Research classified by Journal of Economic Literature (JEL) codes

2023

• Frank Ranganai Matenda & Justin Chirima & Mabutho Sibanda, 2023, "Valuation of Corporate Debt and Equity in Uncertain Markets," International Journal of Economics and Financial Issues, Econjournals, volume 13, issue 1, pages 7-12, January.
• Maher Abida & Emna Mnif, 2023, "Investor Attention in Cryptocurrency Markets: Examining the Effects of Vaccination and COVID-19 Spread through a Wavelet Approach," International Journal of Economics and Financial Issues, Econjournals, volume 13, issue 5, pages 43-51, September.
• Somaiyah Alalmai, 2023, "Derivatives Market: A Survey," International Journal of Economics and Financial Issues, Econjournals, volume 13, issue 6, pages 101-106, November.
• Nigar Huseynli, 2023, "Causality between Selected Energy Companies Price Indexes and Barel Oil Prices," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 1, pages 235-240, January.
• Ra l De Jes s Guti rrez & Lidia E. Carvajal Guti rrez & Oswaldo Garcia Salgado, 2023, "Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 4, pages 467-480, July.
• Forte, Santiago & Lovreta, Lidija, 2023, "Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility," Journal of Corporate Finance, Elsevier, volume 79, issue C, DOI: 10.1016/j.jcorpfin.2022.102347.
• François, Pascal & Naqvi, Hassan, 2023, "Secured and unsecured debt in creditor-friendly bankruptcy," Journal of Corporate Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.jcorpfin.2023.102413.
• Lu, Ran & Xu, Wen & Zeng, Hongjun & Zhou, Xiangjing, 2023, "Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario," Economic Analysis and Policy, Elsevier, volume 78, issue C, pages 1465-1481, DOI: 10.1016/j.eap.2023.05.020.
• Candelon, Bertrand & Moura, Rubens, 2023, "Sovereign yield curves and the COVID-19 in emerging markets," Economic Modelling, Elsevier, volume 127, issue C, DOI: 10.1016/j.econmod.2023.106453.
• Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2023, "Partial quanto lookback options," The North American Journal of Economics and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.najef.2022.101871.
• Jiang, Yonghong & Ao, Zhiming & Mo, Bin, 2023, "The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches," The North American Journal of Economics and Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.najef.2023.101905.
• Tan, Yingxian & Pan, Zhihao & Wang, Rui & Wen, Chunhui, 2023, "Macroeconomic conditions and investment stimuli," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101916.
• Wu, Xinyu & Zhao, An & Liu, Li, 2023, "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101934.
• Lee, Hangsuck & Lee, Gaeun & Song, Seongjoo, 2023, "Min–max multi-step barrier options and their variants," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101944.
• Alexakis, Christos & Chantziaras, Antonios & Economou, Fotini & Eleftheriou, Konstantinos & Grose, Christos, 2023, "Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101946.
• Lee, Hangsuck & Jeong, Himchan & Lee, Gaeun, 2023, "Valuing rebate options and equity-linked products," The North American Journal of Economics and Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.najef.2023.101968.
• Qadan, Mahmoud & Shuval, Kerem & David, Or, 2023, "Uncertainty about interest rates and the real economy," The North American Journal of Economics and Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.najef.2023.101978.
• Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2023, "Macro uncertainty in the long run," Economics Letters, Elsevier, volume 225, issue C, DOI: 10.1016/j.econlet.2023.111067.
• Goyal, Raghav & Steinbach, Sandro, 2023, "Agricultural commodity markets in the wake of the black sea grain initiative," Economics Letters, Elsevier, volume 231, issue C, DOI: 10.1016/j.econlet.2023.111297.
• Chen, Biao & Yan, Haoyang & Zhu, Nanhui, 2023, "Investment and financing for SMEs with bank-tax-guarantee," Economics Letters, Elsevier, volume 231, issue C, DOI: 10.1016/j.econlet.2023.111300.
• Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023, "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, volume 232, issue 2, pages 416-444, DOI: 10.1016/j.jeconom.2021.08.002.
• Wang, Yunqi & Zhou, Ti, 2023, "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, volume 70, issue C, pages 199-226, DOI: 10.1016/j.jempfin.2022.12.004.
• Yu, Deshui & Huang, Difang, 2023, "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, volume 72, issue C, pages 321-340, DOI: 10.1016/j.jempfin.2023.04.001.
• Jarrow, Robert A. & Kwok, Simon S., 2023, "Futures contract collateralization and its implications," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101422.
• Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2023, "The commodity risk premium and neural networks," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101433.
• Qu, Hui & Li, Guo, 2023, "Multi-perspective investor attention and oil futures volatility forecasting," Energy Economics, Elsevier, volume 119, issue C, DOI: 10.1016/j.eneco.2023.106531.
• Li, Xuelian & Chen, Lingzhi & Lin, Jyh-Horng, 2023, "Cap-and-trade mechanisms, green technology investment, and shadow insurance in a black swan environment," Energy Economics, Elsevier, volume 124, issue C, DOI: 10.1016/j.eneco.2023.106776.
• Baur, Dirk G. & Todorova, Neda, 2023, "Big oil in the transition or Green Paradox? A capital market approach," Energy Economics, Elsevier, volume 125, issue C, DOI: 10.1016/j.eneco.2023.106837.
• Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023, "Financial stress and commodity price volatility," Energy Economics, Elsevier, volume 125, issue C, DOI: 10.1016/j.eneco.2023.106874.
• Gauthier, Geneviève & Godin, Frédéric & Trudeau, Gabrielle, 2023, "Pricing inconsistency between the futures and Financial Transmission Right markets in North America," Energy Economics, Elsevier, volume 126, issue C, DOI: 10.1016/j.eneco.2023.106945.
• Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023, "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, volume 127, issue PB, DOI: 10.1016/j.eneco.2023.107034.
• Nishihara, Michi & Shibata, Takashi & Zhang, Chuanqian, 2023, "Corporate investment, financing, and exit model with an earnings-based borrowing constraint," International Review of Financial Analysis, Elsevier, volume 85, issue C, DOI: 10.1016/j.irfa.2022.102456.
• Liu, Chunbo & Zhang, Xuan & Zhou, Zhiping, 2023, "Are commodity futures a hedge against inflation? A Markov-switching approach," International Review of Financial Analysis, Elsevier, volume 86, issue C, DOI: 10.1016/j.irfa.2023.102492.
• Feng, Ling & Wang, Jieyu, 2023, "Random sources correlations and carbon futures pricing," International Review of Financial Analysis, Elsevier, volume 86, issue C, DOI: 10.1016/j.irfa.2023.102529.
• Grobys, Klaus, 2023, "Correlation versus co-fractality: Evidence from foreign-exchange-rate variances," International Review of Financial Analysis, Elsevier, volume 86, issue C, DOI: 10.1016/j.irfa.2023.102531.
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2023, "Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing," International Review of Financial Analysis, Elsevier, volume 87, issue C, DOI: 10.1016/j.irfa.2023.102622.
• Carter, Colin A. & Revoredo-Giha, Cesar, 2023, "Financialization and speculators risk premia in commodity futures markets," International Review of Financial Analysis, Elsevier, volume 88, issue C, DOI: 10.1016/j.irfa.2023.102691.
• Tian, Ping & Zhou, Hang & Zhou, Duotai, 2023, "Analysis about the Black-Scholes asset price under the regime-switching framework," International Review of Financial Analysis, Elsevier, volume 88, issue C, DOI: 10.1016/j.irfa.2023.102693.
• Xiao, Qin & Yan, Meilan & Zhang, Dalu, 2023, "Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach," International Review of Financial Analysis, Elsevier, volume 89, issue C, DOI: 10.1016/j.irfa.2023.102743.
• Grobys, Klaus, 2023, "A finite-time singularity in the dynamics of the US equity market: Will the US equity market eventually collapse?," International Review of Financial Analysis, Elsevier, volume 89, issue C, DOI: 10.1016/j.irfa.2023.102787.
• Clancey-Shang, Danjue, 2023, "COVID lockdown, Robinhood traders, and liquidity in stock and option markets," International Review of Financial Analysis, Elsevier, volume 90, issue C, DOI: 10.1016/j.irfa.2023.102837.
• Karim, Muhammad Mahmudul & Ali, Md Hakim & Yarovaya, Larisa & Uddin, Md Hamid & Hammoudeh, Shawkat, 2023, "Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach," International Review of Financial Analysis, Elsevier, volume 90, issue C, DOI: 10.1016/j.irfa.2023.102894.
• He, Jie-Cao & Hsieh, Chang-Chieh & Huang, Zi-Wei & Lin, Shih-Kuei, 2023, "Valuation of callable range accrual linked to CMS Spread under generalized swap market model," International Review of Financial Analysis, Elsevier, volume 90, issue C, DOI: 10.1016/j.irfa.2023.102956.
• Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023, "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, volume 52, issue C, DOI: 10.1016/j.frl.2022.103375.
• Lian, Yu-Min & Chen, Jun-Home, 2023, "Valuation of chooser options with state-dependent risks," Finance Research Letters, Elsevier, volume 52, issue C, DOI: 10.1016/j.frl.2022.103527.
• Peña, Juan Ignacio, 2023, "The hedging effectiveness of electricity futures in the Spanish market," Finance Research Letters, Elsevier, volume 53, issue C, DOI: 10.1016/j.frl.2022.103507.
• Kim, Hwa-Sung, 2023, "Forced conversion to Chapter 7 bankruptcy and optimal financial decisions," Finance Research Letters, Elsevier, volume 54, issue C, DOI: 10.1016/j.frl.2023.103717.
• Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo & Lee, Minha, 2023, "Pricing multi-step double barrier options by the efficient non-crossing probability," Finance Research Letters, Elsevier, volume 54, issue C, DOI: 10.1016/j.frl.2023.103772.
• Ryu, Doojin & Ryu, Doowon & Yang, Heejin, 2023, "Whose sentiment explains implied volatility change and smile?," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103838.
• Gan, Liu & Xia, Xin & Xu, Mingyu, 2023, "Entrepreneurial investment and financing with third-party guarantees under present-biased preferences," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103841.
• Lee, Hangsuck & Ko, Bangwon & Lee, Minha, 2023, "The pricing and static hedging of multi-step double barrier options," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103890.
• Albers, Stefan, 2023, "The fear of fear in the US stock market: Changing characteristics of the VVIX," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103926.
• Huynh, Nhan & Phan, Hoa, 2023, "Emotions in the crypto market: Do photos really speak?," Finance Research Letters, Elsevier, volume 55, issue PB, DOI: 10.1016/j.frl.2023.103945.
• Chibane, Messaoud & Kuhanathan, Ano, 2023, "Is the fed failing to re-anchor expectations? An analysis of jumps in inflation swaps," Finance Research Letters, Elsevier, volume 55, issue PB, DOI: 10.1016/j.frl.2023.104004.
• Xu, Yongan & Duong, Duy & Xu, Hualong, 2023, "Attention! Predicting crude oil prices from the perspective of extreme weather," Finance Research Letters, Elsevier, volume 57, issue C, DOI: 10.1016/j.frl.2023.104190.
• Ardakani, Omid M., 2023, "Coherent measure of portfolio risk," Finance Research Letters, Elsevier, volume 57, issue C, DOI: 10.1016/j.frl.2023.104222.
• Zhang, Lu & Hsieh, Pei-lin & Chen, Haiqiang, 2023, "COVID-19 and commodity pricing premium: Evidence from the Chinese market," Finance Research Letters, Elsevier, volume 58, issue PA, DOI: 10.1016/j.frl.2023.103899.
• Chen, Biao & Jiang, Jinglu & Zhu, Nanhui, 2023, "Optimal capital structure and credit policy with bank-tax-guarantee," Finance Research Letters, Elsevier, volume 58, issue PA, DOI: 10.1016/j.frl.2023.104307.
• Neururer, Thaddeus, 2023, "Variance risk premiums and aging firms," Finance Research Letters, Elsevier, volume 58, issue PA, DOI: 10.1016/j.frl.2023.104312.
• Cao, Jiling & Kim, Jeong-Hoon & Liu, Wenqiang & Zhang, Wenjun, 2023, "Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing," Finance Research Letters, Elsevier, volume 58, issue PB, DOI: 10.1016/j.frl.2023.104374.
• Pan, Qunxing & Sun, Yujia, 2023, "Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict," Finance Research Letters, Elsevier, volume 58, issue PB, DOI: 10.1016/j.frl.2023.104442.
• Joo, Young C. & Park, Sung Y., 2023, "Quantile connectedness between cryptocurrency and commodity futures," Finance Research Letters, Elsevier, volume 58, issue PC, DOI: 10.1016/j.frl.2023.104472.
• Ahn, Jungkyu & Ahn, Yongkil, 2023, "The tail risk surface," Finance Research Letters, Elsevier, volume 58, issue PC, DOI: 10.1016/j.frl.2023.104497.
• Ryu, Doojin & Ryu, Doowon & Yang, Heejin, 2023, "Investor sentiment and futures market mispricing," Finance Research Letters, Elsevier, volume 58, issue PC, DOI: 10.1016/j.frl.2023.104559.
• Zhang, Junyu & Ruan, Xinfeng & Zhang, Jin E., 2023, "Do short-term market swings improve realized volatility forecasts?," Finance Research Letters, Elsevier, volume 58, issue PD, DOI: 10.1016/j.frl.2023.104629.
• Rubio, Gonzalo & Serrano, Pedro & Vaello-Sebastià, Antoni, 2023, "The international integration of the term structure of expected market risk premia," Finance Research Letters, Elsevier, volume 58, issue PD, DOI: 10.1016/j.frl.2023.104678.
• Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023, "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, volume 63, issue C, DOI: 10.1016/j.finmar.2022.100765.
• Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023, "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, volume 63, issue C, DOI: 10.1016/j.finmar.2022.100766.
• 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(0x6be0b600), June, 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.