Ze & Feng, Runhuan & Li, Hong & Yang, Tianyu, 2024, "Coping with longevity via hedging: Fair dynamic valuation of variable annuities," Insurance: Mathematics and Economics, Elsevier, volume 117, issue C, pages 154-169, DOI: 10.1016/j.insmatheco.2024.04.005.
• Yang, Yang & Chen, Shaoying & Cui, Zhenyu & Zhang, Zhimin, 2024, "Valuation of guaranteed lifelong withdrawal benefit with the long-term care option," Insurance: Mathematics and Economics, Elsevier, volume 119, issue C, pages 179-193, DOI: 10.1016/j.insmatheco.2024.09.001.
• Realdon, Marco, 2024, "The efficiency of the Estr overnight index swap market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 91, issue C, DOI: 10.1016/j.intfin.2024.101943.
• Cai, Charlie X. & Zhao, Ran, 2024, "Salience theory and cryptocurrency returns," Journal of Banking & Finance, Elsevier, volume 159, issue C, DOI: 10.1016/j.jbankfin.2023.107052.
• Ni, Sophie Xiaoyan & Pan, Jun, 2024, "Trading options and CDS on stocks under the short sale ban," Journal of Banking & Finance, Elsevier, volume 167, issue C, DOI: 10.1016/j.jbankfin.2024.107243.
• Qiao, Fang & Xu, Lai & Zhang, Xiaoyan & Zhou, Hao, 2024, "Variance risk premiums in emerging markets," Journal of Banking & Finance, Elsevier, volume 167, issue C, DOI: 10.1016/j.jbankfin.2024.107259.
• Kind, Axel & Poltera, Marco & Zaia, Johannes, 2024, "The value of say on pay," Journal of Banking & Finance, Elsevier, volume 169, issue C, DOI: 10.1016/j.jbankfin.2024.107311.
• Radi, Sherrihan & Gebka, Bartosz & Kallinterakis, Vasileios, 2024, "The wisdom of the madness of crowds: Investor herding, anti-herding, and stock-bond return correlation," Journal of Economic Behavior & Organization, Elsevier, volume 224, issue C, pages 966-995, DOI: 10.1016/j.jebo.2024.07.005.
• Doshi, Hitesh & Ericsson, Jan & Fournier, Mathieu & Seo, Sang Byung, 2024, "The risk and return of equity and credit index options," Journal of Financial Economics, Elsevier, volume 161, issue C, DOI: 10.1016/j.jfineco.2024.103932.
• Kamate, Vidya & Kumar, Abhishek, 2024, "Dealer networks, client sophistication and pricing in OTC derivatives," Journal of International Money and Finance, Elsevier, volume 140, issue C, DOI: 10.1016/j.jimonfin.2023.102986.
• Christensen, Jens H.E. & Lopez, Jose A. & Mussche, Paul L., 2024, "International evidence on extending sovereign debt maturities," Journal of International Money and Finance, Elsevier, volume 141, issue C, DOI: 10.1016/j.jimonfin.2023.103009.
• Bunek, Gabriel D. & Janzen, Joseph P., 2024, "Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility," Journal of Commodity Markets, Elsevier, volume 33, issue C, DOI: 10.1016/j.jcomm.2024.100382.
• Nygaard, Rune & Roll, Kristin H., 2024, "Cross-hedging wild salmon prices," Journal of Commodity Markets, Elsevier, volume 33, issue C, DOI: 10.1016/j.jcomm.2024.100390.
• Robe, Michel A. & Roberts, John S., 2024, "Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets," Journal of Commodity Markets, Elsevier, volume 34, issue C, DOI: 10.1016/j.jcomm.2024.100389.
• Burns, Christopher B. & Prager, Daniel L., 2024, "Do agricultural swaps co-move with equity markets? Evidence from the COVID-19 crisis," Journal of Commodity Markets, Elsevier, volume 34, issue C, DOI: 10.1016/j.jcomm.2024.100405.
• Carter, Colin A. & Steinbach, Sandro, 2024, "Did grain futures prices overreact to the Russia–Ukraine war due to herding?," Journal of Commodity Markets, Elsevier, volume 35, issue C, DOI: 10.1016/j.jcomm.2024.100422.
• Fan, John Hua & Fernandez-Perez, Adrian & Indriawan, Ivan & Todorova, Neda, 2024, "When Chinese mania meets global frenzy: Commodity price bubbles," Journal of Commodity Markets, Elsevier, volume 36, issue C, DOI: 10.1016/j.jcomm.2024.100437.
• Ewald, Christian Oliver & Li, Yaoyu, 2024, "The role of news sentiment in salmon price prediction using deep learning," Journal of Commodity Markets, Elsevier, volume 36, issue C, DOI: 10.1016/j.jcomm.2024.100438.
• Zhu, Yanli & Yang, Xian & Zhang, Chuanhai & Liu, Sihan & Li, Jiayi, 2024, "Asymmetric multi-scale systemic risk spillovers across international commodity futures markets: The role of infectious disease uncertainty," Journal of Commodity Markets, Elsevier, volume 36, issue C, DOI: 10.1016/j.jcomm.2024.100443.
• Armah, Mohammed & Amewu, Godfred, 2024, "Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, volume 29, issue C, DOI: 10.1016/j.jeca.2024.e00352.
• Zhang, Xiaojing & Chang, Hsu-Ling & Su, Chi-Wei & Qin, Meng & Umar, Muhammad, 2024, "Exploring the dynamic interaction between geopolitical risks and lithium prices: A time-varying analysis," Resources Policy, Elsevier, volume 90, issue C, DOI: 10.1016/j.resourpol.2024.104840.
• Reboredo, Juan C. & Ugolini, Andrea & Ojea-Ferreiro, Javier, 2024, "Tail risks of energy transition metal prices for commodity prices," Resources Policy, Elsevier, volume 93, issue C, DOI: 10.1016/j.resourpol.2024.105057.
• Mensi, Walid & Brahim, Mariem & Hammoudeh, Shawkat & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2024, "Time-varying causality and correlations between spot and futures prices of natural gas, crude oil, heating oil, and gasoline," Resources Policy, Elsevier, volume 93, issue C, DOI: 10.1016/j.resourpol.2024.105077.
• Reboredo, Juan C. & Ugolini, Andrea, 2024, "The impact of uncertainty shocks on energy transition metal prices," Resources Policy, Elsevier, volume 95, issue C, DOI: 10.1016/j.resourpol.2024.105161.
• Peña, Juan Ignacio, 2024, "A note on hydropower as a marginal price setter for Spain's electricity market in 2021–2022," Utilities Policy, Elsevier, volume 87, issue C, DOI: 10.1016/j.jup.2024.101726.
• Chuang, Ming-Che & Tsai, Jeffrey Tzuhao, 2024, "Determining bid-ask prices for options with stochastic illiquidity and applications to index options," Pacific-Basin Finance Journal, Elsevier, volume 84, issue C, DOI: 10.1016/j.pacfin.2024.102314.
• Fang, Dong-Jie & Yeh, Zong-Wei & He, Jie-Cao & Lin, Shih-Kuei, 2024, "What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion," Pacific-Basin Finance Journal, Elsevier, volume 86, issue C, DOI: 10.1016/j.pacfin.2024.102392.
• Zhong, Hao & He, Xiaoxiao & Li, Yuqi, 2024, "Is there a time-series momentum effect in the Asian crude oil futures market?," Pacific-Basin Finance Journal, Elsevier, volume 86, issue C, DOI: 10.1016/j.pacfin.2024.102472.
• Wang, Chuyu & Li, Junye, 2024, "Volatility-managed portfolios in the Chinese equity market," Pacific-Basin Finance Journal, Elsevier, volume 88, issue C, DOI: 10.1016/j.pacfin.2024.102574.
• Kim, Donghyun & Ha, Mijin & Kim, Jeong-Hoon & Yoon, Ji-Hun, 2024, "A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives," The Quarterly Review of Economics and Finance, Elsevier, volume 97, issue C, DOI: 10.1016/j.qref.2024.101901.
• Laubsch, Joshua & Smales, Lee A. & Vo, Duc, 2024, "The influence of uncertainty on commodity futures returns and trading behaviour," The Quarterly Review of Economics and Finance, Elsevier, volume 98, issue C, DOI: 10.1016/j.qref.2024.101915.
• Abdelaziz, Fouad Ben & Chibane, Messaoud & Kuhanathan, Ano, 2024, "Can corporate social performance mitigate the risk of extreme stock returns?," The Quarterly Review of Economics and Finance, Elsevier, volume 98, issue C, DOI: 10.1016/j.qref.2024.101917.
• Jiang, Zhengyun & Zhou, Xin, 2024, "Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option," International Review of Economics & Finance, Elsevier, volume 91, issue C, pages 378-399, DOI: 10.1016/j.iref.2024.01.033.
• Qiao, Gaoxiu & Ma, Xuekun & Jiang, Gongyue & Wang, Lu, 2024, "Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market," International Review of Economics & Finance, Elsevier, volume 92, issue C, pages 415-437, DOI: 10.1016/j.iref.2024.02.053.
• Zhang, Xiaotao & Zhao, Yuepeng & Wang, Ziqiao, 2024, "Do loosened trading rules restore the stock index futures price discovery ability in China?," International Review of Economics & Finance, Elsevier, volume 93, issue PB, pages 389-397, DOI: 10.1016/j.iref.2024.05.010.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2024, "Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics," International Review of Economics & Finance, Elsevier, volume 93, issue PB, pages 503-519, DOI: 10.1016/j.iref.2024.04.030.
• Zhang, Maojun & Zhang, Rongjia & Zhao, Yang, 2024, "Economic policy uncertainty and volatility of corporate bond credit spread: Evidence from China and the United States," International Review of Economics & Finance, Elsevier, volume 93, issue PB, pages 827-841, DOI: 10.1016/j.iref.2024.05.016.
• Lian, Yu-Min & Chen, Jun-Home, 2024, "Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics," International Review of Economics & Finance, Elsevier, volume 94, issue C, DOI: 10.1016/j.iref.2024.103392.
• Lee, Kiryoung & Kim, Minki & Lam, Sing-Sen, 2024, "Chinese consumption shocks and U.S. equity returns," International Review of Economics & Finance, Elsevier, volume 96, issue PA, DOI: 10.1016/j.iref.2024.103511.
• Aspris, Angelo & Malloch, Hamish & Svec, Jiri, 2024, "Option implied dividends and the market risk premium," International Review of Economics & Finance, Elsevier, volume 96, issue PB, DOI: 10.1016/j.iref.2024.103675.
• Balbás, Alejandro & Serna, Gregorio, 2024, "Selling options to beat the market: Further empirical evidence," Research in International Business and Finance, Elsevier, volume 67, issue PB, DOI: 10.1016/j.ribaf.2023.102119.
• Hoque, Ariful & Le, Thi & Hasan, Morshadul & Abedin, Mohammad Zoynul, 2024, "Does market efficiency matter for Shanghai 50 ETF index options?," Research in International Business and Finance, Elsevier, volume 67, issue PB, DOI: 10.1016/j.ribaf.2023.102129.
• Ali, Shoaib & Naveed, Muhammad & Gubareva, Mariya & Vinh Vo, Xuan, 2024, "Reputational contagion from the Silicon Valley Bank debacle," Research in International Business and Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.ribaf.2024.102275.
• Xiong, Tao & Li, Miao, 2024, "Does market quality benefit from internationalization? Evidence from Chinese commodity futures markets," Research in International Business and Finance, Elsevier, volume 70, issue PA, DOI: 10.1016/j.ribaf.2024.102332.
• Cetin, Umut & Hok, Julien, 2024, "Speeding up the Euler scheme for killed diffusions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 120789, Jul.
• Heng (Emily) Wang & Xiaoyang Zhu, 2024, "Can institutional investors influence media sentiment?," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 20, issue 5, pages 1295-1319, April, DOI: 10.1108/IJMF-08-2023-0389.
• Muhammad Mahmudul Karim & Abu Hanifa Md. Noman & M. Kabir Hassan & Asif Khan & Najmul Haque Kawsar, 2024, "Volatility spillover and dynamic correlation between Islamic, conventional, cryptocurrency and precious metal markets during the immediate outbreak of COVID-19 pandemic," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 17, issue 4, pages 662-692, July, DOI: 10.1108/IMEFM-02-2023-0069.
• Bilgehan Tekin, 2024, "Do economic uncertainty and political risk steer CDS dynamics? An analysis of the Türkiye CDS," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 18, issue 2, pages 249-270, December, DOI: 10.1108/IMEFM-05-2024-0215.
• Phuong Thi Ly Nguyen & Nha Thanh Huynh & Thanh Thanh Canh Huynh, 2024, "Foreign investment and the firm performance in emerging securities market: evidence from Vietnam," Journal of Economics and Development, Emerald Group Publishing Limited, volume 26, issue 2, pages 82-102, February, DOI: 10.1108/JED-12-2022-0244.
• Laxmidhar Samal, 2024, "Competency and efficacy of energy futures: empirical investigation from emerging economy," Journal of Economic Studies, Emerald Group Publishing Limited, volume 52, issue 3, pages 464-480, June, DOI: 10.1108/JES-02-2024-0085.
• Tadgh Hegarty & Karl Whelan, 2024, "Returns on complex bets: evidence from Asian Handicap betting on soccer," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 16, issue 5, pages 904-924, May, DOI: 10.1108/RBF-11-2023-0314.
• Olesya V. Grishchenko & Laura Wilcox, 2024, "Tale About Inflation Tails," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-028, May, DOI: 10.17016/FEDS.2024.028.
• Daniel Barth & R. Jay Kahn & Phillip J. Monin & Oleg Sokolinskiy, 2024, "Reaching for Duration and Leverage in the Treasury Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-039, Jun, DOI: 10.17016/FEDS.2024.039.
• Lionel Melin & Ahyan Panjwani, 2024, "Optimal Design of Contingent Capital," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-051, Jul, DOI: 10.17016/FEDS.2024.051.
• Tobias J. Moskowitz & Chase P. Ross & Sharon Y. Ross & Kaushik Vasudevan, 2024, "Quantities and Covered-Interest Parity," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-061, Aug, DOI: 10.17016/FEDS.2024.061.
• Pablo D. Azar & Garth Baughman & Francesca Carapella & Jacob Gerszten & Arazi Lubis & JP Perez-Sangimino & David E. Rappoport & Chiara Scotti & Nathan Swem & Alexandros Vardoulakis & Aurite Werman, 2024, "The Financial Stability Implications of Digital Assets," Economic Policy Review, Federal Reserve Bank of New York, volume 30, issue 2, pages 1-48, November, DOI: 10.59576/epr.30.2.1-48.
• Mikhail S. Makushkin, 2024, "Yield Factors of Additional Tier 1 Bonds," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 43-59, October, DOI: 10.31107/2075-1990-2024-5-43-59.
• Masatoshi Miyake, 2024, "Estimating Asset Parameters Using Levy’s Moment Matching Method," JRFM, MDPI, volume 17, issue 4, pages 1-17, April.
• José da Fonseca & Komi Edem Dawui & Yannick Malevergne, 2024, "A linear-rational multi-curve term structure model with stochastic spread," Working Papers, HAL, number hal-04407022, Jan.
• Massimo Arnone & Angelo Leogrande & Alberto Costantiello & Lucio Laureti, 2024, "Banking Stability in the ESG Framework Across Italian Regions," Working Papers, HAL, number hal-04647121, Jul.
• Dittmann, Bente & Lauter, Tobias & Prokopczuk, Marcel & Sibbertsen, Philipp, 2024, "What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-732, Dec.
• Christensen, Jens H. E. & Mirkov, Nikola & Zhang, Xin, 2024, "Quantitative Easing and the Supply of Safe Assets: Evidence from International Bond Safety Premia," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 440, Sep.
• Yuji Shinozaki, 2024, "A Review of New Developments in Finance with Deep Learning: Deep Hedging and Deep Calibration," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 24-E-02, Apr.
• Audrius Jukonis & Elisa Letizia & Linda Rousova, 2024, "The Impact of Derivatives Collateralization on Liquidity Risk: Evidence from the Investment Fund Sector," IMF Working Papers, International Monetary Fund, number 2024/026, Feb.
• Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2024, "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Management Science, INFORMS, volume 70, issue 6, pages 3808-3826, June, DOI: 10.1287/mnsc.2023.4870.
• Juan M. Londono & Nancy R. Xu, 2024, "The Global Determinants of International Equity Risk Premiums," Management Science, INFORMS, volume 70, issue 9, pages 6374-6394, September, DOI: 10.1287/mnsc.2023.4958.
• Carlo Marinelli, 2024, "On certain representations of pricing functionals," Annals of Finance, Springer, volume 20, issue 1, pages 91-127, March, DOI: 10.1007/s10436-024-00438-5.
• Esmaeil Babaei, 2024, "Asset pricing and hedging in financial markets with fixed and proportional transaction costs," Annals of Finance, Springer, volume 20, issue 2, pages 259-275, June, DOI: 10.1007/s10436-024-00441-w.
• Dilip B. Madan & King Wang, 2024, "On the real rate of interest in a closed economy," Annals of Finance, Springer, volume 20, issue 4, pages 459-477, December, DOI: 10.1007/s10436-024-00451-8.
• Sergey Smirnov & Dimitri Sotnikov & Andrey Zanochkin, 2024, "Approximation and asymptotics in the superhedging problem for binary options," Annals of Finance, Springer, volume 20, issue 4, pages 421-458, December, DOI: 10.1007/s10436-024-00454-5.
• Yi-Hao Lai & Yi-Chiuan Wang & Yu-Ching Chang, 2024, "Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 31, issue 2, pages 285-305, June, DOI: 10.1007/s10690-023-09415-w.
• Xingchun Wang & Han Zhang, 2024, "Pricing Fade-in Options Under GARCH-Jump Processes," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 4, pages 2563-2584, October, DOI: 10.1007/s10614-023-10527-8.
• Hyeong-Ohk Bae & Seunggu Kang & Muhyun Lee, 2024, "Option Pricing and Local Volatility Surface by Physics-Informed Neural Network," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 5, pages 3143-3159, November, DOI: 10.1007/s10614-024-10551-2.
• Stan Olijslagers & Sweder Wijnbergen, 2024, "Discounting the Future: On Climate Change, Ambiguity Aversion and Epstein–Zin Preferences," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 87, issue 3, pages 683-730, March, DOI: 10.1007/s10640-023-00832-z.
• Spencer J. Couts, 2024, "How do Non-Core Allocations Affect the Risk and Returns of Private Real Estate Funds?," The Journal of Real Estate Finance and Economics, Springer, volume 68, issue 4, pages 715-748, May, DOI: 10.1007/s11146-022-09886-0.
• Yuecai Han & Fengtong Zhang, 2024, "Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility," Review of Derivatives Research, Springer, volume 27, issue 1, pages 37-53, April, DOI: 10.1007/s11147-023-09198-2.
• Carlos Miguel Glória & José Carlos Dias & Aricson Cruz, 2024, "Pricing levered warrants under the CEV diffusion model," Review of Derivatives Research, Springer, volume 27, issue 1, pages 55-84, April, DOI: 10.1007/s11147-023-09199-1.
• Yeda Cui & Lingfei Li & Gongqiu Zhang, 2024, "Pricing and hedging autocallable products by Markov chain approximation," Review of Derivatives Research, Springer, volume 27, issue 3, pages 259-303, October, DOI: 10.1007/s11147-024-09206-z.
• Sharif Mozumder & Bakhtear Talukdar & M. Humayun Kabir & Bingxin Li, 2024, "Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing," Review of Quantitative Finance and Accounting, Springer, volume 62, issue 1, pages 97-133, January, DOI: 10.1007/s11156-023-01195-8.
• Chuang-Chang Chang & Hsiao-Wei Ho & Henry Hongren Huang & Yildiray Yildirim, 2024, "A reduced-form model for lease contract valuation with embedded options," Review of Quantitative Finance and Accounting, Springer, volume 62, issue 2, pages 841-864, February, DOI: 10.1007/s11156-023-01222-8.
• Shu Zhang & Peimin Chen & Chunchi Wu, 2024, "Optimal dividend decisions with capital infusion in a dynamic nonterminal bankruptcy model," Review of Quantitative Finance and Accounting, Springer, volume 62, issue 3, pages 911-951, April, DOI: 10.1007/s11156-023-01229-1.
• Luigi Bocola & Alessandro Dovis & Kasper Jørgensen & Rishabh Kirpalani, 2024, "Bond Market Views of the Fed," NBER Working Papers, National Bureau of Economic Research, Inc, number 32620, Jun.
• Damien Ackerer & Julien Hugonnier & Urban Jermann, 2024, "Perpetual Futures Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 32936, Sep.
• Julian F Kölbel & Markus Leippold & Jordy Rillaerts & Qian Wang, 2024, "Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 30-69.
• Emese Lazar & Shuyuan Qi & Radu Tunaru, 2024, "Measures of Model Risk for Continuous-Time Finance Models," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1456-1481.
• Thang Ho & Anastasios Kagkadis & George Wang, 2024, "Is Firm-Level Political Risk Priced in the Equity Option Market?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 14, issue 1, pages 153-195.
• Junbo Wang & Yun Wang & Chunchi Wu & Xiaoguang Yang & Lin Zhao, 2024, "Social Proximity, Information, and Incentives in Local Bank Lending," The Review of Corporate Finance Studies, Society for Financial Studies, volume 13, issue 1, pages 80-146.
• Karamfil Todorov, 2024, "When passive funds affect prices: evidence from volatility and commodity ETFs," Review of Finance, European Finance Association, volume 28, issue 3, pages 831-863.
• Xuanchen Zhang & Raymond H Y So & Tarik Driouchi, 2024, "Common risk factors in cross-sectional FX options returns," Review of Finance, European Finance Association, volume 28, issue 3, pages 897-944.
• Benjamin Golez & Jens Jackwerth, 2024, "Holding Period Effects in Dividend Strip Returns," The Review of Financial Studies, Society for Financial Studies, volume 37, issue 10, pages 3188-3215.
• Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024, "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, volume 25, issue 1, pages 31-50, February, DOI: 10.1057/s41260-023-00333-0.
• Belal Ehsan Baaquie & Muhammad Mahmudul Karim, 2024, "Corporate bonds: fixed versus stochastic coupons—an empirical study," Journal of Asset Management, Palgrave Macmillan, volume 25, issue 1, pages 113-128, February, DOI: 10.1057/s41260-023-00343-y.
• Vipul Kumar Singh & Pawan Kumar, 2024, "Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options," Journal of Asset Management, Palgrave Macmillan, volume 25, issue 2, pages 172-189, March, DOI: 10.1057/s41260-024-00348-1.
• Nguyen, Quang Khai, 2024, "How Does Financial Flexibility Strategy Impact on Risk Management Effectiveness?," MPRA Paper, University Library of Munich, Germany, number 121162, May.
• Arnone, Massimo & Leogrande, Angelo & Costantiello, Alberto & Laureti, Lucio, 2024, "Banking Stability in the ESG Framework Across Italian Regions," MPRA Paper, University Library of Munich, Germany, number 121452, Jul.
• Chang, Kuo-Ping, 2024, "Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach," MPRA Paper, University Library of Munich, Germany, number 122654, Aug.
• Ian Dew-Becker, 2024, "Code and data files for "Real-time forward-looking skewness over the business cycle"," Computer Codes, Review of Economic Dynamics, number 24-39, revised .
• Ian Dew-Becker, 2024, "Real-time forward-looking skewness over the business cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 54, October, DOI: 10.1016/j.red.2024.101233.
• Sumit Saurav & Sobhesh Kumar Agarwalla & Jayanth R. Varma, 2024, "Asymmetric Uncertainty Around Earnings Announcements: Evidence from Options Markets," American Business Review, Pompea College of Business, University of New Haven, volume 27, issue 2, pages 459-487.
• Saswat Patra & Malay Bhattacharyya, 2024, "Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management," American Business Review, Pompea College of Business, University of New Haven, volume 27, issue 2, pages 623-639.
• Sebastian Schwenen & Karsten Neuhoff, 2024, "Renewable Energy and Equilibrium Hedging in Electricity Forward Markets," The Energy Journal, , volume 45, issue 5, pages 105-123, September, DOI: 10.1177/01956574241241878.
• Quang Khai Nguyen, 2024, "How Does Financial Flexibility Strategy Impact on Risk Management Effectiveness?," SAGE Open, , volume 14, issue 2, pages 21582440241, May, DOI: 10.1177/21582440241240842.
• Andrzej Bien & Lukasz Gebski, 2024, "Consumers’ Financial Literacy in Poland - the Research and the Resulting Conclusions," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 21, pages 1-13, DOI: 10.7172/2353-6845.jbfe.2024.1.1.
• Tomasz Florczak & Marika Ziemba, 2024, "Can Financialisation Counteract Banking Exclusion? A Study on the Example of the European Union Member States," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 21, pages 14-28, DOI: 10.7172/2353-6845.jbfe.2024.1.2.
• Philippe Bertrand, 2024, "Black-scholes approximation of warrant prices: slight return in a low interest rate environment," Annals of Operations Research, Springer, volume 334, issue 1, pages 83-100, March, DOI: 10.1007/s10479-022-04622-6.
• Michele Azzone & Roberto Baviera, 2024, "Short-time implied volatility of additive normal tempered stable processes," Annals of Operations Research, Springer, volume 336, issue 1, pages 93-126, May, DOI: 10.1007/s10479-022-04894-y.
• Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2024, "CBI-time-changed Lévy processes for multi-currency modeling," Annals of Operations Research, Springer, volume 336, issue 1, pages 127-152, May, DOI: 10.1007/s10479-022-04982-z.
• Carme Frau & Viviana Fanelli, 2024, "Seasonality in commodity prices: new approaches for pricing plain vanilla options," Annals of Operations Research, Springer, volume 336, issue 1, pages 1089-1131, May, DOI: 10.1007/s10479-022-05128-x.
• Riccardo Brignone & Luca Gonzato & Carlo Sgarra, 2024, "Commodity Asian option pricing and simulation in a 4-factor model with jump clusters," Annals of Operations Research, Springer, volume 336, issue 1, pages 275-306, May, DOI: 10.1007/s10479-022-05152-x.
• John Armstrong & Damiano Brigo & Alex S. L. Tse, 2024, "The importance of dynamic risk constraints for limited liability operators," Annals of Operations Research, Springer, volume 336, issue 1, pages 861-898, May, DOI: 10.1007/s10479-023-05295-5.
• Lorenzo Silotto & Marco Scaringi & Marco Bianchetti, 2024, "XVA modelling: validation, performance and model risk management," Annals of Operations Research, Springer, volume 336, issue 1, pages 183-274, May, DOI: 10.1007/s10479-023-05323-4.
• Hans-Peter Bermin & Magnus Holm, 2024, "The geometry of risk adjustments," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 47, issue 1, pages 83-120, June, DOI: 10.1007/s10203-023-00421-1.
• Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2024, "On entropy martingale optimal transport theory," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 47, issue 1, pages 1-42, June, DOI: 10.1007/s10203-023-00432-y.
• Riu Naito & Toshihiro Yamada, 2024, "Deep high-order splitting method for semilinear degenerate PDEs and application to high-dimensional nonlinear pricing models," Digital Finance, Springer, volume 6, issue 4, pages 693-725, December, DOI: 10.1007/s42521-023-00091-z.
• Erdong Chen & Mengzhong Ma & Zixin Nie, 2024, "Perpetual future contracts in centralized and decentralized exchanges: Mechanism and traders’ behavior," Electronic Markets, Springer;IIM University of St. Gallen, volume 34, issue 1, pages 1-36, December, DOI: 10.1007/s12525-024-00715-1.
• Leonard Grebe & Dirk Schiereck, 2024, "Day-of-the-week effect: a meta-analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 14, issue 4, pages 1057-1094, December, DOI: 10.1007/s40822-024-00293-9.
• Sharif Mozumder & M. Kabir Hassan & M. Humayun Kabir, 2024, "An evaluation of the adequacy of Lévy and extreme value tail risk estimates," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-26, December, DOI: 10.1186/s40854-024-00614-6.
• Fred Espen Benth & Nils Detering & Luca Galimberti, 2024, "Pricing options on flow forwards by neural networks in a Hilbert space," Finance and Stochastics, Springer, volume 28, issue 1, pages 81-121, January, DOI: 10.1007/s00780-023-00520-2.
• Julien Guyon, 2024, "Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle," Finance and Stochastics, Springer, volume 28, issue 1, pages 27-79, January, DOI: 10.1007/s00780-023-00524-y.
• Dean Buckner & Kevin Dowd & Hardy Hulley, 2024, "Arbitrage problems with reflected geometric Brownian motion," Finance and Stochastics, Springer, volume 28, issue 1, pages 1-26, January, DOI: 10.1007/s00780-023-00525-x.
• Dirk Becherer & Todor Bilarev, 2024, "Hedging with physical or cash settlement under transient multiplicative price impact," Finance and Stochastics, Springer, volume 28, issue 2, pages 285-328, April, DOI: 10.1007/s00780-024-00531-7.
• Umut Çetin & Julien Hok, 2024, "Speeding up the Euler scheme for killed diffusions," Finance and Stochastics, Springer, volume 28, issue 3, pages 663-707, July, DOI: 10.1007/s00780-024-00534-4.
• Jonathan Ansari & Eva Lütkebohmert & Ariel Neufeld & Julian Sester, 2024, "Improved robust price bounds for multi-asset derivatives under market-implied dependence information," Finance and Stochastics, Springer, volume 28, issue 4, pages 911-964, October, DOI: 10.1007/s00780-024-00539-z.
• Fred Espen Benth & Heidar Eyjolfsson, 2024, "Robustness of Hilbert space-valued stochastic volatility models," Finance and Stochastics, Springer, volume 28, issue 4, pages 1117-1146, October, DOI: 10.1007/s00780-024-00542-4.
• Martin Friesen & Sven Karbach, 2024, "Stationary covariance regime for affine stochastic covariance models in Hilbert spaces," Finance and Stochastics, Springer, volume 28, issue 4, pages 1077-1116, October, DOI: 10.1007/s00780-024-00543-3.
• Marcel Nutz & Andrés Riveros Valdevenito, 2024, "On the Guyon–Lekeufack volatility model," Finance and Stochastics, Springer, volume 28, issue 4, pages 1203-1223, October, DOI: 10.1007/s00780-024-00544-2.
• Fred Espen Benth & Carlo Sgarra, 2024, "A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets," Finance and Stochastics, Springer, volume 28, issue 4, pages 1035-1076, October, DOI: 10.1007/s00780-024-00546-0.
• Mathias Schneid Tessmann & Carlos Enrique Carrasco-Gutierrez & Marcelo Oliveira Passos & Luiz Augusto Magalhães & Régis Augusto Ely, 2024, "Volatility transmissions and connectivity among metal and energy commodities: a network-econometric analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 48, issue 1, pages 51-77, March, DOI: 10.1007/s12197-023-09644-9.
• Brian Du & Alejandro Serrano & Andre C. Vianna, 2024, "Are stock and option trades substitutes or complements? evidence from the 2008 short-sale ban," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 48, issue 1, pages 166-185, March, DOI: 10.1007/s12197-023-09649-4.
• Konstantinos D. Melas & Nektarios A. Michail, 2024, "Can commodity prices predict stock market returns? The case of dry bulk shipping companies," Journal of Shipping and Trade, Springer, volume 9, issue 1, pages 1-14, December, DOI: 10.1186/s41072-024-00178-9.
• Yongguang Zhu & Ya Li & Yuna Gong & Deyi Xu, 2024, "Examining the metal futures price discovery in China from multi-scale time," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, volume 37, issue 1, pages 173-188, March, DOI: 10.1007/s13563-024-00430-5.
• Vatis Christian Kemezang & André Ilaire Djou & Ivette Gnitedem Keubeng, 2024, "Measuring market risk with GARCH models under Basel III: selection and application to German firms," SN Business & Economics, Springer, volume 4, issue 10, pages 1-30, October, DOI: 10.1007/s43546-024-00699-2.
• Gergely Hudecz & Edmund Moshammer & Marco Onofri, 2024, "Option-implied bond spread risk," Working Papers, European Stability Mechanism, number 66, Nov, revised 25 Nov 2024.
• HABIBI, Reza, 2024, "A Note On The Early Warning System Of Change Points: Combination Of Regime Switching And Threshold Models," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 28, issue 2, pages 6-18, June.
• Steven Tucker & Yilong Xu, 2024, "Nonspeculative Bubbles Revisited," Working Papers in Economics, University of Waikato, number 24/01, Jan.
• Steven Tucker & Yilong Xu, 2024, "Motivations to speculate are the driving forces in experimental asset market bubbles," Working Papers in Economics, University of Waikato, number 24/02, Jan.
• Bartosz Bieganowski & Robert Ślepaczuk, 2024, "Supervised Autoencoder MLP for Financial Time Series Forecasting," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-03.
• Kamil Kashif & Robert Ślepaczuk, 2024, "LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-07.
• Sugarbayar Enkhbayar & Robert Ślepaczuk, 2024, "Predictive modeling of foreign exchange trading signals using machine learning techniques," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-10.
• Maciej Wysocki & Robert Ślepaczuk, 2024, "Construction and Hedging of Equity Index Options Portfolios," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-14.
• Filip Stefaniuk & Robert Ślepaczuk, 2024, "The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with different loss functions: Root Mean Squared Error (RMSE), Generalized Me," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-27.
• N. Dileep & G. Kotreshwar, 2024, "Hedging rainfall risk: An illustrative analysis of rainfall index-based futures contracts," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 01, pages 1-22, March, DOI: 10.1142/S2424786323500597.
• Avi Bick, 2024, "Futures Replication and the Law of One Futures Price," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 14, issue 01, pages 1-20, March, DOI: 10.1142/S2010139224500034.
• Karen Grigorian & Robert A. jarrow, 2024, "Option Pricing in an Incomplete Market," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 14, issue 03, pages 1-16, September, DOI: 10.1142/S2010139224500095.
• Kamogelo Molapisi & Pulane Maake & Nafisa Juma, 2024, "The Price Dynamism during REIT Acquisitions," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 27, issue 04, pages 1-23, December, DOI: 10.1142/S0219091524500310.
• Ashni Vengetass & Boitumelo Nkuna & Tim Kamore, 2024, "Game Theoretical REIT Acquisitions," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 27, issue 04, pages 1-28, December, DOI: 10.1142/S0219091524500322.
• Robert A Jarrow & Arkadev Chatterjea, 2024, "An Introduction to Derivative Securities, Financial Markets, and Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 13797, ISBN: ARRAY(0x5d2c1cc8), May.
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Derivatives and Risk Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Interest Rates," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".