Research classified by Journal of Economic Literature (JEL) codes

2020

• Hossein Rad & Rand Low & Joelle Miffre & Robert Faff, 2020, "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Post-Print, HAL, number hal-02868473, Jun, DOI: 10.1016/j.jempfin.2020.05.006.
• Claudio Albanese & Yannick Armenti & Stéphane Crépey, 2020, "XVA Metrics for CCP Optimisation," Post-Print, HAL, number hal-03910114.
• Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2020, "Agricultural Production Decision using Jumps and Seasonal Volatility in commodities prices dynamics," Working Papers, HAL, number hal-02465046, Jan.
• Armerin, Fredrik, 2020, "Investments with declining cost following a Lévy process," Working Paper Series, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, number 20/14, Dec.
• Armerin, Fredrik & Song, Han-Suck, 2020, "A framework for modelling cash flow lags," Working Paper Series, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, number 20/17, Dec.
• Cristian KEVORCHIAN & Camelia GAVRILESCU & Gheorghe HURDUZEU, 2020, "A Peer-To-Peer (P2p) Agricultural Insurance Approach Based On Smart Contracts In Blockchain Ethereum," Agricultural Economics and Rural Development, Institute of Agricultural Economics, volume 17, issue 1, pages 29-45.

2019

• Federico Carlini & Paolo Santucci de Magistris, 2019, "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-02, Jan.
• Muhammad Aamir Shahzad & Amar Razzaq & Ping Qing, 2019, "On The Wheat Price Support Policy in Pakistan," Journal of Economic Impact, Science Impact Publishers, volume 1, issue 3, pages 80-86.
• Igor Makarov & Antoinette Schoar, 2019, "Price Discovery in Cryptocurrency Markets," AEA Papers and Proceedings, American Economic Association, volume 109, pages 97-99, May.
• Gabriela Pesce & Gastón Milanesi & Emilio El Alabi & Joaquín Menna, 2019, "Valuación de un seguro de vida mediante opciones exóticas," Asociación Argentina de Economía Política: Working Papers, Asociación Argentina de Economía Política, number 4189, Nov.
• Niyazi TELÇEKEN & Murat KIYILAR & Eyüp KADIOĞLU, 2019, "Volatilite Endeksleri: Gelişimi, Türleri, Uygulamaları ve TRVIX Önerisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 4, issue 2, pages 204-228, DOI: 10.30784/epfad.534052.
• Stanimir Ivanov Kabaivanov & Veneta Markovska, 2019, "Making a Difference: Accounting for the Impact of Management Decisions in Environmental Management," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 66, issue 2, pages 131-139, June.
• İsmail Atacan & Erdinç Altay, 2019, "Analysis of Herd Behavior In Commodity Futures Markets," Alphanumeric Journal, Bahadir Fatih Yildirim, volume 7, issue 1, pages 37-54, June, DOI: http://doi.org/10.17093/alphanumeri.
• Alex Garivaltis, 2019, "Two Resolutions of the Margin Loan Pricing Puzzle," Papers, arXiv.org, number 1906.01025, Jun, revised Oct 2022.
• Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu, 2019, "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Papers, arXiv.org, number 1910.01044, Oct.
• Bahman Angoshtari & Tim Leung, 2019, "Optimal Trading of a Basket of Futures Contracts," Papers, arXiv.org, number 1910.04943, Oct.
• Wilkens, Sascha, 2019, "Machine learning in risk measurement: Gaussian process regression for value-at-risk and expected shortfall," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 12, issue 4, pages 374-383, September.
• Terrance Grieb & Nam Hoang, 2019, "The Effects of Hedging and Speculation on Cash-Futures Basis: Results from U.S. Wheat Markets," Review of Economics & Finance, Better Advances Press, Canada, volume 17, pages 1-15, August.
• Fabrizio Ferriani & Filippo Natoli & Giovanni Veronese & Federica Zeni, 2019, "Risk premium in the era of shale oil," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1215, Apr.
• Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2019, "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 625, Oct.
• Sun-Joong Yoon, 2019, "Determinants of Variance Risk Premium (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 25, issue 1, pages 1-33, March.
• Paul Schneider, 2019, "A Theory of Scenario Generation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-17, Mar.
• Altan Pazarbasi & Paul Schneider & Grigory Vilkov, 2019, "Sentimental Recovery," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-57, Oct.
• Artem Dyachenko & Walter Farkas & Marc Oliver Rieger, 2019, "Volatility Dependent Structured Products," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-64, Dec.
• Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan, 2019, "Option Trading and Stock Price Informativeness," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-74, Jun.
• Giovanni Barone-Adesi & Carlo Sala, 2019, "Testing Market Efficiency With the Pricing Kernel," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-77, Aug.
• Gastón Silverio Milanesi, 2019, "El modelo binomial, ahorros fiscales y valor ajustado de la firma por escenarios de continuidad o disolución," Estudios Gerenciales, Universidad Icesi, volume 35, issue 150, pages 47-58.
• Ricardo Troncoso Sepúlveda & Juan Cabas Monje, 2019, "Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 90, pages 9-44.
• van Wijnbergen, Sweder & Olijslagers, Stan, 2019, "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13708, May.
• Martin, Ian & ,, 2019, "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13857, Jul.
• Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019, "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13873, Jul.
• Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao, 2019, "The Term Structure of Government Debt Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13874, Jul.
• Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V., 2019, "Factor Structure in Commodity Futures Return and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 3, pages 1083-1115, June.
• Cyr, Don & Kwong, Lester & Sun, Ling, 2019, "Who Will Replace Parker? A Copula Function Analysis of Bordeaux En Primeur Wine Raters," Journal of Wine Economics, Cambridge University Press, volume 14, issue 2, pages 133-144, May.
• Gaëtan Le Quang, 2019, "Mind the Conversion Risk: a Theoretical Assessment of Contingent Convertible Bonds," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2019-5.
• Rhys ap Gwilym & M. Shahid Ebrahim & Abdelkader O. El Alaoui & Hamid Rahman & Abderrahim Taamouti, 2019, "Financial Frictions and the Futures Pricing Puzzle," Department of Economics Working Papers, Durham University, Department of Economics, number 2019_07, Jul.
• Hip lit Torr, 2019, "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 2, pages 1-9.
• Bekiros, Stelios & Kouloumpou, Dimitra, 2019, "On the pricing of exotic options: A new closed-form valuation approach," Chaos, Solitons & Fractals, Elsevier, volume 122, issue C, pages 153-162, DOI: 10.1016/j.chaos.2019.03.012.
• Zaevski, Tsvetelin S. & Kounchev, Ognyan & Savov, Mladen, 2019, "Two frameworks for pricing defaultable derivatives," Chaos, Solitons & Fractals, Elsevier, volume 123, issue C, pages 309-319, DOI: 10.1016/j.chaos.2019.04.025.
• Zaevski, Tsvetelin S., 2019, "A new form of the early exercise premium for American type derivatives," Chaos, Solitons & Fractals, Elsevier, volume 123, issue C, pages 338-340, DOI: 10.1016/j.chaos.2019.04.024.
• Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019, "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, volume 100, issue C, pages 251-269, DOI: 10.1016/j.jedc.2018.11.008.
• Yang, Minxian, 2019, "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.103732.
• Bu, Di & Liao, Yin & Shi, Jing & Peng, Hongfeng, 2019, "Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103753.
• Dillschneider, Yannick & Maurer, Raimond, 2019, "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103750.
• Nishihara, Michi & Shibata, Takashi, 2019, "Liquidation, fire sales, and acquirers’ private information," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103769.
• Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019, "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, volume 77, issue C, pages 92-112, DOI: 10.1016/j.econmod.2017.12.005.
• Niu, Huawei & Hua, Wei, 2019, "An endogenous structural credit risk model incorporating with moral hazard and rollover risk," Economic Modelling, Elsevier, volume 78, issue C, pages 47-59, DOI: 10.1016/j.econmod.2018.09.012.
• Aït-Youcef, Camille, 2019, "How index investment impacts commodities: A story about the financialization of agricultural commodities," Economic Modelling, Elsevier, volume 80, issue C, pages 23-33, DOI: 10.1016/j.econmod.2018.04.007.
• Hu, May & Park, Jason, 2019, "Valuation of collateralized debt obligations: An equilibrium model," Economic Modelling, Elsevier, volume 82, issue C, pages 119-135, DOI: 10.1016/j.econmod.2019.08.014.
• Puwanenthiren, Premkanth & Dang, Man & Henry, Darren & Puwanenthiren, Pratheepkanth & Al Mamun, Md., 2019, "Does managerial ability matter for the choice of seasoned equity offerings?," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 442-460, DOI: 10.1016/j.najef.2018.06.002.
• Kim, See-Woo & Kim, Jeong-Hoon, 2019, "Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 149-169, DOI: 10.1016/j.najef.2019.01.018.
• Gomez-Puig, Marta & Singh, Manish K. & Sosvilla-Rivero, Simon, 2019, "The sovereign-bank nexus in peripheral euro area: Further evidence from contingent claims analysis," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 1-26, DOI: 10.1016/j.najef.2019.03.021.
• Qiao, Gaoxiu & Teng, Yuxin & Li, Weiping & Liu, Wenwen, 2019, "Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 133-151, DOI: 10.1016/j.najef.2019.04.003.
• Lee, Hangsuck & Ko, Bangwon & Song, Seongjoo, 2019, "Valuing step barrier options and their icicled variations," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 396-411, DOI: 10.1016/j.najef.2018.09.001.
• Chan, Tat Lung (Ron), 2019, "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.100984.
• Lee, Hangsuck & Ahn, Soohan & Ko, Bangwon, 2019, "Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101014.
• Zaremba, Adam & Mikutowski, Mateusz & Karathanasopoulos, Andreas & Osman, Mohamed, 2019, "Picking winners to pick your winners: The momentum effect in commodity risk factors," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101017.
• Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019, "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.100986.
• Aiube, Fernando Antonio Lucena & Faquieri, Winicius Botelho, 2019, "Can Gaussian factor models of commodity prices capture the financialization phenomenon?," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101028.
• Wang, Xingchun, 2019, "Valuation of new-designed contracts for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101041.
• Casiraghi, Marco & Miccoli, Marcello, 2019, "Inflation risk premia and risk-adjusted expectations of inflation," Economics Letters, Elsevier, volume 175, issue C, pages 36-39, DOI: 10.1016/j.econlet.2018.12.002.
• Delgado-Mohatar, Oscar & Felis-Rota, Marta & Fernández-Herraiz, Carlos, 2019, "The Bitcoin mining breakdown: Is mining still profitable?," Economics Letters, Elsevier, volume 184, issue C, DOI: 10.1016/j.econlet.2019.05.044.
• Fulop, Andras & Li, Junye, 2019, "Bayesian estimation of dynamic asset pricing models with informative observations," Journal of Econometrics, Elsevier, volume 209, issue 1, pages 114-138, DOI: 10.1016/j.jeconom.2018.11.014.
• Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019, "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, volume 209, issue 2, pages 208-237, DOI: 10.1016/j.jeconom.2019.01.002.
• Czudaj, Robert L., 2019, "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 78-145, DOI: 10.1016/j.ecosta.2019.05.002.
• Akron, Sagi, 2019, "The optimal derivative-based corporate hedging strategies under equity-linked managerial compensation," Emerging Markets Review, Elsevier, volume 41, issue C, DOI: 10.1016/j.ememar.2019.100631.
• Brandt, Michael W. & Gao, Lin, 2019, "Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil," Journal of Empirical Finance, Elsevier, volume 51, issue C, pages 64-94, DOI: 10.1016/j.jempfin.2019.01.007.
• Díaz-Hernández, Adán & Constantinou, Nick, 2019, "A multiple regime extension to the Heston–Nandi GARCH(1,1) model," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 162-180, DOI: 10.1016/j.jempfin.2019.05.004.
• Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019, "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, volume 77, issue C, pages 23-33, DOI: 10.1016/j.eneco.2018.09.010.
• Müller, Gernot & Seibert, Armin, 2019, "Bayesian estimation of stable CARMA spot models for electricity prices," Energy Economics, Elsevier, volume 78, issue C, pages 267-277, DOI: 10.1016/j.eneco.2018.10.016.
• Li, Bingxin, 2019, "Pricing dynamics of natural gas futures," Energy Economics, Elsevier, volume 78, issue C, pages 91-108, DOI: 10.1016/j.eneco.2018.10.024.
• Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019, "A branching process approach to power markets," Energy Economics, Elsevier, volume 79, issue C, pages 144-156, DOI: 10.1016/j.eneco.2018.03.002.
• Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019, "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, volume 79, issue C, pages 3-20, DOI: 10.1016/j.eneco.2018.11.019.
• Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019, "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, volume 79, issue C, pages 45-58, DOI: 10.1016/j.eneco.2018.06.003.
• Czudaj, Robert L., 2019, "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, volume 80, issue C, pages 793-811, DOI: 10.1016/j.eneco.2019.01.002.
• Lingohr, Daniel & Müller, Gernot, 2019, "Stochastic modeling of intraday photovoltaic power generation," Energy Economics, Elsevier, volume 81, issue C, pages 175-186, DOI: 10.1016/j.eneco.2019.03.007.
• Ruan, Xinfeng & Zhang, Jin E., 2019, "Moment spreads in the energy market," Energy Economics, Elsevier, volume 81, issue C, pages 598-609, DOI: 10.1016/j.eneco.2019.04.025.
• Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019, "Futures-based forecasts: How useful are they for oil price volatility forecasting?," Energy Economics, Elsevier, volume 81, issue C, pages 639-649, DOI: 10.1016/j.eneco.2019.04.030.
• Chang, Chia-Lin & Liu, Chia-Ping & McAleer, Michael, 2019, "Volatility spillovers for spot, futures, and ETF prices in agriculture and energy," Energy Economics, Elsevier, volume 81, issue C, pages 779-792, DOI: 10.1016/j.eneco.2019.04.017.
• Bakas, Dimitrios & Triantafyllou, Athanasios, 2019, "Volatility forecasting in commodity markets using macro uncertainty," Energy Economics, Elsevier, volume 81, issue C, pages 79-94, DOI: 10.1016/j.eneco.2019.03.016.
• Cagli, Efe Caglar & Taskin, Dilvin & Evrim Mandaci, Pınar, 2019, "The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models," Energy Economics, Elsevier, volume 84, issue C, DOI: 10.1016/j.eneco.2019.104540.
• Zarnikau, J. & Woo, C.K. & Zhu, S. & Tsai, C.H., 2019, "Market price behavior of wholesale electricity products: Texas," Energy Policy, Elsevier, volume 125, issue C, pages 418-428, DOI: 10.1016/j.enpol.2018.10.043.
• Peña, Juan Ignacio & Rodríguez, Rosa, 2019, "Are EU's Climate and Energy Package 20-20-20 targets achievable and compatible? Evidence from the impact of renewables on electricity prices," Energy, Elsevier, volume 183, issue C, pages 477-486, DOI: 10.1016/j.energy.2019.06.138.
• Białkowski, Jędrzej & Perera, Devmali, 2019, "Stock index futures arbitrage: Evidence from a meta-analysis," International Review of Financial Analysis, Elsevier, volume 61, issue C, pages 284-294, DOI: 10.1016/j.irfa.2018.09.002.
• Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2019, "Are cash-flow betas really bad? Evidence from the Greater Chinese stock markets," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 58-68, DOI: 10.1016/j.irfa.2019.03.004.
• Nan, Zheng & Kaizoji, Taisei, 2019, "Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates," International Review of Financial Analysis, Elsevier, volume 64, issue C, pages 273-281, DOI: 10.1016/j.irfa.2019.06.003.
• Forte, Santiago & Lovreta, Lidija, 2019, "Volatility discovery: Can the CDS market beat the equity options market?," Finance Research Letters, Elsevier, volume 28, issue C, pages 107-111, DOI: 10.1016/j.frl.2018.04.015.
• Bai, Yujuan & Pan, Zhiyuan & Liu, Li, 2019, "Improving futures hedging performance using option information: Evidence from the S&P 500 index," Finance Research Letters, Elsevier, volume 28, issue C, pages 112-117, DOI: 10.1016/j.frl.2018.04.014.
• Ye, Wuyi & Guo, Ranran & Jiang, Ying & Liu, Xiaoquan & Deschamps, Bruno, 2019, "Professional macroeconomic forecasts and Chinese commodity futures prices," Finance Research Letters, Elsevier, volume 28, issue C, pages 130-136, DOI: 10.1016/j.frl.2018.04.011.
• Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019, "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, volume 28, issue C, pages 185-190, DOI: 10.1016/j.frl.2018.04.022.
• Xu, Guangli & Shao, Xinjian & Wang, Xingchun, 2019, "Analytical valuation of power exchange options with default risk," Finance Research Letters, Elsevier, volume 28, issue C, pages 265-274, DOI: 10.1016/j.frl.2018.05.007.
• Zhang, Chen & Yun, Po & Wagan, Zulfiqar Ali, 2019, "Study on the wandering weekday effect of the international carbon market based on trend moderation effect," Finance Research Letters, Elsevier, volume 28, issue C, pages 319-327, DOI: 10.1016/j.frl.2018.05.014.
• Martinez, Valeria & Tse, Yiuman, 2019, "The impact of tick-size reductions in foreign currency futures markets," Finance Research Letters, Elsevier, volume 28, issue C, pages 32-38, DOI: 10.1016/j.frl.2018.03.023.
• Pereira, Paulo J. & Rodrigues, Artur, 2019, "Investing in a random start American option under competition," Finance Research Letters, Elsevier, volume 28, issue C, pages 388-397, DOI: 10.1016/j.frl.2018.06.013.
• Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David, 2019, "Co-explosivity in the cryptocurrency market," Finance Research Letters, Elsevier, volume 29, issue C, pages 178-183, DOI: 10.1016/j.frl.2018.07.005.
• Bouri, Elie & Gupta, Rangan & Roubaud, David, 2019, "Herding behaviour in cryptocurrencies," Finance Research Letters, Elsevier, volume 29, issue C, pages 216-221, DOI: 10.1016/j.frl.2018.07.008.
• Bi, Hongwei & Wang, Guanying & Wang, Xingchun, 2019, "Valuation of catastrophe equity put options with correlated default risk and jump risk," Finance Research Letters, Elsevier, volume 29, issue C, pages 323-329, DOI: 10.1016/j.frl.2018.08.014.
• Wong, Alfred, 2019, "Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007–2015," Finance Research Letters, Elsevier, volume 29, issue C, pages 7-16, DOI: 10.1016/j.frl.2019.03.001.
• Ahn, Jung-Hyun & Six, Pierre, 2019, "A study of first generation commodity indices: Indices based on financial diversification," Finance Research Letters, Elsevier, volume 30, issue C, pages 194-200, DOI: 10.1016/j.frl.2018.09.013.
• Wu, Yu & Zhang, Tong, 2019, "Effects of change in commission fees on China futures market," Finance Research Letters, Elsevier, volume 31, issue C, pages 54-65, DOI: 10.1016/j.frl.2019.04.010.
• Lim, Kian Guan & Chen, Ying & Yap, Nelson K.L., 2019, "Intraday information from S&P 500 Index futures options," Journal of Financial Markets, Elsevier, volume 42, issue C, pages 29-55, DOI: 10.1016/j.finmar.2018.10.001.
• Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019, "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, volume 46, issue C, DOI: 10.1016/j.finmar.2019.100506.
• Marra, Miriam & Yu, Fan & Zhu, Lu, 2019, "The impact of trade reporting and central clearing on CDS price informativeness," Journal of Financial Stability, Elsevier, volume 43, issue C, pages 130-145, DOI: 10.1016/j.jfs.2019.07.002.
• Beißner, Patrick & Khan, M. Ali, 2019, "On Hurwicz–Nash equilibria of non-Bayesian games under incomplete information," Games and Economic Behavior, Elsevier, volume 115, issue C, pages 470-490, DOI: 10.1016/j.geb.2019.02.001.
• Hambardzumyan, Hayk & Korn, Ralf, 2019, "Dynamic hybrid products with guarantees—An optimal portfolio framework," Insurance: Mathematics and Economics, Elsevier, volume 84, issue C, pages 54-66, DOI: 10.1016/j.insmatheco.2018.11.005.
• Gatzert, Nadine, 2019, "An analysis of transaction costs in participating life insurance under mean–variance preferences," Insurance: Mathematics and Economics, Elsevier, volume 85, issue C, pages 185-197, DOI: 10.1016/j.insmatheco.2019.01.003.
• Ye, Jinchun, 2019, "Random distribution kernels and three types of defaultable contingent payoffs," Insurance: Mathematics and Economics, Elsevier, volume 85, issue C, pages 198-204, DOI: 10.1016/j.insmatheco.2019.01.004.
• van Bilsen, Servaas & Linders, Daniël, 2019, "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, volume 86, issue C, pages 19-42, DOI: 10.1016/j.insmatheco.2019.01.010.
• Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019, "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, volume 86, issue C, pages 43-50, DOI: 10.1016/j.insmatheco.2019.02.005.
• Qian, Linyi & Shen, Yang & Wang, Wei & Yang, Zhixin, 2019, "Valuation of risk-based premium of DB pension plan with terminations," Insurance: Mathematics and Economics, Elsevier, volume 86, issue C, pages 51-63, DOI: 10.1016/j.insmatheco.2019.01.012.
• Godin, Frédéric & Lai, Van Son & Trottier, Denis-Alexandre, 2019, "Option pricing under regime-switching models: Novel approaches removing path-dependence," Insurance: Mathematics and Economics, Elsevier, volume 87, issue C, pages 130-142, DOI: 10.1016/j.insmatheco.2019.04.006.
• Beer, Simone & Braun, Alexander & Marugg, Andrin, 2019, "Pricing industry loss warranties in a Lévy–Frailty framework," Insurance: Mathematics and Economics, Elsevier, volume 89, issue C, pages 171-181, DOI: 10.1016/j.insmatheco.2019.09.008.
• Chen, An & Rach, Manuel, 2019, "Options on tontines: An innovative way of combining tontines and annuities," Insurance: Mathematics and Economics, Elsevier, volume 89, issue C, pages 182-192, DOI: 10.1016/j.insmatheco.2019.10.004.
• Dong, Ming & Dutordoir, Marie & Veld, Chris, 2019, "How can we improve inferences from surveys? A new look at the convertible debt questions from the Graham and Harvey survey data," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 61, issue C, pages 213-222, DOI: 10.1016/j.intfin.2019.03.002.
• Hattori, Takahiro, 2019, "J-liquidity measure: The term structure of the liquidity premium in Japan," Japan and the World Economy, Elsevier, volume 49, issue C, pages 61-72, DOI: 10.1016/j.japwor.2018.08.005.
• Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019, "Hedging parameter risk," Journal of Banking & Finance, Elsevier, volume 100, issue C, pages 111-121, DOI: 10.1016/j.jbankfin.2019.01.003.
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