Research classified by Journal of Economic Literature (JEL) codes

2023

• 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.

2022

• 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.
• Dean Buckner & Kevin Dowd & Hardy Hulley, 2022, "Arbitrage Problems with Reflected Geometric Brownian Motion," Papers, arXiv.org, number 2201.05312, Jan, revised Sep 2022.
• 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, Centre for Economic Policy Research, 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, International Journal of Economics and Financial Issues, 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, International Journal of Energy Economics and Policy, 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.