Research classified by Journal of Economic Literature (JEL) codes

2023

• Carverhill, Andrew & Luo, Dan, 2023, "A Bayesian analysis of time-varying jump risk in S&P 500 returns and options," Journal of Financial Markets, Elsevier, volume 64, issue C, DOI: 10.1016/j.finmar.2022.100786.
• Leshem, Shmuel & Tabbach, Avraham, 2023, "The option value of record-based sanctions," Games and Economic Behavior, Elsevier, volume 137, issue C, pages 1-22, DOI: 10.1016/j.geb.2022.10.014.
• Chen, Xiangyu & Tongurai, Jittima, 2023, "Informational linkage and price discovery between China's futures and spot markets: Evidence from the US–China trade dispute," Global Finance Journal, Elsevier, volume 55, issue C, DOI: 10.1016/j.gfj.2022.100750.
• Zhang, Hanyu & Assereto, Martina & Byrne, Julie, 2023, "Deferring real options with solar renewable energy certificates," Global Finance Journal, Elsevier, volume 55, issue C, DOI: 10.1016/j.gfj.2022.100795.
• Piccotti, Louis R. & Wang, Heng, 2023, "Informed trading in the options market surrounding data breaches," Global Finance Journal, Elsevier, volume 56, issue C, DOI: 10.1016/j.gfj.2022.100774.
• Dammak, Wael & Hamad, Salah Ben & de Peretti, Christian & Eleuch, Hichem, 2023, "Pricing of European currency options considering the dynamic information costs," Global Finance Journal, Elsevier, volume 58, issue C, DOI: 10.1016/j.gfj.2023.100897.
• Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023, "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, volume 108, issue C, pages 84-106, DOI: 10.1016/j.insmatheco.2022.11.002.
• Fontana, Claudio & Rotondi, Francesco, 2023, "Valuation of general GMWB annuities in a low interest rate environment," Insurance: Mathematics and Economics, Elsevier, volume 112, issue C, pages 142-167, DOI: 10.1016/j.insmatheco.2023.07.003.
• Siu, Tak Kuen, 2023, "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, volume 113, issue C, pages 233-250, DOI: 10.1016/j.insmatheco.2023.08.008.
• Jacobs, Kris & Li, Bingxin, 2023, "Option Returns, Risk Premiums, and Demand Pressure in Energy Markets," Journal of Banking & Finance, Elsevier, volume 146, issue C, DOI: 10.1016/j.jbankfin.2022.106687.
• Oh, Dong Hwan & Park, Yang-Ho, 2023, "GARCH option pricing with volatility derivatives," Journal of Banking & Finance, Elsevier, volume 146, issue C, DOI: 10.1016/j.jbankfin.2022.106718.
• Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Yang, J. Jimmy, 2023, "Intraday momentum in the VIX futures market," Journal of Banking & Finance, Elsevier, volume 148, issue C, DOI: 10.1016/j.jbankfin.2022.106746.
• Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023, "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, volume 153, issue C, DOI: 10.1016/j.jbankfin.2023.106898.
• Bianchi, Robert J. & Fan, John Hua & Miffre, Joëlle & Zhang, Tingxi, 2023, "Exploiting the dynamics of commodity futures curves," Journal of Banking & Finance, Elsevier, volume 154, issue C, DOI: 10.1016/j.jbankfin.2023.106965.
• Chen, Sipeng & Li, Gang, 2023, "Why does option-implied volatility forecast realized volatility? Evidence from news events," Journal of Banking & Finance, Elsevier, volume 156, issue C, DOI: 10.1016/j.jbankfin.2023.107019.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun, 2023, "Systematic default and return predictability in the stock and bond markets," Journal of Financial Economics, Elsevier, volume 149, issue 3, pages 349-377, DOI: 10.1016/j.jfineco.2023.05.006.
• Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023, "Momentum turning points," Journal of Financial Economics, Elsevier, volume 149, issue 3, pages 378-406, DOI: 10.1016/j.jfineco.2023.05.007.
• Bakshi, Gurdip & Crosby, John & Gao, Xiaohui & Hansen, Jorge W., 2023, "Treasury option returns and models with unspanned risks," Journal of Financial Economics, Elsevier, volume 150, issue 3, DOI: 10.1016/j.jfineco.2023.103736.
• Reinders, Henk Jan & Schoenmaker, Dirk & van Dijk, Mathijs, 2023, "A finance approach to climate stress testing," Journal of International Money and Finance, Elsevier, volume 131, issue C, DOI: 10.1016/j.jimonfin.2022.102797.
• Fan, Zaifeng & Jump, Jeff & Tse, Yiuman & Yu, Linda, 2023, "Volatility in US dairy futures markets," Journal of Commodity Markets, Elsevier, volume 29, issue C, DOI: 10.1016/j.jcomm.2022.100309.
• Gao, Xin & Li, Bingxin & Liu, Rui, 2023, "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, volume 30, issue C, DOI: 10.1016/j.jcomm.2022.100274.
• Fuertes, Ana-Maria & Zhao, Nan, 2023, "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, volume 30, issue C, DOI: 10.1016/j.jcomm.2023.100328.
• Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023, "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, volume 31, issue C, DOI: 10.1016/j.jcomm.2022.100289.
• Wong, Patrick, 2023, "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, volume 31, issue C, DOI: 10.1016/j.jcomm.2023.100331.
• Jia, Xiaolan & Ruan, Xinfeng & Zhang, Jin E., 2023, "Carr and Wu’s (2020) framework in the oil ETF option market," Journal of Commodity Markets, Elsevier, volume 31, issue C, DOI: 10.1016/j.jcomm.2023.100334.
• Fernandez-Perez, Adrian & Miffre, Joëlle & Schoen, Tilman & Scott, Ayesha, 2023, "Do spot market auction data help price discovery?," Journal of Commodity Markets, Elsevier, volume 31, issue C, DOI: 10.1016/j.jcomm.2023.100335.
• Haase, Marco & Zimmermann, Heinz & Huss, Matthias, 2023, "Wheat price volatility regimes over 140 years: An analysis of daily price ranges," Journal of Commodity Markets, Elsevier, volume 31, issue C, DOI: 10.1016/j.jcomm.2023.100346.
• Li, Hemei & Liu, Zhenya & Zhao, Yuqian, 2023, "The Fortune and crash of common risk factors in Chinese commodity markets," Journal of Commodity Markets, Elsevier, volume 32, issue C, DOI: 10.1016/j.jcomm.2023.100362.
• Goswami, Alankrita & Karali, Berna & Adjemian, Michael K., 2023, "Hedging with futures during nonconvergence in commodity markets," Journal of Commodity Markets, Elsevier, volume 32, issue C, DOI: 10.1016/j.jcomm.2023.100364.
• Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023, "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, volume 27, issue C, DOI: 10.1016/j.jeca.2022.e00288.
• Papadamou, Stephanos & Fassas, Athanasios P. & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2023, "Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure," The Journal of Economic Asymmetries, Elsevier, volume 28, issue C, DOI: 10.1016/j.jeca.2023.e00317.
• Alfaro, Rodrigo & Inzunza, Alejandra, 2023, "Modeling S&P500 returns with GARCH models," Latin American Journal of Central Banking (previously Monetaria), Elsevier, volume 4, issue 3, DOI: 10.1016/j.latcb.2023.100096.
• Cheema, Muhammad A. & Chiah, Mardy & Zhong, Angel, 2023, "Corporate payouts in Australia," Pacific-Basin Finance Journal, Elsevier, volume 79, issue C, DOI: 10.1016/j.pacfin.2023.101990.
• Wang, Chao & Wang, Junbo & Wu, Chunchi & Zhang, Yue, 2023, "Voluntary disclosure in P2P lending: Information or hyperbole?," Pacific-Basin Finance Journal, Elsevier, volume 79, issue C, DOI: 10.1016/j.pacfin.2023.102024.
• Chen, Zhiyu & Xu, Yun & Wang, Yu, 2023, "Can convertible bond trading predict stock returns? Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 79, issue C, DOI: 10.1016/j.pacfin.2023.102026.
• Chen, Xi & Wang, Junbo & Wang, Yanchu & Zhong, Xiaoling, 2023, "Extreme illiquidity and stock returns: Evidence from Thailand market," Pacific-Basin Finance Journal, Elsevier, volume 82, issue C, DOI: 10.1016/j.pacfin.2023.102191.
• Guidolin, Massimo & Wang, Kai, 2023, "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 618, issue C, DOI: 10.1016/j.physa.2023.128496.
• Yue, Tian & Ruan, Xinfeng & Gehricke, Sebastian & Zhang, Jin E., 2023, "The volatility index and volatility risk premium in China," The Quarterly Review of Economics and Finance, Elsevier, volume 91, issue C, pages 40-55, DOI: 10.1016/j.qref.2023.07.004.
• Song, Shiyu & Tang, Dan & Xu, Guangli & Yin, Xunbai, 2023, "An analytical GARCH valuation model for spread options with default risk," International Review of Economics & Finance, Elsevier, volume 83, issue C, pages 1-20, DOI: 10.1016/j.iref.2022.08.013.
• Sun, Hang & Bos, Jaap.W.B. & Rodrigues, Paulo, 2023, "Destabilizing or passive? The impact of commodity index traders on equilibrium prices," International Review of Economics & Finance, Elsevier, volume 83, issue C, pages 271-285, DOI: 10.1016/j.iref.2022.08.014.
• Noman, Abu Hanifa Md & Karim, Muhammad Mahmudul & Hassan, Mohammad Kabir & Khan, Muhammad Asif & Pervin, Sajeda, 2023, "COVID-19 pandemic and the dynamics of major investable assets: What gives shelter to investors?," International Review of Economics & Finance, Elsevier, volume 86, issue C, pages 14-30, DOI: 10.1016/j.iref.2023.03.003.
• Wu, Xinyu & He, Qizhi & Xie, Haibin, 2023, "Forecasting VIX with time-varying risk aversion," International Review of Economics & Finance, Elsevier, volume 88, issue C, pages 458-475, DOI: 10.1016/j.iref.2023.06.034.
• Orte, Francisco & Mira, José & Sánchez, María Jesús & Solana, Pablo, 2023, "A random forest-based model for crypto asset forecasts in futures markets with out-of-sample prediction," Research in International Business and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.ribaf.2022.101829.
• Grobys, Klaus, 2023, "A Fractal and Comparative View of the Memory of Bitcoin and S&P 500 Returns," Research in International Business and Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.ribaf.2023.102021.
• Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023, "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 111537, Mar.
• Barinov, Alexander & Chabakauri, Georgy, 2023, "Idiosyncratic volatility, growth options, and the cross-section of returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 120814, Dec.
• Luiz Eduardo Gaio & Daniel Henrique Dario Capitani, 2023, "Multifractal cross-correlation analysis between crude oil and agricultural futures markets: evidence from Russia–Ukraine conflict," Journal of Agribusiness in Developing and Emerging Economies, Emerald Group Publishing Limited, volume 15, issue 1, pages 19-42, May, DOI: 10.1108/JADEE-11-2022-0252.
• Michael O'Neill & Gulasekaran Rajaguru, 2023, "Causality of price movements in VIX exchange-traded products and VIX futures contracts," Journal of Accounting Literature, Emerald Group Publishing Limited, volume 46, issue 2, pages 153-169, April, DOI: 10.1108/JAL-12-2022-0126.
• Jungmu Kim & Yuen Jung Park & Thuy Thi Thu Truong, 2023, "Retail investors and overpricing of left-tail risk: evidence from the Korean stock market," Journal of Derivatives and Quantitative Studies: 선물연구, Emerald Group Publishing Limited, volume 31, issue 4, pages 309-327, September, DOI: 10.1108/JDQS-04-2023-0008.
• Magdalena Mikolajek-Gocejna & Tomasz Urbas, 2023, "Rational Investors or Rational Expectations in Efficient Market Hypothesis?," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, volume 13, issue 2, pages 167-188.
• Jens H. E. Christensen & Nikola Mirkov & Xin Zhang, 2024, "Quantitative Easing and the Supply of Safe Assets: Evidence from International Bond Safety Premia," Working Paper Series, Federal Reserve Bank of San Francisco, number 2023-23, Jun, DOI: 10.24148/wp2023-23.
• Jens H. E. Christensen & Simon Thinggaard Hetland, 2024, "Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance," Working Paper Series, Federal Reserve Bank of San Francisco, number 2023-24, May, DOI: 10.24148/wp2023-24.
• Rodney Garratt & David Murphy & Travis D. Nesmith & Xiaopeng Wu, 2023, "Optimal Bidder Selection in Clearing House Default Auctions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-033r1, May, revised 01 Aug 2024, DOI: 10.17016/FEDS.2023.033r1.
• Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023, "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-054r1, Aug, revised 14 Aug 2025, DOI: 10.17016/FEDS.2023.054r1.
• Riko Hendrawan, 2023, "Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021 ," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr208, Apr, DOI: https://doi.org/10.35609/jfbr.2023..
• Riko Hendrawan, 2023, "Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr209, Apr, DOI: https://doi.org/10.35609/jfbr.2023..
• Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2023, "The Negative Pricing of the May 2020 WTI Contract," Post-Print, HAL, number hal-03933797, Jan, DOI: 10.5547/01956574.44.1.afer.
• Christos Alexakis & Antonios Chantziaras & Fotini Economou & Konstantinos Eleftheriou & Christos Grose, 2023, "Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic," Post-Print, HAL, number hal-04102932, Jul, DOI: 10.1016/j.najef.2023.101946.
• H. Rad & R. Low & J. Miffre & R. Faff, 2023, "The commodity risk premium and neural networks," Post-Print, HAL, number hal-04322519, Dec, DOI: 10.1016/j.jempfin.2023.101433.
• Wael Dammak & Salah Ben Hamad & Christian de Peretti & Hichem Eleuch, 2023, "Pricing of European currency options considering the dynamic information costs," Post-Print, HAL, number hal-04875463, Nov, DOI: 10.1016/j.gfj.2023.100897.
• José da Fonseca & Edem Dawui & Yannick Malevergne, 2023, "A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread," Working Papers, HAL, number hal-04012277, Mar, DOI: 10.2139/ssrn.4176102.
• Monika Timková & Martina Bobriková, 2023, "Investing Based On Agricultural Structured Products," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), volume 74, issue 3, pages 464-484, DOI: 10.32910/ep.74.3.6.
• Herbertsson, Alexander, 2023, "Risk management of stock portfolios with jumps at exogenous default events," Working Papers in Economics, University of Gothenburg, Department of Economics, number 836, Sep.
• Herbertsson, Alexander, 2023, "Saddlepoint approximations for credit portfolio distributions with applications in equity risk management," Working Papers in Economics, University of Gothenburg, Department of Economics, number 839, Dec.
• Aase, Knut K., 2023, "Intuitive probability of non-intuitive events," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2023/15, Sep.
• 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(0x72fc0df0), November, 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.
• 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, June, DOI: 10.1007/s11579-022-00326-4.
• Julian Sester, 2023, "On intermediate marginals in martingale optimal transportation," Mathematics and Financial Economics, Springer, number 2, June, 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.

2022

• Gastón Silverio Milanesi, 2022, "Opciones reales secuenciales cuadrinomiales y volatilidad cambiante: incertidumbres tecnológicas," 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 17, issue 1, pages 1-26, Enero - M.
• Miguel Antonio Alba Suarez & Miguel Ángel Alba Acosta & David Camilo Alba Acosta, 2022, "Estimación bayesiana del modelo de difusión con saltos de Merton," 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 17, issue 2, pages 1-32, Abril - J.
• Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022, "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, volume 68, issue 6, pages 3975-4004, June, DOI: 10.1287/mnsc.2021.4068.
• Dirk Hackbarth & Alejandro Rivera & Tak-Yuen Wong, 2022, "Optimal Short-Termism," Management Science, INFORMS, volume 68, issue 9, pages 6477-6505, September, DOI: 10.1287/mnsc.2021.4139.
• Sirio Aramonte & Mohammad R. Jahan-Parvar & Samuel Rosen & John W. Schindler, 2022, "Firm-Specific Risk-Neutral Distributions with Options and CDS," Management Science, INFORMS, volume 68, issue 9, pages 7018-7033, September, DOI: 10.1287/mnsc.2021.4170.
• Olga Dodd & Adrian Fernandez-Perez & Simon Sosvilla-Rivero, 2022, ""Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202204, Apr, revised Apr 2022.
• Gero Junike & Wim Schoutens & Hauke Stier, 2022, "Performance of advanced stock price models when it becomes exotic: an empirical study," Annals of Finance, Springer, volume 18, issue 1, pages 109-119, March, DOI: 10.1007/s10436-021-00396-2.
• Xiaodong Chen & Tim Leung & Yang Zhou, 2022, "Constrained dynamic futures portfolios with stochastic basis," Annals of Finance, Springer, volume 18, issue 1, pages 1-33, March, DOI: 10.1007/s10436-021-00398-0.
• Katsushi Nakajima, 2022, "Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield," Annals of Finance, Springer, volume 18, issue 1, pages 35-80, March, DOI: 10.1007/s10436-021-00402-7.
• Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022, "Derivatives-based portfolio decisions: an expected utility insight," Annals of Finance, Springer, volume 18, issue 2, pages 217-246, June, DOI: 10.1007/s10436-022-00409-8.
• Weidong Tian & Zimu Zhu, 2022, "A portfolio choice problem under risk capacity constraint," Annals of Finance, Springer, volume 18, issue 3, pages 285-326, September, DOI: 10.1007/s10436-021-00404-5.
• Giovanni Villani, 2022, "A Neural Network Approach to Value R&D Compound American Exchange Option," Computational Economics, Springer;Society for Computational Economics, volume 60, issue 1, pages 305-324, June, DOI: 10.1007/s10614-021-10150-5.
• Peter Sinka & Peter J. Zeitsch, 2022, "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, volume 60, issue 4, pages 1375-1412, December, DOI: 10.1007/s10614-021-10185-8.
• Stylianos Perrakis, 2022, "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 36, issue 3, pages 369-401, September, DOI: 10.1007/s11408-021-00399-z.
• Pavan Kumar Nagula & Christos Alexakis, 2022, "A Novel Machine Learning Approach for Predicting the NIFTY50 Index in India," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 28, issue 3, pages 155-170, November, DOI: 10.1007/s11294-022-09861-8.
• Xingchun Wang, 2022, "Valuing fade-in options with default risk in Heston–Nandi GARCH models," Review of Derivatives Research, Springer, volume 25, issue 1, pages 1-22, April, DOI: 10.1007/s11147-021-09179-3.
• Zonggang Ma & Chaoqun Ma & Zhijian Wu, 2022, "Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods," Review of Derivatives Research, Springer, volume 25, issue 1, pages 47-91, April, DOI: 10.1007/s11147-021-09181-9.
• Kazuhiro Takino, 2022, "The impact of non-cash collateralization on the over-the-counter derivatives markets," Review of Derivatives Research, Springer, volume 25, issue 2, pages 137-171, July, DOI: 10.1007/s11147-021-09184-6.
• Pakorn Aschakulporn & Jin E. Zhang, 2022, "Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach," Review of Derivatives Research, Springer, volume 25, issue 3, pages 233-281, October, DOI: 10.1007/s11147-022-09187-x.
• Matthias Muck, 2022, "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities," Review of Derivatives Research, Springer, volume 25, issue 3, pages 293-314, October, DOI: 10.1007/s11147-022-09189-9.
• Philip Stahl, 2022, "Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index," Review of Derivatives Research, Springer, volume 25, issue 3, pages 315-339, October, DOI: 10.1007/s11147-022-09190-2.
• Liang-Chih Liu & Chun-Yuan Chiu & Chuan-Ju Wang & Tian-Shyr Dai & Hao-Han Chang, 2022, "Analytical pricing formulae for vulnerable vanilla and barrier options," Review of Quantitative Finance and Accounting, Springer, volume 58, issue 1, pages 137-170, January, DOI: 10.1007/s11156-021-00990-5.
• Luiz Vitiello & Ser-Huang Poon, 2022, "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, volume 58, issue 4, pages 1665-1684, May, DOI: 10.1007/s11156-021-01034-8.
• Dean Leistikow & Ren-Raw Chen & Yuewu Xu, 2022, "Spot asset carry cost rates and futures hedge ratios," Review of Quantitative Finance and Accounting, Springer, volume 58, issue 4, pages 1741-1779, May, DOI: 10.1007/s11156-022-01037-z.
• Nicole El Karoui & Antoine Parent & Pierre-Charles Pradier, 2022, "Louis Bachelier's Théorie de la spéculation : The missing piece in Walras' general equilibrium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 22019, Oct.
• Agata Gniadkowska-Szymańska, 2022, "The liquidity of shares and the risk of bankruptcy," Bank i Kredyt, Narodowy Bank Polski, volume 53, issue 6, pages 565-586.
• Thomas Ernst & Chester S. Spatt, 2022, "Payment for Order Flow And Asset Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 29883, Mar.
• Min Dai & Zhaoli Jiang & Neng Wang, 2022, "Strategic Investment under Uncertainty with First- and Second-mover Advantages," NBER Working Papers, National Bureau of Economic Research, Inc, number 30150, Jun.
• Ian Dew-Becker, 2022, "Real-Time Forward-Looking Skewness over the Business Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 30478, Sep.
• Emil Siriwardane & Adi Sunderam & Jonathan L. Wallen, 2022, "Segmented Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 30561, Oct.
• Paul Borochin & Yanhui Zhao, 2022, "Risk Neutral Skewness Predicts Price Rebounds and So Can Improve Momentum Performance," Critical Finance Review, now publishers, volume 11, issue 2, pages 383-429, May, DOI: 10.1561/104.00000101.
• Shaen Corbet & Yang (Greg) Hou & Yang Hu & Les Oxley, 2022, "We Reddit in a Forum: The Influence of Message Boards on Firm Stability," Review of Corporate Finance, now publishers, volume 2, issue 1, pages 151-190, March, DOI: 10.1561/114.00000014.
• Michi Nishihara, 2022, "Corporate sustainability, investment, and capital structure," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 22-05, Nov.
• Lily Y Liu, 2022, "Estimating Loss Given Default from CDS under Weak Identification
  [Estimation and Inference with Weak, Semi-Strong, and Strong Identification]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 310-344.
• Christophe Chorro & Rahantamialisoa H Fanirisoa, 2022, "Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures
  [Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 5, pages 902-941.
• Andrea Frazzini & Lasse Heje Pedersen, 2022, "Embedded Leverage
  [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 1-52.
• Sangmin S Oh & Jessica A Wachter, 2022, "Cross-Sectional Skewness
  [Endogenous information flows and the clustering of announcements]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 155-198.
• Te-Feng Chen & Tarun Chordia & San-Lin Chung & Ji-Chai Lin, 2022, "Volatility-of-Volatility Risk in Asset Pricing
  [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 289-335.
• Guanglian Hu & Kris Jacobs & Sang Byung Seo, 2022, "Characterizing the Variance Risk Premium: The Role of the Leverage Effect
  [The term structure of variance swaps and risk premia]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 2, pages 500-542.
• Jaewon Choi & Matthew Richardson & Robert F Whitelaw, 2022, "Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models
  [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 3, pages 706-753.
• Egor Matveyev & Alexei Zhdanov, 2022, "Optimal Capital Structure with Imperfect Competition
  [Anatomy of financial distress: An examination of junk-bond issuers]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 11, issue 2, pages 314-363.
• Marco Pagano & Josef Zechner, 2022, "COVID-19 and Corporate Finance
  [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 11, issue 4, pages 849-879.
• Adam Jørring & Andrew W Lo & Tomas J Philipson & Manita Singh & Richard T Thakor, 2022, "Sharing R&D Risk in Healthcare via FDA Hedges
  [Bank lines of credit as contingent liquidity: Covenant violations and their implications]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 11, issue 4, pages 880-922.
• John Bizjak & Swaminathan Kalpathy & Zhichuan Frank Li & Brian Young, 2022, "The Choice of Peers for Relative Performance Evaluation in Executive Compensation
  [Peer choice in CEO compensation]," Review of Finance, European Finance Association, volume 26, issue 5, pages 1217-1239.
• Mark J Ready & Robert C Ready, 2022, "Order Flows and Financial Investor Impacts in Commodity Futures Markets," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 10, pages 4712-4755.
• Matthias Fleckenstein & Francis A Longstaff, 2022, "The Market Risk Premium for Unsecured Consumer Credit Risk," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 10, pages 4756-4801.
• Peter Christoffersen & Kris Jacobs & Xuhui (Nick) Pan, 2022, "The State Price Density Implied by Crude Oil Futures and Option Prices," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 2, pages 1064-1103.
• Adem Atmaz, 2022, "Stock Return Extrapolation, Option Prices, and Variance Risk Premium," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 3, pages 1348-1393.