Research classified by Journal of Economic Literature (JEL) codes

2024

• 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.

2023

• Ian Dew-Becker & Stefano Giglio, 2023, "Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data," American Economic Journal: Macroeconomics, American Economic Association, volume 15, issue 2, pages 65-96, April, DOI: 10.1257/mac.20210136.
• Marco Stenborg Petterson & David Seim & Jesse M. Shapiro, 2023, "Bounds on a Slope from Size Restrictions on Economic Shocks," American Economic Journal: Microeconomics, American Economic Association, volume 15, issue 3, pages 552-572, August, DOI: 10.1257/mic.20210365.
• Akshaya Jha & Frank A. Wolak, 2023, "Can Forward Commodity Markets Improve Spot Market Performance? Evidence from Wholesale Electricity," American Economic Journal: Economic Policy, American Economic Association, volume 15, issue 2, pages 292-330, May, DOI: 10.1257/pol.20200234.
• Candelon, Bertrand & Moura, Rubens, 2023, "Sovereign yield curves and the COVID-19 in emerging markets," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023010, Aug, DOI: https://doi.org/10.1016/j.econmod.2.
• Deborah Lucas, 2023, "Introduction to the ARFE Theme on the Social Discount Rate," Annual Review of Financial Economics, Annual Reviews, volume 15, issue 1, pages 115-125, November, DOI: 10.1146/annurev-financial-111820-08.
• Deborah Lucas, 2023, "Reflections on What Financial Economics Can and Cannot Teach Us About the Social Discount Rate," Annual Review of Financial Economics, Annual Reviews, volume 15, issue 1, pages 185-195, November, DOI: 10.1146/annurev-financial-041123-12.
• Robert A. Jarrow & Yildiray Yildirim, 2023, "Inflation-Adjusted Bonds, Swaps, and Derivatives," Annual Review of Financial Economics, Annual Reviews, volume 15, issue 1, pages 449-471, November, DOI: 10.1146/annurev-financial-110921-11.
• Bruce Tuckman, 2023, "Short-Term Rate Benchmarks: The Post-LIBOR Regime," Annual Review of Financial Economics, Annual Reviews, volume 15, issue 1, pages 473-491, November, DOI: 10.1146/annurev-financial-110921-01.
• Dennis Kristensen & Young Jun Lee & Antonio Mele, 2023, "Closed-form approximations of moments and densities of continuous-time Markov models," Papers, arXiv.org, number 2308.09009, Aug.
• Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2023, "Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies," Papers, arXiv.org, number 2309.10546, Sep.
• Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2023, "Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices," Papers, arXiv.org, number 2309.15640, Sep.
• Damien Ackerer & Julien Hugonnier & Urban Jermann, 2023, "Perpetual Futures Pricing," Papers, arXiv.org, number 2310.11771, Oct, revised Sep 2024.
• Matteo Gambara & Giulia Livieri & Andrea Pallavicini, 2023, "Machine-learning regression methods for American-style path-dependent contracts," Papers, arXiv.org, number 2311.16762, Nov, revised Jul 2025.
• Alberto Fuertes Mendoza, 2023, "La efectividad de los distintos tipos de activos como cobertura frente a la inflación," Boletín Económico, Banco de España, issue 2023/T1, DOI: https://doi.org/10.53479/24974.
• Alberto Fuertes Mendoza, 2023, "The effectiveness of different asset types as a hedge against inflation," Economic Bulletin, Banco de España, issue 2023/Q1, DOI: https://doi.org/10.53479/25120.
• Maik Schmeling & Andreas Schrimpf & Karamfil Todorov, 2023, "Crypto carry," BIS Working Papers, Bank for International Settlements, number 1087, Apr.
• Albert S. (Pete) & Karamfil Todorov, 2023, "The cumulant risk premium," BIS Working Papers, Bank for International Settlements, number 1128, Oct.
• Taehyun Lee & Ioannis C Moutzouris & Nikos C Papapostolou & Mahmoud Fatouh, 2023, "Foreign exchange hedging using regime-switching models: the case of pound sterling," Bank of England working papers, Bank of England, number 1042, Sep.
• Bachmair, K., 2023, "The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2303, Jan.
• Constantinos Kyriakopoulos & Alexandros Koulis & Gerasimos Varvounis, 2023, "Importance of the Contingent Claims Analysis in Detecting Banking Risks: Evidence from the Greek Bank Crisis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 12, issue 2, pages 63-82.
• Amit Goyal & Sunil Wahal, 2023, "R&D, Innovation, and the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-107, Nov.
• Florian Perusset & Michael Rockinger, 2023, "Do Structured Products Improve Portfolio Performance? A Backtesting Exercise," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-47, Jun.
• Crocker Franklin Allen & Marlene Haas & Matteo Pirovano & Angel Tengulov, 2023, "How Prevalent Are Short Squeezes? Evidence From the US and Europe," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-63, Aug.
• Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2023, "Volatility during the COVID-19 Pandemic," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-95, Oct.
• Reinders, Henk Jan & Schoenmaker, Dirk & Van Dijk, Mathijs, 2023, "Climate Risk Stress Testing: A Conceptual Review," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17921, Feb.
• Whelan, Karl, 2023, "How Do Prediction Market Fees Affect Prices and Participants?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17972, Mar.
• Lin, Xu & van Wijnbergen, Sweder, 2023, "The Social Cost of Carbon under Climate Volatility Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 18210, Jun.
• Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2023, "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 36916, Mar.
• Christopher E.S. WARBURTON & Jared PEMBERTON, 2023, "Volatile Financial Conditions, Asset Prices, and Investment Decisions: Analysis of daily data of DJIA and S&P500, from January to April of 2022," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 23, issue 1, pages 101-124.
• Santoni, Alessandro & Rossignol, Ghislain & Akhouen, Richard, 2023, "Wind-down of bank trading books," Occasional Paper Series, European Central Bank, number 316, May.
• Ghio, Maddalena & Rousová, Linda & Salakhova, Dilyara & Bauer, Germán Villegas, 2023, "Derivative margin calls: a new driver of MMF flows," Working Paper Series, European Central Bank, number 2800, Mar.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun, 2023, "Systematic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2023-13, May.
• Frank Ranganai Matenda & Justin Chirima & Mabutho Sibanda, 2023, "Valuation of Corporate Debt and Equity in Uncertain Markets," International Journal of Economics and Financial Issues, Econjournals, volume 13, issue 1, pages 7-12, January.
• Maher Abida & Emna Mnif, 2023, "Investor Attention in Cryptocurrency Markets: Examining the Effects of Vaccination and COVID-19 Spread through a Wavelet Approach," International Journal of Economics and Financial Issues, Econjournals, volume 13, issue 5, pages 43-51, September.
• Somaiyah Alalmai, 2023, "Derivatives Market: A Survey," International Journal of Economics and Financial Issues, Econjournals, volume 13, issue 6, pages 101-106, November.
• Nigar Huseynli, 2023, "Causality between Selected Energy Companies Price Indexes and Barel Oil Prices," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 1, pages 235-240, January.
• Ra l De Jes s Guti rrez & Lidia E. Carvajal Guti rrez & Oswaldo Garcia Salgado, 2023, "Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 4, pages 467-480, July.
• Forte, Santiago & Lovreta, Lidija, 2023, "Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility," Journal of Corporate Finance, Elsevier, volume 79, issue C, DOI: 10.1016/j.jcorpfin.2022.102347.
• François, Pascal & Naqvi, Hassan, 2023, "Secured and unsecured debt in creditor-friendly bankruptcy," Journal of Corporate Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.jcorpfin.2023.102413.
• Lu, Ran & Xu, Wen & Zeng, Hongjun & Zhou, Xiangjing, 2023, "Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario," Economic Analysis and Policy, Elsevier, volume 78, issue C, pages 1465-1481, DOI: 10.1016/j.eap.2023.05.020.
• Candelon, Bertrand & Moura, Rubens, 2023, "Sovereign yield curves and the COVID-19 in emerging markets," Economic Modelling, Elsevier, volume 127, issue C, DOI: 10.1016/j.econmod.2023.106453.
• Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2023, "Partial quanto lookback options," The North American Journal of Economics and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.najef.2022.101871.
• Jiang, Yonghong & Ao, Zhiming & Mo, Bin, 2023, "The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches," The North American Journal of Economics and Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.najef.2023.101905.
• Tan, Yingxian & Pan, Zhihao & Wang, Rui & Wen, Chunhui, 2023, "Macroeconomic conditions and investment stimuli," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101916.
• Wu, Xinyu & Zhao, An & Liu, Li, 2023, "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101934.
• Lee, Hangsuck & Lee, Gaeun & Song, Seongjoo, 2023, "Min–max multi-step barrier options and their variants," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101944.
• Alexakis, Christos & Chantziaras, Antonios & Economou, Fotini & Eleftheriou, Konstantinos & Grose, Christos, 2023, "Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101946.
• Lee, Hangsuck & Jeong, Himchan & Lee, Gaeun, 2023, "Valuing rebate options and equity-linked products," The North American Journal of Economics and Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.najef.2023.101968.
• Qadan, Mahmoud & Shuval, Kerem & David, Or, 2023, "Uncertainty about interest rates and the real economy," The North American Journal of Economics and Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.najef.2023.101978.
• Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2023, "Macro uncertainty in the long run," Economics Letters, Elsevier, volume 225, issue C, DOI: 10.1016/j.econlet.2023.111067.
• Goyal, Raghav & Steinbach, Sandro, 2023, "Agricultural commodity markets in the wake of the black sea grain initiative," Economics Letters, Elsevier, volume 231, issue C, DOI: 10.1016/j.econlet.2023.111297.
• Chen, Biao & Yan, Haoyang & Zhu, Nanhui, 2023, "Investment and financing for SMEs with bank-tax-guarantee," Economics Letters, Elsevier, volume 231, issue C, DOI: 10.1016/j.econlet.2023.111300.
• Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023, "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, volume 232, issue 2, pages 416-444, DOI: 10.1016/j.jeconom.2021.08.002.
• Wang, Yunqi & Zhou, Ti, 2023, "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, volume 70, issue C, pages 199-226, DOI: 10.1016/j.jempfin.2022.12.004.
• Yu, Deshui & Huang, Difang, 2023, "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, volume 72, issue C, pages 321-340, DOI: 10.1016/j.jempfin.2023.04.001.
• Jarrow, Robert A. & Kwok, Simon S., 2023, "Futures contract collateralization and its implications," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101422.
• Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2023, "The commodity risk premium and neural networks," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101433.
• Qu, Hui & Li, Guo, 2023, "Multi-perspective investor attention and oil futures volatility forecasting," Energy Economics, Elsevier, volume 119, issue C, DOI: 10.1016/j.eneco.2023.106531.
• Li, Xuelian & Chen, Lingzhi & Lin, Jyh-Horng, 2023, "Cap-and-trade mechanisms, green technology investment, and shadow insurance in a black swan environment," Energy Economics, Elsevier, volume 124, issue C, DOI: 10.1016/j.eneco.2023.106776.
• Baur, Dirk G. & Todorova, Neda, 2023, "Big oil in the transition or Green Paradox? A capital market approach," Energy Economics, Elsevier, volume 125, issue C, DOI: 10.1016/j.eneco.2023.106837.
• Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023, "Financial stress and commodity price volatility," Energy Economics, Elsevier, volume 125, issue C, DOI: 10.1016/j.eneco.2023.106874.
• Gauthier, Geneviève & Godin, Frédéric & Trudeau, Gabrielle, 2023, "Pricing inconsistency between the futures and Financial Transmission Right markets in North America," Energy Economics, Elsevier, volume 126, issue C, DOI: 10.1016/j.eneco.2023.106945.
• Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023, "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, volume 127, issue PB, DOI: 10.1016/j.eneco.2023.107034.
• Nishihara, Michi & Shibata, Takashi & Zhang, Chuanqian, 2023, "Corporate investment, financing, and exit model with an earnings-based borrowing constraint," International Review of Financial Analysis, Elsevier, volume 85, issue C, DOI: 10.1016/j.irfa.2022.102456.
• Liu, Chunbo & Zhang, Xuan & Zhou, Zhiping, 2023, "Are commodity futures a hedge against inflation? A Markov-switching approach," International Review of Financial Analysis, Elsevier, volume 86, issue C, DOI: 10.1016/j.irfa.2023.102492.
• Feng, Ling & Wang, Jieyu, 2023, "Random sources correlations and carbon futures pricing," International Review of Financial Analysis, Elsevier, volume 86, issue C, DOI: 10.1016/j.irfa.2023.102529.
• Grobys, Klaus, 2023, "Correlation versus co-fractality: Evidence from foreign-exchange-rate variances," International Review of Financial Analysis, Elsevier, volume 86, issue C, DOI: 10.1016/j.irfa.2023.102531.
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2023, "Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing," International Review of Financial Analysis, Elsevier, volume 87, issue C, DOI: 10.1016/j.irfa.2023.102622.
• Carter, Colin A. & Revoredo-Giha, Cesar, 2023, "Financialization and speculators risk premia in commodity futures markets," International Review of Financial Analysis, Elsevier, volume 88, issue C, DOI: 10.1016/j.irfa.2023.102691.
• Tian, Ping & Zhou, Hang & Zhou, Duotai, 2023, "Analysis about the Black-Scholes asset price under the regime-switching framework," International Review of Financial Analysis, Elsevier, volume 88, issue C, DOI: 10.1016/j.irfa.2023.102693.
• Xiao, Qin & Yan, Meilan & Zhang, Dalu, 2023, "Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach," International Review of Financial Analysis, Elsevier, volume 89, issue C, DOI: 10.1016/j.irfa.2023.102743.
• Grobys, Klaus, 2023, "A finite-time singularity in the dynamics of the US equity market: Will the US equity market eventually collapse?," International Review of Financial Analysis, Elsevier, volume 89, issue C, DOI: 10.1016/j.irfa.2023.102787.
• Clancey-Shang, Danjue, 2023, "COVID lockdown, Robinhood traders, and liquidity in stock and option markets," International Review of Financial Analysis, Elsevier, volume 90, issue C, DOI: 10.1016/j.irfa.2023.102837.
• Karim, Muhammad Mahmudul & Ali, Md Hakim & Yarovaya, Larisa & Uddin, Md Hamid & Hammoudeh, Shawkat, 2023, "Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach," International Review of Financial Analysis, Elsevier, volume 90, issue C, DOI: 10.1016/j.irfa.2023.102894.
• He, Jie-Cao & Hsieh, Chang-Chieh & Huang, Zi-Wei & Lin, Shih-Kuei, 2023, "Valuation of callable range accrual linked to CMS Spread under generalized swap market model," International Review of Financial Analysis, Elsevier, volume 90, issue C, DOI: 10.1016/j.irfa.2023.102956.
• Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023, "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, volume 52, issue C, DOI: 10.1016/j.frl.2022.103375.
• Lian, Yu-Min & Chen, Jun-Home, 2023, "Valuation of chooser options with state-dependent risks," Finance Research Letters, Elsevier, volume 52, issue C, DOI: 10.1016/j.frl.2022.103527.
• Peña, Juan Ignacio, 2023, "The hedging effectiveness of electricity futures in the Spanish market," Finance Research Letters, Elsevier, volume 53, issue C, DOI: 10.1016/j.frl.2022.103507.
• Kim, Hwa-Sung, 2023, "Forced conversion to Chapter 7 bankruptcy and optimal financial decisions," Finance Research Letters, Elsevier, volume 54, issue C, DOI: 10.1016/j.frl.2023.103717.
• Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo & Lee, Minha, 2023, "Pricing multi-step double barrier options by the efficient non-crossing probability," Finance Research Letters, Elsevier, volume 54, issue C, DOI: 10.1016/j.frl.2023.103772.
• Ryu, Doojin & Ryu, Doowon & Yang, Heejin, 2023, "Whose sentiment explains implied volatility change and smile?," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103838.
• Gan, Liu & Xia, Xin & Xu, Mingyu, 2023, "Entrepreneurial investment and financing with third-party guarantees under present-biased preferences," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103841.
• Lee, Hangsuck & Ko, Bangwon & Lee, Minha, 2023, "The pricing and static hedging of multi-step double barrier options," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103890.
• Albers, Stefan, 2023, "The fear of fear in the US stock market: Changing characteristics of the VVIX," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103926.
• Huynh, Nhan & Phan, Hoa, 2023, "Emotions in the crypto market: Do photos really speak?," Finance Research Letters, Elsevier, volume 55, issue PB, DOI: 10.1016/j.frl.2023.103945.
• Chibane, Messaoud & Kuhanathan, Ano, 2023, "Is the fed failing to re-anchor expectations? An analysis of jumps in inflation swaps," Finance Research Letters, Elsevier, volume 55, issue PB, DOI: 10.1016/j.frl.2023.104004.
• Xu, Yongan & Duong, Duy & Xu, Hualong, 2023, "Attention! Predicting crude oil prices from the perspective of extreme weather," Finance Research Letters, Elsevier, volume 57, issue C, DOI: 10.1016/j.frl.2023.104190.
• Ardakani, Omid M., 2023, "Coherent measure of portfolio risk," Finance Research Letters, Elsevier, volume 57, issue C, DOI: 10.1016/j.frl.2023.104222.
• Zhang, Lu & Hsieh, Pei-lin & Chen, Haiqiang, 2023, "COVID-19 and commodity pricing premium: Evidence from the Chinese market," Finance Research Letters, Elsevier, volume 58, issue PA, DOI: 10.1016/j.frl.2023.103899.
• Chen, Biao & Jiang, Jinglu & Zhu, Nanhui, 2023, "Optimal capital structure and credit policy with bank-tax-guarantee," Finance Research Letters, Elsevier, volume 58, issue PA, DOI: 10.1016/j.frl.2023.104307.
• Neururer, Thaddeus, 2023, "Variance risk premiums and aging firms," Finance Research Letters, Elsevier, volume 58, issue PA, DOI: 10.1016/j.frl.2023.104312.
• Cao, Jiling & Kim, Jeong-Hoon & Liu, Wenqiang & Zhang, Wenjun, 2023, "Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing," Finance Research Letters, Elsevier, volume 58, issue PB, DOI: 10.1016/j.frl.2023.104374.
• Pan, Qunxing & Sun, Yujia, 2023, "Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict," Finance Research Letters, Elsevier, volume 58, issue PB, DOI: 10.1016/j.frl.2023.104442.
• Joo, Young C. & Park, Sung Y., 2023, "Quantile connectedness between cryptocurrency and commodity futures," Finance Research Letters, Elsevier, volume 58, issue PC, DOI: 10.1016/j.frl.2023.104472.
• Ahn, Jungkyu & Ahn, Yongkil, 2023, "The tail risk surface," Finance Research Letters, Elsevier, volume 58, issue PC, DOI: 10.1016/j.frl.2023.104497.
• Ryu, Doojin & Ryu, Doowon & Yang, Heejin, 2023, "Investor sentiment and futures market mispricing," Finance Research Letters, Elsevier, volume 58, issue PC, DOI: 10.1016/j.frl.2023.104559.
• Zhang, Junyu & Ruan, Xinfeng & Zhang, Jin E., 2023, "Do short-term market swings improve realized volatility forecasts?," Finance Research Letters, Elsevier, volume 58, issue PD, DOI: 10.1016/j.frl.2023.104629.
• Rubio, Gonzalo & Serrano, Pedro & Vaello-Sebastià, Antoni, 2023, "The international integration of the term structure of expected market risk premia," Finance Research Letters, Elsevier, volume 58, issue PD, DOI: 10.1016/j.frl.2023.104678.
• Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023, "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, volume 63, issue C, DOI: 10.1016/j.finmar.2022.100765.
• Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023, "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, volume 63, issue C, DOI: 10.1016/j.finmar.2022.100766.