Research classified by Journal of Economic Literature (JEL) codes

2020

• Zubair Ali Raja & William J. Procasky & Renee Oyotode-Adebile, 2020, "The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 19, issue 3, pages 296-325, December, DOI: 10.1177/0972652720932772.
• M. Thenmozhi & Shipra Maurya, 2020, "Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 20, issue 2, pages 131-164, August, DOI: 10.1177/0972652720927623.
• Marco Pagano & Christian Wagner & Josef Zechner, 2020, "Disaster Resilience and Asset Prices," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 563, May.
• Katarzyna Romaniuk, 2020, "Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 43, issue 1, pages 229-249, June, DOI: 10.1007/s10203-019-00252-z.
• Olivier Le Courtois & François Quittard-Pinon & Xiaoshan Su, 2020, "Pricing and hedging defaultable participating contracts with regime switching and jump risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 43, issue 1, pages 303-339, June, DOI: 10.1007/s10203-020-00276-w.
• Markus Hess, 2020, "Pricing electricity forwards under future information on the stochastic mean-reversion level," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 43, issue 2, pages 751-767, December, DOI: 10.1007/s10203-020-00307-6.
• Federico José Camargo, 2020, "The effectiveness of distributed ledger technology to replicate the entropic behavior of nature," Evolutionary and Institutional Economics Review, Springer, volume 17, issue 2, pages 361-378, July, DOI: 10.1007/s40844-020-00178-x.
• Ayesha Sayed & Christo Auret, 2020, "Volatility transmission in the South African white maize futures market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 10, issue 1, pages 71-88, March, DOI: 10.1007/s40822-019-00128-y.
• Robiyanto Robiyanto & Bayu Adi Nugroho & Eka Handriani & Andrian Dolfriandra Huruta, 2020, "Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 6, issue 1, pages 1-29, December, DOI: 10.1186/s40854-020-00199-w.
• Hampus Engsner & Kristoffer Lindensjö & Filip Lindskog, 2020, "The value of a liability cash flow in discrete time subject to capital requirements," Finance and Stochastics, Springer, volume 24, issue 1, pages 125-167, January, DOI: 10.1007/s00780-019-00408-0.
• Damien Ackerer & Damir Filipović, 2020, "Linear credit risk models," Finance and Stochastics, Springer, volume 24, issue 1, pages 169-214, January, DOI: 10.1007/s00780-019-00409-z.
• Erhan Bayraktar & Matteo Burzoni, 2020, "On the quasi-sure superhedging duality with frictions," Finance and Stochastics, Springer, volume 24, issue 1, pages 249-275, January, DOI: 10.1007/s00780-019-00411-5.
• Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020, "Pathwise superhedging on prediction sets," Finance and Stochastics, Springer, volume 24, issue 1, pages 215-248, January, DOI: 10.1007/s00780-019-00412-4.
• Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020, "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, volume 24, issue 2, pages 309-333, April, DOI: 10.1007/s00780-020-00419-2.
• Emmanuel Gobet & Isaque Pimentel & Xavier Warin, 2020, "Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations," Finance and Stochastics, Springer, volume 24, issue 3, pages 633-675, July, DOI: 10.1007/s00780-020-00428-1.
• Matti Kiiski, 2020, "The Riesz representation theorem and weak∗ compactness of semimartingales," Finance and Stochastics, Springer, volume 24, issue 4, pages 827-870, October, DOI: 10.1007/s00780-020-00432-5.
• Constantinos Kardaras & Johannes Ruf, 2020, "Filtration shrinkage, the structure of deflators, and failure of market completeness," Finance and Stochastics, Springer, volume 24, issue 4, pages 871-901, October, DOI: 10.1007/s00780-020-00435-2.
• Zachary McGurk & Adam Nowak & Joshua C. Hall, 2020, "Stock returns and investor sentiment: textual analysis and social media," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 3, pages 458-485, July, DOI: 10.1007/s12197-019-09494-4.
• Jing Ao & Jihui Chen, 2020, "Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 4, pages 627-654, October, DOI: 10.1007/s12197-019-09497-1.
• Michael D. Stuart & Richard H. Willis, 2020, "Use of independent valuation specialists in valuing employee stock options: evidence from IPOs," Review of Accounting Studies, Springer, volume 25, issue 2, pages 438-473, June, DOI: 10.1007/s11142-020-09534-z.
• Jaroslav Baran & Jan Voříšek, 2020, "Volatility indices and implied uncertainty measures of European government bond futures," Working Papers, European Stability Mechanism, number 43, May.
• Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020, "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, volume 39, issue 1, pages 27-53, January, DOI: 10.1080/07474938.2019.1690195.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020, "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 3, pages 662-678, July, DOI: 10.1080/07350015.2018.1564318.
• Giovanni Barone Adesi & Eckhard Platen & Carlo Sala, 2020, "On Using Equities to Produce Pension Payouts," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 413, Dec.
• Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020, "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 415, Dec.
• Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020, "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers, University of Verona, Department of Economics, number 07/2020, May.
• Bieta Volker & Broll Udo & Siebe Wilfried, 2020, "Strategic option pricing," Economics and Business Review, Sciendo, volume 6, issue 3, pages 118-129, August, DOI: 10.18559/ebr.2020.3.7.
• Steven Tucker & Yilong Xu, 2020, "Nonspeculative Bubbles Revisited: Speculation Does Matter," Working Papers in Economics, University of Waikato, number 20/09, Sep.
• Maciej Wysocki & Robert Ślepaczuk, 2020, "Artificial Neural Networks Performance in WIG20 Index Options Pricing," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-19.
• Mateusz Kijewski & Robert Ślepaczuk, 2020, "Predicting prices of S&P500 index using classical methods and recurrent neural networks," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-27.
• Karol Kielak & Robert Ślepaczuk, 2020, "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-28.
• Bartłomiej Bollin & Robert Ślepaczuk, 2020, "Variance Gamma Model in Hedging Vanilla and Exotic Options," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-31.
• Robert Ślepaczuk & Igor Wabik, 2020, "The impact of the results of football matches on the stock prices of soccer clubs," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-35.
• Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang, 2020, "Intraday time‐series momentum: Evidence from China," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 40, issue 4, pages 632-650, April, DOI: 10.1002/fut.22084.
• Jens H. E. Christensen & Jose A. Lopez & Patrick J. Shultz, 2020, "Is There an On-the-Run Premium in TIPS?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 1-42, June, DOI: 10.1142/S201013922050007X.
• Packham, Natalie, 2020, "Structured climate financing: valuation of CDOs on inhomogeneous asset pools," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-003.
• Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2020, "Momentum and the Cross-Section of Stock Volatility," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2020/01, DOI: 10.2139/ssrn.3541766.
• Bieta, Volker & Broll, Udo & Siebe, Wilfried, 2020, "Strategic option pricing," CEPIE Working Papers, Technische Universität Dresden, Center of Public and International Economics (CEPIE), number 03/20.
• Ibrahim A. Adekunle, 2020, "On the search for environmental sustainability in Africa: the role of governance," Research Africa Network Working Papers, Research Africa Network (RAN), number 20/078, Jan.
• Orhan Özaydın, 2020, "Cotton Commodity Futures Contract Positions and Real Cotton Commodity Market Dynamics Effects on Cotton Futures Returns," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 35, issue 113, pages 301-326, April, DOI: https://doi.org/10.33203/mfy.628547.
• Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2020, "A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?," Journal of Economic Perspectives, American Economic Association, volume 34, issue 4, pages 121-145, Fall, DOI: 10.1257/jep.34.4.121.
• Ibrahim A. Adekunle, 2020, "On the search for environmental sustainability in Africa: the role of governance," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 20/078, Jan.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020, "The Time Value of Money," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 6, pages 38-42, June, DOI: 10.37945/cbr.2020.06.05.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020, "Evaluation Indicators for Investment Projects (I)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 7, pages 39-47, July, DOI: 10.37945/cbr.2020.07.05.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020, "Evaluation Indicators for Investment Projects (II)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 8, pages 41-44, August, DOI: 10.37945/cbr.2020.08.05.
• Helder Sebastião & Pedro Godinho & Sjur Westgaard, 2020, "Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 67, issue 4, pages 1-17, December.
• Helder Sebastião & Pedro Godinho & Sjur Westgaard, 2020, "Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 67, issue si, pages 1-17, December, DOI: 10.47743/saeb-2020-0024.
• Gechun Liang & Xingchun Wang, 2020, "Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes," Papers, arXiv.org, number 2001.09443, Jan, revised Jun 2020.
• Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020, "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers, arXiv.org, number 2005.02633, May, revised Dec 2022.
• Marco Pagano & Christian Wagner & Josef Zechner, 2020, "Disaster Resilience and Asset Prices," Papers, arXiv.org, number 2005.08929, May, revised May 2020.
• John Armstrong & Damiano Brigo & Alex S. L. Tse, 2020, "The importance of dynamic risk constraints for limited liability operators," Papers, arXiv.org, number 2011.03314, Nov.
• Ricardo Cris'ostomo, 2020, "Estimating real-world probabilities: A forward-looking behavioral framework," Papers, arXiv.org, number 2012.09041, Dec, revised Jan 2021.
• Bo Young Chang & Greg Orosi, 2020, "A Simple Method for Extracting the Probability of Default from American Put Option Prices," Staff Working Papers, Bank of Canada, number 20-15, Apr, DOI: 10.34989/swp-2020-15.
• George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020, "Mispriced index option portfolios," Financial Management, Financial Management Association International, volume 49, issue 2, pages 297-330, June, DOI: 10.1111/fima.12288.
• Sophie van Huellen, 2020, "Approaches To Price Formation In Financialized Commodity Markets," Journal of Economic Surveys, Wiley Blackwell, volume 34, issue 1, pages 219-237, February, DOI: 10.1111/joes.12342.
• Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020, "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, volume 75, issue 5, pages 2809-2844, October, DOI: 10.1111/jofi.12948.
• Peter Zimmerman, 2020, "Blockchain structure and cryptocurrency prices," Bank of England working papers, Bank of England, number 855, Feb.
• Bauer Jan, 2020, "Hedging of Variable Annuities under Basis Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, volume 14, issue 2, pages 1-34, July, DOI: 10.1515/apjri-2019-0040.
• Czudaj Robert L., 2020, "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 24, issue 3, pages 1-39, June, DOI: 10.1515/snde-2018-0054.
• Czudaj Robert L., 2020, "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 24, issue 3, pages 1-39, June, DOI: 10.1515/snde-2018-0054.
• Zhen Fang & Zhang Jin E., 2020, "Dissecting skewness under affine jump-diffusions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 24, issue 4, pages 1-19, September, DOI: 10.1515/snde-2018-0086.
• Zhu Fumin & Bianchi Michele Leonardo & Kim Young Shin & Fabozzi Frank J. & Wu Hengyu, 2020, "Learning for infinitely divisible GARCH models in option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 3, pages 35-62, June, DOI: 10.1515/snde-2019-0088.
• Silvester Van Koten, 2020, "The Forward Premium in Electricity Markets: An Experimental Study," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp656, May.
• Walter Farkas & Ludovic Mathys, 2020, "Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-11, Mar.
• Walter Distaso & Antonio Mele & Grigory Vilkov, 2020, "Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-119, Sep.
• Giovanni Barone-Adesi & Eckhard Platen & Carlo Sala, 2020, "On the Use of Equities in Target Date Funds," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-24, Apr.
• Nicolas Ettlin & Walter Farkas & Andreas Kull & Alexander Smirnow, 2020, "Optimal Risk-Sharing Across a Network of Insurance Companies," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-52, Jun.
• Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2020, "Cheap Options Are Expensive," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-64, Aug.
• Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2020, "How Integrated Are Credit and Equity Markets? Evidence From Index Options," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-65, Jul.
• Jolanta Pasionek, 2020, "Countries of BRICS group on Forex market," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, volume 19, issue 1, pages 99-117, March, DOI: 10.12775/EiP.2020.008.
• Vanasco, Victoria & Asriyan, Vladimir & Foarta, Dana, 2020, "The good, the bad, and the complex: product design with asymmetric information," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14307, Jan.
• Boyarchenko, Nina & Larsen, Lars & Whelan, Paul, 2020, "The Overnight Drift," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14462, Mar.
• Schoenmaker, Dirk & Reinders, Henk Jan & Van Dijk, Mathijs, 2020, "A Finance Approach to Climate Stress Testing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14609, Apr.
• Zechner, Josef & Pagano, Marco & Wagner, Christian, 2020, "Disaster Resilience and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14773, May.
• Giglio, Stefano & Dew-Becker, Ian & Kelly, Bryan, 2020, "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15239, Aug.
• Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2020, "Currency Futures' Risk Premia and Risk Factors," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1866.
• Ampudia, Miguel & Baumann, Ursel & Fornari, Fabio, 2020, "Coronavirus (COVID-19): market fear as implied by options prices," Economic Bulletin Boxes, European Central Bank, volume 4.
• Vokata, Petra, 2020, "Engineering Lemons," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2020-21, Oct.
• Abhay Kumar & Rashmi Soni & Iqbal Thonse Hawaldar & Meghna Vyas & Vaibhav Yadav, 2020, "The Testing of Efficient Market Hypotheses: A Study of Indian Pharmaceutical Industry," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 3, pages 208-216.
• Bartosz Lamasz & Natalia Iwaszczuk, 2020, "Crude Oil Option Market Parameters and Their Impact on the Cost of Hedging by Long Strap Strategy," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 1, pages 471-480.
• Caner Ozdurak & Veysel Ulusoy, 2020, "Price Discovery in Crude Oil Markets: Intraday Volatility Interactions between Crude Oil Futures and Energy Exchange Traded Funds," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 3, pages 402-413.
• Ngo Thai Hung, 2020, "Identifying the Dynamic Connectedness between Propane and Oil Prices: Evidence from Wavelet Analysis," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 5, pages 315-326.
• Iyabo Adeola Olanrele & Adedoyin I. Lawal & Ezekiel Oseni & Ahmed Oluwatobi Adekunle & Bukola, B. Lawal-Adedoyin & Crystal O. Elleke & Racheal Ojeka-John & Henry Nweke-Love, 2020, "Accessing the Impacts of Contemporary Development in Biofuel on Agriculture, Energy and Domestic Economy: Evidence from Nigeria," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 5, pages 469-478.
• Ahadzie, Richard Mawulawoe & Jeyasreedharan, Nagaratnam, 2020, "Trading volume and realized higher-order moments in the Australian stock market," Journal of Behavioral and Experimental Finance, Elsevier, volume 28, issue C, DOI: 10.1016/j.jbef.2020.100413.
• Deng, Guohe, 2020, "Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, volume 141, issue C, DOI: 10.1016/j.chaos.2020.110411.
• Guo, Peidong & Zhang, Jizhou & Wang, Qian, 2020, "Path-dependent game options with Asian features," Chaos, Solitons & Fractals, Elsevier, volume 141, issue C, DOI: 10.1016/j.chaos.2020.110412.
• Barbopoulos, Leonidas G. & Adra, Samer & Saunders, Anthony, 2020, "Macroeconomic news and acquirer returns in M&As: The impact of investor alertness," Journal of Corporate Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.jcorpfin.2020.101583.
• Himmelberg, Charles P. & Tsyplakov, Sergey, 2020, "Optimal terms of contingent capital, incentive effects, and capital structure dynamics," Journal of Corporate Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.jcorpfin.2020.101635.
• Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020, "A consistent stochastic model of the term structure of interest rates for multiple tenors," Journal of Economic Dynamics and Control, Elsevier, volume 114, issue C, DOI: 10.1016/j.jedc.2020.103861.
• Augustin, Patrick & Saleh, Fahad & Xu, Haohua, 2020, "CDS Returns," Journal of Economic Dynamics and Control, Elsevier, volume 118, issue C, DOI: 10.1016/j.jedc.2020.103977.
• Prabakaran, Sellamuthu & Garcia, Isabel C. & Mora, Jose U., 2020, "A temperature stochastic model for option pricing and its impacts on the electricity market," Economic Analysis and Policy, Elsevier, volume 68, issue C, pages 58-77, DOI: 10.1016/j.eap.2020.09.001.
• ap Gwilym, Rhys & Ebrahim, M. Shahid & El Alaoui, Abdelkader O. & Rahman, Hamid & Taamouti, Abderrahim, 2020, "Financial frictions and the futures pricing puzzle," Economic Modelling, Elsevier, volume 87, issue C, pages 358-371, DOI: 10.1016/j.econmod.2019.08.009.
• Lian, Yu-Min & Chen, Jun-Home, 2020, "Joint dynamic modeling and option pricing in incomplete derivative-security market," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2018.09.003.
• Dunbar, Kwamie & Jiang, Jing, 2020, "What do movements in financial traders’ net long positions reveal about aggregate stock returns?," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2019.01.005.
• Charlin, Ventura & Cifuentes, Arturo, 2020, "An options-based approach to analyze auction guarantees in the art market," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2019.101094.
• Chiu, Hsin-Yu & Chen, Ting-Fu, 2020, "Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2019.101112.
• Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020, "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, volume 53, issue C, DOI: 10.1016/j.najef.2020.101186.
• Yang, Yan-Hong & Shao, Ying-Hui, 2020, "Time-dependent lead-lag relationships between the VIX and VIX futures markets," The North American Journal of Economics and Finance, Elsevier, volume 53, issue C, DOI: 10.1016/j.najef.2020.101196.
• Li, Shaoyu & Huang, Henry H. & Zhang, Teng, 2020, "Generalized affine transform on pricing quanto range accrual note," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2018.12.004.
• Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020, "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2019.01.004.
• Chan, Tat Lung (Ron), 2020, "Hedging and pricing early-exercise options with complex fourier series expansion," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2019.04.016.
• Lin, Chung-Gee & Chang, Chia-Chang, 2020, "Approximate analytic solution for Asian options with stochastic volatility," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2019.03.014.
• Wang, Xingchun, 2020, "Catastrophe equity put options with floating strike prices," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101211.
• Liu, Qiang & Guo, Shuxin, 2020, "An excellent approximation for the m out of n day provision," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101222.
• Zghal, Imen & Ben Hamad, Salah & Eleuch, Hichem & Nobanee, Haitham, 2020, "The effect of market sentiment and information asymmetry on option pricing," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101235.
• Hui, Cho-Hoi & Lo, Chi-Fai & Cheung, Chi-Hin & Wong, Andrew, 2020, "Crude oil price dynamics with crash risk under fundamental shocks," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101238.
• Li, Zelei & Wang, Xingchun, 2020, "Valuing spread options with counterparty risk and jump risk," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101269.
• Stefan, Martin & Wellenreuther, Claudia, 2020, "London vs. Leipzig: Price discovery of carbon futures during Phase III of the ETS," Economics Letters, Elsevier, volume 188, issue C, DOI: 10.1016/j.econlet.2020.108990.
• Hanke, Michael & Kosolapova, Maria & Weissensteiner, Alex, 2020, "COVID-19 and market expectations: Evidence from option-implied densities," Economics Letters, Elsevier, volume 195, issue C, DOI: 10.1016/j.econlet.2020.109441.
• Dalderop, Jeroen, 2020, "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, volume 214, issue 2, pages 295-325, DOI: 10.1016/j.jeconom.2019.05.022.
• Park, Yang-Ho, 2020, "Variance disparity and market frictions," Journal of Econometrics, Elsevier, volume 214, issue 2, pages 326-348, DOI: 10.1016/j.jeconom.2019.07.005.
• Almeida, Caio & Ardison, Kym & Garcia, René, 2020, "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, volume 214, issue 2, pages 349-378, DOI: 10.1016/j.jeconom.2019.08.002.
• Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020, "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, volume 216, issue 2, pages 430-449, DOI: 10.1016/j.jeconom.2019.11.001.
• Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020, "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 312-334, DOI: 10.1016/j.jeconom.2019.12.006.
• Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020, "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, volume 219, issue 2, pages 204-230, DOI: 10.1016/j.jeconom.2020.03.002.
• Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020, "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, volume 13, issue C, pages 106-124, DOI: 10.1016/j.ecosta.2019.05.003.
• Yue, Tian & Zhang, Jin E. & Tan, Eric K.M., 2020, "The Chinese equity index options market," Emerging Markets Review, Elsevier, volume 45, issue C, DOI: 10.1016/j.ememar.2020.100742.
• Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2020, "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 164-180, DOI: 10.1016/j.jempfin.2020.05.006.
• Filippidis, Michail & Filis, George & Kizys, Renatas, 2020, "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2019.104656.
• Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020, "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, volume 87, issue C, DOI: 10.1016/j.eneco.2019.05.002.
• Ames, Matthew & Bagnarosa, Guillaume & Matsui, Tomoko & Peters, Gareth W. & Shevchenko, Pavel V., 2020, "Which risk factors drive oil futures price curves?," Energy Economics, Elsevier, volume 87, issue C, DOI: 10.1016/j.eneco.2020.104676.
• Liu, Xiaoran & Ronn, Ehud I., 2020, "Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments," Energy Economics, Elsevier, volume 87, issue C, DOI: 10.1016/j.eneco.2020.104692.
• Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020, "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104743.
• Furió, Dolores & Torró, Hipòlit, 2020, "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104750.
• Detemple, Jerome & Kitapbayev, Yerkin, 2020, "The value of green energy under regulation uncertainty," Energy Economics, Elsevier, volume 89, issue C, DOI: 10.1016/j.eneco.2020.104807.
• Koten, Silvester Van, 2020, "Forward premia in electricity markets: A replication study," Energy Economics, Elsevier, volume 89, issue C, DOI: 10.1016/j.eneco.2020.104812.
• Peña, Juan Ignacio & Rodríguez, Rosa & Mayoral, Silvia, 2020, "Tail risk of electricity futures," Energy Economics, Elsevier, volume 91, issue C, DOI: 10.1016/j.eneco.2020.104886.
• Zarnikau, J. & Tsai, C.H. & Woo, C.K., 2020, "Determinants of the wholesale prices of energy and ancillary services in the U.S. Midcontinent electricity market," Energy, Elsevier, volume 195, issue C, DOI: 10.1016/j.energy.2020.117051.
• Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon & Wong, Andrew, 2020, "Does Bitcoin behave as a currency?: A standard monetary model approach," International Review of Financial Analysis, Elsevier, volume 70, issue C, DOI: 10.1016/j.irfa.2020.101518.
• Ge, Yiqing & Tang, Ke, 2020, "Commodity prices and GDP growth," International Review of Financial Analysis, Elsevier, volume 71, issue C, DOI: 10.1016/j.irfa.2020.101512.
• Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020, "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, volume 72, issue C, DOI: 10.1016/j.irfa.2020.101569.
• David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi, 2020, "The dynamics of sovereign yields over swap rates in the Eurozone market," International Review of Financial Analysis, Elsevier, volume 72, issue C, DOI: 10.1016/j.irfa.2020.101578.
• Lee, Hwang Hee & Oh, Frederick Dongchuhl, 2020, "Corporate innovation and credit default swap spreads," Finance Research Letters, Elsevier, volume 32, issue C, DOI: 10.1016/j.frl.2018.12.030.
• Tan, Yingxian & Luo, Pengfei & Yang, Jinqiang & Ling, Aifan, 2020, "Investment and capital structure decisions under strategic debt service with positive externalities," Finance Research Letters, Elsevier, volume 33, issue C, DOI: 10.1016/j.frl.2019.05.011.
• Iyer, Subramanian R. & Simkins, Betty J. & Wang, Heng, 2020, "Cyberattacks and impact on bond valuation," Finance Research Letters, Elsevier, volume 33, issue C, DOI: 10.1016/j.frl.2019.06.013.
• Park, Jong Jun & Jang, Hyun Jin & Jang, Jiwook, 2020, "Pricing arithmetic Asian options under jump diffusion CIR processes," Finance Research Letters, Elsevier, volume 34, issue C, DOI: 10.1016/j.frl.2019.08.017.
• Borochin, Paul & Kopeliovich, Yaacov & Shea, Kevin, 2020, "A general method for valuing complex capital structures," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2019.101304.
• Li, Xuelian & Lin, Panpan & Lin, Jyh-Horng, 2020, "COVID-19, insurer board utility, and capital regulation," Finance Research Letters, Elsevier, volume 36, issue C, DOI: 10.1016/j.frl.2020.101659.
• Choi, Jae Yong & Yi, Junesuh & Yoon, Sun-Joong, 2020, "A better criterion for forced selling in bond markets: Credit ratings versus credit spreads," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2020.101437.
• Cao, Jiling & Kim, Jeong-Hoon & Kim, See-Woo & Zhang, Wenjun, 2020, "Rough stochastic elasticity of variance and option pricing," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101381.
• Chiah, Mardy & Zhong, Angel, 2020, "Trading from home: The impact of COVID-19 on trading volume around the world," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2020.101784.
• van Huellen, Sophie, 2020, "Too much of a good thing? Speculative effects on commodity futures curves," Journal of Financial Markets, Elsevier, volume 47, issue C, DOI: 10.1016/j.finmar.2018.12.001.
• Ruan, Xinfeng, 2020, "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, volume 48, issue C, DOI: 10.1016/j.finmar.2019.03.002.
• Glazyrina, Anna & Melnikov, Alexander, 2020, "Bachelier model with stopping time and its insurance application," Insurance: Mathematics and Economics, Elsevier, volume 93, issue C, pages 156-167, DOI: 10.1016/j.insmatheco.2020.04.012.
• Ettlin, Nicolas & Farkas, Walter & Kull, Andreas & Smirnow, Alexander, 2020, "Optimal risk-sharing across a network of insurance companies," Insurance: Mathematics and Economics, Elsevier, volume 95, issue C, pages 39-47, DOI: 10.1016/j.insmatheco.2020.08.002.
• Goodell, John W. & McGee, Richard J. & McGroarty, Frank, 2020, "Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis," Journal of Banking & Finance, Elsevier, volume 110, issue C, DOI: 10.1016/j.jbankfin.2019.105684.
• Lovreta, Lidija & Silaghi, Florina, 2020, "The surface of implied firm’s asset volatility," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2017.11.008.
• Paschke, Raphael & Prokopczuk, Marcel & Wese Simen, Chardin, 2020, "Curve momentum," Journal of Banking & Finance, Elsevier, volume 113, issue C, DOI: 10.1016/j.jbankfin.2019.105718.
• Camara, Antonio & Davidson, Travis & Fodor, Andrew, 2020, "Bank asset structure and deposit insurance pricing," Journal of Banking & Finance, Elsevier, volume 114, issue C, DOI: 10.1016/j.jbankfin.2020.105805.
• Wang, Qi & Wang, Zerong, 2020, "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, volume 116, issue C, DOI: 10.1016/j.jbankfin.2020.105845.
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020, "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105895.
• Ladley, Daniel & Liu, Guanqing & Rockey, James, 2020, "Losing money on the margin," Journal of Economic Behavior & Organization, Elsevier, volume 172, issue C, pages 107-136, DOI: 10.1016/j.jebo.2020.01.027.
• Khan, M. Ali & Qiao, Lei & Rath, Kali P. & Sun, Yeneng, 2020, "Modeling large societies: Why countable additivity is necessary," Journal of Economic Theory, Elsevier, volume 189, issue C, DOI: 10.1016/j.jet.2020.105102.
• Muravyev, Dmitriy & Ni, Xuechuan (Charles), 2020, "Why do option returns change sign from day to night?," Journal of Financial Economics, Elsevier, volume 136, issue 1, pages 219-238, DOI: 10.1016/j.jfineco.2018.12.006.
• Henderson, Brian J. & Pearson, Neil D. & Wang, Li, 2020, "Pre-trade hedging: Evidence from the issuance of retail structured products," Journal of Financial Economics, Elsevier, volume 137, issue 1, pages 108-128, DOI: 10.1016/j.jfineco.2020.02.004.
• Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020, "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, volume 137, issue 2, pages 297-319, DOI: 10.1016/j.jfineco.2020.02.009.
• Jackwerth, Jens Carsten & Menner, Marco, 2020, "Does the Ross recovery theorem work empirically?," Journal of Financial Economics, Elsevier, volume 137, issue 3, pages 723-739, DOI: 10.1016/j.jfineco.2020.03.006.
• Go, You-How & Lau, Wee-Yeap, 2020, "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, volume 17, issue C, DOI: 10.1016/j.jcomm.2018.10.003.
• Irwin, Scott H., 2020, "Trilogy for troubleshooting convergence: Manipulation, structural imbalance, and storage rates," Journal of Commodity Markets, Elsevier, volume 17, issue C, DOI: 10.1016/j.jcomm.2018.11.002.
• Adhikari, Ramesh & Putnam, Kyle J., 2020, "Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors," Journal of Commodity Markets, Elsevier, volume 18, issue C, DOI: 10.1016/j.jcomm.2019.04.002.
• Bohl, Martin T. & Siklos, Pierre L. & Stefan, Martin & Wellenreuther, Claudia, 2020, "Price discovery in agricultural commodity markets: Do speculators contribute?," Journal of Commodity Markets, Elsevier, volume 18, issue C, DOI: 10.1016/j.jcomm.2019.05.001.
• Elliott, Lisa & Elliott, Matthew & Slaa, Chad Te & Wang, Zhiguang, 2020, "New generation grain contracts in corn and soybean commodity markets," Journal of Commodity Markets, Elsevier, volume 20, issue C, DOI: 10.1016/j.jcomm.2019.100113.
• Junior, Peterson Owusu & Tiwari, Aviral Kumar & Padhan, Hemachandra & Alagidede, Imhotep, 2020, "Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India," Resources Policy, Elsevier, volume 68, issue C, DOI: 10.1016/j.resourpol.2020.101731.
• Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020, "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, volume 69, issue C, DOI: 10.1016/j.resourpol.2020.101858.
• Zhang, Xuan & Xiao, Jun & Zhang, Zhekai, 2020, "An anatomy of commodity futures returns in China," Pacific-Basin Finance Journal, Elsevier, volume 62, issue C, DOI: 10.1016/j.pacfin.2020.101366.
• Fan, John Hua & Fernandez-Perez, Adrian & Indriawan, Ivan & Todorova, Neda, 2020, "Internationalization of futures markets: Lessons from China," Pacific-Basin Finance Journal, Elsevier, volume 63, issue C, DOI: 10.1016/j.pacfin.2020.101429.
• Chai, Daniel & Chiah, Mardy & Zhong, Angel, 2020, "Decomposing value: Changes in size or changes in book-to-market?," Pacific-Basin Finance Journal, Elsevier, volume 64, issue C, DOI: 10.1016/j.pacfin.2020.101467.
• Torricelli, Lorenzo, 2020, "Trade duration risk in subdiffusive financial models," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 541, issue C, DOI: 10.1016/j.physa.2019.123694.
• Chiou-Wei, Song-Zan & Chen, Sheng-Hung & Zhu, Zhen, 2020, "Natural gas price, market fundamentals and hedging effectiveness," The Quarterly Review of Economics and Finance, Elsevier, volume 78, issue C, pages 321-337, DOI: 10.1016/j.qref.2020.05.001.
• Hou, Yang (Greg) & Li, Steven, 2020, "Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China," International Review of Economics & Finance, Elsevier, volume 66, issue C, pages 166-188, DOI: 10.1016/j.iref.2019.11.003.
• Chuang, Ming-Che & Wen, Chin-Hsiang & Lin, Shih-Kuei, 2020, "Valuation and empirical analysis of currency options," International Review of Economics & Finance, Elsevier, volume 66, issue C, pages 71-91, DOI: 10.1016/j.iref.2019.10.013.
• Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020, "Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models," International Review of Economics & Finance, Elsevier, volume 68, issue C, pages 269-280, DOI: 10.1016/j.iref.2020.03.009.
• Yoo, Eun Gyu & Yoon, Sun-Joong, 2020, "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, volume 69, issue C, pages 839-859, DOI: 10.1016/j.iref.2020.06.026.
• Wang, Xingchun, 2020, "Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes," International Review of Economics & Finance, Elsevier, volume 70, issue C, pages 16-26, DOI: 10.1016/j.iref.2020.05.014.
• Wang, Xingchun, 2020, "Valuation of Asian options with default risk under GARCH models," International Review of Economics & Finance, Elsevier, volume 70, issue C, pages 27-40, DOI: 10.1016/j.iref.2020.06.019.
• Sankar, Ganesh & Ramachandran, Shankar & Lukose P J, Jijo, 2020, "Dynamics of variance risk premium: Evidence from India," International Review of Economics & Finance, Elsevier, volume 70, issue C, pages 321-334, DOI: 10.1016/j.iref.2020.06.010.
• Bonollo, Michele & Di Persio, Luca & Oliva, Immacolata, 2020, "A quantization approach to the counterparty credit exposure estimation," International Review of Economics & Finance, Elsevier, volume 70, issue C, pages 335-356, DOI: 10.1016/j.iref.2020.08.005.
• Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020, "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.ribaf.2019.101116.
• Baklaci, Hasan Fehmi & Aydoğan, Berna & Yelkenci, Tezer, 2020, "Impact of stock market trading on currency market volatility spillovers," Research in International Business and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.ribaf.2020.101182.
• Perera, Devmali & Białkowski, Jędrzej & Bohl, Martin T., 2020, "Does the tea market require a futures contract? Evidence from the Sri Lankan tea market," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101290.
• Marco Pagano & Christian Wagner & Josef Zechner, 2020, "Disaster Resilience and Asset Prices," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2008, revised Nov 2021.
• Qianqian Mao & Yanjun Ren & Jens-Peter Loy, 2020, "Price bubbles in agricultural commodity markets and contributing factors: evidence for corn and soybeans in China," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 13, issue 1, pages 22-53, September, DOI: 10.1108/CAER-10-2019-0190.
• Conghua Wen & Fei Jia & Jianli Hao, 2020, "Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market," China Finance Review International, Emerald Group Publishing Limited, volume 13, issue 2, pages 285-303, November, DOI: 10.1108/CFRI-05-2020-0049.
• Manogna R L & Aswini Kumar Mishra, 2020, "Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India," Journal of Agribusiness in Developing and Emerging Economies, Emerald Group Publishing Limited, volume 10, issue 4, pages 447-473, May, DOI: 10.1108/JADEE-10-2019-0175.
• Hanxiong Zhang & Andrew Urquhart, 2020, "Do momentum and reversal strategies work in commodity futures? A comprehensive study," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 12, issue 4, pages 375-409, April, DOI: 10.1108/RBF-05-2019-0067.
• Nam Hoang & Terrance Grieb, 2020, "Hedging positions in US wheat markets: a disaggregated data analysis," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 37, issue 3, pages 429-455, May, DOI: 10.1108/SEF-08-2019-0329.
• Roberto J. Santillán-Salgado & Luis Jacob Escobar & Francisco López-Herrera, 2020, "Optimal Hedge Ratios for the Mexican Stock Market Index Futures Contract: A Multivariate GARCH Approach," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 53, issue 2, pages 201-238, Julio-Dic, DOI: 10.24275/ETYPUAM/NE/532020/Santilla.
• Ibrahim A. Adekunle, 2020, "On the search for environmental sustainability in Africa: the role of governance," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 20/078, Jan.
• Peter Van Tassel, 2020, "The Law of One Price in Equity Volatility Markets," Staff Reports, Federal Reserve Bank of New York, number 953, Dec.
• Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020, "Neural Network Pricing of American Put Options," Risks, MDPI, volume 8, issue 3, pages 1-24, July.
• Mohamed Amine Boutabba & Yves Rannou, 2020, "Investor strategies and Liquidity Premia in the European Green Bond market," Post-Print, HAL, number hal-02544451, Oct.
• Caio Almeida & Kim Ardison & René Garcia, 2020, "Nonparametric Assessment of Hedge Fund Performance," Post-Print, HAL, number hal-02550789, Feb, DOI: 10.1016/j.jeconom.2019.08.002.