Research classified by Journal of Economic Literature (JEL) codes

0

• Dirk Hackbarth & Jianjun Miao, , "The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-022.
• Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008, "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-19, Aug.
• Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA, 2010, "Conditional Density Models for Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-44, Aug.
• Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER, 2011, "Weak Approximation of G-Expectations," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-09, Mar.
• Maria PUTINTSEVA, 2011, "Predictive Power of Information Market Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-23, Jun.
• Marc CHESNEY & Alexander KEMPF, 2011, "The Value of Tradeability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-37, Jul.
• Marc CHESNEY & Remo CRAMERI & Loriano MANCINI, 2011, "Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-38, Sep.
• Marc CHESNEY & Remo CRAMERI & Loriano MANCINI, 2011, "Detecting Informed Trading Activities in the Options Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-42, Sep.
• Markus LEIPPOLD & Lujing SU, 2011, "Collateral Smile," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-51, Nov.
• Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG, 2011, "A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-54, Oct.
• Giovanni Barone-Adesi & Nicola Carcano & Hakim Dall'O, 2012, "Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub-Prime Crisis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-04, Feb.
• Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2012, "Misvaluation and Return Anomalies in Distress Stocks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-12, Mar.
• Damir Filipović, 2012, "Affine Variance Swap Curve Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-14, Apr.
• Valentina Corradi & Walter Distaso & Antonio Mele, 2012, "Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-18, Feb.
• Markus Leippold & Jacob Stromberg, 2012, "Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-23, May.
• Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012, "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-26, Jun.
• Jan Kallsen & Johannes Muhle-Karbe, 2012, "Option Pricing and Hedging with Small Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-30, Sep.
• Semyon MALAMUD, 2014, "Portfolio Selection with Options and Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-08, Feb.
• Damir FILIPOVIC & Martin LARSSON & Anders TROLLE, 2014, "Linear-Rational Term Structure Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-15, Feb.
• Bryan Routledge & Stanley Zin, , "Model Uncertainty and Liquidity," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2001-E17.
• Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, , "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-E54.
• Shimon Kogan & Anthony Kwasnica & Roberto Weber, , "Coordination in the Presence of Asset Markets," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2007-E33.
• Jonathan Berk & Richard C. Green & Vasant Naik, , "Optimal Investment, Growth Options and Security Returns," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 64.
• HARDLE, Wolfgang & HAFNER, Christian M., 2000, "Discrete time option pricing with flexible volatility estimation," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1439, Jan, DOI: 10.1007/s007800050011.
• BAUWENS , Luc & LUBRANO, Michel, 2002, "Bayesian option pricing using asymmetric GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1569, Jan.
• Nicolas Mougeot, , "Credit Spread Specification and the Pricing of Spread Options," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp14.
• Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020, "The Overnight Drift," Staff Reports, Federal Reserve Bank of New York, number 917, Feb.
• Elyes Jouini & Pierre-Francois Koehl, , "Pricing of Non-redundant Derivatives in a Complete Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-009.
• Gary Gorton & Richard Rosen, , "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 06-95.
• Gabriel Hawawini & Donald B. Keim, , "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 08-99.
• Gary Gorton & Richard Rosen, , "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 6-95.
• Gabriel Hawawini & Donald B. Keim, , "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 7-97.
• Francisca Silva & Marta Simões & João Sousa Andrade, 2018, "Health Investment and Long run Macroeconomic Performance:a quantile regression approach," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2018-01, Jan.
• Márcio Ferreira & Hélder Sebastião, 2018, "The Iberian electricity market:Price dynamics and risk premium in an illiquid market," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2018-02, Feb.
• Jason West, , "2012-02 Marginal abatement cost curves and carbon capture and storage options in Australia," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201202.

None

• Pagano Patrizio & Pisani Massimiliano, 2009, "Risk-Adjusted Forecasts of Oil Prices," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-28, June, DOI: 10.2202/1935-1690.1626.
• Ferreira José Luis, 2006, "The Role of Observability in Futures Markets," The B.E. Journal of Theoretical Economics, De Gruyter, volume 6, issue 1, pages 1-24, June, DOI: 10.2202/1534-598X.1266.
• Borovkova Svetlana & Geman Helyette, 2006, "Analysis and Modelling of Electricity Futures Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-16, September, DOI: 10.2202/1558-3708.1372.
• Benth Fred E & Saltyte-Benth Jurate, 2006, "Analytical Approximation for the Price Dynamics of Spark Spread Options," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-28, September, DOI: 10.2202/1558-3708.1355.
• Chan Wing Hong, 2008, "Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1571.
• Badescu Alex & Kulperger Reg & Lazar Emese, 2008, "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1580.
• Tseng Tseng-Chan & Chung Huimin & Huang Chin-Sheng, 2009, "Modeling Jump and Continuous Components in the Volatility of Oil Futures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-30, May, DOI: 10.2202/1558-3708.1671.
• Berkowitz Jeremy, 2009, "On Justifications for the ad hoc Black-Scholes Method of Option Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 1, pages 1-27, December, DOI: 10.2202/1558-3708.1683.
• Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J., 2004, "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 1, pages 1-26, March, DOI: 10.2202/1558-3708.1141.
• Robles-Fernandez M. Dolores & Nieto Luisa & Fernandez M. Angeles, 2004, "Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 4, pages 1-28, December, DOI: 10.2202/1558-3708.1106.
• Jessica H. Brown, 2018, "Does Public Pre-K Have Unintended Consequences on the Child Care Market for Infants and Toddlers?," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 626, Dec.
• Yasin Kursat Onder, 2023, "Optimal GDP-indexed Bonds," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 51, pages 747-777, December, DOI: 10.1016/j.red.2023.08.002.
• Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, None, "Fast drift-approximated pricing in the BGM model," Journal of Computational Finance, Journal of Computational Finance.
• Szymon Borak & Rafał Weron, None, "A semiparametric factor model for electricity forward curve dynamics," Journal of Energy Markets, Journal of Energy Markets.
• James L. Smith & Rex Thompson and Thomas K. Lee, None, "The informational role of spot prices and inventories," Journal of Energy Markets, Journal of Energy Markets.
• Burkhard Raunig & Martin Scheicher, None, "A value-at-risk analysis of credit default swaps," Journal of Risk, Journal of Risk.
• Hipòlit Torró, None, "Assessing the influence of spot price predictability on electricity futures hedging," Journal of Risk, Journal of Risk.
• Marc Henrard, None, "Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options," Journal of Risk, Journal of Risk.
• M.H. Middeldorp, 2011, "FOMC Communication Policy and the Accuracy of Fed Funds Futures," Working Papers, Utrecht School of Economics, number 11-13.