Research classified by Journal of Economic Literature (JEL) codes

2022

• Xintong (Eunice) Zhan & Bing Han & Jie Cao & Qing Tong, 2022, "Option Return Predictability," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 3, pages 1394-1442.
• Benjamin Golez & Ruslan Goyenko, 2022, "Disagreement in the Equity Options Market and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 3, pages 1443-1479.
• Jessica A Wachter & Yicheng Zhu, 2022, "A Model of Two Days: Discrete News and Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 5, pages 2246-2307.
• Rau-Bredow, Hans, 2022, "Contango and Backwardation in Arbitrage-Free Futures-Markets," MPRA Paper, University Library of Munich, Germany, number 111688, Jan.
• Shah, Anand, 2022, "Valuation of Loyalty Tokens," MPRA Paper, University Library of Munich, Germany, number 111986, Feb.
• Adrian, Fernandez-Perez & Ana-Maria, Fuertes & Joelle, Miffre, 2022, "The Negative Pricing of the May 2020 WTI Contract," MPRA Paper, University Library of Munich, Germany, number 112352, Feb, revised 20 Dec 2021.
• Lee, David, 2022, "Pricing Cancellation Product," MPRA Paper, University Library of Munich, Germany, number 114147, Aug.
• Lee, David, 2022, "Generic Price Model for Commodity Derivatives," MPRA Paper, University Library of Munich, Germany, number 114283, Aug.
• Fuertes, Ana-Maria & Zhao, Nan, 2022, "A Bayesian Perspective on Commodity Style Integration," MPRA Paper, University Library of Munich, Germany, number 117831, revised 2023.
• Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2022, "Nonparametric Option Pricing with Generalized Entropic Estimators," Working Papers, Princeton University. Economics Department., number 2022-25, May.
• Caio Almeida & Gustavo Freire, 2022, "Demand in the Option Market and the Pricing Kernel," Working Papers, Princeton University. Economics Department., number 2022-32, Dec.
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2022, "Can a Machine Correct Option Pricing Models?," Working Papers, Princeton University. Economics Department., number 2022-9, Jul.
• Raphael Amaro & Carlos Pinho & Mara Madaleno, 2022, "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 65, pages 77-101.
• Raphael Amaro & Carlos Pinho, 2022, "Energy commodities: A study on model selection for estimating Value-at-Risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 68, pages 5-27.
• Glenn Kit Foong Ho & Sirimon Treepongkaruna & Marvin Wee & Chaiyuth Padungsaksawasdi, 2022, "The effect of short selling on volatility and jumps," Australian Journal of Management, Australian School of Business, volume 47, issue 1, pages 34-52, February, DOI: 10.1177/0312896221996416.
• Marco Pagano & Josef Zechner, 2022, "COVID-19 and Corporate Finance," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 651, Aug.
• Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022, "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, volume 311, issue 2, pages 945-965, April, DOI: 10.1007/s10479-021-03942-3.
• Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022, "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, volume 313, issue 1, pages 29-46, June, DOI: 10.1007/s10479-021-04198-7.
• Lu Wang & Ferhana Ahmad & Gong-li Luo & Muhammad Umar & Dervis Kirikkaleli, 2022, "Portfolio optimization of financial commodities with energy futures," Annals of Operations Research, Springer, volume 313, issue 1, pages 401-439, June, DOI: 10.1007/s10479-021-04283-x.
• Eymen Errais, 2022, "Pricing insurance premia: a top down approach," Annals of Operations Research, Springer, volume 313, issue 2, pages 899-914, June, DOI: 10.1007/s10479-019-03459-w.
• Fabio Bellini & Edit Rroji & Carlo Sala, 2022, "Implicit quantiles and expectiles," Annals of Operations Research, Springer, volume 313, issue 2, pages 733-753, June, DOI: 10.1007/s10479-021-04054-8.
• Ravi Kashyap, 2022, "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, volume 315, issue 2, pages 1175-1215, August, DOI: 10.1007/s10479-022-04610-w.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022, "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 1-34, June, DOI: 10.1007/s10203-021-00330-1.
• Jarno Talponen & Minna Turunen, 2022, "Option pricing: a yet simpler approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 57-81, June, DOI: 10.1007/s10203-021-00338-7.
• Gaetano La Bua & Daniele Marazzina, 2022, "A new class of multidimensional Wishart-based hybrid models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 209-239, June, DOI: 10.1007/s10203-021-00357-4.
• Luca Gennaro Aquino & Carole Bernard, 2022, "Correction to: Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 447-449, June, DOI: 10.1007/s10203-021-00360-9.
• Magnus Grønnegaard Frandsen & Tobias Cramer Pedersen & Rolf Poulsen, 2022, "Delta force: option pricing with differential machine learning," Digital Finance, Springer, volume 4, issue 1, pages 1-15, March, DOI: 10.1007/s42521-021-00041-7.
• Hasan Fehmi Baklaci & Tezer Yelkenci, 2022, "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 12, issue 2, pages 267-314, June, DOI: 10.1007/s40822-022-00209-5.
• Eduardo Abi Jaber, 2022, "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, volume 26, issue 4, pages 733-769, October, DOI: 10.1007/s00780-022-00489-4.
• Giovanni Villani & Marta Biancardi, 2022, "Competition and strategic alliance in R&D investments: a real option game approach with multiple experiments," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 17, issue 1, pages 63-86, January, DOI: 10.1007/s11403-020-00304-3.
• Pavel V. Gapeev & Peter M. Kort & Maria N. Lavrutich & Jacco J. J. Thijssen, 2022, "Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions," Methodology and Computing in Applied Probability, Springer, volume 24, issue 2, pages 789-813, June, DOI: 10.1007/s11009-022-09959-w.
• Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022, "On the stationarity of futures hedge ratios," Operational Research, Springer, volume 22, issue 3, pages 2281-2303, July, DOI: 10.1007/s12351-020-00607-0.
• Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022, "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 13, issue 4, pages 663-708, December, DOI: 10.1007/s13209-022-00264-w.
• Christian Manicaro, 2022, "The link between regional CDS spreads and equity returns: a multivariate GARCH approach," SN Business & Economics, Springer, volume 2, issue 2, pages 1-15, February, DOI: 10.1007/s43546-021-00197-9.
• Robiyanto Robiyanto & Fanny Yunitaria, 2022, "Dividend announcement effect analysis before and during the COVID-19 pandemic in the Indonesia Stock Exchange," SN Business & Economics, Springer, volume 2, issue 2, pages 1-20, February, DOI: 10.1007/s43546-021-00198-8.
• Xu Guo & Chunchi Wu, 2022, "Short Selling Activity and Effects on Financial Markets and Corporate Decisions," Springer Books, Springer, chapter 98, in: Cheng-Few Lee & Alice C. Lee, "Encyclopedia of Finance", DOI: 10.1007/978-3-030-91231-4_100.
• Yi-Long Hsiao & Chien-Jung Ting, 2022, "Pricing Rent-to-Own Options with a Barrier Level: Taking Housing Contracts as an Example," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 12, issue 5, pages 1-3.
• Catherine Georgiou, 2022, "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 15, issue 3, pages 24-37, December.
• Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022, "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-007/IV, Jan.
• H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022, "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-000/III, Nov.
• Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022, "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers, Toulouse School of Economics (TSE), number 126554, Jan.
• Menevşe Özdemir Dilidüzgün & Ayşe Altıok Yılmaz & Elif Akben Selçuk, 2022, "Spread Determinants in Corporate Bond Pricing: The Effect of Market and Liquidity Risks," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 69, issue 3, pages 407-425.
• Kumar Ravi & Dhiman Babli, 2022, "Indian and Chinese Metal Futures Markets: A Linkage Analysis," Acta Universitatis Sapientiae, Economics and Business, Sciendo, volume 10, issue 1, pages 1-14, September, DOI: 10.2478/auseb-2022-0001.
• Barbu Teodora Cristina & Boitan Iustina Alina & Cepoi Cosmin-Octavian, 2022, "Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks," Economics and Business Review, Sciendo, volume 8, issue 2, pages 29-49, July, DOI: 10.18559/ebr.2022.2.3.
• Baiquan Ma & Robert Ślepaczuk, 2022, "The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2022-02.
• Illia Baranochnikov & Robert Ślepaczuk, 2022, "A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2022-21.
• Katarzyna Kryńska & Robert Ślepaczuk, 2022, "Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2022-25.
• Kerstin Bernoth & Jürgen Von Hagen & Casper De Vries, 2022, "The Term Structure of Currency Futures' Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, volume 54, issue 1, pages 5-38, February, DOI: 10.1111/jmcb.12872.
• Dilip B. Madan & King Wang, 2022, "Option Surface Statistics With Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 06, pages 1-16, September, DOI: 10.1142/S0219024922500248.
• Mike Derksen & Peter Spreij & Sweder Van Wijnbergen, 2022, "ACCOUNTING NOISE AND THE PRICING OF CoCos," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 07n08, pages 1-60, November, DOI: 10.1142/S0219024922500285.
• Alexander Barinov, 2022, "Stock Liquidity and Issuing Activity," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 03, pages 1-43, September, DOI: 10.1142/S2010139222500100.
• Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022, "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 54, issue 1, pages 5-38, DOI: 10.1111/jmcb.12872.
• Rau-Bredow, Hans, 2022, "Contango and Backwardation in Arbitrage-Free Futures-Markets," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 249292.
• Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022, "Informed options strategies before corporate events," LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), number 39.
• Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022, "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), number 41.
• Pies, Ingo, 2022, "Hunger-Macher? Fehl-Alarm! Zur Chronologie einer wirtschaftsethischen Intervention," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2022-07.
• Pies, Ingo, 2022, "Hunger durch Agrarspekulation? Lessons (not) learned," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2022-15.
• Pies, Ingo, 2022, "Wie (un)moralisch ist Agrarspekulation?," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2022-17.
• Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022, "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 350.
• Bagnara, Matteo & Jappelli, Ruggero, 2022, "Liquidity derivatives," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 358.
• Ole Linnemann Nielsen & Anders Merrild Posselt, 2022, "Betting on mean reversion in the VIX? Evidence from ETP flows," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2022-06, Jan.
• Ignacia Mercadal, 2022, "Dynamic Competition and Arbitrage in Electricity Markets: The Role of Financial Players," American Economic Journal: Microeconomics, American Economic Association, volume 14, issue 3, pages 665-699, August, DOI: 10.1257/mic.20190276.
• Juan Cuattromo, 2022, "Tipo de Cambio Real y Paridad de Poder Adquisitivo: Una aproximación no lineal," Revista de Economía Política de Buenos Aires, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), volume 16, issue 24, pages 7-75, July, DOI: https://doi.org/10.56503/repba.Nro..
• David S. Bates, 2022, "Empirical Option Pricing Models," Annual Review of Financial Economics, Annual Reviews, volume 14, issue 1, pages 369-389, November, DOI: 10.1146/annurev-financial-111720-09.
• Gurdip Bakshi & Xiaohui Gao & Zhaodong Zhong, 2022, "Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods," Annual Review of Financial Economics, Annual Reviews, volume 14, issue 1, pages 391-413, November, DOI: 10.1146/annurev-financial-111720-09.
• Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022, "Derivatives-based portfolio decisions. An expected utility insight," Papers, arXiv.org, number 2201.03717, Jan.
• Jonathan Ansari & Eva Lutkebohmert & Ariel Neufeld & Julian Sester, 2022, "Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information," Papers, arXiv.org, number 2204.01071, Apr, revised Sep 2023.
• Brendan K. Beare & Juwon Seo & Zhongxi Zheng, 2022, "Stochastic arbitrage with market index options," Papers, arXiv.org, number 2207.00949, Jul, revised Jan 2025.
• H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022, "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers, arXiv.org, number 2210.06217, Oct.
• Andrea Carriero & Massimiliano Marcellino & Tommaso Tornese, 2022, "Macro Uncertainty in the Long Run," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 22188.
• Massimo Guidolin & Kai Wang, 2022, "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 22190.
• Olena Martyniuk & Liubov Lingur, 2022, "Modern Economy Digital Transformation Main Trends In The Context Of The Bsr," Three Seas Economic Journal, Publishing house "Baltija Publishing", volume 3, issue 1, DOI: 10.30525/2661-5150/2022-1-16.
• Deniz Igan & Taehoon Kim & Antoine Levy, 2022, "The premia on state-contingent sovereign debt instruments," BIS Working Papers, Bank for International Settlements, number 988, Jan.
• Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022, "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, volume 77, issue 6, pages 3093-3140, December, DOI: 10.1111/jofi.13178.
• Michail Nektarios A. & Melas Konstantinos D., 2022, "Geopolitical Risk and the LNG-LPG Trade," Peace Economics, Peace Science, and Public Policy, De Gruyter, volume 28, issue 3, pages 243-265, September, DOI: 10.1515/peps-2022-0007.
• Philippe Bertrand & Jean-Luc Prigent, 2022, "Performance Participation Strategies: OBPP versus CPPP," Finance, Presses universitaires de Grenoble, volume 43, issue 1, pages 123-150.
• Rodrigo Alfaro & Alejandra Inzunza, 2022, "Modeling S&P500 returns with GARCH models," Working Papers Central Bank of Chile, Central Bank of Chile, number 955, May.
• David Anderson & Urban Ulrych, 2022, "Accelerated American Option Pricing with Deep Neural Networks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-03, Jan.
• Andrea Barbon & Heiner Beckmeyer & Andrea Buraschi & Mathis Moerke, 2022, "Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-40, May.
• Walter Farkas & Francesco Ferrari & Urban Ulrych, 2022, "Pricing Autocallables under Local-Stochastic Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-71, Sep.
• Jose Luis Ferreira & Praveen Kujal & Stephen Rassenti, 2022, "The no-arbitrage hypothesis and inertia in forward markets," Working Papers, Chapman University, Economic Science Institute, number 22:02.
• José Gabriel Astaiza Gómez & Camilo Andr�s P�rez Pacheco, 2022, "Equity Analyst Reports and Stock Prices," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, volume 41, issue 73, pages 43-62.
• Hilscher, Jens & Raviv, Alon & Reis, Ricardo, 2022, "How likely is an inflation disaster?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17224, Apr.
• Michael Florig & Olivier Gossner, 2023, "Unintented consequences of German stock delisting legislation," Working Papers, Center for Research in Economics and Statistics, number 2023-01, Jan.
• Muhammad Mustafa RASHID, 2022, "Eurodollar Futures and LIBOR," Journal of Economics Bibliography, EconSciences Journals, volume 9, issue 1, pages 40-47, March.
• Jinzhong Wang & Hong Zhong & Zhenjie Yu, 2022, "Inter-Variety Equilibrium of Chinese Treasury Futures," Credit and Capital Markets – Kredit und Kapital, Duncker & Humblot, Berlin, volume 55, issue 2, pages 261-289, DOI: 10.3790/ccm.55.2.261.
• Heike Joebges & Hansjörg Herr & Christian Kellermann, 2022, "Kryptoassets als Herausforderung für Finanzmarktstabilität," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 91, issue 4, pages 25-41, DOI: 10.3790/vjh.91.4.41.
• Adachi, Mitsu & Da Silva, Pedro Bento Pereira & Born, Alexandra & Cappuccio, Massimo & Czák-Ludwig, Stephanie & Gschossmann, Isabella & Pellicani, Antonella & Philipps, Sarah-Maria & Plooij, Mirjam & , 2022, "Stablecoins’ role in crypto and beyond: functions, risks and policy," Macroprudential Bulletin, European Central Bank, volume 18.
• Jukonis, Audrius, 2022, "Evaluating market risk from leveraged derivative exposures," Working Paper Series, European Central Bank, number 2722, Sep.
• Jukonis, Audrius & Letizia, Elisa & Rousová, Linda, 2022, "The impact of derivatives collateralisation on liquidity risk: evidence from the investment fund sector," Working Paper Series, European Central Bank, number 2756, Dec.
• Furtuna, Oana & Grassi, Alberto & Ianiro, Annalaura & Kallage, Kristina & Koci, Robert & Lenoci, Francesca & Sowiński, Andrzej & Vacirca, Francesco, 2022, "Financial stability risks from energy derivatives markets," Financial Stability Review, European Central Bank, volume 2.
• Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022, "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, volume 12, issue 3, pages 104-109, May.
• Ayben Koy, 2022, "Regime Switching Mechanism during Energy Futures Price Bubbles," International Journal of Energy Economics and Policy, Econjournals, volume 12, issue 1, pages 373-382.
• Chiah, Mardy & Tian, Xiao & Zhong, Angel, 2022, "Lockdown and retail trading in the equity market," Journal of Behavioral and Experimental Finance, Elsevier, volume 33, issue C, DOI: 10.1016/j.jbef.2021.100598.
• Nagula, Pavan Kumar & Alexakis, Christos, 2022, "A new hybrid machine learning model for predicting the bitcoin (BTC-USD) price," Journal of Behavioral and Experimental Finance, Elsevier, volume 36, issue C, DOI: 10.1016/j.jbef.2022.100741.
• Zaevski, Tsvetelin S., 2022, "Pricing discounted American capped options," Chaos, Solitons & Fractals, Elsevier, volume 156, issue C, DOI: 10.1016/j.chaos.2022.111833.
• Xie, Yurong & Deng, Guohe, 2022, "Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate," Chaos, Solitons & Fractals, Elsevier, volume 156, issue C, DOI: 10.1016/j.chaos.2022.111896.
• Biguri, Kizkitza & Brownlees, Christian & Ippolito, Filippo, 2022, "Corporate hedging and the variance of stock returns," Journal of Corporate Finance, Elsevier, volume 72, issue C, DOI: 10.1016/j.jcorpfin.2021.102147.
• Gan, Liu & Xia, Xin & Zhang, Hai, 2022, "Debt structure and debt overhang," Journal of Corporate Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jcorpfin.2022.102200.
• Betton, Sandra & El Meslmani, Nabil & Switzer, Lorne N., 2022, "Volatility of implied volatility and mergers and acquisitions," Journal of Corporate Finance, Elsevier, volume 75, issue C, DOI: 10.1016/j.jcorpfin.2022.102243.
• Quaye, Enoch & Tunaru, Radu, 2022, "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, volume 134, issue C, DOI: 10.1016/j.jedc.2021.104276.
• Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022, "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, volume 137, issue C, DOI: 10.1016/j.jedc.2022.104345.
• Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022, "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, volume 144, issue C, DOI: 10.1016/j.jedc.2022.104524.
• Chen, Jilong & Xu, Liao & Xu, Hao, 2022, "The impact of COVID-19 on commodity options market: Evidence from China," Economic Modelling, Elsevier, volume 116, issue C, DOI: 10.1016/j.econmod.2022.105998.
• Wang, Guanying & Wang, Xingchun & Shao, Xinjian, 2022, "Exchange options for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.najef.2021.101580.
• Wang, Xingchun & Zhang, Han, 2022, "Pricing basket spread options with default risk under Heston–Nandi GARCH models," The North American Journal of Economics and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.najef.2021.101596.
• Wang, Xingchun, 2022, "Pricing vulnerable options with stochastic liquidity risk," The North American Journal of Economics and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.najef.2021.101637.
• Lee, Hangsuck & Kim, Eunchae & Ko, Bangwon, 2022, "Valuing lookback options with barrier," The North American Journal of Economics and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.najef.2022.101660.
• Lee, Hangsuck & Choi, Yang Ho & Lee, Gaeun, 2022, "Multi-step barrier products and static hedging," The North American Journal of Economics and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.najef.2022.101676.
• Chen, Jun-Home & Lian, Yu-Min & Liao, Szu-Lang, 2022, "Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes," The North American Journal of Economics and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.najef.2022.101699.
• Lee, Hangsuck & Lee, Minha & Ko, Bangwon, 2022, "A semi-analytic valuation of two-asset barrier options and autocallable products using Brownian bridge," The North American Journal of Economics and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.najef.2022.101704.
• Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh & Liu, Liang-Chih & Chen, Yu-Ting, 2022, "Option pricing with the control variate technique beyond Monte Carlo simulation," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101772.
• Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022, "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101830.
• Foley, Sean & Li, Simeng & Malloch, Hamish & Svec, Jiri, 2022, "What is the expected return on Bitcoin? Extracting the term structure of returns from options prices," Economics Letters, Elsevier, volume 210, issue C, DOI: 10.1016/j.econlet.2021.110196.
• Li, Jianhui & Ruan, Xinfeng & Zhang, Jin E., 2022, "The price of COVID-19-induced uncertainty in the options market," Economics Letters, Elsevier, volume 211, issue C, DOI: 10.1016/j.econlet.2021.110265.
• van Wijnbergen, Sweder, 2022, "Lockdowns as options," Economics Letters, Elsevier, volume 214, issue C, DOI: 10.1016/j.econlet.2022.110420.
• Kleppe, Tore Selland & Liesenfeld, Roman & Moura, Guilherme Valle & Oglend, Atle, 2022, "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 105-127, DOI: 10.1016/j.ecosta.2021.03.008.
• Silaghi, Florina & Moraux, Franck, 2022, "Trade credit contracts: Design and regulation," European Journal of Operational Research, Elsevier, volume 296, issue 3, pages 980-992, DOI: 10.1016/j.ejor.2021.04.036.
• Ballotta, Laura & Rayée, Grégory, 2022, "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, volume 298, issue 3, pages 1145-1161, DOI: 10.1016/j.ejor.2021.08.023.
• Shen, Haomin & Cheng, Xiaoke & Ouyang, Caiyue & Li, Ya & Chan, Kam C., 2022, "Does share pledging affect firms' use of derivatives? Evidence from China," Emerging Markets Review, Elsevier, volume 50, issue C, DOI: 10.1016/j.ememar.2021.100841.
• Li, Yang & Brooks, Robert, 2022, "Evidence of arbitrage trading activity: The case of Chinese metal futures contracts," Emerging Markets Review, Elsevier, volume 51, issue PB, DOI: 10.1016/j.ememar.2022.100885.
• Brøgger, Søren Bundgaard, 2022, "Dynamic risk management and asset comovement," Journal of Empirical Finance, Elsevier, volume 67, issue C, pages 60-77, DOI: 10.1016/j.jempfin.2022.01.003.
• Lin, Hai & Tao, Xinyuan & Wu, Chunchi, 2022, "Forecasting earnings with combination of analyst forecasts," Journal of Empirical Finance, Elsevier, volume 68, issue C, pages 133-159, DOI: 10.1016/j.jempfin.2022.07.003.
• Gu, Chen & Chen, Denghui & Stan, Raluca & Shen, Aizhong, 2022, "It is not just What you say, but How you say it: Why tonality matters in central bank communication," Journal of Empirical Finance, Elsevier, volume 68, issue C, pages 216-231, DOI: 10.1016/j.jempfin.2022.07.008.
• Ignatieva, Katja & Wong, Patrick, 2022, "Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models," Energy Economics, Elsevier, volume 108, issue C, DOI: 10.1016/j.eneco.2022.105873.
• Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022, "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, volume 109, issue C, DOI: 10.1016/j.eneco.2022.105950.
• Bonaldo, Cinzia & Caporin, Massimiliano & Fontini, Fulvio, 2022, "The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland," Energy Economics, Elsevier, volume 110, issue C, DOI: 10.1016/j.eneco.2022.105977.
• Detemple, Jerome & Kitapbayev, Yerkin, 2022, "Optimal technology adoption for power generation," Energy Economics, Elsevier, volume 111, issue C, DOI: 10.1016/j.eneco.2022.106085.
• Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Boubaker, Sabri & Mirza, Nawazish, 2022, "The power play of natural gas and crude oil in the move towards the financialization of the energy market," Energy Economics, Elsevier, volume 112, issue C, DOI: 10.1016/j.eneco.2022.106131.
• Guiotto, Paolo, 2022, "A note on the spot-forward parity under stochastic cost of carry," Energy Economics, Elsevier, volume 112, issue C, DOI: 10.1016/j.eneco.2022.106166.
• Kemper, Annika & Schmeck, Maren Diane & Kh.Balci, Anna, 2022, "The market price of risk for delivery periods: Pricing swaps and options in electricity markets," Energy Economics, Elsevier, volume 113, issue C, DOI: 10.1016/j.eneco.2022.106221.
• Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022, "The growth of oil futures in China: Evidence of market maturity through global crises," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106243.
• Mustanen, Dmitri & Maaitah, Ahmad & Mishra, Tapas & Parhi, Mamata, 2022, "The power of investors’ optimism and pessimism in oil market forecasting," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106273.
• Crosby, John & Frau, Carme, 2022, "Jumps in commodity prices: New approaches for pricing plain vanilla options," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106302.
• Alturki, Sultan & Olson, Eric, 2022, "Oil sentiment and the U.S. inflation premium," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106317.
• Ewald, Christian-Oliver & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Wu, Yuexiang, 2022, "Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106324.
• Chen, Shi & Huang, Fu-Wei & Lin, Jyh-Horng, 2022, "Life insurance policyholder protection, government green subsidy, and cap-and-trade transactions in a black swan environment," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106333.
• Borghesi, S. & Castellini, M. & Comincioli, N. & Donadelli, M. & Gufler, I. & Vergalli, S., 2022, "European green policy announcements and sectoral stock returns," Energy Policy, Elsevier, volume 166, issue C, DOI: 10.1016/j.enpol.2022.113004.
• Peña, Juan Ignacio & Rodríguez, Rosa & Mayoral, Silvia, 2022, "Cannibalization, depredation, and market remuneration of power plants," Energy Policy, Elsevier, volume 167, issue C, DOI: 10.1016/j.enpol.2022.113086.
• Wang, Jianli & Qiu, Shushu & Yick, Ho Yin, 2022, "The influence of the Shanghai crude oil futures on the global and domestic oil markets," Energy, Elsevier, volume 245, issue C, DOI: 10.1016/j.energy.2022.123271.
• Bissoondoyal-Bheenick, Emawtee & Do, Hung & Hu, Xiaolu & Zhong, Angel, 2022, "Sentiment and stock market connectedness: Evidence from the U.S. – China trade war," International Review of Financial Analysis, Elsevier, volume 80, issue C, DOI: 10.1016/j.irfa.2022.102031.
• Vedenov, Dmitry & Power, Gabriel J., 2022, "We don't need no fancy hedges! Or do we?," International Review of Financial Analysis, Elsevier, volume 81, issue C, DOI: 10.1016/j.irfa.2022.102060.
• Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022, "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, volume 82, issue C, DOI: 10.1016/j.irfa.2022.102199.
• Dang, Man & Puwanenthiren, Premkanth & Truong, Cameron & Henry, Darren & Vo, Xuan Vinh, 2022, "Audit quality and seasoned equity offerings methods," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102227.
• Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022, "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102412.
• Dutordoir, Marie & Merkoulova, Yulia & Veld, Chris, 2022, "How do investors perceive convertible bond issuing decisions?," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102035.
• Wang, Heqian & Zhang, Jiayi & Zhou, Ke, 2022, "On pricing of vulnerable barrier options and vulnerable double barrier options," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102100.
• Hattori, Takahiro, 2022, "Information content and market liquidity in the fixed income market: Evidence from the swaption market," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102117.
• Bae, Kwangil & Lee, Soonhee, 2022, "Prices of derivative warrants considering their market characteristics and short-selling costs of underlying assets," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102177.
• Guo, Zi-Yi, 2022, "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102197.
• Lian, Yu-Min & Chen, Jun-Home, 2022, "Foreign exchange option pricing under regime switching with asymmetrical jumps," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102294.
• Taussig, Roi D., 2022, "Market prices, analysts' predictions, and Covid19," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102343.
• Chiah, Mardy & Hu, Xiaolu & Zhong, Angel, 2022, "Photo sentiment and stock returns around the world," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102417.
• Yu, Bo & Zhu, Hongmei & Wu, Ping, 2022, "The closed-form approximation to price basket options under stochastic interest rate," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102434.
• Lee, Hangsuck & Jeong, Himchan & Lee, Minha, 2022, "Multi-step double barrier options," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102587.
• Zhang, Chuanhai & Chen, Haicui & Peng, Zhe, 2022, "Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102777.
• Robe, Michel A., 2022, "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.102858.
• Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2022, "Foreign equity lookback options with guarantees," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.102963.
• Hui, Cho-Hoi & Wong, Andrew & Lo, Chi-Fai, 2022, "A note on modelling yield curve control: A target-zone approach," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103076.
• van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2022, "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103091.
• Fan, Qingqian & Feng, Sixian, 2022, "An empirical study on the characterization of implied volatility and pricing in the Chinese option market," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103160.
• Yousaf, Imran & Yarovaya, Larisa, 2022, "Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103299.
• Gan, Liu & Xia, Xin, 2022, "SME financing with a combination contract of investment and guarantee," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103320.
• Zhou, Yi, 2022, "Option trading volume by moneyness, firm fundamentals, and expected stock returns," Journal of Financial Markets, Elsevier, volume 58, issue C, DOI: 10.1016/j.finmar.2021.100648.
• Kaeck, Andreas & van Kervel, Vincent & Seeger, Norman J., 2022, "Price impact versus bid–ask spreads in the index option market," Journal of Financial Markets, Elsevier, volume 59, issue PA, DOI: 10.1016/j.finmar.2021.100675.
• Hauser, Shmuel & Kedar-Levy, Haim & Milo, Orit, 2022, "Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation," Journal of Financial Markets, Elsevier, volume 59, issue PA, DOI: 10.1016/j.finmar.2022.100705.
• Chen, Xi & Wang, Junbo & Wu, Chunchi, 2022, "Jump and volatility risk in the cross-section of corporate bond returns," Journal of Financial Markets, Elsevier, volume 60, issue C, DOI: 10.1016/j.finmar.2022.100733.
• Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2022, "The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing," Journal of Financial Stability, Elsevier, volume 58, issue C, DOI: 10.1016/j.jfs.2021.100969.
• Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022, "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, volume 52, issue C, DOI: 10.1016/j.gfj.2020.100593.
• Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022, "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, volume 52, issue C, DOI: 10.1016/j.gfj.2021.100693.
• Lockwood, Jimmy & Lockwood, Larry & Miao, Hong & Ramchander, Sanjay & Yang, Dongxiao, 2022, "The information content of ETF options," Global Finance Journal, Elsevier, volume 53, issue C, DOI: 10.1016/j.gfj.2022.100725.
• Hu, May & Park, Jason & Chen, Jane & Verhoevenc, Peter, 2022, "Cross-market informed trading in the CDS and option markets," Global Finance Journal, Elsevier, volume 54, issue C, DOI: 10.1016/j.gfj.2021.100646.
• Huang, Yiming & Mamon, Rogemar & Xiong, Heng, 2022, "Valuing guaranteed minimum accumulation benefits by a change of numéraire approach," Insurance: Mathematics and Economics, Elsevier, volume 103, issue C, pages 1-26, DOI: 10.1016/j.insmatheco.2021.11.002.
• Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih, 2022, "Modeling pandemic mortality risk and its application to mortality-linked security pricing," Insurance: Mathematics and Economics, Elsevier, volume 106, issue C, pages 341-363, DOI: 10.1016/j.insmatheco.2022.06.002.
• Chen, An & Chen, Yusha & Xu, Xian, 2022, "Care-dependent tontines," Insurance: Mathematics and Economics, Elsevier, volume 106, issue C, pages 69-89, DOI: 10.1016/j.insmatheco.2022.05.002.
• Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022, "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, volume 107, issue C, pages 22-37, DOI: 10.1016/j.insmatheco.2022.07.008.
• Chen, Jing & Han, Qian & Ryu, Doojin & Tang, Jing, 2022, "Does the world smile together? A network analysis of global index option implied volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 77, issue C, DOI: 10.1016/j.intfin.2021.101497.
• Grobys, Klaus & Dufitinema, Josephine & Sapkota, Niranjan & Kolari, James W., 2022, "What’s the expected loss when Bitcoin is under cyberattack? A fractal process analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 77, issue C, DOI: 10.1016/j.intfin.2022.101534.
• Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022, "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 79, issue C, DOI: 10.1016/j.intfin.2022.101569.
• Park, Yang-Ho, 2022, "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, volume 135, issue C, DOI: 10.1016/j.jbankfin.2021.106372.
• Jacobs, Kris & Li, Yu & Pirrong, Craig, 2022, "Supply, demand, and risk premiums in electricity markets," Journal of Banking & Finance, Elsevier, volume 135, issue C, DOI: 10.1016/j.jbankfin.2021.106390.
• Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2022, "The Correlation Risk Premium: International Evidence," Journal of Banking & Finance, Elsevier, volume 136, issue C, DOI: 10.1016/j.jbankfin.2021.106399.
• Ye, Xiaoxia & Yu, Fan & Zhao, Ran, 2022, "Credit derivatives and corporate default prediction," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106418.
• Silaghi, Florina & Martín-Oliver, Alfredo & Sewaid, Ahmed, 2022, "The CDS market reaction to loan renegotiation announcements," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106431.
• Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022, "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, volume 140, issue C, DOI: 10.1016/j.jbankfin.2022.106445.
• Backwell, Alex & Hayes, Joshua, 2022, "Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition," Journal of Banking & Finance, Elsevier, volume 145, issue C, DOI: 10.1016/j.jbankfin.2022.106669.
• Gruenthaler, Thomas & Lorenz, Friedrich & Meyerhof, Paul, 2022, "Option-based intermediary leverage," Journal of Banking & Finance, Elsevier, volume 145, issue C, DOI: 10.1016/j.jbankfin.2022.106670.
• de Jong, Johan & Sonnemans, Joep & Tuinstra, Jan, 2022, "The effect of futures markets on the stability of commodity prices," Journal of Economic Behavior & Organization, Elsevier, volume 198, issue C, pages 176-211, DOI: 10.1016/j.jebo.2022.03.025.
• Chen, An & Li, Hong & Schultze, Mark, 2022, "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, volume 201, issue C, pages 227-249, DOI: 10.1016/j.jebo.2022.07.023.
• Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022, "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, volume 203, issue C, DOI: 10.1016/j.jet.2022.105463.
• Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022, "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 527-549, DOI: 10.1016/j.jfineco.2021.05.030.
• Büchner, Matthias & Kelly, Bryan, 2022, "A factor model for option returns," Journal of Financial Economics, Elsevier, volume 143, issue 3, pages 1140-1161, DOI: 10.1016/j.jfineco.2021.12.007.
• Almeida, Caio & Freire, Gustavo, 2022, "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 174-205, DOI: 10.1016/j.jfineco.2021.05.041.
• Chen, Zhiyao & Hackbarth, Dirk & Strebulaev, Ilya A., 2022, "A unified model of distress risk puzzles," Journal of Financial Economics, Elsevier, volume 146, issue 2, pages 357-384, DOI: 10.1016/j.jfineco.2021.10.001.
• McWalter, Thomas A. & Ritchken, Peter H., 2022, "On stock-based loans," Journal of Financial Intermediation, Elsevier, volume 52, issue C, DOI: 10.1016/j.jfi.2022.100991.
• Goswami, Alankrita & Adjemian, Michael K. & Karali, Berna, 2022, "The impact of futures contract storage rate policy on convergence expectations in domestic commodity markets," Food Policy, Elsevier, volume 111, issue C, DOI: 10.1016/j.foodpol.2022.102301.
• Brooks, Robert & Brooks, Joshua A., 2022, "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jimonfin.2022.102698.
• Fan, John Hua & Mo, Di & Zhang, Tingxi, 2022, "The “necessary evil” in Chinese commodity markets," Journal of Commodity Markets, Elsevier, volume 25, issue C, DOI: 10.1016/j.jcomm.2021.100186.
• Jia, Jian & Kang, Sang Baum, 2022, "Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME," Journal of Commodity Markets, Elsevier, volume 25, issue C, DOI: 10.1016/j.jcomm.2021.100187.