Research classified by Journal of Economic Literature (JEL) codes

2024

• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Forwards and Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Arbitrage and Trading," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Financial Engineering and Swaps," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Forwards and Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Futures Trading," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Futures Regulations," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "The Cost-of-Carry Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "The Extended Cost-of-Carry Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Futures Hedging," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Options Markets and Trading," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Option Trading Strategies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Option Relations," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Single-Period Binomial Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Multiperiod Binomial Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "The Black–Scholes–Merton Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Using the Black–Scholes–Merton Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Yields and Forward Rates," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Interest Rate Swaps," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Single-Period Binomial Heath–Jarrow–Morton Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Multiperiod Binomial HJM Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "The Heath–Jarrow–Morton Libor Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 25, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Robert A. Jarrow & Arkadev Chatterjea, 2024, "Risk Management Models," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 26, "AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management".
• Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2024, "The transmission of monetary policy to the cost of hedging," CFS Working Paper Series, Center for Financial Studies (CFS), number 726.

2023

• Julius Marcus Reis & Leonard Grebe & Dirk Schiereck & Kerstin Hennig, 2023, "Is There Still a Day-of-the-Week Effect in the Real Estate Sector?," Oblik i finansi, Institute of Accounting and Finance, issue 3, pages 84-97, September, DOI: 10.33146/2307-9878-2023-3(101)-84-9.
• Prats Cabrera, Joan Oriol & Hinojosa, Sergio Alejandro & Roque Loyola, Heinz G. & Montecinos, Jorge G. & Moraga, Enrique & Carrillo, Camilo & Guerra, José Luis, 2023, "Gestión de pasivos contingentes para proyectos de asociación público-privada: valoración, contabilización y reporte," IDB Publications (Books), Inter-American Development Bank, number 12881, ISBN: ARRAY(0x626275b0), DOI: http://dx.doi.org/10.18235/0004931.
• Maddalena Ghio & Linda Rousova & Dilyara Salakhova & Mr. Germán Villegas-Bauer, 2023, "Derivative Margin Calls: A New Driver of MMF Flows," IMF Working Papers, International Monetary Fund, number 2023/061, Mar.
• Guillermo Sierra Juárez, 2023, "Prima para la cobertura por exceso de contagios de COVID-19," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 18, issue 2, pages 1-17, Abril - J.
• Gastón Silverio Milanesi, 2023, "Opciones Reales Multinomiales con dos variables de estado y Teoría de juegos en la valoración de estrategias de inversión," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 18, issue 4, pages 1-29, Octubre -.
• Dorsaf Cherif & Emmanuel Lépinette, 2023, "No-arbitrage conditions and pricing from discrete-time to continuous-time strategies," Annals of Finance, Springer, volume 19, issue 2, pages 141-168, June, DOI: 10.1007/s10436-023-00426-1.
• Robert A. Jarrow, 2023, "The no-arbitrage pricing of non-traded assets," Annals of Finance, Springer, volume 19, issue 3, pages 401-418, September, DOI: 10.1007/s10436-023-00434-1.
• Carlo Marinelli & Stefano d’Addona, 2023, "Nonparametric estimates of option prices via Hermite basis functions," Annals of Finance, Springer, volume 19, issue 4, pages 477-522, December, DOI: 10.1007/s10436-023-00431-4.
• Daniel Suescún-Díaz & Luis Eduardo Girón, 2023, "Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation," Computational Economics, Springer;Society for Computational Economics, volume 61, issue 4, pages 1545-1560, April, DOI: 10.1007/s10614-022-10258-2.
• Ziming Dong & Dan Tang & Xingchun Wang, 2023, "Pricing vulnerable basket spread options with liquidity risk," Review of Derivatives Research, Springer, volume 26, issue 1, pages 23-50, April, DOI: 10.1007/s11147-022-09192-0.
• Sheng-Feng Luo & Hsin-Chieh Wong, 2023, "Continuity correction: on the pricing of discrete double barrier options," Review of Derivatives Research, Springer, volume 26, issue 1, pages 51-90, April, DOI: 10.1007/s11147-022-09193-z.
• Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023, "Hedging cryptocurrency options," Review of Derivatives Research, Springer, volume 26, issue 1, pages 91-133, April, DOI: 10.1007/s11147-023-09194-6.
• Maxim Ulrich & Lukas Zimmer & Constantin Merbecks, 2023, "Implied volatility surfaces: a comprehensive analysis using half a billion option prices," Review of Derivatives Research, Springer, volume 26, issue 2, pages 135-169, October, DOI: 10.1007/s11147-023-09195-5.
• Frédéric Godin & Ramin Eghbalzadeh & Patrice Gaillardetz, 2023, "Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model," Review of Derivatives Research, Springer, volume 26, issue 2, pages 171-206, October, DOI: 10.1007/s11147-023-09196-4.
• Julian Kaboth & Arnd Lodowicks & Maximilian Schreiter & Bernhard Schwetzler, 2023, "Same same but different: how preferential claims trigger valuation discounts in equity tranches of VC-backed firms," Review of Quantitative Finance and Accounting, Springer, volume 60, issue 3, pages 877-914, April, DOI: 10.1007/s11156-022-01115-2.
• Massimo G. Colombo & Benedetta Montanaro & Silvio Vismara, 2023, "What drives the valuation of entrepreneurial ventures? A map to navigate the literature and research directions," Small Business Economics, Springer, volume 61, issue 1, pages 59-84, June, DOI: 10.1007/s11187-022-00688-5.
• Misik, Sándor, 2023, "Korrelációbecslés a forintpiacon
  [Correlation forecasting on the Hungarian forint market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 772-794, DOI: 10.18414/KSZ.2023.7-8.772.
• Mark Grinblatt & Gergana Jostova & Alexander Philipov, 2023, "Analyst Bias and Mispricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 31094, Mar.
• Stefano Giglio & Bryan T. Kelly & Serhiy Kozak, 2023, "Equity Term Structures without Dividend Strips Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 31119, Apr.
• David Hirshleifer & Dat Y. Mai & Kuntara Pukthuanthong, 2023, "War Discourse and Disaster Premia: 160 Years of Evidence from Stock and Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 31204, May.
• Urban Jermann, 2023, "Gold's Value as an Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 31386, Jun.
• Mihir Gandhi & Niels Joachim Gormsen & Eben Lazarus, 2023, "Forward Return Expectations," NBER Working Papers, National Bureau of Economic Research, Inc, number 31687, Sep.
• Ian Dew-Becker & Stefano Giglio, 2023, "Risk Preferences Implied by Synthetic Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 31833, Nov.
• Ian Dew-Becker & Stefano Giglio, 2023, "Recent Developments in Financial Risk and the Real Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 31878, Nov.
• Kopaliani, R. & Denisov, N., 2023, "Composite option pricing and the volatility surface construction," Journal of the New Economic Association, New Economic Association, volume 60, issue 3, pages 27-48, DOI: 10.31737/22212264_2023_3_27-48.
• Michi NISHIHARA & Takashi SHIBATA, 2023, "Optimal capital structure with earnings above a floor," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 23-09, Jun.
• C Alan Bester & Victor H Martinez & Ioanid Roşu, 2023, "Option Prices and the Probability of Success of Cash Mergers," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 1, pages 145-186.
• Francesca Lilla, 2023, "Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 3, pages 678-713.
• Mao-Wei Hung & Yi-Chen Ko & Jr-Yan Wang, 2023, "An Application of Damped Diffusion for Modeling Volatility Dynamics," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 3, pages 779-809.
• Wei Wei & Asger Lunde, 2023, "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1647-1679.
• jørn Eraker & Daniela Osterrieder, 2023, "Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1820-1851.
• Meng Tian & Liuren Wu & Zhiguo He, 2023, "Limits of Arbitrage and Primary Risk-Taking in Derivative Securities," The Review of Asset Pricing Studies, Society for Financial Studies, volume 13, issue 3, pages 405-439.
• Sheen Liu & Junbo Wang & Chunchi Wu & Hui Chen, 2023, "Stochastic Interest Rates, Heterogeneous Valuations, and the Volatility-Volume Relation with Search Frictions," The Review of Asset Pricing Studies, Society for Financial Studies, volume 13, issue 3, pages 523-578.
• Alexander Barinov & Georgy Chabakauri & Hui Chen, 2023, "Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 13, issue 4, pages 653-690.
• Fousseni Chabi-Yo & Hitesh DoshiC. T. Bauer & Virgilio Zurita & Zhiguo He, 2023, "Never a Dull Moment: Entropy Risk in Commodity Markets," The Review of Asset Pricing Studies, Society for Financial Studies, volume 13, issue 4, pages 734-783.
• Tong Wang, 2023, "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, volume 27, issue 1, pages 325-367.
• Jing-Zhi Huang & Bibo Liu & Zhan Shi, 2023, "Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market," Review of Finance, European Finance Association, volume 27, issue 2, pages 539-579.
• Peter Carr & Liuren Wu, 2023, "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, volume 27, issue 3, pages 997-1026.
• Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023, "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, volume 27, issue 6, pages 1977-2014.
• Lars-Alexander Kuehn & David Schreindorfer & Florian Schulz, 2023, "Persistent Crises and Levered Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 36, issue 6, pages 2571-2616.
• Nina Boyarchenko & Lars C Larsen & Paul Whelan & Stefano Giglio, 2023, "The Overnight Drift," The Review of Financial Studies, Society for Financial Studies, volume 36, issue 9, pages 3502-3547.
• Turan G Bali & Heiner Beckmeyer & Mathis Mörke & Florian Weigert & Stefano Giglio, 2023, "Option Return Predictability with Machine Learning and Big Data," The Review of Financial Studies, Society for Financial Studies, volume 36, issue 9, pages 3548-3602.
• Milanesi, Gastón Silverio, 2023, "Valoración de estrategias competitivas, acuerdos colaborativos y penalizaciones con Opciones Reales Multinomiales y Teoría de Juegos
  [Valuation of competitive strategies, collaborative agreements and penalties with Multinomial Real Options and Gam," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 35, issue 1, pages 360-388, June, DOI: https://doi.org/10.46661/revmetodos.
• Carter, Colin A. & Steinbach, Sandro, 2023, "Did Grain Futures Prices Overreact to the Russia-Ukraine War?," MPRA Paper, University Library of Munich, Germany, number 118248, Aug.
• Lee, David, 2023, "Default Forecasting and Credit Valuation Adjustment," MPRA Paper, University Library of Munich, Germany, number 118578, Sep.
• Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023, "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper, University Library of Munich, Germany, number 119022, Oct.
• Chang, Kuo-Ping, 2023, "Measuring Risk Structures of Assets: P-index and C-index," MPRA Paper, University Library of Munich, Germany, number 122653, Feb.
• Jiří Witzany & Milan Fičura, 2023, "Machine Learning Applications to Valuation of Options on Non-liquid Markets," FFA Working Papers, Prague University of Economics and Business, number 5.001, Jan, revised 24 Jan 2023.
• Jiří Witzany & Milan Fičura, 2023, "A Comparison of Neural Networks and Bayesian MCMC for the Heston Model Estimation (Forget Statistics - Machine Learning is Sufficient!)," FFA Working Papers, Prague University of Economics and Business, number 5.007, Jul, revised 11 Jul 2023.
• Kazuhiro Hiraki & George Skiadopoulos, 2023, "The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure," Working Papers, Queen Mary University of London, School of Economics and Finance, number 946, Feb.
• Yasin Kursat Onder, 2023, "Code and data files for "Optimal GDP-indexed Bonds"," Computer Codes, Review of Economic Dynamics, number 21-334, revised .
• Markos Farag & Samir Jeddi & Jan Hendrik Kopp, 2023, "Global Natural Gas Market Integration in the Face of Shocks: Evidence from the Dynamics Of European, Asian, and US Gas Futures Prices," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2023-3, Apr.
• Chinwe Okoyeuzu & Imaobong Judith Nnam & Wilfred Ukpere, 2023, "The Nexus between Oil Price and Stock Returns from a Global Economic Perspective," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 26, issue 1, pages 109-119, December.
• Ansu Royit & Babu Jose & James Varghese, 2023, "Beware of Extreme Investor Sentiments! Indian Evidence on the Performance of Neuro-specific Options Volatility Trading Strategies on the Facets of COVID-19," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 22, issue 3, pages 326-350, September, DOI: 10.1177/09726527231165820.
• Adrian Fernandez-Perez & Ana-Maria Fuertes & Joëlle Miffre, 2023, "The Negative Pricing of the May 2020 WTI Contract," The Energy Journal, , volume 44, issue 1, pages 119-142, January, DOI: 10.5547/01956574.44.1.afer.
• Magdalena Mikolajek-Gocejna, 2023, "Application of Chow, Cusum and Rolling Window in Testing Stability of Systematic Risk of Companies Listed in WIG-ESG in 2019–2022," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 20, pages 1-29, DOI: 10.7172/2353-6845.jbfe.2023.2.1.
• Erdinc Akyildirim & Alper A. Hekimoglu & Ahmet Sensoy & Frank J. Fabozzi, 2023, "Extending the Merton model with applications to credit value adjustment," Annals of Operations Research, Springer, volume 326, issue 1, pages 27-65, July, DOI: 10.1007/s10479-023-05289-3.
• Mohammad Enamul Hoque & Faik Bilgili & Sourav Batabyal, 2023, "What do we know about spillover between the climate change futures market and the carbon futures market?," Climatic Change, Springer, volume 176, issue 12, pages 1-23, December, DOI: 10.1007/s10584-023-03640-y.
• Michele Azzone & Roberto Baviera, 2023, "A fast Monte Carlo scheme for additive processes and option pricing," Computational Management Science, Springer, volume 20, issue 1, pages 1-34, December, DOI: 10.1007/s10287-023-00463-1.
• Lars Palapies, 2023, "Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 46, issue 2, pages 415-460, December, DOI: 10.1007/s10203-023-00401-5.
• Mario Figueiredo & Yuri F. Saporito, 2023, "Forecasting the term structure of commodities future prices using machine learning," Digital Finance, Springer, volume 5, issue 1, pages 57-90, March, DOI: 10.1007/s42521-022-00069-3.
• Zhuo Chen & Bo Yan & Hanwen Kang, 2023, "Price bubbles of agricultural commodities: evidence from China’s futures market," Empirical Economics, Springer, volume 64, issue 1, pages 195-222, January, DOI: 10.1007/s00181-022-02254-0.
• Alessandro Doldi & Marco Frittelli, 2023, "Entropy martingale optimal transport and nonlinear pricing–hedging duality," Finance and Stochastics, Springer, volume 27, issue 2, pages 255-304, April, DOI: 10.1007/s00780-023-00498-x.
• Gongqiu Zhang & Lingfei Li, 2023, "A general approach for Parisian stopping times under Markov processes," Finance and Stochastics, Springer, volume 27, issue 3, pages 769-829, July, DOI: 10.1007/s00780-023-00505-1.
• Raquel M. Gaspar & Mariana Khapko, 2023, "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, volume 27, issue 4, pages 867-885, October, DOI: 10.1007/s00780-023-00511-3.
• Damir Filipović, 2023, "Discount models," Finance and Stochastics, Springer, volume 27, issue 4, pages 933-946, October, DOI: 10.1007/s00780-023-00514-0.
• Hangsuck Lee & Seongjoo Song & Gaeun Lee, 2023, "Insurance guaranty premiums and exchange options," Mathematics and Financial Economics, Springer, number 3, March, DOI: 10.1007/s11579-022-00326-4.
• Julian Sester, 2023, "On intermediate marginals in martingale optimal transportation," Mathematics and Financial Economics, Springer, number 2, March, DOI: 10.1007/s11579-023-00345-9.
• Augusto Blanc-Blocquel & Luis Ortiz-Gracia & Rodolfo Oviedo, 2023, "Hedging At-the-money Digital Options Near Maturity," Methodology and Computing in Applied Probability, Springer, volume 25, issue 1, pages 1-18, March, DOI: 10.1007/s11009-023-10013-6.
• Nektarios A. Michail & Konstantinos D. Melas, 2023, "Commodity Prices and Dry Bulk Shipping Stock Returns," Springer Proceedings in Business and Economics, Springer, chapter 0, in: Nicholas Tsounis & Aspasia Vlachvei, "Advances in Empirical Economic Research", DOI: 10.1007/978-3-031-22749-3_32.
• Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023, "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, volume 27, issue 1, pages 139-162, February, DOI: 10.1007/s10058-021-00276-1.
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2023, "Can a Machine Correct Option Pricing Models?," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 3, pages 995-1009, July, DOI: 10.1080/07350015.2022.2099871.
• Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2023, "Nonparametric Option Pricing with Generalized Entropic Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 4, pages 1173-1187, October, DOI: 10.1080/07350015.2022.2115499.
• Frédéric Vrins & Linqi Wang, 2023, "Asymmetric short-rate model without lower bound," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 2, pages 279-295, February, DOI: 10.1080/14697688.2022.2156384.
• Francis Liu & Natalie Packham & Meng-Jou Lu & Wolfgang Karl Härdle, 2023, "Hedging cryptos with Bitcoin futures," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 5, pages 819-841, May, DOI: 10.1080/14697688.2023.2187316.
• Maudud Hassan Uzzal & Robert Ślepaczuk, 2023, "The performance of time series forecasting based on classical and machine learning methods for S&P 500 index," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-05.
• Karol Chojnacki & Robert Ślepaczuk, 2023, "This study compares well-known tools of technical analysis (Moving Average Crossover MAC) with Machine Learning based strategies (LSTM and XGBoost) and Ensembled Machine Learning Strategies (LSTM ensembled with XGBoost and MAC). All models were compa," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-15.
• Damian Ślusarczyk & Robert Ślepaczuk, 2023, "Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-17.
• Paweł Jakubowski & Robert Ślepaczuk & Franciszek Windorbski, 2023, "REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-20.
• Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk, 2023, "Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-23.
• Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk, 2023, "Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-25.
• Sahil Teymurzade & Robert Ślepaczuk, 2023, "Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-27.
• Turker Acikgoz & Ozge Sezgin Alp & Nazlan Belemir Alkan, 2023, "Dynamics of a Newly Established Agricultural Commodities Market: Financialization, Hedging and Portfolio Diversification in Turkey," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 03, pages 1-33, September, DOI: 10.1142/S2010495223500057.
• Ricardo Lalloo, 2023, "Potential Welfare Gains from Optimal Macro Hedging for Oil Exporters," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 03, pages 1-22, September, DOI: 10.1142/S2010495223500069.
• Bernd Engelmann, 2023, "Managing the risk of embedded options in non-traded credit using portfolio modeling," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 1-26, September, DOI: 10.1142/S2424786323500123.
• Artur Sepp & Parviz Rakhmonov, 2023, "Log-Normal Stochastic Volatility Model With Quadratic Drift," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 26, issue 08, pages 1-63, December, DOI: 10.1142/S0219024924500031.
• Samia Nasreen & Sofia Anwar, 2023, "Financial Stability And Monetary Policy Reaction Function For South Asian Countries: An Econometric Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 68, issue 03, pages 1001-1030, June, DOI: 10.1142/S0217590819500395.
• 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.
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• 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.
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• Frank Ranganai Matenda & Justin Chirima & Mabutho Sibanda, 2023, "Valuation of Corporate Debt and Equity in Uncertain Markets," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, volume 13, issue 5, pages 43-51, September.
• Somaiyah Alalmai, 2023, "Derivatives Market: A Survey," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, 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, International Journal of Energy Economics and Policy, volume 13, issue 1, pages 235-240, January.
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• 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.
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• 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.
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• 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.
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• 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.
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• 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.
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• 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.
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• 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.