Research classified by Journal of Economic Literature (JEL) codes

2021

• Wang, Xinjie & Wu, Yangru & Yan, Hongjun & Zhong, Zhaodong (Ken), 2021, "Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang," Journal of Financial Economics, Elsevier, volume 139, issue 2, pages 545-560, DOI: 10.1016/j.jfineco.2020.08.004.
• Bali, Turan G. & Subrahmanyam, Avanidhar & Wen, Quan, 2021, "Long-term reversals in the corporate bond market," Journal of Financial Economics, Elsevier, volume 139, issue 2, pages 656-677, DOI: 10.1016/j.jfineco.2020.08.007.
• Liu, Yan, 2021, "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, volume 139, issue 3, pages 1015-1036, DOI: 10.1016/j.jfineco.2020.08.011.
• Corte, Pasquale Della & Kozhan, Roman & Neuberger, Anthony, 2021, "The cross-section of currency volatility premia," Journal of Financial Economics, Elsevier, volume 139, issue 3, pages 950-970, DOI: 10.1016/j.jfineco.2020.08.010.
• Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021, "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, volume 140, issue 2, pages 412-435, DOI: 10.1016/j.jfineco.2020.12.009.
• Armstrong, Will J. & Cardella, Laura & Sabah, Nasim, 2021, "Information shocks, disagreement, and drift," Journal of Financial Economics, Elsevier, volume 140, issue 3, pages 916-940, DOI: 10.1016/j.jfineco.2021.02.002.
• Ramachandran, Lakshmi Shankar & Tayal, Jitendra, 2021, "Mispricing, short-sale constraints, and the cross-section of option returns," Journal of Financial Economics, Elsevier, volume 141, issue 1, pages 297-321, DOI: 10.1016/j.jfineco.2021.03.006.
• Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021, "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, volume 141, issue 2, pages 479-504, DOI: 10.1016/j.jfineco.2021.03.011.
• Fullwood, Jonathan & James, Jessica & Marsh, Ian W., 2021, "Volatility and the cross-section of returns on FX options," Journal of Financial Economics, Elsevier, volume 141, issue 3, pages 1262-1284, DOI: 10.1016/j.jfineco.2021.04.030.
• Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021, "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, volume 142, issue 1, pages 166-194, DOI: 10.1016/j.jfineco.2021.05.015.
• Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2021, "Hedging macroeconomic and financial uncertainty and volatility," Journal of Financial Economics, Elsevier, volume 142, issue 1, pages 23-45, DOI: 10.1016/j.jfineco.2021.05.053.
• Vokata, Petra, 2021, "Engineering lemons," Journal of Financial Economics, Elsevier, volume 142, issue 2, pages 737-755, DOI: 10.1016/j.jfineco.2021.04.035.
• Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021, "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, volume 142, issue 3, pages 1209-1228, DOI: 10.1016/j.jfineco.2021.05.043.
• Ruan, Xinfeng & Zhang, Jin E., 2021, "Time-varying uncertainty and variance risk premium," Journal of Macroeconomics, Elsevier, volume 69, issue C, DOI: 10.1016/j.jmacro.2021.103347.
• Chen, Yu-Fu & Mu, Xiaoyi, 2021, "Asymmetric volatility in commodity markets," Journal of Commodity Markets, Elsevier, volume 22, issue C, DOI: 10.1016/j.jcomm.2020.100139.
• Wimmer, Thomas & Geyer-Klingeberg, Jerome & Hütter, Marie & Schmid, Florian & Rathgeber, Andreas, 2021, "The impact of speculation on commodity prices: A Meta-Granger analysis," Journal of Commodity Markets, Elsevier, volume 22, issue C, DOI: 10.1016/j.jcomm.2020.100148.
• Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021, "Commodity index risk premium," Journal of Commodity Markets, Elsevier, volume 22, issue C, DOI: 10.1016/j.jcomm.2020.100156.
• Emm, Ekaterina E. & Gay, Gerald D. & Ma, Han & Ren, Honglin, 2021, "The rise and breakup of the commodity exchange membership: An analysis of CBOT seat prices," Journal of Commodity Markets, Elsevier, volume 24, issue C, DOI: 10.1016/j.jcomm.2021.100173.
• Yousaf, Imran, 2021, "Risk transmission from the COVID-19 to metals and energy markets," Resources Policy, Elsevier, volume 73, issue C, DOI: 10.1016/j.resourpol.2021.102156.
• Rojas-Bernal, Alejandro & Villamizar-Villegas, Mauricio, 2021, "Pricing the exotic: Path-dependent American options with stochastic barriers," Latin American Journal of Central Banking (previously Monetaria), Elsevier, volume 2, issue 1, DOI: 10.1016/j.latcb.2021.100025.
• Brownlees, Christian & Hans, Christina & Nualart, Eulalia, 2021, "Bank credit risk networks: Evidence from the Eurozone," Journal of Monetary Economics, Elsevier, volume 117, issue C, pages 585-599, DOI: 10.1016/j.jmoneco.2020.03.014.
• Darby, Julia & Zhang, Hai & Zhang, Jinkai, 2021, "Institutional trading in volatile markets: Evidence from Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, volume 65, issue C, DOI: 10.1016/j.pacfin.2020.101484.
• Omar, Arti & Prasanna, P. Krishna, 2021, "Asymmetric effects of noise in Merton default risk model: Evidence from emerging Asia," Pacific-Basin Finance Journal, Elsevier, volume 65, issue C, DOI: 10.1016/j.pacfin.2021.101497.
• Finta, Marinela Adriana, 2021, "Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather," Pacific-Basin Finance Journal, Elsevier, volume 67, issue C, DOI: 10.1016/j.pacfin.2021.101562.
• Chen, Rong & Geng, Heng (Griffin) & Lin, Hai & Nguyen, Phuong Thi Ly, 2021, "Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market," Pacific-Basin Finance Journal, Elsevier, volume 67, issue C, DOI: 10.1016/j.pacfin.2021.101567.
• Yue, Tian & Gehricke, Sebastian A. & Zhang, Jin E. & Pan, Zheyao, 2021, "The implied volatility smirk in the Chinese equity options market," Pacific-Basin Finance Journal, Elsevier, volume 69, issue C, DOI: 10.1016/j.pacfin.2021.101624.
• Zhang, Heming & Wang, Guanying, 2021, "Reversal effect and corporate bond pricing in China," Pacific-Basin Finance Journal, Elsevier, volume 70, issue C, DOI: 10.1016/j.pacfin.2021.101664.
• Fassas, Athanasios P. & Siriopoulos, Costas, 2021, "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, volume 79, issue C, pages 303-329, DOI: 10.1016/j.qref.2020.07.004.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2021, "Cojump risks and their impacts on option pricing," The Quarterly Review of Economics and Finance, Elsevier, volume 79, issue C, pages 399-410, DOI: 10.1016/j.qref.2020.07.009.
• Smales, L.A., 2021, "Geopolitical risk and volatility spillovers in oil and stock markets," The Quarterly Review of Economics and Finance, Elsevier, volume 80, issue C, pages 358-366, DOI: 10.1016/j.qref.2021.03.008.
• Chamizo, Álvaro & Novales, Alfonso, 2021, "Evaluation of market risk associated with hedging a credit derivative portfolio," The Quarterly Review of Economics and Finance, Elsevier, volume 80, issue C, pages 411-430, DOI: 10.1016/j.qref.2021.03.006.
• Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021, "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, volume 80, issue C, pages 464-479, DOI: 10.1016/j.qref.2021.03.016.
• Zainudin, Ahmad Danial & Mohamad, Azhar, 2021, "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, volume 81, issue C, pages 288-308, DOI: 10.1016/j.qref.2021.06.021.
• Ruan, Xinfeng, 2021, "Ambiguity, long-run risks, and asset prices in continuous time," International Review of Economics & Finance, Elsevier, volume 71, issue C, pages 115-126, DOI: 10.1016/j.iref.2020.09.007.
• Lian, Yu-Min & Chen, Jun-Home, 2021, "Pricing virtual currency-linked derivatives with time-inhomogeneity," International Review of Economics & Finance, Elsevier, volume 71, issue C, pages 424-439, DOI: 10.1016/j.iref.2020.09.015.
• Ahmad, Wasim & Kutan, Ali M. & Gupta, Smarth, 2021, "Black swan events and COVID-19 outbreak: Sector level evidence from the US, UK, and European stock markets," International Review of Economics & Finance, Elsevier, volume 75, issue C, pages 546-557, DOI: 10.1016/j.iref.2021.04.007.
• Lee, Kiryoung & Jeon, Yoontae & Nam, Eun-Young, 2021, "Chinese Economic Policy Uncertainty and the Cross-Section of U.S. Asset Returns," International Review of Economics & Finance, Elsevier, volume 76, issue C, pages 1063-1077, DOI: 10.1016/j.iref.2021.08.011.
• Bai, Yizhou & Xue, Cheng, 2021, "An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model," Research in International Business and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.ribaf.2021.101405.
• Gormsen, Niels J. & Koijen, Ralph S.J. & Martin, Ian W.R., 2021, "Implied dividend volatility and expected growth," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127796, May.
• Manogna RL & Aswini Kumar Mishra, 2021, "Financialization of Indian agricultural commodities: the case of index investments," International Journal of Social Economics, Emerald Group Publishing Limited, volume 49, issue 1, pages 73-96, September, DOI: 10.1108/IJSE-05-2021-0254.
• Imran Yousaf & Hasan Hanif & Shoaib Ali & Syed Moudud-Ul-Huq, 2021, "Linkages between gold and Latin American equity markets: portfolio implications," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 26, issue 52, pages 237-251, August, DOI: 10.1108/JEFAS-04-2020-0139.
• Saji Thazhugal Govindan Nair, 2021, "Price discovery and pairs trading potentials: the case of metals markets," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 13, issue 5, pages 565-586, March, DOI: 10.1108/JFEP-06-2020-0139.
• Xiang Gao & Jiahao Gu & Yingchao Zhang, 2021, "Option informativeness before earnings announcements and under real activity manipulation," Pacific Accounting Review, Emerald Group Publishing Limited, volume 33, issue 3, pages 361-375, May, DOI: 10.1108/PAR-07-2020-0090.
• Bei Chen & Quan Gan, 2021, "Measuring gambling activity in options market," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 14, issue 3, pages 345-378, March, DOI: 10.1108/RBF-08-2020-0206.
• Nikolai Dokuchaev, 2021, "On statistical indistinguishability of complete and incomplete market models," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 1, pages 114-125, February, DOI: 10.1108/SEF-01-2020-0023.
• Hechem Ajmi & Nadia Arfaoui & Karima Saci, 2021, "Volatility transmission across international markets amid COVID 19 pandemic," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 5, pages 926-945, June, DOI: 10.1108/SEF-11-2020-0449.
• Magdalena Mikolajek-Gocejna, 2021, "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4 - Part , pages 370-395.
• Bin Wei, 2021, "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2021-21, Sep, DOI: 10.29338/wp2021-21.
• Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2021, "International Evidence on Extending Sovereign Debt Maturities," Working Paper Series, Federal Reserve Bank of San Francisco, number 2021-19, Jul, DOI: 10.24148/wp2021-19.
• Juan M. Londono & Nancy R. Xu, 2021, "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1318, May, DOI: 10.17016/IFDP.2021.1318.
• Elena V. Rozhentsova & Anastasiia D. Saltykova & Tatyana М. Devyatkova, 2021, "Unallocated Metal Accounts in Russia: Determinants of Quoted Bid-Ask Spreads," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 93-106, February, DOI: 10.31107/2075-1990-2021-1-93-106.
• Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2021, "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," JRFM, MDPI, volume 14, issue 3, pages 1-19, February.
• Florina Silaghi & Franck Moraux, 2022, "Trade credit contracts: Design and regulation," Post-Print, HAL, number hal-03268865, Feb, DOI: 10.1016/j.ejor.2021.04.036.
• Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021, "The Risk Premia of Energy Futures," Post-Print, HAL, number hal-03312959, Oct, DOI: 10.1016/j.eneco.2021.105460.
• Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021, "Trading signal, functional data analysis and time series momentum," Post-Print, HAL, number hal-03323675, Oct, DOI: 10.1016/j.frl.2021.101933.
• Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021, "Asymmetry, tail risk and time series momentum," Post-Print, HAL, number hal-03511436, Nov, DOI: 10.1016/j.irfa.2021.101938.
• Bruno Biais & Florian Heider & Marie Hoerova, 2021, "Variation margins, fire-sales and information-constrained optimality," Post-Print, HAL, number hal-03546710, Nov, DOI: 10.1093/restud/rdaa083.
• Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021, "XVA Analysis From the Balance Sheet," Post-Print, HAL, number hal-03910125, DOI: 10.1080/14697688.2020.1817533.
• Hubert Stahn & Jean-Henry Ferrasse & Nandeeta Neerunjun, 2021, "Managing intermittency in the electricity market," Post-Print, HAL, number hal-04552290, Jul.
• Hubert Stahn & Jean-Henry Ferrasse & Nandeeta Neerunjun, 2021, "Managing intermittency in the electricity market," Post-Print, HAL, number hal-04552317, Jun.
• Jean-Henry Ferrasse & Nandeeta Neerunjun & Hubert Stahn, 2021, "Managing intermittency in the electricity market," Working Papers, HAL, number halshs-03154612, Feb.
• Sebastian, Steffen P. & Steininger, Bertram I., 2021, "Real estate ETNs in strategic asset allocation," Working Paper Series, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, number 21/8, Dec.

2020

• 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 Staff Working Paper series, 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.
• Asriyan, Vladimir & Foarta, Dana & Vanasco, Victoria, 2020, "The good, the bad, and the complex: product design with asymmetric information," CEPR Discussion Papers, Centre for Economic Policy Research, number 14307, Jan.
• Boyarchenko, Nina & Larsen, Lars & Whelan, Paul, 2020, "The Overnight Drift," CEPR Discussion Papers, Centre for Economic Policy Research, number 14462, Mar.
• Reinders, Henk Jan & Schoenmaker, Dirk & Van Dijk, Mathijs, 2020, "A Finance Approach to Climate Stress Testing," CEPR Discussion Papers, Centre for Economic Policy Research, number 14609, Apr.
• Zechner, Josef & Pagano, Marco & Wagner, Christian, 2020, "Disaster Resilience and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 14773, May.
• Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2020, "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers, Centre for Economic Policy Research, 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, International Journal of Economics and Financial Issues, 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, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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.