Research classified by Journal of Economic Literature (JEL) codes

---

Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G13: Contingent Pricing; Futures Pricing

2023

• Jiří Witzany & Milan Fičura, 2023. "Machine Learning Applications to Valuation of Options on Non-liquid Markets," FFA Working Papers 5.001, Prague University of Economics and Business, revised 24 Jan 2023.
• Kazuhiro Hiraki & George Skiadopoulos, 2023. "The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure," Working Papers 946, Queen Mary University of London, School of Economics and Finance.
• Farag, Markos & Jeddi, Samir & Kopp, Jan Hendrik, 2023. "Global Natural Gas Market Integration in the Face of Shocks: Evidence from the Dynamics Of European, Asian, and US Gas Futures Prices," EWI Working Papers 2023-3, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
• Mario Figueiredo & Yuri F. Saporito, 2023. "Forecasting the term structure of commodities future prices using machine learning," Digital Finance, Springer, vol. 5(1), pages 57-90, March.
• Zhuo Chen & Bo Yan & Hanwen Kang, 2023. "Price bubbles of agricultural commodities: evidence from China’s futures market," Empirical Economics, Springer, vol. 64(1), pages 195-222, January.
• Alessandro Doldi & Marco Frittelli, 2023. "Entropy martingale optimal transport and nonlinear pricing–hedging duality," Finance and Stochastics, Springer, vol. 27(2), pages 255-304, April.
• Hangsuck Lee & Seongjoo Song & Gaeun Lee, 2023. "Insurance guaranty premiums and exchange options," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
• Augusto Blanc-Blocquel & Luis Ortiz-Gracia & Rodolfo Oviedo, 2023. "Hedging At-the-money Digital Options Near Maturity," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-18, March.
• Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023. "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, vol. 27(1), pages 139-162, February.
• Maudud Hassan Uzzal & Robert Ślepaczuk, 2023. "The performance of time series forecasting based on classical and machine learning methods for S&P 500 index," Working Papers 2023-05, Faculty of Economic Sciences, University of Warsaw.
• Ian Dew-Becker & Stefano Giglio, 2023. "Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(2), pages 65-96, April.
• Akshaya Jha & Frank A. Wolak, 2023. "Can Forward Commodity Markets Improve Spot Market Performance? Evidence from Wholesale Electricity," American Economic Journal: Economic Policy, American Economic Association, vol. 15(2), pages 292-330, May.
• Alberto Fuertes Mendoza & Diana Posada, 2023. "La efectividad de los distintos tipos de activos como cobertura frente a la inflación," Boletín Económico, Banco de España, issue 2023/T1.
• Alberto Fuertes Mendoza, 2023. "The effectiveness of different asset types as a hedge against inflation," Economic Bulletin, Banco de España, issue 2023/Q1.
• Maik Schmeling & Andreas Schrimpf & Karamfil Todorov, 2023. "Crypto carry," BIS Working Papers 1087, Bank for International Settlements.
• Bachmair, K., 2023. "The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets," Cambridge Working Papers in Economics 2303, Faculty of Economics, University of Cambridge.
• Constantinos Kyriakopoulos & Alexandros Koulis & Gerasimos Varvounis, 2023. "Importance of the Contingent Claims Analysis in Detecting Banking Risks: Evidence from the Greek Bank Crisis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 12(2), pages 63-82.
• Reinders, Henk Jan & Van Dijk, Mathijs, 2023. "Climate Risk Stress Testing: A Conceptual Review," CEPR Discussion Papers 17921, C.E.P.R. Discussion Papers.
• Pérez, Rafaela & Ruiz, Jesús & Guinea, Laurentiu, 2023. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics 36916, Universidad Carlos III de Madrid. Departamento de Economía.
• Christopher E.S. WARBURTON & Jared PEMBERTON, 2023. "Volatile Financial Conditions, Asset Prices, and Investment Decisions: Analysis of daily data of DJIA and S&P500, from January to April of 2022," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 23(1), pages 101-124.
• Santoni, Alessandro & Rossignol, Ghislain & Akhouen, Richard, 2023. "Wind-down of bank trading books," Occasional Paper Series 316, European Central Bank.
• Maddalena Ghio & Linda Rousova & Dilyara Salakhova & Mr. German Villegas Bauer, 2023. "Derivative Margin Calls: A New Driver of MMF Flows," IMF Working Papers 2023/061, International Monetary Fund.
  • Ghio, Maddalena & Rousová, Linda & Salakhova, Dilyara & Bauer, Germán Villegas, 2023. "Derivative margin calls: a new driver of MMF flows," Working Paper Series 2800, European Central Bank.
• Frank Ranganai Matenda & Justin Chirima & Mabutho Sibanda, 2023. "Valuation of Corporate Debt and Equity in Uncertain Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 13(1), pages 7-12, January.
• Nigar Huseynli, 2023. "Causality between Selected Energy Companies’ Price Indexes and Barel Oil Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 235-240, January.
• Forte, Santiago & Lovreta, Lidija, 2023. "Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility," Journal of Corporate Finance, Elsevier, vol. 79(C).
• Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2023. "Partial quanto lookback options," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Jiang, Yonghong & Ao, Zhiming & Mo, Bin, 2023. "The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
• Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2023. "Macro uncertainty in the long run," Economics Letters, Elsevier, vol. 225(C).
• Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
• Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
• Qu, Hui & Li, Guo, 2023. "Multi-perspective investor attention and oil futures volatility forecasting," Energy Economics, Elsevier, vol. 119(C).
• Nishihara, Michi & Shibata, Takashi & Zhang, Chuanqian, 2023. "Corporate investment, financing, and exit model with an earnings-based borrowing constraint," International Review of Financial Analysis, Elsevier, vol. 85(C).
  • Michi NISHIHARA & Takashi SHIBATA & Chuanqian ZHANG, 2021. "Corporate investment, financing, and exit model with an earnings-based borrowing constraint," Discussion Papers in Economics and Business 21-13, Osaka University, Graduate School of Economics.
• Liu, Chunbo & Zhang, Xuan & Zhou, Zhiping, 2023. "Are commodity futures a hedge against inflation? A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
• Feng, Ling & Wang, Jieyu, 2023. "Random sources correlations and carbon futures pricing," International Review of Financial Analysis, Elsevier, vol. 86(C).
• Grobys, Klaus, 2023. "Correlation versus co-fractality: Evidence from foreign-exchange-rate variances," International Review of Financial Analysis, Elsevier, vol. 86(C).
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2023. "Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing," International Review of Financial Analysis, Elsevier, vol. 87(C).
• Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023. "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, vol. 52(C).
• Lian, Yu-Min & Chen, Jun-Home, 2023. "Valuation of chooser options with state-dependent risks," Finance Research Letters, Elsevier, vol. 52(C).
• Peña, Juan Ignacio, 2023. "The hedging effectiveness of electricity futures in the Spanish market," Finance Research Letters, Elsevier, vol. 53(C).
• Kim, Hwa-Sung, 2023. "Forced conversion to Chapter 7 bankruptcy and optimal financial decisions," Finance Research Letters, Elsevier, vol. 54(C).
• Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo & Lee, Minha, 2023. "Pricing multi-step double barrier options by the efficient non-crossing probability," Finance Research Letters, Elsevier, vol. 54(C).
• Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
• Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
• Leshem, Shmuel & Tabbach, Avraham, 2023. "The option value of record-based sanctions," Games and Economic Behavior, Elsevier, vol. 137(C), pages 1-22.
• Chen, Xiangyu & Tongurai, Jittima, 2023. "Informational linkage and price discovery between China's futures and spot markets: Evidence from the US–China trade dispute," Global Finance Journal, Elsevier, vol. 55(C).
• Zhang, Hanyu & Assereto, Martina & Byrne, Julie, 2023. "Deferring real options with solar renewable energy certificates," Global Finance Journal, Elsevier, vol. 55(C).
• Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
• Jacobs, Kris & Li, Bingxin, 2023. "Option Returns, Risk Premiums, and Demand Pressure in Energy Markets," Journal of Banking & Finance, Elsevier, vol. 146(C).
• Oh, Dong Hwan & Park, Yang-Ho, 2023. "GARCH option pricing with volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 146(C).
• Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Yang, J. Jimmy, 2023. "Intraday momentum in the VIX futures market," Journal of Banking & Finance, Elsevier, vol. 148(C).
• Fan, Zaifeng & Jump, Jeff & Tse, Yiuman & Yu, Linda, 2023. "Volatility in US dairy futures markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
• Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
• Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
• Song, Shiyu & Tang, Dan & Xu, Guangli & Yin, Xunbai, 2023. "An analytical GARCH valuation model for spread options with default risk," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 1-20.
• Sun, Hang & Bos, Jaap.W.B. & Rodrigues, Paulo, 2023. "Destabilizing or passive? The impact of commodity index traders on equilibrium prices," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 271-285.
• Orte, Francisco & Mira, José & Sánchez, María Jesús & Solana, Pablo, 2023. "A random forest-based model for crypto asset forecasts in futures markets with out-of-sample prediction," Research in International Business and Finance, Elsevier, vol. 64(C).
• Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
• Riko Hendrawan, 2023. "Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021 ," GATR Journals jfbr208, Global Academy of Training and Research (GATR) Enterprise.
• Riko Hendrawan, 2023. "Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy," GATR Journals jfbr209, Global Academy of Training and Research (GATR) Enterprise.
• Ghio, Maddalena & Rousová, Linda & Salakhova, Dilyara & Bauer, Germán Villegas, 2023. "Derivative margin calls: a new driver of MMF flows," Working Paper Series 2800, European Central Bank.
  • Maddalena Ghio & Linda Rousova & Dilyara Salakhova & Mr. German Villegas Bauer, 2023. "Derivative Margin Calls: A New Driver of MMF Flows," IMF Working Papers 2023/061, International Monetary Fund.
• Dorsaf Cherif & Emmanuel Lépinette, 2023. "No-arbitrage conditions and pricing from discrete-time to continuous-time strategies," Annals of Finance, Springer, vol. 19(2), pages 141-168, June.
• Daniel Suescún-Díaz & Luis Eduardo Girón, 2023. "Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1545-1560, April.
• Ziming Dong & Dan Tang & Xingchun Wang, 2023. "Pricing vulnerable basket spread options with liquidity risk," Review of Derivatives Research, Springer, vol. 26(1), pages 23-50, April.
• Sheng-Feng Luo & Hsin-Chieh Wong, 2023. "Continuity correction: on the pricing of discrete double barrier options," Review of Derivatives Research, Springer, vol. 26(1), pages 51-90, April.
• Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023. "Hedging cryptocurrency options," Review of Derivatives Research, Springer, vol. 26(1), pages 91-133, April.
• Julian Kaboth & Arnd Lodowicks & Maximilian Schreiter & Bernhard Schwetzler, 2023. "Same same but different: how preferential claims trigger valuation discounts in equity tranches of VC-backed firms," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 877-914, April.
• Mark Grinblatt & Gergana Jostova & Alexander Philipov, 2023. "Analyst Bias and Mispricing," NBER Working Papers 31094, National Bureau of Economic Research, Inc.
• Stefano Giglio & Bryan T. Kelly & Serhiy Kozak, 2023. "Equity Term Structures without Dividend Strips Data," NBER Working Papers 31119, National Bureau of Economic Research, Inc.
• David Hirshleifer & Dat Y. Mai & Kuntara Pukthuanthong, 2023. "War Discourse and Disaster Premia: 160 Years of Evidence from Stock and Bond Markets," NBER Working Papers 31204, National Bureau of Economic Research, Inc.
• C Alan Bester & Victor H Martinez & Ioanid Roşu, 2023. "Option Prices and the Probability of Success of Cash Mergers [Empirical Performance of Alternative Option Pricing Models]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 21(1), pages 145-186.
• Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium [Volatility of aggregate volatility and hedge fund returns]," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.

2022

• Ole Linnemann Nielsen & Anders Merrild Posselt, 2022. "Betting on mean reversion in the VIX? Evidence from ETP flows," CREATES Research Papers 2022-06, Department of Economics and Business Economics, Aarhus University.
• Ignacia Mercadal, 2022. "Dynamic Competition and Arbitrage in Electricity Markets: The Role of Financial Players," American Economic Journal: Microeconomics, American Economic Association, vol. 14(3), pages 665-699, August.
• David S. Bates, 2022. "Empirical Option Pricing Models," Annual Review of Financial Economics, Annual Reviews, vol. 14(1), pages 369-389, November.
• Gurdip Bakshi & Xiaohui Gao & Zhaodong Zhong, 2022. "Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods," Annual Review of Financial Economics, Annual Reviews, vol. 14(1), pages 391-413, November.
• Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022. "Derivatives-based portfolio decisions: an expected utility insight," Annals of Finance, Springer, vol. 18(2), pages 217-246, June.
  • Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022. "Derivatives-based portfolio decisions. An expected utility insight," Papers 2201.03717, arXiv.org.
• H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
  • H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers 2210.06217, arXiv.org.
• Ms. Deniz O Igan & Mr. Taehoon Kim & Antoine Levy, 2021. "The Premia on State-Contingent Sovereign Debt Instruments," IMF Working Papers 2021/282, International Monetary Fund.
  • Deniz Igan & Taehoon Kim & Antoine Levy, 2022. "The premia on state-contingent sovereign debt instruments," BIS Working Papers 988, Bank for International Settlements.
  • Kim, Taehoon & Levy, Antoine, 2021. "The Premia on State-Contingent Sovereign Debt Instruments," CEPR Discussion Papers 16795, C.E.P.R. Discussion Papers.
• Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022. "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, vol. 77(6), pages 3093-3140, December.
  • Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2019. "The Two-Pillar Policy for the RMB," FRB Atlanta Working Paper 2019-8, Federal Reserve Bank of Atlanta.
• Michail Nektarios A. & Melas Konstantinos D., 2022. "Geopolitical Risk and the LNG-LPG Trade," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 28(3), pages 243-265, September.
• Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Finance, Presses universitaires de Grenoble, vol. 43(1), pages 123-150.
  • Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Post-Print hal-03672691, HAL.
• David Anderson & Urban Ulrych, 2022. "Accelerated American Option Pricing with Deep Neural Networks," Swiss Finance Institute Research Paper Series 22-03, Swiss Finance Institute.
• Andrea Barbon & Heiner Beckmeyer & Andrea Buraschi & Mathis Moerke, 2022. "Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices," Swiss Finance Institute Research Paper Series 22-40, Swiss Finance Institute.
• Walter Farkas & Francesco Ferrari & Urban Ulrych, 2022. "Pricing Autocallables under Local-Stochastic Volatility," Swiss Finance Institute Research Paper Series 22-71, Swiss Finance Institute.
• Jose Luis Ferreira & Praveen Kujal & Stephen Rassenti, 2022. "The no-arbitrage hypothesis and inertia in forward markets," Working Papers 22:02, Chapman University, Economic Science Institute.
• José Gabriel Astaiza Gómez & Camilo Andrés Pérez Pacheco, 2022. "Equity Analyst Reports and Stock Prices," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 41(73), pages 43-62, February.
• Hilscher, Jens & Raviv, Alon, 2022. "How likely is an inflation disaster?," CEPR Discussion Papers 17224, C.E.P.R. Discussion Papers.
• Michael Florig & Olivier Gossner, 2023. "Unintented consequences of German stock delisting legislation," Working Papers 2023-01, Center for Research in Economics and Statistics.
• Jinzhong Wang & Hong Zhong & Zhenjie Yu, 2022. "Inter-Variety Equilibrium of Chinese Treasury Futures," Credit and Capital Markets – Kredit und Kapital, Duncker & Humblot, Berlin, vol. 55(2), pages 261-289.
• Heike Joebges & Hansjörg Herr & Christian Kellermann, 2022. "Kryptoassets als Herausforderung für Finanzmarktstabilität," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 91(4), pages 25-41.
• Adachi, Mitsu & Da Silva, Pedro Bento Pereira & Born, Alexandra & Cappuccio, Massimo & Czák-Ludwig, Stephanie & Gschossmann, Isabella & Pellicani, Antonella & Plooij, Mirjam & Paula, Georg & Philipps,, 2022. "Stablecoins’ role in crypto and beyond: functions, risks and policy," Macroprudential Bulletin, European Central Bank, vol. 18.
• Jukonis, Audrius, 2022. "Evaluating market risk from leveraged derivative exposures," Working Paper Series 2722, European Central Bank.
• Jukonis, Audrius & Letizia, Elisa & Rousová, Linda, 2022. "The impact of derivatives collateralisation on liquidity risk: evidence from the investment fund sector," Working Paper Series 2756, European Central Bank.
• Furtuna, Oana & Grassi, Alberto & Ianiro, Annalaura & Kallage, Kristina & Koci, Robert & Lenoci, Francesca & Sowiński, Andrzej & Vacirca, Francesco, 2022. "Financial stability risks from energy derivatives markets," Financial Stability Review, European Central Bank, vol. 2.
• Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
• Ayben Koy, 2022. "Regime Switching Mechanism during Energy Futures’ Price Bubbles," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 373-382.
• Chiah, Mardy & Tian, Xiao & Zhong, Angel, 2022. "Lockdown and retail trading in the equity market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
• Nagula, Pavan Kumar & Alexakis, Christos, 2022. "A new hybrid machine learning model for predicting the bitcoin (BTC-USD) price," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
• Zaevski, Tsvetelin S., 2022. "Pricing discounted American capped options," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
• Xie, Yurong & Deng, Guohe, 2022. "Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
• Biguri, Kizkitza & Brownlees, Christian & Ippolito, Filippo, 2022. "Corporate hedging and the variance of stock returns," Journal of Corporate Finance, Elsevier, vol. 72(C).
• Gan, Liu & Xia, Xin & Zhang, Hai, 2022. "Debt structure and debt overhang," Journal of Corporate Finance, Elsevier, vol. 74(C).
• Betton, Sandra & El Meslmani, Nabil & Switzer, Lorne N., 2022. "Volatility of implied volatility and mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 75(C).
• Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
• Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022. "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
• Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022. "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
• Chen, Jilong & Xu, Liao & Xu, Hao, 2022. "The impact of COVID-19 on commodity options market: Evidence from China," Economic Modelling, Elsevier, vol. 116(C).
• Wang, Guanying & Wang, Xingchun & Shao, Xinjian, 2022. "Exchange options for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
• Wang, Xingchun & Zhang, Han, 2022. "Pricing basket spread options with default risk under Heston–Nandi GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
• Wang, Xingchun, 2022. "Pricing vulnerable options with stochastic liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
• Lee, Hangsuck & Kim, Eunchae & Ko, Bangwon, 2022. "Valuing lookback options with barrier," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
• Lee, Hangsuck & Choi, Yang Ho & Lee, Gaeun, 2022. "Multi-step barrier products and static hedging," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
• Chen, Jun-Home & Lian, Yu-Min & Liao, Szu-Lang, 2022. "Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
• Lee, Hangsuck & Lee, Minha & Ko, Bangwon, 2022. "A semi-analytic valuation of two-asset barrier options and autocallable products using Brownian bridge," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
• Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh & Liu, Liang-Chih & Chen, Yu-Ting, 2022. "Option pricing with the control variate technique beyond Monte Carlo simulation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
• Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022. "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
• Foley, Sean & Li, Simeng & Malloch, Hamish & Svec, Jiri, 2022. "What is the expected return on Bitcoin? Extracting the term structure of returns from options prices," Economics Letters, Elsevier, vol. 210(C).
• Li, Jianhui & Ruan, Xinfeng & Zhang, Jin E., 2022. "The price of COVID-19-induced uncertainty in the options market," Economics Letters, Elsevier, vol. 211(C).
• van Wijnbergen, Sweder, 2022. "Lockdowns as options," Economics Letters, Elsevier, vol. 214(C).
  • S.J.G. van Wijnbergen, 2021. "Lockdowns as options," Tinbergen Institute Discussion Papers 21-037/IV, Tinbergen Institute.
• Kleppe, Tore Selland & Liesenfeld, Roman & Moura, Guilherme Valle & Oglend, Atle, 2022. "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Econometrics and Statistics, Elsevier, vol. 23(C), pages 105-127.
• Silaghi, Florina & Moraux, Franck, 2022. "Trade credit contracts: Design and regulation," European Journal of Operational Research, Elsevier, vol. 296(3), pages 980-992.
  • Florina Silaghi & Franck Moraux, 2022. "Trade credit contracts: Design and regulation," Post-Print hal-03268865, HAL.
• Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
• Shen, Haomin & Cheng, Xiaoke & Ouyang, Caiyue & Li, Ya & Chan, Kam C., 2022. "Does share pledging affect firms' use of derivatives? Evidence from China," Emerging Markets Review, Elsevier, vol. 50(C).
• Li, Yang & Brooks, Robert, 2022. "Evidence of arbitrage trading activity: The case of Chinese metal futures contracts," Emerging Markets Review, Elsevier, vol. 51(PB).
• Brøgger, Søren Bundgaard, 2022. "Dynamic risk management and asset comovement," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 60-77.
• Lin, Hai & Tao, Xinyuan & Wu, Chunchi, 2022. "Forecasting earnings with combination of analyst forecasts," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 133-159.
• Gu, Chen & Chen, Denghui & Stan, Raluca & Shen, Aizhong, 2022. "It is not just What you say, but How you say it: Why tonality matters in central bank communication," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 216-231.
• Ignatieva, Katja & Wong, Patrick, 2022. "Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models," Energy Economics, Elsevier, vol. 108(C).
• Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 109(C).
• Bonaldo, Cinzia & Caporin, Massimiliano & Fontini, Fulvio, 2022. "The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland," Energy Economics, Elsevier, vol. 110(C).
  • Cinzia Bonaldo & Massimiliano Caporin & Fulvio Fontini, 2021. "The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland," "Marco Fanno" Working Papers 0272, Dipartimento di Scienze Economiche "Marco Fanno".
• Detemple, Jerome & Kitapbayev, Yerkin, 2022. "Optimal technology adoption for power generation," Energy Economics, Elsevier, vol. 111(C).
• Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Boubaker, Sabri & Mirza, Nawazish, 2022. "The power play of natural gas and crude oil in the move towards the financialization of the energy market," Energy Economics, Elsevier, vol. 112(C).
• Guiotto, Paolo, 2022. "A note on the spot-forward parity under stochastic cost of carry," Energy Economics, Elsevier, vol. 112(C).
• Kemper, Annika & Schmeck, Maren Diane & Kh.Balci, Anna, 2022. "The market price of risk for delivery periods: Pricing swaps and options in electricity markets," Energy Economics, Elsevier, vol. 113(C).
• Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The growth of oil futures in China: Evidence of market maturity through global crises," Energy Economics, Elsevier, vol. 114(C).
• Mustanen, Dmitri & Maaitah, Ahmad & Mishra, Tapas & Parhi, Mamata, 2022. "The power of investors’ optimism and pessimism in oil market forecasting," Energy Economics, Elsevier, vol. 114(C).
• Crosby, John & Frau, Carme, 2022. "Jumps in commodity prices: New approaches for pricing plain vanilla options," Energy Economics, Elsevier, vol. 114(C).
• Alturki, Sultan & Olson, Eric, 2022. "Oil sentiment and the U.S. inflation premium," Energy Economics, Elsevier, vol. 114(C).
• Ewald, Christian-Oliver & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Wu, Yuexiang, 2022. "Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?," Energy Economics, Elsevier, vol. 115(C).
• Chen, Shi & Huang, Fu-Wei & Lin, Jyh-Horng, 2022. "Life insurance policyholder protection, government green subsidy, and cap-and-trade transactions in a black swan environment," Energy Economics, Elsevier, vol. 115(C).
• Borghesi, S. & Castellini, M. & Comincioli, N. & Donadelli, M. & Gufler, I. & Vergalli, S., 2022. "European green policy announcements and sectoral stock returns," Energy Policy, Elsevier, vol. 166(C).
• Peña, Juan Ignacio & Rodríguez, Rosa & Mayoral, Silvia, 2022. "Cannibalization, depredation, and market remuneration of power plants," Energy Policy, Elsevier, vol. 167(C).
• Wang, Jianli & Qiu, Shushu & Yick, Ho Yin, 2022. "The influence of the Shanghai crude oil futures on the global and domestic oil markets," Energy, Elsevier, vol. 245(C).
• Bissoondoyal-Bheenick, Emawtee & Do, Hung & Hu, Xiaolu & Zhong, Angel, 2022. "Sentiment and stock market connectedness: Evidence from the U.S. – China trade war," International Review of Financial Analysis, Elsevier, vol. 80(C).
• Vedenov, Dmitry & Power, Gabriel J., 2022. "We don't need no fancy hedges! Or do we?," International Review of Financial Analysis, Elsevier, vol. 81(C).
• Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
• Dang, Man & Puwanenthiren, Premkanth & Truong, Cameron & Henry, Darren & Vo, Xuan Vinh, 2022. "Audit quality and seasoned equity offerings methods," International Review of Financial Analysis, Elsevier, vol. 83(C).
• Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
• Dutordoir, Marie & Merkoulova, Yulia & Veld, Chris, 2022. "How do investors perceive convertible bond issuing decisions?," Finance Research Letters, Elsevier, vol. 44(C).
• Wang, Heqian & Zhang, Jiayi & Zhou, Ke, 2022. "On pricing of vulnerable barrier options and vulnerable double barrier options," Finance Research Letters, Elsevier, vol. 44(C).
• Hattori, Takahiro, 2022. "Information content and market liquidity in the fixed income market: Evidence from the swaption market," Finance Research Letters, Elsevier, vol. 45(C).
• Bae, Kwangil & Lee, Soonhee, 2022. "Prices of derivative warrants considering their market characteristics and short-selling costs of underlying assets," Finance Research Letters, Elsevier, vol. 45(C).
• Guo, Zi-Yi, 2022. "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, vol. 45(C).
• Lian, Yu-Min & Chen, Jun-Home, 2022. "Foreign exchange option pricing under regime switching with asymmetrical jumps," Finance Research Letters, Elsevier, vol. 46(PA).
• Taussig, Roi D., 2022. "Market prices, analysts' predictions, and Covid19," Finance Research Letters, Elsevier, vol. 46(PA).
• Chiah, Mardy & Hu, Xiaolu & Zhong, Angel, 2022. "Photo sentiment and stock returns around the world," Finance Research Letters, Elsevier, vol. 46(PB).
• Yu, Bo & Zhu, Hongmei & Wu, Ping, 2022. "The closed-form approximation to price basket options under stochastic interest rate," Finance Research Letters, Elsevier, vol. 46(PB).
• Lee, Hangsuck & Jeong, Himchan & Lee, Minha, 2022. "Multi-step double barrier options," Finance Research Letters, Elsevier, vol. 47(PA).
• Zhang, Chuanhai & Chen, Haicui & Peng, Zhe, 2022. "Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models," Finance Research Letters, Elsevier, vol. 47(PB).
• Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
• Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2022. "Foreign equity lookback options with guarantees," Finance Research Letters, Elsevier, vol. 48(C).
• Hui, Cho-Hoi & Wong, Andrew & Lo, Chi-Fai, 2022. "A note on modelling yield curve control: A target-zone approach," Finance Research Letters, Elsevier, vol. 49(C).
• van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Finance Research Letters, Elsevier, vol. 49(C).
• Fan, Qingqian & Feng, Sixian, 2022. "An empirical study on the characterization of implied volatility and pricing in the Chinese option market," Finance Research Letters, Elsevier, vol. 49(C).
• Yousaf, Imran & Yarovaya, Larisa, 2022. "Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets," Finance Research Letters, Elsevier, vol. 50(C).
• Gan, Liu & Xia, Xin, 2022. "SME financing with a combination contract of investment and guarantee," Finance Research Letters, Elsevier, vol. 50(C).
• Zhou, Yi, 2022. "Option trading volume by moneyness, firm fundamentals, and expected stock returns," Journal of Financial Markets, Elsevier, vol. 58(C).
• Kaeck, Andreas & van Kervel, Vincent & Seeger, Norman J., 2022. "Price impact versus bid–ask spreads in the index option market," Journal of Financial Markets, Elsevier, vol. 59(PA).
• Hauser, Shmuel & Kedar-Levy, Haim & Milo, Orit, 2022. "Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation," Journal of Financial Markets, Elsevier, vol. 59(PA).
• Chen, Xi & Wang, Junbo & Wu, Chunchi, 2022. "Jump and volatility risk in the cross-section of corporate bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
• Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2022. "The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing," Journal of Financial Stability, Elsevier, vol. 58(C).
• Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022. "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, vol. 52(C).
• Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
• Lockwood, Jimmy & Lockwood, Larry & Miao, Hong & Ramchander, Sanjay & Yang, Dongxiao, 2022. "The information content of ETF options," Global Finance Journal, Elsevier, vol. 53(C).
• Hu, May & Park, Jason & Chen, Jane & Verhoevenc, Peter, 2022. "Cross-market informed trading in the CDS and option markets," Global Finance Journal, Elsevier, vol. 54(C).
• Huang, Yiming & Mamon, Rogemar & Xiong, Heng, 2022. "Valuing guaranteed minimum accumulation benefits by a change of numéraire approach," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 1-26.
• Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih, 2022. "Modeling pandemic mortality risk and its application to mortality-linked security pricing," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 341-363.
• Chen, An & Chen, Yusha & Xu, Xian, 2022. "Care-dependent tontines," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 69-89.
• Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.
• Chen, Jing & Han, Qian & Ryu, Doojin & Tang, Jing, 2022. "Does the world smile together? A network analysis of global index option implied volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
• Grobys, Klaus & Dufitinema, Josephine & Sapkota, Niranjan & Kolari, James W., 2022. "What’s the expected loss when Bitcoin is under cyberattack? A fractal process analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
• Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
• Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
• Jacobs, Kris & Li, Yu & Pirrong, Craig, 2022. "Supply, demand, and risk premiums in electricity markets," Journal of Banking & Finance, Elsevier, vol. 135(C).
• Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2022. "The Correlation Risk Premium: International Evidence," Journal of Banking & Finance, Elsevier, vol. 136(C).
• Ye, Xiaoxia & Yu, Fan & Zhao, Ran, 2022. "Credit derivatives and corporate default prediction," Journal of Banking & Finance, Elsevier, vol. 138(C).
• Silaghi, Florina & Martín-Oliver, Alfredo & Sewaid, Ahmed, 2022. "The CDS market reaction to loan renegotiation announcements," Journal of Banking & Finance, Elsevier, vol. 138(C).
• Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).
• Backwell, Alex & Hayes, Joshua, 2022. "Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition," Journal of Banking & Finance, Elsevier, vol. 145(C).
• Gruenthaler, Thomas & Lorenz, Friedrich & Meyerhof, Paul, 2022. "Option-based intermediary leverage," Journal of Banking & Finance, Elsevier, vol. 145(C).
• de Jong, Johan & Sonnemans, Joep & Tuinstra, Jan, 2022. "The effect of futures markets on the stability of commodity prices," Journal of Economic Behavior & Organization, Elsevier, vol. 198(C), pages 176-211.
  • Johan de Jong & Joep Sonnemans & Jan Tuinstra, "undated". "The Effect of Futures Markets on the Stability of Commodity Prices," Tinbergen Institute Discussion Papers 19-028/II, Tinbergen Institute.
• Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.
• Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022. "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, vol. 203(C).
• Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022. "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, vol. 143(1), pages 527-549.
• Büchner, Matthias & Kelly, Bryan, 2022. "A factor model for option returns," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1140-1161.
• Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
• Chen, Zhiyao & Hackbarth, Dirk & Strebulaev, Ilya A., 2022. "A unified model of distress risk puzzles," Journal of Financial Economics, Elsevier, vol. 146(2), pages 357-384.
• McWalter, Thomas A. & Ritchken, Peter H., 2022. "On stock-based loans," Journal of Financial Intermediation, Elsevier, vol. 52(C).
• Goswami, Alankrita & Adjemian, Michael K. & Karali, Berna, 2022. "The impact of futures contract storage rate policy on convergence expectations in domestic commodity markets," Food Policy, Elsevier, vol. 111(C).
• Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
• Fan, John Hua & Mo, Di & Zhang, Tingxi, 2022. "The “necessary evil” in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
• Jia, Jian & Kang, Sang Baum, 2022. "Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME," Journal of Commodity Markets, Elsevier, vol. 25(C).
• Batista Soares, David & Borocco, Etienne, 2022. "Rational destabilization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
• Phan, Hoàng-Long & Zurbruegg, Ralf & Brockman, Paul & Yu, Chia-Feng (Jeffrey), 2022. "Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information," Journal of Commodity Markets, Elsevier, vol. 26(C).
• Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2022. "Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing," Journal of Commodity Markets, Elsevier, vol. 26(C).
• Yang, Yao & Karali, Berna, 2022. "How far is too far for volatility transmission?," Journal of Commodity Markets, Elsevier, vol. 26(C).
• Dai, Peng-Fei & Xiong, Xiong & Duc Huynh, Toan Luu & Wang, Jiqiang, 2022. "The impact of economic policy uncertainties on the volatility of European carbon market," Journal of Commodity Markets, Elsevier, vol. 26(C).
• Ronn, Ehud I., 2022. "Commodity market indicators of a 2023 Texas winter freeze," Journal of Commodity Markets, Elsevier, vol. 27(C).
• Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).
• Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022. "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
• Owusu Junior, Peterson & Tiwari, Aviral Kumar & Tweneboah, George & Asafo-Adjei, Emmanuel, 2022. "GAS and GARCH based value-at-risk modeling of precious metals," Resources Policy, Elsevier, vol. 75(C).
• Shaikh, Imlak & Vallabh, Priyanka, 2022. "Monetary policy uncertainty and gold price in India: Evidence from Reserve Bank of India's Monetary Policy Committee (MPC) review," Resources Policy, Elsevier, vol. 76(C).
• Maghyereh, Aktham & Awartani, Basel & Virk, Nader S., 2022. "Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices," Resources Policy, Elsevier, vol. 79(C).
• Agarwal, Sumit & Ambrose, Brent W. & Diop, Moussa, 2022. "Minimum wage increases and eviction risk," Journal of Urban Economics, Elsevier, vol. 129(C).
• Koussis, Nicos & Martzoukos, Spiros H., 2022. "Credit line pricing under heterogeneous risk beliefs," International Journal of Production Economics, Elsevier, vol. 243(C).
• DeLisle, R. Jared & Diavatopoulos, Dean & Fodor, Andy & Kassa, Haimanot, 2022. "Variation in option implied volatility spread and future stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 152-160.
• Qadan, Mahmoud & Nisani, Doron & Eichel, Ron, 2022. "Irregularities in forward-looking volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 489-501.
• Sensoy, Ahmet & Omole, John, 2022. "Information content of order imbalance in the index options market," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 418-432.
• Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
• Chai, Daniel & Chiah, Mardy & Zhong, Angel & Li, Bob, 2022. "Another look at sources of momentum profits," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 310-323.
• Hu, May & Narayan, Paresh & Park, Jason & Verhoeven, Peter, 2022. "Informed trading in the CDS and OTM put option markets," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 353-367.
• Lin, Jyh-Horng & Li, Xuelian & Lin, Panpan, 2022. "Could we rely on credit swap hedging as a substitute for insurer blockchain technology involvement?," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 266-281.
• Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
• Bosch, David & Smimou, K., 2022. "Traders’ motivation and hedging pressure in commodity futures markets," Research in International Business and Finance, Elsevier, vol. 59(C).
• Liu, Wenwen & Gui, Yiming & Qiao, Gaoxiu, 2022. "Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic," Research in International Business and Finance, Elsevier, vol. 61(C).
• Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
• Chen, Yan & Qiao, Gaoxiu & Zhang, Feipeng, 2022. "Oil price volatility forecasting: Threshold effect from stock market volatility," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
• Pavel V. Gapeev & Peter M. Kort & Maria N. Lavrutich & Jacco J. J. Thijssen, 2022. "Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 789-813, June.
  • Gapeev, Pavel V. & Kort, Peter M. & Lavrutich, Maria N. & Thijssen, Jacco J. J., 2022. "Optimal double stopping problems for maxima and minima of geometric Brownian motions," LSE Research Online Documents on Economics 114849, London School of Economics and Political Science, LSE Library.
• Song Cao & Ziran Li & Kees G. Koedijk & Xiang Gao, 2022. "The emotional cost-of-carry: Chinese investor sentiment and equity index futures basis," China Finance Review International, Emerald Group Publishing Limited, vol. 12(3), pages 451-476, January.
• Song Cao & Ziran Li & Kees G. Koedijk & Xiang Gao, 2022. "The emotional cost-of-carry: Chinese investor sentiment and equity index futures basis," China Finance Review International, Emerald Group Publishing Limited, vol. 12(3), pages 451-476, January.
• Simarjeet Singh & Nidhi Walia & Stelios Bekiros & Arushi Gupta & Jigyasu Kumar & Amar Kumar Mishra, 2022. "Risk-managed time-series momentum: an emerging economy experience," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 27(54), pages 328-343, November.
• Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.
• Pablo D. Azar & Garth Baughman & Francesca Carapella & Jacob Gerszten & Arazi Lubis & JP Perez-Sangimino & David E. Rappoport & Chiara Scotti & Nathan Swem & Alexandros Vardoulakis & Aurite Werman, 2022. "The Financial Stability Implications of Digital Assets," Staff Reports 1034, Federal Reserve Bank of New York.
  • Garth Baughman & Francesca Carapella & David E. Rappoport & Chiara Scotti & Nathan Swem & Alexandros Vardoulakis, 2022. "The Financial Stability Implications of Digital Assets," Finance and Economics Discussion Series 2022-058, Board of Governors of the Federal Reserve System (U.S.).
• Ron Alquist & Karlye Dilts Stedman & Robert Jay Kahn, 2022. "Foreign Reserve Management and U.S. Money Market Liquidity: A Cost of Exorbitant Privilege," Research Working Paper RWP 22-08, Federal Reserve Bank of Kansas City.
• Daniel Erpriandy Maharsasi, 2022. "Testing Black Scholes and Garch Model Options on Gold Price Index With Long Strangle Strategy Using 1985-2020 Data ," GATR Journals jfbr207, Global Academy of Training and Research (GATR) Enterprise.
• Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Finance, Presses universitaires de Grenoble, vol. 43(1), pages 123-150.
  • Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Post-Print hal-03672691, HAL.
• Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Finance, Presses universitaires de Grenoble, vol. 43(1), pages 123-150.
  • Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Post-Print hal-03672691, HAL.
  • Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Post-Print hal-03679694, HAL.
• Stéphane Crépey, 2022. "Positive XVAs," Post-Print hal-03910135, HAL.
• Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2022. "Quantitative Reverse Stress Testing, Bottom Up," Working Papers hal-03910136, HAL.
• Herbertsson, Alexander, 2022. "Saddlepoint approximations for credit portfolios with stochastic recoveries," Working Papers in Economics 823, University of Gothenburg, Department of Economics.
• Gastón Silverio Milanesi, 2022. "Opciones reales secuenciales cuadrinomiales y volatilidad cambiante: incertidumbres tecnológicas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-26, Enero - M.
• Miguel Antonio Alba Suarez & Miguel Ángel Alba Acosta & David Camilo Alba Acosta, 2022. "Estimación bayesiana del modelo de difusión con saltos de Merton," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(2), pages 1-32, Abril - J.
• Olga Dodd & Adrian Fernandez-Perez & Simon Sosvilla-Rivero, 2022. ""Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine"," IREA Working Papers 202204, University of Barcelona, Research Institute of Applied Economics, revised Apr 2022.
• Gero Junike & Wim Schoutens & Hauke Stier, 2022. "Performance of advanced stock price models when it becomes exotic: an empirical study," Annals of Finance, Springer, vol. 18(1), pages 109-119, March.
• Xiaodong Chen & Tim Leung & Yang Zhou, 2022. "Constrained dynamic futures portfolios with stochastic basis," Annals of Finance, Springer, vol. 18(1), pages 1-33, March.
• Katsushi Nakajima, 2022. "Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield," Annals of Finance, Springer, vol. 18(1), pages 35-80, March.
• Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022. "Derivatives-based portfolio decisions: an expected utility insight," Annals of Finance, Springer, vol. 18(2), pages 217-246, June.
  • Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022. "Derivatives-based portfolio decisions. An expected utility insight," Papers 2201.03717, arXiv.org.
• Weidong Tian & Zimu Zhu, 2022. "A portfolio choice problem under risk capacity constraint," Annals of Finance, Springer, vol. 18(3), pages 285-326, September.
• Giovanni Villani, 2022. "A Neural Network Approach to Value R&D Compound American Exchange Option," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 305-324, June.
• Peter Sinka & Peter J. Zeitsch, 2022. "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1375-1412, December.
• Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
• Pavan Kumar Nagula & Christos Alexakis, 2022. "A Novel Machine Learning Approach for Predicting the NIFTY50 Index in India," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 28(3), pages 155-170, November.
• Xingchun Wang, 2022. "Valuing fade-in options with default risk in Heston–Nandi GARCH models," Review of Derivatives Research, Springer, vol. 25(1), pages 1-22, April.
• Zonggang Ma & Chaoqun Ma & Zhijian Wu, 2022. "Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods," Review of Derivatives Research, Springer, vol. 25(1), pages 47-91, April.
• Kazuhiro Takino, 2022. "The impact of non-cash collateralization on the over-the-counter derivatives markets," Review of Derivatives Research, Springer, vol. 25(2), pages 137-171, July.
• Pakorn Aschakulporn & Jin E. Zhang, 2022. "Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach," Review of Derivatives Research, Springer, vol. 25(3), pages 233-281, October.
• Matthias Muck, 2022. "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities," Review of Derivatives Research, Springer, vol. 25(3), pages 293-314, October.
• Philip Stahl, 2022. "Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index," Review of Derivatives Research, Springer, vol. 25(3), pages 315-339, October.
• Liang-Chih Liu & Chun-Yuan Chiu & Chuan-Ju Wang & Tian-Shyr Dai & Hao-Han Chang, 2022. "Analytical pricing formulae for vulnerable vanilla and barrier options," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 137-170, January.
• Luiz Vitiello & Ser-Huang Poon, 2022. "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1665-1684, May.
• Dean Leistikow & Ren-Raw Chen & Yuewu Xu, 2022. "Spot asset carry cost rates and futures hedge ratios," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1741-1779, May.
• Nicole El Karoui & Antoine Parent & Pierre-Charles Pradier, 2022. "Louis Bachelier's Théorie de la spéculation : The missing piece in Walras' general equilibrium," Documents de travail du Centre d'Economie de la Sorbonne 22019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Agata Gniadkowska-Szymańska, 2022. "The liquidity of shares and the risk of bankruptcy," Bank i Kredyt, Narodowy Bank Polski, vol. 53(6), pages 565-586.
• Thomas Ernst & Chester S. Spatt, 2022. "Payment for Order Flow And Asset Choice," NBER Working Papers 29883, National Bureau of Economic Research, Inc.
• Min Dai & Zhaoli Jiang & Neng Wang, 2022. "Strategic Investment under Uncertainty with First- and Second-mover Advantages," NBER Working Papers 30150, National Bureau of Economic Research, Inc.
• Ian Dew-Becker, 2022. "Real-Time Forward-Looking Skewness over the Business Cycle," NBER Working Papers 30478, National Bureau of Economic Research, Inc.
• Emil Siriwardane & Adi Sunderam & Jonathan L. Wallen, 2022. "Segmented Arbitrage," NBER Working Papers 30561, National Bureau of Economic Research, Inc.
• Paul Borochin & Yanhui Zhao, 2022. "Risk Neutral Skewness Predicts Price Rebounds and So Can Improve Momentum Performance," Critical Finance Review, now publishers, vol. 11(2), pages 383-429, May.
• Shaen Corbet & Yang (Greg) Hou & Yang Hu & Les Oxley, 2022. "We Reddit in a Forum: The Influence of Message Boards on Firm Stability," Review of Corporate Finance, now publishers, vol. 2(1), pages 151-190, March.
• Michi Nishihara, 2022. "Corporate sustainability, investment, and capital structure," Discussion Papers in Economics and Business 22-05, Osaka University, Graduate School of Economics.
• Lily Y Liu, 2022. "Estimating Loss Given Default from CDS under Weak Identification [Estimation and Inference with Weak, Semi-Strong, and Strong Identification]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 20(2), pages 310-344.
• Christophe Chorro & Rahantamialisoa H Fanirisoa, 2022. "Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures [Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 20(5), pages 902-941.
• Andrea Frazzini & Lasse Heje Pedersen, 2022. "Embedded Leverage [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Oxford University Press, vol. 12(1), pages 1-52.
  • Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
• Sangmin S Oh & Jessica A Wachter, 2022. "Cross-Sectional Skewness [Endogenous information flows and the clustering of announcements]," The Review of Asset Pricing Studies, Oxford University Press, vol. 12(1), pages 155-198.
• Te-Feng Chen & Tarun Chordia & San-Lin Chung & Ji-Chai Lin, 2022. "Volatility-of-Volatility Risk in Asset Pricing [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Asset Pricing Studies, Oxford University Press, vol. 12(1), pages 289-335.
• Guanglian Hu & Kris Jacobs & Sang Byung Seo, 2022. "Characterizing the Variance Risk Premium: The Role of the Leverage Effect [The term structure of variance swaps and risk premia]," The Review of Asset Pricing Studies, Oxford University Press, vol. 12(2), pages 500-542.
• Jaewon Choi & Matthew Richardson & Robert F Whitelaw, 2022. "Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," The Review of Asset Pricing Studies, Oxford University Press, vol. 12(3), pages 706-753.
• Egor Matveyev & Alexei Zhdanov, 2022. "Optimal Capital Structure with Imperfect Competition [Anatomy of financial distress: An examination of junk-bond issuers]," Review of Corporate Finance Studies, Oxford University Press, vol. 11(2), pages 314-363.
• Marco Pagano & Josef Zechner, 2022. "COVID-19 and Corporate Finance [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," Review of Corporate Finance Studies, Oxford University Press, vol. 11(4), pages 849-879.
  • Marco Pagano & Josef Zechner, 2022. "COVID-19 and Corporate Finance," CSEF Working Papers 651, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Adam Jørring & Andrew W Lo & Tomas J Philipson & Manita Singh & Richard T Thakor, 2022. "Sharing R&D Risk in Healthcare via FDA Hedges [Bank lines of credit as contingent liquidity: Covenant violations and their implications]," Review of Corporate Finance Studies, Oxford University Press, vol. 11(4), pages 880-922.
• John Bizjak & Swaminathan Kalpathy & Zhichuan Frank Li & Brian Young, 2022. "The Choice of Peers for Relative Performance Evaluation in Executive Compensation [Peer choice in CEO compensation]," Review of Finance, European Finance Association, vol. 26(5), pages 1217-1239.
• Mark J Ready & Robert C Ready, 2022. "Order Flows and Financial Investor Impacts in Commodity Futures Markets [Limits to arbitrage and hedging: Evidence from commodity markets]," Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4712-4755.
• Matthias Fleckenstein & Francis A Longstaff, 2022. "The Market Risk Premium for Unsecured Consumer Credit Risk [Securitization without risk transfer]," Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4756-4801.
• Peter Christoffersen & Kris Jacobs & Xuhui (Nick) Pan, 2022. "The State Price Density Implied by Crude Oil Futures and Option Prices [Limits to arbitrage and hedging: evidence from commodity markets]," Review of Financial Studies, Society for Financial Studies, vol. 35(2), pages 1064-1103.
• Adem Atmaz, 2022. "Stock Return Extrapolation, Option Prices, and Variance Risk Premium [Stock price booms and expected capital gains]," Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1348-1393.
• Xintong (Eunice) Zhan & Bing Han & Jie Cao & Qing Tong, 2022. "Option Return Predictability [Financial intermediaries and the cross-section of asset returns]," Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1394-1442.
• Benjamin Golez & Ruslan Goyenko, 2022. "Disagreement in the Equity Options Market and Stock Returns [The joint cross section of stocks and options]," Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1443-1479.
• Jessica A Wachter & Yicheng Zhu, 2022. "A Model of Two Days: Discrete News and Asset Prices [Risk preferences and the macroeconomic announcement premium]," Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2246-2307.
• Rau-Bredow, Hans, 2022. "Contango and Backwardation in Arbitrage-Free Futures-Markets," MPRA Paper 111688, University Library of Munich, Germany.
• Shah, Anand, 2022. "Valuation of Loyalty Tokens," MPRA Paper 111986, University Library of Munich, Germany.
• Adrian, Fernandez-Perez & Ana-Maria, Fuertes & Joelle, Miffre, 2022. "The Negative Pricing of the May 2020 WTI Contract," MPRA Paper 112352, University Library of Munich, Germany, revised 20 Dec 2021.
• Lee, David, 2022. "Pricing Cancellation Product," MPRA Paper 114147, University Library of Munich, Germany.
• Lee, David, 2022. "Generic Price Model for Commodity Derivatives," MPRA Paper 114283, University Library of Munich, Germany.
• Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2022. "Nonparametric Option Pricing with Generalized Entropic Estimators," Working Papers 2022-25, Princeton University. Economics Department..
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2022. "Can a Machine Correct Option Pricing Models?," Working Papers 2022-9, Princeton University. Economics Department..
• Amaro, Raphael & Pinho, Carlos & Madaleno, Mara, 2022. "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 77-101.
• Amaro, Raphael & Pinho, Carlos, 2022. "Energy commodities: A study on model selection for estimating Value-at-Risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 5-27.
• Glenn Kit Foong Ho & Sirimon Treepongkaruna & Marvin Wee & Chaiyuth Padungsaksawasdi, 2022. "The effect of short selling on volatility and jumps," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 34-52, February.
• Marco Pagano & Josef Zechner, 2022. "COVID-19 and Corporate Finance [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," Review of Corporate Finance Studies, Oxford University Press, vol. 11(4), pages 849-879.
  • Marco Pagano & Josef Zechner, 2022. "COVID-19 and Corporate Finance," CSEF Working Papers 651, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022. "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, vol. 311(2), pages 945-965, April.
• Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
• Lu Wang & Ferhana Ahmad & Gong-li Luo & Muhammad Umar & Dervis Kirikkaleli, 2022. "Portfolio optimization of financial commodities with energy futures," Annals of Operations Research, Springer, vol. 313(1), pages 401-439, June.
• Eymen Errais, 2022. "Pricing insurance premia: a top down approach," Annals of Operations Research, Springer, vol. 313(2), pages 899-914, June.
• Fabio Bellini & Edit Rroji & Carlo Sala, 2022. "Implicit quantiles and expectiles," Annals of Operations Research, Springer, vol. 313(2), pages 733-753, June.
• Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022. "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.
  • Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.
• Jarno Talponen & Minna Turunen, 2022. "Option pricing: a yet simpler approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 57-81, June.
• Gaetano La Bua & Daniele Marazzina, 2022. "A new class of multidimensional Wishart-based hybrid models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 209-239, June.
• Luca Gennaro Aquino & Carole Bernard, 2022. "Correction to: Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 447-449, June.
• Magnus Grønnegaard Frandsen & Tobias Cramer Pedersen & Rolf Poulsen, 2022. "Delta force: option pricing with differential machine learning," Digital Finance, Springer, vol. 4(1), pages 1-15, March.
• Hasan Fehmi Baklaci & Tezer Yelkenci, 2022. "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 267-314, June.
• Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
• Giovanni Villani & Marta Biancardi, 2022. "Competition and strategic alliance in R&D investments: a real option game approach with multiple experiments," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 63-86, January.
• Pavel V. Gapeev & Peter M. Kort & Maria N. Lavrutich & Jacco J. J. Thijssen, 2022. "Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 789-813, June.
  • Gapeev, Pavel V. & Kort, Peter M. & Lavrutich, Maria N. & Thijssen, Jacco J. J., 2022. "Optimal double stopping problems for maxima and minima of geometric Brownian motions," LSE Research Online Documents on Economics 114849, London School of Economics and Political Science, LSE Library.
• Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
  • Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
• Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
• Christian Manicaro, 2022. "The link between regional CDS spreads and equity returns: a multivariate GARCH approach," SN Business & Economics, Springer, vol. 2(2), pages 1-15, February.
• Robiyanto Robiyanto & Fanny Yunitaria, 2022. "Dividend announcement effect analysis before and during the COVID-19 pandemic in the Indonesia Stock Exchange," SN Business & Economics, Springer, vol. 2(2), pages 1-20, February.
• Xu Guo & Chunchi Wu, 2022. "Short Selling Activity and Effects on Financial Markets and Corporate Decisions," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 98, pages 2313-2340, Springer.
• Yi-Long Hsiao & Chien-Jung Ting, 2022. "Pricing Rent-to-Own Options with a Barrier Level: Taking Housing Contracts as an Example," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(5), pages 1-3.
• Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 24-37, December.
• Enzo D'Innocenzo & André Lucas, 2022. "Dynamic Partial Correlation Models," Tinbergen Institute Discussion Papers 22-070/III, Tinbergen Institute.
• H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers 2210.06217, arXiv.org.
  • H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
• Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation Margins, Fire Sales, and Information-constrained Optimality [Leverage, Moral Hazard, and Liquidity]," Review of Economic Studies, Oxford University Press, vol. 88(6), pages 2654-2686.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," Working Paper Series 2191, European Central Bank.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022. "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers 126554, Toulouse School of Economics (TSE).
  • Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation margins, fire-sales and information-constrained optimality," Post-Print hal-03546710, HAL.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," CEPR Discussion Papers 13192, C.E.P.R. Discussion Papers.
• Menevşe Özdemir-Dilidüzgün, Corresponding author & Ayşe Altıok-Yılmaz & Elif Akben-Selçuk, 2022. "Spread Determinants in Corporate Bond Pricing: The Effect of Market and Liquidity Risks," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 69(3), pages 407-425, May.
• Kumar Ravi & Dhiman Babli, 2022. "Indian and Chinese Metal Futures Markets: A Linkage Analysis," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 10(1), pages 1-14, September.
• Barbu Teodora Cristina & Boitan Iustina Alina & Cepoi Cosmin-Octavian, 2022. "Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks," Economics and Business Review, Sciendo, vol. 8(2), pages 29-49, July.
• Baiquan Ma & Robert Ślepaczuk, 2022. "The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods," Working Papers 2022-02, Faculty of Economic Sciences, University of Warsaw.
• Illia Baranochnikov & Robert Ślepaczuk, 2022. "A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy," Working Papers 2022-21, Faculty of Economic Sciences, University of Warsaw.
• Katarzyna Kryńska & Robert Ślepaczuk, 2022. "Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index," Working Papers 2022-25, Faculty of Economic Sciences, University of Warsaw.
• Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022. "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 5-38.
  • Kerstin Bernoth & Jürgen Von Hagen & Casper De Vries, 2022. "The Term Structure of Currency Futures' Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 5-38, February.
• Dilip B. Madan & King Wang, 2022. "Option Surface Statistics With Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-16, September.
• Kerstin Bernoth & Jürgen Von Hagen & Casper De Vries, 2022. "The Term Structure of Currency Futures' Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 5-38, February.
  • Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022. "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 5-38.
• Rau-Bredow, Hans, 2022. "Contango and Backwardation in Arbitrage-Free Futures-Markets," EconStor Preprints 249292, ZBW - Leibniz Information Centre for Economics.
• Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022. "Informed options strategies before corporate events," LawFin Working Paper Series 39, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
• Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022. "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series 41, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
• Pies, Ingo, 2022. "Hunger-Macher? Fehl-Alarm! Zur Chronologie einer wirtschaftsethischen Intervention," Discussion Papers 2022-07, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
• Pies, Ingo, 2022. "Hunger durch Agrarspekulation? Lessons (not) learned," Discussion Papers 2022-15, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
• Pies, Ingo, 2022. "Wie (un)moralisch ist Agrarspekulation?," Discussion Papers 2022-17, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
• Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022. "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series 350, Leibniz Institute for Financial Research SAFE.
• Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.

2021

• Neil D Pearson & Zhishu Yang & Qi Zhang, 2021. "The Chinese Warrants Bubble: Evidence from Brokerage Account Records [Bubbles and crises]," Review of Financial Studies, Society for Financial Studies, vol. 34(1), pages 264-312.
• Emirhan Ilhan & Zacharias Sautner & Grigory Vilkov, 2021. "Carbon Tail Risk [Measuring economic policy uncertainty]," Review of Financial Studies, Society for Financial Studies, vol. 34(3), pages 1540-1571.
• Sophie X Ni & Neil D Pearson & Allen M Poteshman & Joshua White & Andrew Karolyi, 2021. "Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? [Equity market impact]," Review of Financial Studies, Society for Financial Studies, vol. 34(4), pages 1952-1986.
• Pesce, Gabriela & Milanesi, Gastón & El Alabi, Emilio & Menna, Joaquín, 2021. "Valoración de un seguro de vida mediante opciones exóticas || Life insurance valuation using exotic options," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 214-240, December.
• Milanesi, Gastón, 2021. "Modelo de valoración con opciones reales, rejillas trinomial, volatilidad cambiante, sesgo y función isoelástica de utilidad || Valuation model with real options, trinomial lattice, changing volatilit," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 257-273, December.
• Bonaldo, Cinzia & Caporin, Massimiliano & Fontini, Fulvio, 2022. "The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland," Energy Economics, Elsevier, vol. 110(C).
  • Cinzia Bonaldo & Massimiliano Caporin & Fulvio Fontini, 2021. "The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland," "Marco Fanno" Working Papers 0272, Dipartimento di Scienze Economiche "Marco Fanno".
• amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.
• Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2022. "Self-Fulfilling Debt Crises, Revisited," Journal of Political Economy, University of Chicago Press, vol. 130(5), pages 1147-1183.
  • Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2017. "Self-Fulfilling Debt Crises, Revisited," NBER Working Papers 23312, National Bureau of Economic Research, Inc.
  • Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2021. "Self-Fulfilling Debt Crises, Revisited," Working Papers 2021-92, Princeton University. Economics Department..
  • Mark Aguiar & Satyajit Chatterjee & Harold L. Cole & Zachary Stangebye, 2020. "Self-Fulfilling Debt Crises, Revisited," Working Papers 20-03, Federal Reserve Bank of Philadelphia.
  • Mark Aguiar & Satyajit Chatterjee & Harold L. Cole & Zachary Stangebye, 2020. "Self-Ful?lling Debt Crises, Revisited," PIER Working Paper Archive 20-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Hsiang-Hsi Liu & Yu-Cheng Lin, 2021. "Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 121-148.
• Alexandros Koulis & Constantinos Kyriakopoulos, 2021. "Hedge ratio estimation: A note on the Bitcoin future contract," Bulletin of Applied Economics, Risk Market Journals, vol. 8(2), pages 125-131.
• Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
  • Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CEIS Research Paper 510, Tor Vergata University, CEIS, revised 11 Mar 2021.
  • Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers 2021-05, Center for Research in Economics and Statistics.
• Suranjana Joarder & Diganta Mukherjee, 2021. "The Lead–Lag Relationship Between Futures and Spot Price—A Case of the Oil and Oilseed Contracts Traded on Indian Exchange," Arthaniti: Journal of Economic Theory and Practice, , vol. 20(1), pages 7-33, June.
• Zhi Dong & Tien Foo Sing, 2021. "Do Investors Overreact for Property and Financial Service Sectors?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(1), pages 79-123, April.
• Nurin Haniah Asmuni & Ken Seng Tan, 2021. "Exploring the Yield Spread Between Sukuk and Conventional Bonds in Malaysia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(2), pages 165-191, August.
• Campuzano, Cristian Miguel & Cabello, Alejandra, 2021. "Superficie de volatilidad de la Bolsa Mexicana de Valores: Evaluación con el Modelo de Merton / Mexico´s Stock Market volatility surface: Evaluation with Merton’s model," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 11(1), pages 5-31, enero-jun.
• Mendez Molina, Maivelin & Olivares Aguayo, Héctor Alonso & Andrade Rosas, Luis Antonio, 2021. "Portafolios de volatilidad con opciones financieras. Un análisis por series de tiempo para las empresas BIMBO y HERDEZ del sector de alimentos de la BMV / Volatility Portfolios with Financial Options.," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 11(2), pages 173-208, julio-dic.
• Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2021. "The multivariate mixture dynamics model: shifted dynamics and correlation skew," Annals of Operations Research, Springer, vol. 299(1), pages 1411-1435, April.
  • Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2015. "The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew," Papers 1512.04741, arXiv.org, revised Oct 2018.
• Carol Alexander & Xi Chen, 2021. "Model risk in real option valuation," Annals of Operations Research, Springer, vol. 299(1), pages 1025-1056, April.
  • Carol Alexander & Xi Chen, 2018. "Model Risk in Real Option Valuation," Papers 1809.00817, arXiv.org, revised Sep 2018.
• Simona Franzoni & Cristian Pelizzari, 2021. "Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas," Annals of Operations Research, Springer, vol. 299(1), pages 939-962, April.
• David Volkmann, 2021. "Explaining S&P500 option returns: an implied risk-adjusted approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 665-685, June.
• Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
• Espen Gaarder Haug, 2021. "Asian options with zero cost-of-carry: EEX options on freight and iron ore futures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 191-195, June.
• Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2021. "Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 57-72, June.
• Markus Hess, 2021. "A new approach to wind power futures pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1235-1252, December.
• Prilly Oktoviany & Robert Knobloch & Ralf Korn, 2021. "A machine learning-based price state prediction model for agricultural commodities using external factors," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1063-1085, December.
• Fred Espen Benth & Nils Detering & Silvia Lavagnini, 2021. "Accuracy of deep learning in calibrating HJM forward curves," Digital Finance, Springer, vol. 3(3), pages 209-248, December.
• Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
• Laura Casula & Giovanni Masala, 2021. "Electricity derivatives: an application to the futures Italian market," Empirical Economics, Springer, vol. 61(2), pages 637-666, August.
• Emmanuel Lépinette & Ilya Molchanov, 2021. "Risk arbitrage and hedging to acceptability under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 101-132, January.
• Julien Grépat & Yuri Kabanov, 2021. "On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 167-187, January.
• Christa Cuchiero & Sara Svaluto-Ferro, 2021. "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, vol. 25(2), pages 383-426, April.
• Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers, 2021. "Change of drift in one-dimensional diffusions," Finance and Stochastics, Springer, vol. 25(2), pages 359-381, April.
• Jan Obłój & Johannes Wiesel, 2021. "A unified framework for robust modelling of financial markets in discrete time," Finance and Stochastics, Springer, vol. 25(3), pages 427-468, July.
• Bruno Bouchard & Xiaolu Tan, 2021. "A quasi-sure optional decomposition and super-hedging result on the Skorokhod space," Finance and Stochastics, Springer, vol. 25(3), pages 505-528, July.
• Wensheng Yang & Jingtang Ma & Zhenyu Cui, 2021. "Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(2), pages 359-412, April.
• Atif Ellahie & Xiaoxia Peng, 2021. "Management forecasts of volatility," Review of Accounting Studies, Springer, vol. 26(2), pages 620-655, June.
• Fredrik Armerin & Han-Suck Song, 2021. "A framework for modelling cash flow lags," SN Business & Economics, Springer, vol. 1(10), pages 1-13, October.
• N. Packham, 2021. "Structured climate financing: valuation of CDO on inhomogeneous asset pools," SN Business & Economics, Springer, vol. 1(4), pages 1-23, April.
• Javier Ojea-Ferreiro, 2021. "Deconstructing Systemic Risk: A Reverse Stress Testing Approach," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 369-375, Springer.
  • Javier Ojea-Ferreiro, 2021. "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Monica Guling Wu & Hsinan Hsu & Janchung Wang, 2021. "Market Trends and Options Trading: Viewpoint, Probability and Implications," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(5), pages 1-5.
• van Wijnbergen, Sweder, 2022. "Lockdowns as options," Economics Letters, Elsevier, vol. 214(C).
  • S.J.G. van Wijnbergen, 2021. "Lockdowns as options," Tinbergen Institute Discussion Papers 21-037/IV, Tinbergen Institute.
• Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR perspective," Papers 2101.04308, arXiv.org.
  • Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR Perspective," Research Paper Series 420, Quantitative Finance Research Centre, University of Technology, Sydney.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022. "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.
  • Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.
• Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
  • Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.
• ÇELÄ°K, Ä°smail, 2021. "Optimal Hedge Ratio In Turkish Stock Index Futures Market: A Deco-Fiaparch Approach," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 25(4), pages 17-33, December.
• Gokhan Cinar & Adnan Hushmat, 2021. "The Analysis of Wheat Prices Using Multiple Structural Break-Point Cointegration Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 68(3), pages 359-374, June.
• Kamil Korzeń & Robert Ślepaczuk, 2021. "Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation," Working Papers 2021-18, Faculty of Economic Sciences, University of Warsaw.
• Jan Grudniewicz & Robert Ślepaczuk, 2021. "Application of machine learning in quantitative investment strategies on global stock markets," Working Papers 2021-23, Faculty of Economic Sciences, University of Warsaw.
• Nguyen Vo & Robert Ślepaczuk, 2021. "Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index," Working Papers 2021-25, Faculty of Economic Sciences, University of Warsaw.
• Sergio Castellano Gómez & Robert Ślepaczuk, 2021. "Robust optimisation in algorithmic investment strategies," Working Papers 2021-27, Faculty of Economic Sciences, University of Warsaw.
• Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
  • Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
  • Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Sascha Kolaric & Florian Kiesel & Steven Ongena, 2021. "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 367-400, March.
  • Sascha KOLARIC & Florian KIESEL & Steven ONGENA, 2017. "Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?," Swiss Finance Institute Research Paper Series 17-09, Swiss Finance Institute.
  • Kolaric, S. & Kiesel, F. & Ongena, S., 2021. "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 125503, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Cyril Monnet & Thomas Nellen, 2021. "The Collateral Costs of Clearing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 939-970, August.
  • Cyril Monnet & Thomas Nellen, 2014. "The Collateral Costs of Clearing," Working Papers 2014-04, Swiss National Bank.
• Schmidhammer, Christoph, 2021. "Return differences between DAX ETFs and the benchmark DAX," Discussion Papers 28/2021, Deutsche Bundesbank.
• Bali, Turan G. & Beckmeyer, Heiner & Moerke, Mathis & Weigert, Florian, 2021. "Option return predictability with machine learning and big data," CFR Working Papers 21-08, University of Cologne, Centre for Financial Research (CFR).
• Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," Papers 2005.08929, arXiv.org, revised May 2020.
  • Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," EIEF Working Papers Series 2008, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2021.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," CSEF Working Papers 563, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  • Pagano, Marco & Wagner, Christian, 2020. "Disaster Resilience and Asset Prices," CEPR Discussion Papers 14773, C.E.P.R. Discussion Papers.
• Liu, Francis & Packham, Natalie & Lu, Meng-Jou & Härdle, Wolfgang, 2021. "Hedging cryptos with Bitcoin futures," IRTG 1792 Discussion Papers 2022-001, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Wurm, Laura, 2021. "Strangling speculation: The effect of the 1903 Viennese futures trading ban," QUCEH Working Paper Series 2021-09, Queen's University Belfast, Queen's University Centre for Economic History.
• Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers 2021-05, Center for Research in Economics and Statistics.
  • Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
  • Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CEIS Research Paper 510, Tor Vergata University, CEIS, revised 11 Mar 2021.
• Thomas M. Mertens & John C. Williams, 2021. "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices," American Economic Review, American Economic Association, vol. 111(8), pages 2473-2505, August.
  • Thomas M. Mertens & John C. Williams, 2018. "What to expect from the lower bound on interest rates: evidence from derivatives prices," Staff Reports 865, Federal Reserve Bank of New York.
  • Thomas M. Mertens & John C. Williams, 2020. "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices," Working Paper Series 2018-03, Federal Reserve Bank of San Francisco.
• Niels J. Gormsen & Ralph S. J. Koijen & Ian W. R. Martin, 2021. "Implied Dividend Volatility and Expected Growth," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 361-365, May.
• Bogdan Cosmin GOMOI, 2021. "Study Regarding the Development of an Investment Project. (I) – Identifying the Main Suppliers and Customers," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(5), pages 35-43, May.
• Corina-Graziella BÂTCĂ-DUMITRU & Daniela-Nicoleta SAHLIAN & Cleopatra ȘENDROIU & Ioan-Codruț ȚURLEA, 2021. "Approaches to Setting Sales Prices," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(6), pages 18-25, June.
• Bogdan Cosmin GOMOI, 2021. "Study Regarding the Development of an Investment Project. (II) – Estimating the Cost of Project and Identifying the Main Income and Expense Flows," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(6), pages 26-37, June.
• Bogdan Cosmin GOMOI, 2021. "Study Regarding the Development of an Investment Project. (III) – Project Evaluation," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 2(7), pages 25-34, July.
• Jean-Henry Ferrasse & Nandeeta Neerunjun & Hubert Stahn, 2021. "Managing intermittency in the electricity market," Working Papers halshs-03154612, HAL.
  • Jean-Henry Ferrasse & Nandeeta Neerunjun & Hubert Stahn, 2021. "Managing intermittency in the electricity market," AMSE Working Papers 2114, Aix-Marseille School of Economics, France.
• Vrins, Frédéric & Wang, Linqi, 2021. "Asymmetric short-rate model without lower bound," LIDAM Discussion Papers LFIN 2021006, Université catholique de Louvain, Louvain Finance (LFIN).
• Jing-Zhi Huang & Zhan Shi, 2021. "What Do We Know About Corporate Bond Returns?," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 363-399, November.
• Robert A. Jarrow, 2021. "The Economics of Insurance: A Derivatives-Based Approach," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 79-110, November.
• Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR Perspective," Research Paper Series 420, Quantitative Finance Research Centre, University of Technology, Sydney.
  • Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR perspective," Papers 2101.04308, arXiv.org.
• Alexander, Carol & Chen, Xi & Ward, Charles, 2021. "Risk-adjusted valuation for real option decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1046-1064.
  • Carol Alexander & Xi Chen & Charles Ward, 2021. "Risk-Adjusted Valuation for Real Option Decisions," Papers 2109.04793, arXiv.org.
• Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.
  • Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
• Maithili S. Naik & Y.V. Reddy, 2021. "India VIX and Forecasting Ability of Symmetric and Asymmetric GARCH Models," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(3), pages 252-262, March.
• Carlos González Pedraz & Adrian van Rixtel, 2021. "El papel de los derivados en las tensiones de los mercados durante la crisis del COVID-19," Occasional Papers 2123, Banco de España.
• Carlos González Pedraz & Adrian van Rixtel, 2021. "The role of derivatives in market strains during the COVID-19 crisis," Occasional Papers 2123, Banco de España.
• Francesca Lilla, 2021. "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers) 1336, Bank of Italy, Economic Research and International Relations Area.
• 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, vol. 2(1).
  • Alejandro Rojas-Bernal & Mauricio Villamizar-Villegas, 2021. "Pricing the exotic: Path-dependent American options with stochastic barriers," Borradores de Economia 1156, Banco de la Republica de Colombia.
• Hugues Dastarac, 2021. "Strategic Trading, Welfare and Prices with Futures Contracts," Working papers 841, Banque de France.
• Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
• Karamfil Todorov, 2021. "Passive funds affect prices: evidence from the most ETF-dominated asset classes," BIS Working Papers 952, Bank for International Settlements.
• MOROSAN Adrian, 2021. "Trading Stock Market Indices. A Simple Approach," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 73(1), pages 64-73, March.
• Chang Carolyn W. & Feng Yalan, 2021. "Hurricane Bond Price Dependency on Underlying Hurricane Parameters," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 15(1), pages 1-21, January.
• Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021. "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series BEMPS84, Faculty of Economics and Management at the Free University of Bozen.
• Julian F Kölbel & Markus Leippold & Jordy Rillaerts & Qian Wang, 2021. "Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks affects the CDS Term Structure," Swiss Finance Institute Research Paper Series 21-19, Swiss Finance Institute.
• Angel Tengulov & Franklin Allen & Eric Nowak & Matteo Pirovano, 2021. "Squeezing Shorts Through Social News Platforms," Swiss Finance Institute Research Paper Series 21-31, Swiss Finance Institute.
• Ricardo Crisóstomo, 2021. "Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
• Javier Ojea-Ferreiro, 2021. "Deconstrucción del riesgo sistémico: Un método de prueba de resistencia inversa," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
• Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
  • Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
  • Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Javier Ojea-Ferreiro, 2021. "Deconstructing Systemic Risk: A Reverse Stress Testing Approach," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 369-375, Springer.
  • Javier Ojea-Ferreiro, 2021. "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Pesce, Gabriela & Pedroni, Florencia Verónica & Chavez, Etelvina & Moral, María de la Paz & Rivero, María Andrea, 2021. "Opciones exóticas: conceptualización y evolución en la literatura a partir de una revisión sistemática," Revista Lecturas de Economía, Universidad de Antioquia - CIE, issue No. 95, pages 231-275, July.
• van Wijnbergen, Sweder, 2022. "Lockdowns as options," Economics Letters, Elsevier, vol. 214(C).
  • S.J.G. van Wijnbergen, 2021. "Lockdowns as options," Tinbergen Institute Discussion Papers 21-037/IV, Tinbergen Institute.
  • van Wijnbergen, Sweder, 2021. "Lockdowns as options," CEPR Discussion Papers 16112, C.E.P.R. Discussion Papers.
• Ian Dew-Becker & Stefano Giglio, 2020. "Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data," NBER Working Papers 27864, National Bureau of Economic Research, Inc.
  • Dew-Becker, Ian, 2021. "Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data," CEPR Discussion Papers 16306, C.E.P.R. Discussion Papers.
• Faria, Gonçalo & Wang, Tianyu, 2021. "The Correlation Risk Premium: International Evidence," CEPR Discussion Papers 16389, C.E.P.R. Discussion Papers.
• Ms. Deniz O Igan & Mr. Taehoon Kim & Antoine Levy, 2021. "The Premia on State-Contingent Sovereign Debt Instruments," IMF Working Papers 2021/282, International Monetary Fund.
  • Kim, Taehoon & Levy, Antoine, 2021. "The Premia on State-Contingent Sovereign Debt Instruments," CEPR Discussion Papers 16795, C.E.P.R. Discussion Papers.
  • Deniz Igan & Taehoon Kim & Antoine Levy, 2022. "The premia on state-contingent sovereign debt instruments," BIS Working Papers 988, Bank for International Settlements.
• Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CEIS Research Paper 510, Tor Vergata University, CEIS, revised 11 Mar 2021.
  • Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers 2021-05, Center for Research in Economics and Statistics.
  • Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
• Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021. "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
  • Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
• Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2021. "Granularity of Corporate Debt," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(4), pages 1127-1162, June.
  • Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2013. "Granularity of corporate debt," CFS Working Paper Series 2013/26, Center for Financial Studies (CFS).
• Sascha Kolaric & Florian Kiesel & Steven Ongena, 2021. "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 367-400, March.
  • Sascha KOLARIC & Florian KIESEL & Steven ONGENA, 2017. "Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?," Swiss Finance Institute Research Paper Series 17-09, Swiss Finance Institute.
  • Kolaric, S. & Kiesel, F. & Ongena, S., 2021. "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 125503, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Kamaruddin Kamaruddin & Yusri Hazmi & Raja Masbar & Sofyan Syahnur & M. Shabri Abd. Majid, 2021. "Asymmetric Impact of World Oil Prices on Marketing Margins: Application of NARDL Model for the Indonesian Coffee," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 212-220.
• Kanamura, Takashi & Homann, Lasse & Prokopczuk, Marcel, 2021. "Pricing analysis of wind power derivatives for renewable energy risk management," Applied Energy, Elsevier, vol. 304(C).
• Sun, Lixin, 2021. "Quantifying the vulnerabilities of China’s corporate sector with contingent claims," Journal of Asian Economics, Elsevier, vol. 75(C).
• Li, Miao & Xiong, Tao, 2021. "Dynamic price discovery in Chinese agricultural futures markets," Journal of Asian Economics, Elsevier, vol. 76(C).
• Kim, Byung-June & Jang, Bong-Gyu, 2021. "Convertible bond valuation with regime switching," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
• Kita, Arben & Tortorice, Daniel L., 2021. "Same firm, two volatilities: How variance risk is priced in credit and equity markets," Journal of Corporate Finance, Elsevier, vol. 69(C).
• Zimmermann, Paul, 2021. "The role of the leverage effect in the price discovery process of credit markets," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
• Wan, Xiangwei & Yang, Nian, 2021. "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
• Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
• Taschini, Luca, 2021. "Flexibility premium of emissions permits," Journal of Economic Dynamics and Control, Elsevier, vol. 126(C).
• Ma, Jingtang & Yang, Wensheng & Cui, Zhenyu, 2021. "CTMC integral equation method for American options under stochastic local volatility models," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
• Mohrschladt, Hannes & Schneider, Judith C., 2021. "Option-implied skewness: Insights from ITM-options," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
• Nishihara, Michi & Shibata, Takashi, 2021. "Optimal capital structure and simultaneous bankruptcy of firms in corporate networks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
• Cherubini, Umberto, 2021. "Estimating redenomination risk under Gumbel–Hougaard survival copulas," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
• Liu, Guofang & Fang, Xi & Huang, Yuan & Zhao, Weidong, 2021. "Identifying the role of consumer and producer price index announcements in stock index futures price changes," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 87-101.
• Tan, Yingxian & Luo, Pengfei, 2021. "The impact of debt restructuring on dynamic investment and financing policies," Economic Modelling, Elsevier, vol. 102(C).
• Ma, Richie Ruchuan & Xiong, Tao, 2021. "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, vol. 94(C), pages 75-90.
• Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
• Liang, Qi & Sun, Wenjia & Li, Wenyu & Yu, Fengyan, 2021. "Media effects matter: Macroeconomic announcements in the gold futures market," Economic Modelling, Elsevier, vol. 96(C), pages 1-12.
• Li, Pengshi & Xian, Aichuan & Lin, Yan, 2021. "What determines volatility smile in China?," Economic Modelling, Elsevier, vol. 96(C), pages 326-335.
• Wang, Xingchun, 2021. "The values and incentive effects of options on the maximum or the minimum of the stock prices and market index," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
• Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2021. "The impact of central clearing on the market for single-name credit default swaps," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  • Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2018. "The impact of central clearing on the market for single-name credit default swaps," Working Papers 18-1, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jan 2019.
• Wang, Xingchun, 2021. "Valuation of options on the maximum of two prices with default risk under GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
• Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2021. "Valuation of piecewise linear barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
• Go, You-How & Lau, Wee-Yeap, 2021. "Extreme risk spillovers between crude palm oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
• Li, Shaoyu & Zhang, Yuanyuan & Zhu, Chunhui, 2021. "A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
• Wu, Wei-Hwa, 2021. "Extendible stock loan," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
• Agarwalla, Sobhesh Kumar & Varma, Jayanth R. & Virmani, Vineet, 2021. "The impact of COVID-19 on tail risk: Evidence from Nifty index options," Economics Letters, Elsevier, vol. 204(C).
• Liu, Hao & Chen, Yue & Wan, Wei & Zhang, Qun, 2021. "A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective," Economics Letters, Elsevier, vol. 206(C).
• Zhu, Chao & Zhang, Yuwei & Yi, Zhen, 2021. "The high frequency risk attitude implied by the volatility risk premium," Economics Letters, Elsevier, vol. 207(C).
• Lu, Junwen & Qu, Zhongjun, 2021. "Sieve estimation of option-implied state price density," Journal of Econometrics, Elsevier, vol. 224(1), pages 88-112.
• Jaskowski, Marcin & McAleer, Michael, 2021. "Spurious cross-sectional dependence in credit spread changes," Econometrics and Statistics, Elsevier, vol. 18(C), pages 12-27.
  • Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2021. "Option pricing with conditional GARCH models," European Journal of Operational Research, Elsevier, vol. 289(1), pages 350-363.
• Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
• Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
  • Leung, Melvern & Li, Youwei & Pantelous, Athanasios & Vigne, Samuel, 2019. "Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing," MPRA Paper 101698, University Library of Munich, Germany.
• Gehricke, Sebastian A. & Zhang, Jin E., 2021. "Tracking performance of VIX futures ETPs," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 103-117.
• Fung, Scott & Tsai, Shih-Chuan, 2021. "The price discovery role of day traders in futures market: Evidence from different types of day traders," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 53-77.
• Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
• Ladokhin, Sergiy & Borovkova, Svetlana, 2021. "Three-factor commodity forward curve model and its joint P and Q dynamics," Energy Economics, Elsevier, vol. 101(C).
• Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021. "The risk premia of energy futures," Energy Economics, Elsevier, vol. 102(C).
  • Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021. "The Risk Premia of Energy Futures," Post-Print hal-03312959, HAL.
• Cortazar, Gonzalo & Ortega, Hector & Valencia, Consuelo, 2021. "How good are analyst forecasts of oil prices?," Energy Economics, Elsevier, vol. 102(C).
• Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event," Energy Economics, Elsevier, vol. 104(C).
• Ding, Ashley, 2021. "A state-preference volatility index for the natural gas market," Energy Economics, Elsevier, vol. 104(C).
• Zaremba, Adam & Mikutowski, Mateusz & Szczygielski, Jan Jakub & Karathanasopoulos, Andreas, 2021. "The alpha momentum effect in commodity markets," Energy Economics, Elsevier, vol. 93(C).
• van Koten, Silvester, 2021. "The forward premium in electricity markets: An experimental study," Energy Economics, Elsevier, vol. 94(C).
  • Silvester Van Koten, 2020. "The Forward Premium in Electricity Markets: An Experimental Study," CERGE-EI Working Papers wp656, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2021. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Energy Economics, Elsevier, vol. 95(C).
  • 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 625, Center for Mathematical Economics, Bielefeld University.
  • Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu, 2019. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Papers 1910.01044, arXiv.org.
• Long, Wen & Zhao, Manyi & Tang, Yeran, 2021. "Can the Chinese volatility index reflect investor sentiment?," International Review of Financial Analysis, Elsevier, vol. 73(C).
• Diaz-Rainey, Ivan & Gehricke, Sebastian A. & Roberts, Helen & Zhang, Renzhu, 2021. "Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility," International Review of Financial Analysis, Elsevier, vol. 76(C).
• Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
  • Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
• Wang, Xingchun, 2021. "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, vol. 38(C).
• Lin, Anchor Y. & Lin, Yueh-Neng, 2021. "Market similarity and cross-border investment performance," Finance Research Letters, Elsevier, vol. 40(C).
• Bissoondoyal-Bheenick, Emawtee & Do, Hung & Hu, Xiaolu & Zhong, Angel, 2021. "Learning from SARS: Return and volatility connectedness in COVID-19," Finance Research Letters, Elsevier, vol. 41(C).
• Azzone, Michele & Baviera, Roberto, 2021. "Synthetic forwards and cost of funding in the equity derivative market," Finance Research Letters, Elsevier, vol. 41(C).
• Taussig, Roi D., 2021. "Competition risk and expected stock returns," Finance Research Letters, Elsevier, vol. 41(C).
• Kim, Myeong Jun & Canh, Nguyen Phuc & Park, Sung Y., 2021. "Causal relationship among cryptocurrencies: A conditional quantile approach," Finance Research Letters, Elsevier, vol. 42(C).
• Bian, Timothy Yang & Wang, Tianyi & Zhou, Zipeng, 2021. "Measuring investors’ risk aversion in China’s stock market," Finance Research Letters, Elsevier, vol. 42(C).
• Lei, Jian, 2021. "Curve momentum in currency markets," Finance Research Letters, Elsevier, vol. 42(C).
• Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021. "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, vol. 42(C).
  • Boubaker, S. & Liu, Z. & Lu, S. & Zhang, y., 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.
• Guo, Zi-Yi, 2021. "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, vol. 43(C).
• Ruan, Xinfeng & Zhang, Jin E., 2021. "The economics of the financial market for volatility trading," Journal of Financial Markets, Elsevier, vol. 52(C).
• Liu, Ming-Yu & Chuang, Wen-I & Lo, Chien-Ling, 2021. "Options-implied information and the momentum cycle," Journal of Financial Markets, Elsevier, vol. 53(C).
• Procasky, William J., 2021. "Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors," Journal of Financial Markets, Elsevier, vol. 54(C).
• Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2021. "Financial oligopolies and parallel exclusion in the credit default swap markets," Journal of Financial Markets, Elsevier, vol. 56(C).
• Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
• Bressan, Giacomo Maria & Romagnoli, Silvia, 2021. "Climate risks and weather derivatives: A copula-based pricing model," Journal of Financial Stability, Elsevier, vol. 54(C).
• Baker, H. Kent & Kumar, Satish & Pandey, Nitesh, 2021. "Thirty years of the Global Finance Journal: A bibliometric analysis," Global Finance Journal, Elsevier, vol. 47(C).
• Nejadmalayeri, Ali, 2021. "Asset liquidity, business risk, and beta," Global Finance Journal, Elsevier, vol. 48(C).
• Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
• Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
• Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021. "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 232-247.
• Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
• Godin, Frédéric & Trottier, Denis-Alexandre, 2021. "Option pricing in regime-switching frameworks with the Extended Girsanov Principle," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 116-129.
• Moenig, Thorsten, 2021. "Variable annuities: Market incompleteness and policyholder behavior," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 63-78.
• Borochin, Paul & Wu, Zekun & Zhao, Yanhui, 2021. "The effect of option-implied skewness on delta- and vega-hedged option returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
• Backwell, Alex, 2021. "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, vol. 122(C).
• Schertler, Andrea, 2021. "Listing of classical options and the pricing of discount certificates," Journal of Banking & Finance, Elsevier, vol. 123(C).
• Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
• Bianchi, Robert J. & Fan, John Hua & Zhang, Tingxi, 2021. "Investable commodity premia in China," Journal of Banking & Finance, Elsevier, vol. 127(C).
• Gkionis, Konstantinos & Kostakis, Alexandros & Skiadopoulos, George & Stilger, Przemyslaw S., 2021. "Positive stock information in out-of-the-money option prices," Journal of Banking & Finance, Elsevier, vol. 128(C).
  • Konstantinos Gkionis & Alexandros Kostakis & George Skiadopoulos & Przemyslaw S. Stilger, 2018. "Positive Stock Information In Out-Of-The-Money Option Prices," Working Papers 859, Queen Mary University of London, School of Economics and Finance.
• Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
• Nian, Ke & Coleman, Thomas F & Li, Yuying, 2021. "Learning sequential option hedging models from market data," Journal of Banking & Finance, Elsevier, vol. 133(C).
• Brøgger, Søren Bundgaard, 2021. "The market impact of predictable flows: Evidence from leveraged VIX products," Journal of Banking & Finance, Elsevier, vol. 133(C).
• Baule, Rainer & Shkel, David, 2021. "Model risk and model choice in the case of barrier options and bonus certificates," Journal of Banking & Finance, Elsevier, vol. 133(C).
• Gelman, Sergey & Kliger, Doron, 2021. "The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 814-841.
• Alexander, Carol & Chen, Xi & Ward, Charles, 2021. "Risk-adjusted valuation for real option decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1046-1064.
  • Carol Alexander & Xi Chen & Charles Ward, 2021. "Risk-Adjusted Valuation for Real Option Decisions," Papers 2109.04793, arXiv.org.
• 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, vol. 139(2), pages 545-560.
• Bali, Turan G. & Subrahmanyam, Avanidhar & Wen, Quan, 2021. "Long-term reversals in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 139(2), pages 656-677.
• Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
• Corte, Pasquale Della & Kozhan, Roman & Neuberger, Anthony, 2021. "The cross-section of currency volatility premia," Journal of Financial Economics, Elsevier, vol. 139(3), pages 950-970.
• Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
• Armstrong, Will J. & Cardella, Laura & Sabah, Nasim, 2021. "Information shocks, disagreement, and drift," Journal of Financial Economics, Elsevier, vol. 140(3), pages 916-940.
• Ramachandran, Lakshmi Shankar & Tayal, Jitendra, 2021. "Mispricing, short-sale constraints, and the cross-section of option returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 297-321.
• Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
  • Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
  • Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
• Fullwood, Jonathan & James, Jessica & Marsh, Ian W., 2021. "Volatility and the cross-section of returns on FX options," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1262-1284.
• 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, vol. 142(1), pages 166-194.
• Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2021. "Hedging macroeconomic and financial uncertainty and volatility," Journal of Financial Economics, Elsevier, vol. 142(1), pages 23-45.
  • Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019. "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers 26323, National Bureau of Economic Research, Inc.
  • Dew-Becker, Ian & Kelly, Bryan, 2020. "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers 15239, C.E.P.R. Discussion Papers.
• Vokata, Petra, 2021. "Engineering lemons," Journal of Financial Economics, Elsevier, vol. 142(2), pages 737-755.
• Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
  • Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
• Ruan, Xinfeng & Zhang, Jin E., 2021. "Time-varying uncertainty and variance risk premium," Journal of Macroeconomics, Elsevier, vol. 69(C).
• Chen, Yu-Fu & Mu, Xiaoyi, 2021. "Asymmetric volatility in commodity markets," Journal of Commodity Markets, Elsevier, vol. 22(C).
• 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, vol. 22(C).
• Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
• 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, vol. 24(C).
• Yousaf, Imran, 2021. "Risk transmission from the COVID-19 to metals and energy markets," Resources Policy, Elsevier, vol. 73(C).
• 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, vol. 2(1).
  • Alejandro Rojas-Bernal & Mauricio Villamizar-Villegas, 2021. "Pricing the exotic: Path-dependent American options with stochastic barriers," Borradores de Economia 1156, Banco de la Republica de Colombia.
• Brownlees, Christian & Hans, Christina & Nualart, Eulalia, 2021. "Bank credit risk networks: Evidence from the Eurozone," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 585-599.
• Darby, Julia & Zhang, Hai & Zhang, Jinkai, 2021. "Institutional trading in volatile markets: Evidence from Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  • Julia Darby & Hai Zhang & Jinkai Zhang, 2019. "Institutional trading in volatile markets: evidence from Chinese stock markets," Working Papers 1912, University of Strathclyde Business School, Department of Economics.
• Omar, Arti & Prasanna, P. Krishna, 2021. "Asymmetric effects of noise in Merton default risk model: Evidence from emerging Asia," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
• 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, vol. 67(C).
• 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, vol. 67(C).
• 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, vol. 69(C).
• Zhang, Heming & Wang, Guanying, 2021. "Reversal effect and corporate bond pricing in China," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
• Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
• 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, vol. 79(C), pages 399-410.
• Smales, L.A., 2021. "Geopolitical risk and volatility spillovers in oil and stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 358-366.
• Chamizo, Álvaro & Novales, Alfonso, 2021. "Evaluation of market risk associated with hedging a credit derivative portfolio," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 411-430.
• 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, vol. 80(C), pages 464-479.
• 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, vol. 81(C), pages 288-308.
• Ruan, Xinfeng, 2021. "Ambiguity, long-run risks, and asset prices in continuous time," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 115-126.
• Lian, Yu-Min & Chen, Jun-Home, 2021. "Pricing virtual currency-linked derivatives with time-inhomogeneity," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 424-439.
• 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, vol. 75(C), pages 546-557.
• 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, vol. 76(C), pages 1063-1077.
• 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, vol. 57(C).
• 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, vol. 49(1), pages 73-96, September.
• 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, vol. 49(1), pages 73-96, September.
• 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, vol. 26(52), pages 237-251, August.
• 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, vol. 13(5), pages 565-586, March.
• 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, vol. 13(5), pages 565-586, March.
• Xiang Gao & Jiahao Gu & Yingchao Zhang, 2021. "Option informativeness before earnings announcements and under real activity manipulation," Pacific Accounting Review, Emerald Group Publishing Limited, vol. 33(3), pages 361-375, May.
• Bei Chen & Quan Gan, 2021. "Measuring gambling activity in options market," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 14(3), pages 345-378, March.
• Nikolai Dokuchaev, 2021. "On statistical indistinguishability of complete and incomplete market models," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(1), pages 114-125, February.
• 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, vol. 38(5), pages 926-945, June.
• 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, vol. 0(4), pages 370-395.
• Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
• Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2021. "International Evidence on Extending Sovereign Debt Maturities," Working Paper Series 2021-19, Federal Reserve Bank of San Francisco.
• Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
• 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 127006, Russia, issue 1, pages 93-106, February.
• Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2021. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," JRFM, MDPI, vol. 14(3), pages 1-19, February.
  • Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers 2015-17, University of Adelaide, School of Economics and Public Policy.
• Silaghi, Florina & Moraux, Franck, 2022. "Trade credit contracts: Design and regulation," European Journal of Operational Research, Elsevier, vol. 296(3), pages 980-992.
  • Florina Silaghi & Franck Moraux, 2022. "Trade credit contracts: Design and regulation," Post-Print hal-03268865, HAL.
• Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021. "The risk premia of energy futures," Energy Economics, Elsevier, vol. 102(C).
  • Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021. "The Risk Premia of Energy Futures," Post-Print hal-03312959, HAL.
• Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021. "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, vol. 42(C).
  • Boubaker, S. & Liu, Z. & Lu, S. & Zhang, y., 2021. "Trading signal, functional data analysis and time series momentum," Post-Print hal-03323675, HAL.
• Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
  • Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
• Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation Margins, Fire Sales, and Information-constrained Optimality [Leverage, Moral Hazard, and Liquidity]," Review of Economic Studies, Oxford University Press, vol. 88(6), pages 2654-2686.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," Working Paper Series 2191, European Central Bank.
  • Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation margins, fire-sales and information-constrained optimality," Post-Print hal-03546710, HAL.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," CEPR Discussion Papers 13192, C.E.P.R. Discussion Papers.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022. "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers 126554, Toulouse School of Economics (TSE).
• Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021. "XVA Analysis From the Balance Sheet," Post-Print hal-03910125, HAL.
• Jean-Henry Ferrasse & Nandeeta Neerunjun & Hubert Stahn, 2021. "Managing intermittency in the electricity market," AMSE Working Papers 2114, Aix-Marseille School of Economics, France.
  • Jean-Henry Ferrasse & Nandeeta Neerunjun & Hubert Stahn, 2021. "Managing intermittency in the electricity market," Working Papers halshs-03154612, HAL.
• Sebastian, Steffen P. & Steininger, Bertram I., 2021. "Real estate ETNs in strategic asset allocation," Working Paper Series 21/8, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
• Anna Naszodi, 2021. "The Single Resolution Fund and the Credit Default Swap: What Is the Coasian Fair Price of Their Insurance Services?," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-36, October.
  • Naszodi, Anna, 2019. "The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?," MPRA Paper 96181, University Library of Munich, Germany, revised 02 Apr 2019.
• Kim, Taehoon & Levy, Antoine, 2021. "The Premia on State-Contingent Sovereign Debt Instruments," CEPR Discussion Papers 16795, C.E.P.R. Discussion Papers.
  • Ms. Deniz O Igan & Mr. Taehoon Kim & Antoine Levy, 2021. "The Premia on State-Contingent Sovereign Debt Instruments," IMF Working Papers 2021/282, International Monetary Fund.
  • Deniz Igan & Taehoon Kim & Antoine Levy, 2022. "The premia on state-contingent sovereign debt instruments," BIS Working Papers 988, Bank for International Settlements.
• Robert Cox Merton & Francisco Venegas-Martínez, 2021. "Tendencias y perspectivas de la ciencia financiera: Un artículo de revisión," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
• Robert Cox Merton & Francisco Venegas-Martínez, 2021. "Financial Science Trends and Perspectives: A Review Article," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
• Rodrigo A. Morales Fernández Rafaelly & Roberto J. Santillán-Salgado, 2021. "Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
• Arturo Lorenzo-Valdés, 2021. "Conditional Probability of Jumps in Oil Prices," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(4), pages 1-14, Octubre -.
• Vitor H. Carvalho & Raquel M. Gaspar, 2021. "Relativistically into Finance," Working Papers REM 2021/0175, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Raushan Kumar, 2021. "Predicting Wheat Futures Prices in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 121-140, March.
• Loc Dong Truong & Anh Thi Kim Nguyen & Dut Van Vo, 2021. "Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 353-366, September.
• Jin-Yu Zhang & Wen-Bo Wu & Yong Li & Zhu-Sheng Lou, 2021. "Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 867-884, October.
• Gechun Liang & Xingchun Wang, 2021. "Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes," Review of Derivatives Research, Springer, vol. 24(1), pages 1-30, April.
  • Gechun Liang & Xingchun Wang, 2020. "Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes," Papers 2001.09443, arXiv.org, revised Jun 2020.
• Kian Guan Lim, 2021. "Bermudan option in Singapore Savings Bonds," Review of Derivatives Research, Springer, vol. 24(1), pages 31-54, April.
• Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
• Xingchun Wang, 2021. "Pricing vulnerable options with jump risk and liquidity risk," Review of Derivatives Research, Springer, vol. 24(3), pages 243-260, October.
• Shin-Yun Wang & Ming-Che Chuang & Shih-Kuei Lin & So-De Shyu, 2021. "Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 25-51, January.
• Sonnan Chen & Yuchi Gu, 2021. "Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1357-1397, May.
• Yang Hou & Steven Li & Fenghua Wen, 2021. "Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 91-110, July.
• Gurdip Bakshi & Charles Cao & Zhaodong (Ken) Zhong, 2021. "Assessing models of individual equity option prices," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 1-28, July.
• Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021. "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 929-958, October.
• Gabriela Pesce & Florencia Verónica Pedroni & Etelvina Chávez & María de la Paz Moral & María Andrea Rivero, 2021. "Exotic options: conceptualization and evolution in the literature from a systematic review," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 95, pages 231-275, July-Dece.
• Agata Gniadkowska-Szymańska, 2021. "Liquidity of assets and liquidity of shares: the example of the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, vol. 52(1), pages 1-22.
• Jose Pizarro & Eduardo S. Schwartz, 2021. "Optimal Harvest with Multiple Fishing Zones, Endogenous Price and Global Uncertainty," NBER Working Papers 28732, National Bureau of Economic Research, Inc.
• Christopher L. Culp & Mihir Gandhi & Yoshio Nozawa & Pietro Veronesi, 2021. "Option-Implied Spreads and Option Risk Premia," NBER Working Papers 28941, National Bureau of Economic Research, Inc.
• Clemens Sialm & Qifei Zhu, 2021. "Currency Management by International Fixed Income Mutual Funds," NBER Working Papers 29082, National Bureau of Economic Research, Inc.
• David S. Bates, 2021. "Empirical Option Pricing Models," NBER Working Papers 29554, National Bureau of Economic Research, Inc.
• Constantinides, George M. & Czerwonko, Michal & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2021. "Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply," Critical Finance Review, now publishers, vol. 10(1), pages 57-63, April.
• Nishihara, Michi & Shibata, Takashi & Zhang, Chuanqian, 2023. "Corporate investment, financing, and exit model with an earnings-based borrowing constraint," International Review of Financial Analysis, Elsevier, vol. 85(C).
  • Michi NISHIHARA & Takashi SHIBATA & Chuanqian ZHANG, 2021. "Corporate investment, financing, and exit model with an earnings-based borrowing constraint," Discussion Papers in Economics and Business 21-13, Osaka University, Graduate School of Economics.
• Francesco Audrino & Robert Huitema & Markus Ludwig, 2021. "An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device [Nonparametric Option Pricing under Shape Restrictions]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(2), pages 291-312.
• Simi Kedia & Laura T. Starks & Xianjue Wang, 2021. "Institutional Investors and Hedge Fund Activism," Review of Corporate Finance Studies, Oxford University Press, vol. 10(1), pages 1-43.
• Oğuzhan Karakas & Mahdi Mohseni, 2021. "Staggered Boards and the Value of Voting Rights [One share-one vote: The empirical evidence]," Review of Corporate Finance Studies, Oxford University Press, vol. 10(3), pages 513-550.
• Neil D Pearson & Zhishu Yang & Qi Zhang & Stijn Van Nieuwerburgh, 2021. "The Chinese Warrants Bubble: Evidence from Brokerage Account Records," Review of Economic Studies, Oxford University Press, vol. 34(1), pages 264-312.
• Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation Margins, Fire Sales, and Information-constrained Optimality [Leverage, Moral Hazard, and Liquidity]," Review of Economic Studies, Oxford University Press, vol. 88(6), pages 2654-2686.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," Working Paper Series 2191, European Central Bank.
  • Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation margins, fire-sales and information-constrained optimality," Post-Print hal-03546710, HAL.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," CEPR Discussion Papers 13192, C.E.P.R. Discussion Papers.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022. "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers 126554, Toulouse School of Economics (TSE).
• Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.

2020

• Ibrahim A. Adekunle, 2020. "On the search for environmental sustainability in Africa: the role of governance," Research Africa Network Working Papers 20/078, Research Africa Network (RAN).
• 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, vol. 34(4), pages 121-145, Fall.
• 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. 20/078, African Governance and Development Institute..
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "The Time Value of Money," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(6), pages 38-42, June.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "Evaluation Indicators for Investment Projects (II)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(8), pages 41-44, August.
  • Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "Evaluation Indicators for Investment Projects (I)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(7), pages 39-47, July.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "Evaluation Indicators for Investment Projects (I)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(7), pages 39-47, July.
  • Elena Valentina ȚILICĂ & Radu CIOBANU, 2020. "Evaluation Indicators for Investment Projects (II)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 1(8), pages 41-44, August.
• Gechun Liang & Xingchun Wang, 2021. "Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes," Review of Derivatives Research, Springer, vol. 24(1), pages 1-30, April.
  • Gechun Liang & Xingchun Wang, 2020. "Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes," Papers 2001.09443, arXiv.org, revised Jun 2020.
• Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
  • Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
• Pagano, Marco & Wagner, Christian, 2020. "Disaster Resilience and Asset Prices," CEPR Discussion Papers 14773, C.E.P.R. Discussion Papers.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," Papers 2005.08929, arXiv.org, revised May 2020.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," EIEF Working Papers Series 2008, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2021.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," CSEF Working Papers 563, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  • Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
• Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
  • Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
  • Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Bo Young Chang & Greg Orosi, 2020. "A Simple Method for Extracting the Probability of Default from American Put Option Prices," Staff Working Papers 20-15, Bank of Canada.
• George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020. "Mispriced index option portfolios," Financial Management, Financial Management Association International, vol. 49(2), pages 297-330, June.
  • George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2017. "Mispriced Index Option Portfolios," NBER Working Papers 23708, National Bureau of Economic Research, Inc.
• Sophie van Huellen, 2020. "Approaches To Price Formation In Financialized Commodity Markets," Journal of Economic Surveys, Wiley Blackwell, vol. 34(1), pages 219-237, February.
  • Sophie van Huellen, 2019. "Approaches to Price Formation in Financialised Commodity Markets," Working Papers 223, Department of Economics, SOAS University of London, UK.
• Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020. "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, vol. 75(5), pages 2809-2844, October.
  • Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016. "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers 11576, C.E.P.R. Discussion Papers.
  • Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
• Zimmerman, Peter, 2020. "Blockchain structure and cryptocurrency prices," Bank of England working papers 855, Bank of England.
• Bauer Jan, 2020. "Hedging of Variable Annuities under Basis Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 14(2), pages 1-34, July.
• Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
  • Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
• Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
  • Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
• Zhen Fang & Zhang Jin E., 2020. "Dissecting skewness under affine jump-diffusions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-19, September.
• 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, vol. 25(3), pages 35-62, June.
• van Koten, Silvester, 2021. "The forward premium in electricity markets: An experimental study," Energy Economics, Elsevier, vol. 94(C).
  • Silvester Van Koten, 2020. "The Forward Premium in Electricity Markets: An Experimental Study," CERGE-EI Working Papers wp656, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Walter Farkas & Ludovic Mathys, 2020. "Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing," Swiss Finance Institute Research Paper Series 20-11, Swiss Finance Institute.
• Walter Distaso & Antonio Mele & Grigory Vilkov, 2020. "Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices," Swiss Finance Institute Research Paper Series 20-119, Swiss Finance Institute.
• Giovanni Barone-Adesi & Eckhard Platen & Carlo Sala, 2020. "On the Use of Equities in Target Date Funds," Swiss Finance Institute Research Paper Series 20-24, Swiss Finance Institute.
• Nicolas Ettlin & Walter Farkas & Andreas Kull & Alexander Smirnow, 2020. "Optimal Risk-Sharing Across a Network of Insurance Companies," Swiss Finance Institute Research Paper Series 20-52, Swiss Finance Institute.
• Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2020. "Cheap Options Are Expensive," Swiss Finance Institute Research Paper Series 20-64, Swiss Finance Institute.
• 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 20-65, Swiss Finance Institute.
• Jolanta Pasionek, 2020. "Countries of BRICS group on Forex market," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 19(1), pages 99-117, March.
• Asriyan, Vladimir & Foarta, Dana & Vanasco, Victoria, 2018. "Strategic Complexity When Seeking Approval," Research Papers 3615, Stanford University, Graduate School of Business.
  • Asriyan, Vladimir & Foarta, Dana, 2020. "The good, the bad, and the complex: product design with asymmetric information," CEPR Discussion Papers 14307, C.E.P.R. Discussion Papers.
  • Vladimir Asriyan & Dana Foarta & Victoria Vanasco, 2019. "The good, the bad and the complex: Product design with imperfect information," Economics Working Papers 1643, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2021.
  • Asriyan, Vladimir & Foarta, Dana & Vanasco, Victoria, 2020. "The Good, the Bad and the Complex: Product Design with Impeperfect Information," Research Papers 3885, Stanford University, Graduate School of Business.
  • Vladimir Asriyan & Dana Foarta & Victoria Vanasco, 2019. "The Good, The Bad and The Complex: Product Design with Imperfect Information," Working Papers 1079, Barcelona School of Economics.
• Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020. "The Overnight Drift," Staff Reports 917, Federal Reserve Bank of New York.
  • Larsen, Lars & Whelan, Paul, 2020. "The Overnight Drift," CEPR Discussion Papers 14462, C.E.P.R. Discussion Papers.
• Reinders, Henk Jan & Van Dijk, Mathijs, 2020. "A Finance Approach to Climate Stress Testing," CEPR Discussion Papers 14609, C.E.P.R. Discussion Papers.
• Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," Papers 2005.08929, arXiv.org, revised May 2020.
  • Pagano, Marco & Wagner, Christian, 2020. "Disaster Resilience and Asset Prices," CEPR Discussion Papers 14773, C.E.P.R. Discussion Papers.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," EIEF Working Papers Series 2008, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2021.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," CSEF Working Papers 563, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  • Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
• Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2021. "Hedging macroeconomic and financial uncertainty and volatility," Journal of Financial Economics, Elsevier, vol. 142(1), pages 23-45.
  • Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019. "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers 26323, National Bureau of Economic Research, Inc.
  • Dew-Becker, Ian & Kelly, Bryan, 2020. "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers 15239, C.E.P.R. Discussion Papers.
• Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2020. "Currency Futures' Risk Premia and Risk Factors," Discussion Papers of DIW Berlin 1866, DIW Berlin, German Institute for Economic Research.
• Ampudia, Miguel & Baumann, Ursel & Fornari, Fabio, 2020. "Coronavirus (COVID-19): market fear as implied by options prices," Economic Bulletin Boxes, European Central Bank, vol. 4.
• Vokata, Petra, 2020. "Engineering Lemons," Working Paper Series 2020-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• 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, vol. 10(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, vol. 10(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, vol. 10(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, vol. 10(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, vol. 10(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, vol. 28(C).
• Deng, Guohe, 2020. "Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
• Guo, Peidong & Zhang, Jizhou & Wang, Qian, 2020. "Path-dependent game options with Asian features," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
• 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, vol. 64(C).
• Himmelberg, Charles P. & Tsyplakov, Sergey, 2020. "Optimal terms of contingent capital, incentive effects, and capital structure dynamics," Journal of Corporate Finance, Elsevier, vol. 64(C).
• 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, vol. 114(C).
  • Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series 384, Quantitative Finance Research Centre, University of Technology, Sydney.
  • Mesias Alfeus & Martino Grasselli & Erik Schlogl, 2018. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Papers 1809.06643, arXiv.org.
• Augustin, Patrick & Saleh, Fahad & Xu, Haohua, 2020. "CDS Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
• 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, vol. 68(C), pages 58-77.
• 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, vol. 87(C), pages 358-371.
  • Rhys ap Gwilym & M. Shahid Ebrahim & Abdelkader O. El Alaoui & Hamid Rahman & Abderrahim Taamouti, 2019. "Financial Frictions and the Futures Pricing Puzzle," Working Papers 2019_07, Department of Economics, University of Durham.
• 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, vol. 51(C).
• 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, vol. 51(C).
• 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, vol. 51(C).
• 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, vol. 52(C).
• 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, vol. 53(C).
• 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, vol. 53(C).
• 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, vol. 54(C).
• 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, vol. 54(C).
• 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, vol. 54(C).
• 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, vol. 54(C).
• Wang, Xingchun, 2020. "Catastrophe equity put options with floating strike prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
• 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, vol. 54(C).
• 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, vol. 54(C).
• 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, vol. 54(C).
• Li, Zelei & Wang, Xingchun, 2020. "Valuing spread options with counterparty risk and jump risk," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
• Stefan, Martin & Wellenreuther, Claudia, 2020. "London vs. Leipzig: Price discovery of carbon futures during Phase III of the ETS," Economics Letters, Elsevier, vol. 188(C).
• Hanke, Michael & Kosolapova, Maria & Weissensteiner, Alex, 2020. "COVID-19 and market expectations: Evidence from option-implied densities," Economics Letters, Elsevier, vol. 195(C).
• Dalderop, Jeroen, 2020. "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, vol. 214(2), pages 295-325.
• Park, Yang-Ho, 2020. "Variance disparity and market frictions," Journal of Econometrics, Elsevier, vol. 214(2), pages 326-348.
• Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
  • Almeida, Caio & Ardison, Kim & Garcia, René, 2019. "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers 19-1024, Toulouse School of Economics (TSE).
  • Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.
• 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, vol. 216(2), pages 430-449.
• 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, vol. 217(2), pages 312-334.
• Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
• Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
  • Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017. "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers 2017-21, Department of Economics and Business Economics, Aarhus University.
• Yue, Tian & Zhang, Jin E. & Tan, Eric K.M., 2020. "The Chinese equity index options market," Emerging Markets Review, Elsevier, vol. 45(C).
• 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, vol. 58(C), pages 164-180.
  • 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-02868473, HAL.
• Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).
• Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
• Ames, Matthew & Bagnarosa, Guillaume & Matsui, Tomoko & Peters, Gareth W. & Shevchenko, Pavel V., 2020. "Which risk factors drive oil futures price curves?," Energy Economics, Elsevier, vol. 87(C).
• 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, vol. 87(C).
• Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020. "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, vol. 88(C).
  • Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
• Furió, Dolores & Torró, Hipòlit, 2020. "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, vol. 88(C).
• Detemple, Jerome & Kitapbayev, Yerkin, 2020. "The value of green energy under regulation uncertainty," Energy Economics, Elsevier, vol. 89(C).
• Koten, Silvester Van, 2020. "Forward premia in electricity markets: A replication study," Energy Economics, Elsevier, vol. 89(C).
• Peña, Juan Ignacio & Rodríguez, Rosa & Mayoral, Silvia, 2020. "Tail risk of electricity futures," Energy Economics, Elsevier, vol. 91(C).
• 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, vol. 195(C).
• 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, vol. 70(C).
• Ge, Yiqing & Tang, Ke, 2020. "Commodity prices and GDP growth," International Review of Financial Analysis, Elsevier, vol. 71(C).
• 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, vol. 72(C).
• 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, vol. 72(C).
• Lee, Hwang Hee & Oh, Frederick Dongchuhl, 2020. "Corporate innovation and credit default swap spreads," Finance Research Letters, Elsevier, vol. 32(C).
• 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, vol. 33(C).
• Iyer, Subramanian R. & Simkins, Betty J. & Wang, Heng, 2020. "Cyberattacks and impact on bond valuation," Finance Research Letters, Elsevier, vol. 33(C).
• Park, Jong Jun & Jang, Hyun Jin & Jang, Jiwook, 2020. "Pricing arithmetic Asian options under jump diffusion CIR processes," Finance Research Letters, Elsevier, vol. 34(C).
• Borochin, Paul & Kopeliovich, Yaacov & Shea, Kevin, 2020. "A general method for valuing complex capital structures," Finance Research Letters, Elsevier, vol. 35(C).
• Li, Xuelian & Lin, Panpan & Lin, Jyh-Horng, 2020. "COVID-19, insurer board utility, and capital regulation," Finance Research Letters, Elsevier, vol. 36(C).
• 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, vol. 37(C).
• Cao, Jiling & Kim, Jeong-Hoon & Kim, See-Woo & Zhang, Wenjun, 2020. "Rough stochastic elasticity of variance and option pricing," Finance Research Letters, Elsevier, vol. 37(C).
• Chiah, Mardy & Zhong, Angel, 2020. "Trading from home: The impact of COVID-19 on trading volume around the world," Finance Research Letters, Elsevier, vol. 37(C).
• van Huellen, Sophie, 2020. "Too much of a good thing? Speculative effects on commodity futures curves," Journal of Financial Markets, Elsevier, vol. 47(C).
  • Sophie van Huellen, 2018. "Too Much of a Good Thing? Speculative Effects on Commodity Futures Curves," Working Papers 211, Department of Economics, SOAS University of London, UK.
• Ruan, Xinfeng, 2020. "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 48(C).
• Glazyrina, Anna & Melnikov, Alexander, 2020. "Bachelier model with stopping time and its insurance application," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 156-167.
• Ettlin, Nicolas & Farkas, Walter & Kull, Andreas & Smirnow, Alexander, 2020. "Optimal risk-sharing across a network of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 39-47.
• 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, vol. 110(C).
• Lovreta, Lidija & Silaghi, Florina, 2020. "The surface of implied firm’s asset volatility," Journal of Banking & Finance, Elsevier, vol. 112(C).
• Paschke, Raphael & Prokopczuk, Marcel & Wese Simen, Chardin, 2020. "Curve momentum," Journal of Banking & Finance, Elsevier, vol. 113(C).
• Camara, Antonio & Davidson, Travis & Fodor, Andrew, 2020. "Bank asset structure and deposit insurance pricing," Journal of Banking & Finance, Elsevier, vol. 114(C).
• 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, vol. 116(C).
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020. "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, vol. 118(C).
• Ladley, Daniel & Liu, Guanqing & Rockey, James, 2020. "Losing money on the margin," Journal of Economic Behavior & Organization, Elsevier, vol. 172(C), pages 107-136.
• Khan, M. Ali & Qiao, Lei & Rath, Kali P. & Sun, Yeneng, 2020. "Modeling large societies: Why countable additivity is necessary," Journal of Economic Theory, Elsevier, vol. 189(C).
• Muravyev, Dmitriy & Ni, Xuechuan (Charles), 2020. "Why do option returns change sign from day to night?," Journal of Financial Economics, Elsevier, vol. 136(1), pages 219-238.
• 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, vol. 137(1), pages 108-128.
• Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.
• Jackwerth, Jens Carsten & Menner, Marco, 2020. "Does the Ross recovery theorem work empirically?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 723-739.
• 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, vol. 17(C).
• Irwin, Scott H., 2020. "Trilogy for troubleshooting convergence: Manipulation, structural imbalance, and storage rates," Journal of Commodity Markets, Elsevier, vol. 17(C).
• 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, vol. 18(C).
• 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, vol. 18(C).
  • Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2018. "Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?," CQE Working Papers 7518, Center for Quantitative Economics (CQE), University of Muenster.
  • Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2019. "Price discovery in agricultural commodity markets: Do speculators contribute?," CAMA Working Papers 2019-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• 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, vol. 20(C).
• 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, vol. 68(C).
• 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, vol. 69(C).
• Zhang, Xuan & Xiao, Jun & Zhang, Zhekai, 2020. "An anatomy of commodity futures returns in China," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
• Fan, John Hua & Fernandez-Perez, Adrian & Indriawan, Ivan & Todorova, Neda, 2020. "Internationalization of futures markets: Lessons from China," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
• Chai, Daniel & Chiah, Mardy & Zhong, Angel, 2020. "Decomposing value: Changes in size or changes in book-to-market?," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
• Torricelli, Lorenzo, 2020. "Trade duration risk in subdiffusive financial models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
• 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, vol. 78(C), pages 321-337.
• 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, vol. 66(C), pages 166-188.
• Chuang, Ming-Che & Wen, Chin-Hsiang & Lin, Shih-Kuei, 2020. "Valuation and empirical analysis of currency options," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 71-91.
• 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, vol. 68(C), pages 269-280.
• Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
• Wang, Xingchun, 2020. "Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 16-26.
• Wang, Xingchun, 2020. "Valuation of Asian options with default risk under GARCH models," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 27-40.
• Sankar, Ganesh & Ramachandran, Shankar & Lukose P J, Jijo, 2020. "Dynamics of variance risk premium: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 321-334.
• Bonollo, Michele & Di Persio, Luca & Oliva, Immacolata, 2020. "A quantization approach to the counterparty credit exposure estimation," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 335-356.
• Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
• 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, vol. 52(C).
• 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, vol. 54(C).
• Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," Papers 2005.08929, arXiv.org, revised May 2020.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," EIEF Working Papers Series 2008, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2021.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," CSEF Working Papers 563, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  • Pagano, Marco & Wagner, Christian, 2020. "Disaster Resilience and Asset Prices," CEPR Discussion Papers 14773, C.E.P.R. Discussion Papers.
  • Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
• 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, vol. 13(1), pages 22-53, September.
• 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, vol. 13(1), pages 22-53, September.
• 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, vol. 13(2), pages 285-303, November.
• 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, vol. 10(4), pages 447-473, May.
• 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, vol. 10(4), pages 447-473, May.
• Scott B. Beyer & J. Christopher Hughen & Robert A. Kunkel, 2020. "Noise trading and stock market bubbles: what the derivatives market is telling us," Managerial Finance, Emerald Group Publishing, vol. 46(9), pages 1165-1182, May.
• Geeta Singh & Kaushik Bhattacharjee & Satish Kumar, 2020. "Turn-of-the-month effect in three major emerging countries," Managerial Finance, Emerald Group Publishing, vol. 47(4), pages 555-569, October.
• 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, vol. 12(4), pages 375-409, April.
• Nam Hoang & Terrance Grieb, 2020. "Hedging positions in US wheat markets: a disaggregated data analysis," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 37(3), pages 429-455, May.
• 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, vol. 53(2), pages 201-238, Julio-Dic.
• Ibrahim A. Adekunle, 2020. "On the search for environmental sustainability in Africa: the role of governance," Working Papers 20/078, European Xtramile Centre of African Studies (EXCAS).
• Peter Van Tassel, 2020. "The Law of One Price in Equity Volatility Markets," Staff Reports 953, Federal Reserve Bank of New York.
  • Charles Smith & Peter Van Tassel, 2021. "The Law of One Price in Equity Volatility Markets," Liberty Street Economics 20210201, Federal Reserve Bank of New York.
• Mohamed Amine Boutabba & Yves Rannou, 2020. "Investor strategies and Liquidity Premia in the European Green Bond market," Post-Print hal-02544451, HAL.
• Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
  • Almeida, Caio & Ardison, Kim & Garcia, René, 2019. "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers 19-1024, Toulouse School of Economics (TSE).
  • Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.
• 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, vol. 58(C), pages 164-180.
  • 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-02868473, HAL.
• Claudio Albanese & Yannick Armenti & Stéphane Crépey, 2020. "XVA Metrics for CCP Optimisation," Post-Print hal-03910114, HAL.
• Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2020. "Agricultural Production Decision using Jumps and Seasonal Volatility in commodities prices dynamics," Working Papers hal-02465046, HAL.
• Armerin, Fredrik, 2020. "Investments with declining cost following a Lévy process," Working Paper Series 20/14, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
• Armerin, Fredrik & Song, Han-Suck, 2020. "A framework for modelling cash flow lags," Working Paper Series 20/17, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
• 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, vol. 17(1), pages 29-45.
• Wee-Yeap Lau & Tien-Ming Yip, 2020. "Information Flow Between The Us Dollar-Rupiah Exchange Rates," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(3), pages 439-460.
• Zenón Hernández Álvarez & María De Jesús Ramos Álvarez, 2020. "El momento óptimo para invertir en una empresa de la agroindustria del café (Una Aplicación de la Teoría de las Opciones Reales)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(1), pages 123-134, Enero - M.
• Gilberto Anzaldo San Vicente & Guillermo Benavides, 2020. "Expectativas en las tasas de interés y noticias de política monetaria de EEUU," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(1), pages 17-35, Enero - M.
• Paula Beatriz Morales Bañuelos, 2020. "Selección del modelo de mejor estimación del Valor Razonable en un mercado emergente," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(1), pages 81-103, Enero - M.
• Roberto R. Barrera-Rivera & Humberto Valencia-Herrera, 2020. "Dynamic hedging of prices of Natural Gas in Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(3), pages 355-374, Julio - S.
• Ortiz-Aguilar, héctor E. & Venegas-Martínez, Francisco & Ortiz-Arango, Francisco, 2020. "Modelos de saltos vs modelos de choques para la valuación de opciones en ambientes de alta volatilidad," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(52), pages 9-45, Primer se.
• Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network pricing of American put options," Working Papers REM 2020/0122, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Prasenjit Chakrabarti & K Kiran Kumar, 2020. "High-Frequency Return-Implied Volatility Relationship: Empirical Evidence from Nifty and India VIX," Journal of Developing Areas, Tennessee State University, College of Business, vol. 54(3), pages 53-68, July-Sept.
• Riccardo Brignone & Carlo Sgarra, 2020. "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, vol. 16(1), pages 101-119, March.
• Bahman Angoshtari & Tim Leung, 2020. "Optimal trading of a basket of futures contracts," Annals of Finance, Springer, vol. 16(2), pages 253-280, June.
  • Bahman Angoshtari & Tim Leung, 2019. "Optimal Trading of a Basket of Futures Contracts," Papers 1910.04943, arXiv.org.
• J. Lars Kirkby & Duy Nguyen, 2020. "Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models," Annals of Finance, Springer, vol. 16(3), pages 307-351, September.
• Katsushi Nakajima, 2020. "Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 35-59, March.
• Koichi Matsumoto & Keita Shimizu, 2020. "Hedging Derivatives on Two Assets with Model Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 83-95, March.
• Luca J. Liebi, 2020. "The effect of ETFs on financial markets: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 165-178, June.
• Haoyu Gao & Junbo Wang & Xiaoguang Yang & Lin Zhao, 2020. "Borrower Opacity and Loan Performance: Evidence from China," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(2), pages 181-206, April.
• Lynn Boen & Florence Guillaume, 2020. "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, vol. 23(1), pages 1-39, April.
• G. Dorfleitner & J. Gerer, 2020. "Time consistent pricing of options with embedded decisions," Review of Derivatives Research, Springer, vol. 23(1), pages 85-119, April.
• Wan-Yi Chiu, 2020. "The global minimum variance hedge," Review of Derivatives Research, Springer, vol. 23(2), pages 121-144, July.
• Jia-Hau Guo & Lung-Fu Chang, 2020. "A generalization of option pricing to price-limit markets," Review of Derivatives Research, Springer, vol. 23(2), pages 145-161, July.
• Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2020. "Yield curves from different bond data sets," Review of Derivatives Research, Springer, vol. 23(2), pages 191-226, July.
• José Carlos Dias & João Pedro Vidal Nunes & Aricson Cruz, 2020. "A note on options and bubbles under the CEV model: implications for pricing and hedging," Review of Derivatives Research, Springer, vol. 23(3), pages 249-272, October.
• Maxim Ulrich & Simon Walther, 2020. "Option-implied information: What’s the vol surface got to do with it?," Review of Derivatives Research, Springer, vol. 23(3), pages 323-355, October.
• Erwinna Chendra & Kuntjoro A. Sidarto, 2020. "An improved of Hull–White model for valuing Employee Stock Options (ESOs)," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 651-669, February.
• Peng-Chia Chiu & Timothy D. Haight, 2020. "Investor learning, earnings signals, and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 671-698, February.
• Bingxin Li, 2020. "Option-implied filtering: evidence from the GARCH option pricing model," Review of Quantitative Finance and Accounting, Springer, vol. 54(3), pages 1037-1057, April.
• Tavy Ronen & Oleg Sokolinskiy & Ben Sopranzetti, 2020. "The risk management implications of using end of day consensus pricing for single name CDS," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 269-304, July.
• Oleg Sokolinskiy, 2020. "Conditional dependence in post-crisis markets: dispersion and correlation skew trades," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 389-426, August.
• Boros, Péter, 2020. "A hitelminősítői bejelentések fertőző hatásai és a hitelértékelési kiigazítás [Rating migration, credit risk contagion and Credit Valuation Adjustment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 140-163.
• Gastón Silverio Milanesi, 2020. "Opciones reales y el valor de los ahorros fiscales," Revista Ciencias Administrativas (CADM), IIA, Universidad Nacional de La Plata, Instituto de Investigaciones Administrativas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, issue 16, pages 25-34, July-Dece.
• J. Arismendi-Zambrano & R. Azevedo, 2020. "Implicit Entropic Market Risk-Premium from Interest Rate Derivatives," Economics Department Working Paper Series n303-20.pdf, Department of Economics, National University of Ireland - Maynooth.
• J. C. Arismendi-Zambrano & T. Ramos-Almeida & J. C. Reboredo & M. A. Rivera-Castro, 2020. "Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach," Economics Department Working Paper Series n305-20.pdf, Department of Economics, National University of Ireland - Maynooth.
• J. C. Arismendi-Zambrano & Vladimir Belitsky & Vinicius Amorim Sobreiro & Herbert Kimura, 2020. "The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing," Economics Department Working Paper Series n306-20.pdf, Department of Economics, National University of Ireland - Maynooth.
• Felicity K. Mathye & Collins C. Ngwakwe, 2020. "Women in Top Management and Corporate Share Price: The Mediating Role of Management Learning," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 18(2 (Summer), pages 111-126.
• Mazen Bustanji, 2020. "Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia," Theory Methodology Practice (TMP), Faculty of Economics, University of Miskolc, vol. 16(02), pages 3-15.
• Wei Wei & Asger Lunde, 2020. "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Monash Econometrics and Business Statistics Working Papers 10/20, Monash University, Department of Econometrics and Business Statistics.
• Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2020. "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," NBER Working Papers 26773, National Bureau of Economic Research, Inc.
• Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "The Variance Risk Premium in Equilibrium Models," NBER Working Papers 27108, National Bureau of Economic Research, Inc.
• Ian Dew-Becker & Stefano Giglio, 2020. "Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data," NBER Working Papers 27864, National Bureau of Economic Research, Inc.
  • Dew-Becker, Ian, 2021. "Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data," CEPR Discussion Papers 16306, C.E.P.R. Discussion Papers.
• Ashley Langer & Derek Lemoine, 2020. "What Were the Odds? Estimating the Market's Probability of Uncertain Events," NBER Working Papers 28265, National Bureau of Economic Research, Inc.
• Nikolay Patonov, 2020. "Gold Price And Bitcoin Exchange Rate: Is There A Correlation?," Entrepreneurship, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 8(1), pages 119-124.
• Pedro Rossi & Eliane Araujo & Nelson H. Barbosa-Filho, 2020. "Ajuste da taxa de câmbio à paridade coberta da taxa de juro no Brasil [Exchange rate adjustment to the covered interest rate parity in Brazil]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 30(1), pages 95-110, January-A.
• Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
• Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
• Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A Majewski, 2020. "A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing [Disentangling Diffusion from Jumps]," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 18(1), pages 121-157.
• Jennifer Conrad & Robert F Dittmar & Allaudeen Hameed, 2020. "Implied Default Probabilities and Losses Given Default from Option Prices," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 18(3), pages 629-652.
• Jing-Zhi Huang & Zhan Shi & Hao Zhou, 2020. "Specification Analysis of Structural Credit Risk Models [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," Review of Finance, European Finance Association, vol. 24(1), pages 45-98.
  • Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
• Servaas van Bilsen & Ilja A Boelaars & A. Lans Bovenberg, 2020. "The Duration Puzzle in Life-Cycle Investment," Review of Finance, European Finance Association, vol. 24(6), pages 1271-1311.
• Dmitriy Muravyev & Neil D Pearson & Stijn Van Nieuwerburgh, 2020. "Options Trading Costs Are Lower than You Think [Direct estimation of equity market impact]," Review of Financial Studies, Society for Financial Studies, vol. 33(11), pages 4973-5014.
• Matthias Fleckenstein & Francis A Longstaff & Stijn Van Nieuwerburgh, 2020. "Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives [Measuring systemic risk]," Review of Financial Studies, Society for Financial Studies, vol. 33(11), pages 5051-5091.
• Urban J Jermann, 2020. "Negative Swap Spreads and Limited Arbitrage," Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 212-238.
  • Urban Jermann, 2019. "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers 25422, National Bureau of Economic Research, Inc.
• Jerome Detemple & Yerkin Kitapbayev & Philip Strahan, 2020. "The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage," Review of Financial Studies, Society for Financial Studies, vol. 33(7), pages 3307-3347.
• Zapata Quimbayo, Carlos Andrés, 2020. "Probabilidad de incumplimiento en inversiones de infraestructura: análisis a partir de modelos estructurales de riesgo de crédito || Probability of default in infrastructure projects: analysis from st," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 327-345, December.
• Harris Ntantanis & Lawrence Pohlman, 2020. "Market implied GDP," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 636-646, December.
• Chang, Kuo-Ping, 2020. "On Option Greeks and Corporate Finance," MPRA Paper 102792, University Library of Munich, Germany.
• Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
  • Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
• Daniel Levy & Tamir Mayer & Alon Raviv, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," Working Papers 2020-01, Bar-Ilan University, Department of Economics.
  • Levy, Daniel & Mayer, Tamir & Raviv, Alon, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," MPRA Paper 98785, University Library of Munich, Germany.
  • Daniel Levy & Tamir Mayer & Alon Raviv, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," Working Paper series 20-05, Rimini Centre for Economic Analysis.
  • Levy, Daniel & Mayer, Tamir & Raviv, Alon, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," EconStor Preprints 214194, ZBW - Leibniz Information Centre for Economics.
  • Daniel Levy & Tamir Mayer & Alon Raviv, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," Working Papers hal-02488796, HAL.
• Jakub Drahokoupil, 2020. "Variance Gamma process in the option pricing model," FFA Working Papers 3.002, Prague University of Economics and Business, revised 31 Jan 2021.
• Caio Almeida & Kym Ardison & René Garcia & Piotr OrÅ‚owski, 2020. "Extracting Tail Risk from High-Frequency S&P 500 Returns," Working Papers 2020-78, Princeton University. Economics Department..
• Selmi, Refk Selmi & Errami, Youssef Errami & Wohar, Mark E., 2020. "What Trump’s China Tariffs Have Cost U.S. Companies?," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 35(2), pages 282-295.
• Zura Kakushadze, 2020. "Option Pricing: Channels, Target Zones and Sideways Markets," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 25-33.
• Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
• 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, vol. 19(3), pages 296-325, December.
• 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, vol. 20(2), pages 131-164, August.
• Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," Papers 2005.08929, arXiv.org, revised May 2020.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," CSEF Working Papers 563, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  • Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," EIEF Working Papers Series 2008, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2021.
  • Pagano, Marco & Wagner, Christian, 2020. "Disaster Resilience and Asset Prices," CEPR Discussion Papers 14773, C.E.P.R. Discussion Papers.
  • Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
• 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, vol. 43(1), pages 229-249, June.
• 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, vol. 43(1), pages 303-339, June.
• 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, vol. 43(2), pages 751-767, December.
• Federico José Camargo, 2020. "The effectiveness of distributed ledger technology to replicate the entropic behavior of nature," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 361-378, July.
• Ayesha Sayed & Christo Auret, 2020. "Volatility transmission in the South African white maize futures market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(1), pages 71-88, March.
• 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, vol. 6(1), pages 1-29, December.
• 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, vol. 24(1), pages 125-167, January.
• Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
• Erhan Bayraktar & Matteo Burzoni, 2020. "On the quasi-sure superhedging duality with frictions," Finance and Stochastics, Springer, vol. 24(1), pages 249-275, January.
  • Erhan Bayraktar & Matteo Burzoni, 2018. "On the quasi-sure superhedging duality with frictions," Papers 1809.07516, arXiv.org, revised Sep 2019.
• Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Pathwise superhedging on prediction sets," Finance and Stochastics, Springer, vol. 24(1), pages 215-248, January.
• Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
• 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, vol. 24(3), pages 633-675, July.
• Matti Kiiski, 2020. "The Riesz representation theorem and weak∗ compactness of semimartingales," Finance and Stochastics, Springer, vol. 24(4), pages 827-870, October.
• Constantinos Kardaras & Johannes Ruf, 2020. "Filtration shrinkage, the structure of deflators, and failure of market completeness," Finance and Stochastics, Springer, vol. 24(4), pages 871-901, October.
• 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, vol. 44(3), pages 458-485, July.
  • Zachary McGurk & Adam Nowak & Joshua C. Hall, 2019. "Stock Returns and Investor Sentiment: Textual Analysis and Social Media," Working Papers 19-03, Department of Economics, West Virginia University.
• 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, vol. 44(4), pages 627-654, October.
• 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, vol. 25(2), pages 438-473, June.
• Jaroslav Baran & Jan Voříšek, 2020. "Volatility indices and implied uncertainty measures of European government bond futures," Working Papers 43, European Stability Mechanism.
• Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
  • Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018. "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers 20183, University of Liverpool, Department of Economics.
• 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, vol. 38(3), pages 662-678, July.
  • Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers 2018-02, Department of Economics and Business Economics, Aarhus University.
• Giovanni Barone Adesi & Eckhard Platen & Carlo Sala, 2020. "On Using Equities to Produce Pension Payouts," Research Paper Series 413, Quantitative Finance Research Centre, University of Technology, Sydney.
• Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020. "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series 415, Quantitative Finance Research Centre, University of Technology, Sydney.
• Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
  • Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
• Bieta Volker & Broll Udo & Siebe Wilfried, 2020. "Strategic option pricing," Economics and Business Review, Sciendo, vol. 6(3), pages 118-129, August.
• Steven Tucker & Yilong Xu, 2020. "Nonspeculative Bubbles Revisited: Speculation Does Matter," Working Papers in Economics 20/09, University of Waikato.
• Maciej Wysocki & Robert Ślepaczuk, 2020. "Artificial Neural Networks Performance in WIG20 Index Options Pricing," Working Papers 2020-19, Faculty of Economic Sciences, University of Warsaw.
• Mateusz Kijewski & Robert Ślepaczuk, 2020. "Predicting prices of S&P500 index using classical methods and recurrent neural networks," Working Papers 2020-27, Faculty of Economic Sciences, University of Warsaw.
• Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
• Bartłomiej Bollin & Robert Ślepaczuk, 2020. "Variance Gamma Model in Hedging Vanilla and Exotic Options," Working Papers 2020-31, Faculty of Economic Sciences, University of Warsaw.
• Robert Ślepaczuk & Igor Wabik, 2020. "The impact of the results of football matches on the stock prices of soccer clubs," Working Papers 2020-35, Faculty of Economic Sciences, University of Warsaw.
• 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., vol. 40(4), pages 632-650, April.
  • Jin, Muzhao & Kearney, Fearghal & Li, Youwei & Yang, Yung Chiang, 2019. "Intraday Time-series Momentum: Evidence from China," MPRA Paper 97134, University Library of Munich, Germany.
• 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., vol. 10(02), pages 1-42, June.
  • Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz, 2017. "Is There an On-the-Run Premium in TIPS?," Working Paper Series 2017-10, Federal Reserve Bank of San Francisco.
• Packham, Natalie, 2020. "Structured climate financing: valuation of CDOs on inhomogeneous asset pools," IRTG 1792 Discussion Papers 2020-003, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Bieta, Volker & Broll, Udo & Siebe, Wilfried, 2020. "Strategic option pricing," CEPIE Working Papers 03/20, Technische Universität Dresden, Center of Public and International Economics (CEPIE).

2019

• Nina Boyarchenko & Andreas Fuster & David O Lucca, 2019. "Understanding Mortgage Spreads," Review of Financial Studies, Society for Financial Studies, vol. 32(10), pages 3799-3850.
  • Nina Boyarchenko & Andreas Fuster & David O. Lucca, 2014. "Understanding mortgage spreads," Staff Reports 674, Federal Reserve Bank of New York.
• Ai Jun Hou & Ian Khrashchevskyi & Jarkko Peltomäki, 2019. "Hedge and safe haven investing with investment styles," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 351-364, September.
• Molintas, Dominique Trual, 2019. "Rational human behaviour for corporate survival: Black Monday Review," MPRA Paper 100329, University Library of Munich, Germany.
• Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
  • Leung, Melvern & Li, Youwei & Pantelous, Athanasios & Vigne, Samuel, 2019. "Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing," MPRA Paper 101698, University Library of Munich, Germany.
• Kanamura, Takashi, 2019. "Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power," MPRA Paper 92009, University Library of Munich, Germany.
• Zvezdin, Nikolay, 2019. "Tranched Value Securities," MPRA Paper 92302, University Library of Munich, Germany.
• Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," EconStor Preprints 202549, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper 94135, University Library of Munich, Germany.
  • Tim Xiao, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers hal-02165501, HAL.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org 5uxef, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv 5hf4b, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv kzbxf, Center for Open Science.
• Xiao, Tim, 2019. "Pricing Interest Rate Swap Subject to Bilateral Counterparty Risk," MPRA Paper 94233, University Library of Munich, Germany.
• Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," MPRA Paper 94441, University Library of Munich, Germany.
  • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," SocArXiv 84xjn, Center for Open Science.
  • Tim Xiao, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers hal-02024147, HAL.
  • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," arabixiv.org 86xhw, Center for Open Science.
  • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," FrenXiv ej7nz, Center for Open Science.
• Tim, Xiao, 2019. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 94701, University Library of Munich, Germany.
• Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
• Anna Naszodi, 2021. "The Single Resolution Fund and the Credit Default Swap: What Is the Coasian Fair Price of Their Insurance Services?," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-36, October.
  • Naszodi, Anna, 2019. "The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?," MPRA Paper 96181, University Library of Munich, Germany, revised 02 Apr 2019.
• Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," Energy Economics, Elsevier, vol. 81(C), pages 639-649.
  • Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," MPRA Paper 96446, University Library of Munich, Germany.
• 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., vol. 40(4), pages 632-650, April.
  • Jin, Muzhao & Kearney, Fearghal & Li, Youwei & Yang, Yung Chiang, 2019. "Intraday Time-series Momentum: Evidence from China," MPRA Paper 97134, University Library of Munich, Germany.
• Jan Šedivý, 2019. "Optimální způsob sjednání derivátu za přítomnosti rizika protistrany [Optimal Method of Entering a Derivative Contract in the Presence of Counterparty Risk]," Politická ekonomie, Prague University of Economics and Business, vol. 2019(1), pages 65-81.
• Bodin Civilize & Thaisiri Watewai & Sakkapop Panyanukul & Kaipichit Ruengsrichaiya, 2019. "Mapping Thailand's Financial Landscape: A Perspective through Balance Sheet Linkages and Contagion," PIER Discussion Papers 114, Puey Ungphakorn Institute for Economic Research.
• Lerskullawat, Polwat, 2019. "Hedging Effectiveness on the Thailand Futures Exchange Market," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 26(2), pages 38-58, December.
• Guesmi, Sahar & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2019. "The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage," Working Papers 19-4, HEC Montreal, Canada Research Chair in Risk Management.
• Krzysztof Echaust, 2019. "How do market movements affect options prices?," Proceedings of International Academic Conferences 9912275, International Institute of Social and Economic Sciences.
• Torres Bello, José Roberto. & Sosa Castro, Miriam., 2019. "Valuación de opciones financieras sobre acciones de la Bolsa Mexicana de Valores: el modelo Black Scholes con costos de transacción y pago de dividendos / Pricing Equity Options in the Mexican Stock M," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 9(2), pages 205-228, julio-dic.
• Ali Bendob & Naima Bentouir, 2019. "Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(11), pages 79-95, January.
• Sophie van Huellen, 2020. "Approaches To Price Formation In Financialized Commodity Markets," Journal of Economic Surveys, Wiley Blackwell, vol. 34(1), pages 219-237, February.
  • Sophie van Huellen, 2019. "Approaches to Price Formation in Financialised Commodity Markets," Working Papers 223, Department of Economics, SOAS University of London, UK.
• Rodrigo De-Losso & Elias Cavalcante Filho, José Carlos de Souza Santos, 2019. "What are the risk factors relevant to investors? Evidence from the Brazilian Funds Market," Working Papers, Department of Economics 2019_52, University of São Paulo (FEA-USP).
• Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
• Jyh-Bang Jou & Charlene Tan Lee, 2019. "Optimal statute of limitations under land development timing decisions," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 62(1), pages 1-20, February.
• Young Shin Kim, 2019. "Tempered stable process, first passage time, and path-dependent option pricing," Computational Management Science, Springer, vol. 16(1), pages 187-215, February.
• Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2019. "Time-consistency of risk measures: how strong is such a property?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 287-317, June.
• Fabien Le Floc’h & Cornelis W. Oosterlee, 2019. "Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II," Risks, MDPI, vol. 7(1), pages 1-21, March.
  • Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
• Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
• Luca De Gennaro Aquino & Carole Bernard, 2019. "Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 715-741, December.
• Bernard Dumas & Elisa Luciano, 2019. "From volatility smiles to the volatility of volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 387-406, December.
• Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter, 2019. "Moment explosions in the rough Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 575-608, December.
• Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019. "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 321-349, December.
• Ronald A. Babula & Daowei Zhang, 2019. "Assessing the role of futures position substitutability in a monthly model of factor demand for softwood lumber," Empirical Economics, Springer, vol. 56(3), pages 1097-1116, March.
• Marco Haase & Yvonne Seiler Zimmermann & Heinz Zimmermann, 2019. "Permanent and transitory price shocks in commodity futures markets and their relation to speculation," Empirical Economics, Springer, vol. 56(4), pages 1359-1382, April.
• Roi D. Taussig & Dror Tobi & Moti Zwilling, 2019. "The importance of timing in estimating beta," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(1), pages 61-70, March.
• David Hobson & Dominykas Norgilas, 2019. "Robust bounds for the American put," Finance and Stochastics, Springer, vol. 23(2), pages 359-395, April.
• Delia Coculescu & Monique Jeanblanc, 2019. "Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices," Finance and Stochastics, Springer, vol. 23(2), pages 397-421, April.
• Jim Gatheral & Martin Keller-Ressel, 2019. "Affine forward variance models," Finance and Stochastics, Springer, vol. 23(3), pages 501-533, July.
• Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
• Rebecca N. Hann & Heedong Kim & Yue Zheng, 2019. "Intra-industry information transfers: evidence from changes in implied volatility around earnings announcements," Review of Accounting Studies, Springer, vol. 24(3), pages 927-971, September.
• Anja Frommherz, 2019. "Price discovery of German index derivatives during financial turmoil," Review of Managerial Science, Springer, vol. 13(1), pages 147-179, February.
• Darby, Julia & Zhang, Hai & Zhang, Jinkai, 2021. "Institutional trading in volatile markets: Evidence from Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  • Julia Darby & Hai Zhang & Jinkai Zhang, 2019. "Institutional trading in volatile markets: evidence from Chinese stock markets," Working Papers 1912, University of Strathclyde Business School, Department of Economics.
• Halil Ibrahim Korkmaz & Doruk Kucuksarac & Yigit Onay & Ahmet Senol, 2019. "Estimation of FX Option Implied Density Functions: Nonparametric-Malz Approach," Working Papers 1903, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• 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, vol. 12(C), pages 78-145.
  • Robert Czudaj, 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Chemnitz Economic Papers 030, Department of Economics, Chemnitz University of Technology, revised May 2019.
• Olijslager, Stan & van Wijnbergen, Sweder, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers 13708, C.E.P.R. Discussion Papers.
  • Stan Olijslagers & Sweder van Wijnbergen, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," Tinbergen Institute Discussion Papers 19-030/VI, Tinbergen Institute.
• Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
  • Almeida, Caio & Ardison, Kim & Garcia, René, 2019. "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers 19-1024, Toulouse School of Economics (TSE).
  • Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.
• Stefano Baccarin, 2019. "Static use of options in dynamic portfolio optimization under transaction costs and solvency constraints," Working papers 063, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
• Álvaro Chamizo & Alfonso Novales, 2019. "Market risk when hedging a global credit portfolio," Documentos de Trabajo del ICAE 2019-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
  • Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE 2019-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2019. "The True Cost of Social Security," Tax Policy and the Economy, University of Chicago Press, vol. 33(1), pages 131-163.
  • Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2018. "The True Cost of Social Security," NBER Chapters, in: Tax Policy and the Economy, Volume 33, National Bureau of Economic Research, Inc.
  • Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008. "The True Cost of Social Security," NBER Working Papers 14427, National Bureau of Economic Research, Inc.
• Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
• Manuel Ammann & Mathis Mörke, 2019. "Credit Variance Risk Premiums," Working Papers on Finance 1908, University of St. Gallen, School of Finance.
• Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
• Eckhard Platen & Renata Rendek, 2019. "Dynamics of a Well-Diversified Equity Index," Research Paper Series 398, Quantitative Finance Research Centre, University of Technology, Sydney.
• Jin Sun & Eckhard Platen, 2019. "Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies," Research Paper Series 399, Quantitative Finance Research Centre, University of Technology, Sydney.
• Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020. "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, vol. 88(C).
  • Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
• Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
• Anna Grodecka-Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics, Canadian Economics Association, vol. 52(4), pages 1600-1654, November.
  • Anna Grodecka‐Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(4), pages 1600-1654, November.
  • Grodecka, Anna, 2013. "Subprime borrowers, securitization and the transmission of business cycles," Bonn Econ Discussion Papers 07/2013, University of Bonn, Bonn Graduate School of Economics (BGSE).
  • Grodecka, Anna, 2014. "Subprime borrowers, securitization and the transmission of business cycles," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100456, Verein für Socialpolitik / German Economic Association.
  • Grodecka, Anna, 2016. "Subprime Borrowers, Securitization and the Transmission of Business Cycles," Working Paper Series 317, Sveriges Riksbank (Central Bank of Sweden).
• Olaf Korn & Paolo Krischak & Erik Theissen, 2019. "Illiquidity transmission from spot to futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1228-1249, October.
  • Korn, Olaf & Krischak, Paolo & Theissen, Erik, 2017. "Illiquidity transmission from spot to futures markets," CFR Working Papers 14-10, University of Cologne, Centre for Financial Research (CFR).
• Jianjun Miao & Bin Wei & Hao Zhou, 2019. "Ambiguity Aversion and the Variance Premium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-36, June.
  • Jianjun Miao & Bin Wei & Hao Zhou, 2012. "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series WP2012-009, Boston University - Department of Economics.
  • Jianjun Miao & Bin Wei & Hao Zhou, 2018. "Ambiguity Aversion and Variance Premium," FRB Atlanta Working Paper 2018-14, Federal Reserve Bank of Atlanta.
• Robert Jarrow & Arkadev Chatterjea, 2019. "An Introduction to Derivative Securities, Financial Markets, and Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number y0018, February.
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Derivatives and Risk Management," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 1, pages 2-21, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Interest Rates," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 2, pages 22-52, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Stocks," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 3, pages 53-71, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Forwards and Futures," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 4, pages 72-91, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Options," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 5, pages 92-111, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Arbitrage and Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 6, pages 112-128, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Financial Engineering and Swaps," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 7, pages 129-151, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Forwards and Futures Markets," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 8, pages 154-171, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 9, pages 172-191, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Regulations," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 10, pages 192-208, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Cost-of-Carry Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 11, pages 209-228, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Extended Cost-of-Carry Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 12, pages 229-255, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Hedging," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 13, pages 256-285, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Options Markets and Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 14, pages 288-309, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Option Trading Strategies," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 15, pages 310-335, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Option Relations," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 16, pages 336-366, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Single-Period Binomial Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 17, pages 367-391, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Multiperiod Binomial Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 18, pages 392-421, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Black–Scholes–Merton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 19, pages 422-461, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Using the Black–Scholes–Merton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 20, pages 462-493, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Yields and Forward Rates," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 21, pages 496-537, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Interest Rate Swaps," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 22, pages 538-557, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Single-Period Binomial Heath–Jarrow–Morton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 23, pages 558-591, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Multiperiod Binomial HJM Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 24, pages 592-617, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Heath–Jarrow–Morton Libor Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 25, pages 618-654, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Risk Management Models," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 26, pages 655-683, World Scientific Publishing Co. Pte. Ltd..
• 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, vol. 44(3), pages 458-485, July.
  • Zachary McGurk & Adam Nowak & Joshua C. Hall, 2019. "Stock Returns and Investor Sentiment: Textual Analysis and Social Media," Working Papers 19-03, Department of Economics, West Virginia University.
• Wölfing, Nikolas, 2019. "Forward trading and collusion in supply functions," ZEW Discussion Papers 19-003, ZEW - Leibniz Centre for European Economic Research.
• Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers 2019-02, Department of Economics and Business Economics, Aarhus University.
• Muhammad Aamir Shahzad & Amar Razzaq & Ping Qing, 2019. "On The Wheat Price Support Policy in Pakistan," Journal of Economic Impact, Science Impact Publishers, vol. 1(3), pages 80-86.
• Igor Makarov & Antoinette Schoar, 2019. "Price Discovery in Cryptocurrency Markets," AEA Papers and Proceedings, American Economic Association, vol. 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 4189, Asociación Argentina de Economía Política.
• Niyazi TELÇEKEN & Murat KIYILAR & Eyüp KADIOĞLU, 2019. "Volatilite Endeksleri: Gelişimi, Türleri, Uygulamaları ve TRVIX Önerisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 4(2), pages 204-228.
• İsmail Atacan Author-Name:Erdinç Altay, 2019. "Analysis of Herd Behavior In Commodity Futures Markets," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 7(1), pages 37-54, June.
• Garivaltis, Alex, 2019. "Two resolutions of the margin loan pricing puzzle," Research in Economics, Elsevier, vol. 73(2), pages 199-207.
  • Alex Garivaltis, 2019. "Two Resolutions of the Margin Loan Pricing Puzzle," Papers 1906.01025, arXiv.org, revised Oct 2022.
• Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2021. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Energy Economics, Elsevier, vol. 95(C).
  • 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 625, Center for Mathematical Economics, Bielefeld University.
  • Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu, 2019. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Papers 1910.01044, arXiv.org.
• Bahman Angoshtari & Tim Leung, 2020. "Optimal trading of a basket of futures contracts," Annals of Finance, Springer, vol. 16(2), pages 253-280, June.
  • Bahman Angoshtari & Tim Leung, 2019. "Optimal Trading of a Basket of Futures Contracts," Papers 1910.04943, arXiv.org.
• 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, vol. 12(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, vol. 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) 1215, Bank of Italy, Economic Research and International Relations Area.
• Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2021. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Energy Economics, Elsevier, vol. 95(C).
  • Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu, 2019. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Papers 1910.01044, arXiv.org.
  • 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 625, Center for Mathematical Economics, Bielefeld University.
• Sun-Joong Yoon, 2019. "Determinants of Variance Risk Premium (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 25(1), pages 1-33, March.
• Paul Schneider, 2019. "A Theory of Scenario Generation," Swiss Finance Institute Research Paper Series 19-17, Swiss Finance Institute.
• Altan Pazarbasi & Paul Schneider & Grigory Vilkov, 2019. "Sentimental Recovery," Swiss Finance Institute Research Paper Series 19-57, Swiss Finance Institute.
• Artem Dyachenko & Walter Farkas & Marc Oliver Rieger, 2019. "Volatility Dependent Structured Products," Swiss Finance Institute Research Paper Series 19-64, Swiss Finance Institute.
• Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan, 2019. "Option Trading and Stock Price Informativeness," Swiss Finance Institute Research Paper Series 19-74, Swiss Finance Institute.
• Giovanni Barone-Adesi & Carlo Sala, 2019. "Testing Market Efficiency With the Pricing Kernel," Swiss Finance Institute Research Paper Series 19-77, Swiss Finance Institute.
• 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, vol. 35(150), pages 47-58, March.
• Troncoso Sepúlveda, Ricardo & Cabas Monje, Juan, 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, January.
• Stan Olijslagers & Sweder van Wijnbergen, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," Tinbergen Institute Discussion Papers 19-030/VI, Tinbergen Institute.
  • Olijslager, Stan & van Wijnbergen, Sweder, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers 13708, C.E.P.R. Discussion Papers.
• Ian W. R. Martin & Dimitris Papadimitriou, 2022. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," American Economic Review, American Economic Association, vol. 112(8), pages 2465-2517, August.
  • Martin, Ian & Papadimitriou, Dimitris, 2019. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers 13857, C.E.P.R. Discussion Papers.
  • Martin, Ian & Papadimitriou, Dimitris, 2022. "Sentiment and speculation in a market with heterogeneous beliefs," LSE Research Online Documents on Economics 114340, London School of Economics and Political Science, LSE Library.
• Distaso, Walter & Mele, Antonio & Vilkov, Grigory, 2019. "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers 13873, C.E.P.R. Discussion Papers.
• Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao, 2019. "The Term Structure of Government Debt Uncertainty," CEPR Discussion Papers 13874, C.E.P.R. Discussion Papers.
• 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, vol. 54(3), pages 1083-1115, June.
  • Peter Christoffersen & Asger Lunde & Kasper V. Olesen, 2014. "Factor Structure in Commodity Futures Return and Volatility," CREATES Research Papers 2014-31, Department of Economics and Business Economics, Aarhus University.
• 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, vol. 14(2), pages 133-144, May.
• de Vette, Nander & Petersen, Annelie & Stan Olijslager, Stan & van Wijnbergen, Sweder, 2018. "What Option Prices tell us about the ECB's Unconventional Monetary Policies," CEPR Discussion Papers 13371, C.E.P.R. Discussion Papers.
  • Stan Olijslagers & Annelie Petersen & Nander de Vette & Sweder van Wijnbergen, 2019. "What Option Prices tell us about the ECBs Unconventional Monetary Policies," DNB Working Papers 629, Netherlands Central Bank, Research Department.
  • Stan Olijslagers & Annelie Petersen & Nander de Vette & Sweder (S.J.G.) van Wijnbergen, 2018. "What Option Prices tell us about the ECB's Unconventional Monetary Policies," Tinbergen Institute Discussion Papers 18-096/VI, Tinbergen Institute.
• Ilja Boelaars & Dirk Broeders, 2019. "Fair Pensions," DNB Working Papers 630, Netherlands Central Bank, Research Department.
• Gaëtan Le Quang, 2019. "Mind the Conversion Risk: a Theoretical Assessment of Contingent Convertible Bonds," EconomiX Working Papers 2019-5, University of Paris Nanterre, EconomiX.
• 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, vol. 87(C), pages 358-371.
  • Rhys ap Gwilym & M. Shahid Ebrahim & Abdelkader O. El Alaoui & Hamid Rahman & Abderrahim Taamouti, 2019. "Financial Frictions and the Futures Pricing Puzzle," Working Papers 2019_07, Department of Economics, University of Durham.
• Hipòlit Torró, 2019. "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.
  • Hipòlit Torró, 2018. "The Response of European Energy Prices to ECB Monetary Policy," Working Papers 2018.09, Fondazione Eni Enrico Mattei.
  • Torró, Hipòlit, 2018. "The Response of European Energy Prices to ECB Monetary Policy," ETA: Economic Theory and Applications 269537, Fondazione Eni Enrico Mattei (FEEM).
• Bekiros, Stelios & Kouloumpou, Dimitra, 2019. "On the pricing of exotic options: A new closed-form valuation approach," Chaos, Solitons & Fractals, Elsevier, vol. 122(C), pages 153-162.
• Zaevski, Tsvetelin S. & Kounchev, Ognyan & Savov, Mladen, 2019. "Two frameworks for pricing defaultable derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 309-319.
• Zaevski, Tsvetelin S., 2019. "A new form of the early exercise premium for American type derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 338-340.
• 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, vol. 100(C), pages 251-269.
• Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
• 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, vol. 108(C).
• Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
• Nishihara, Michi & Shibata, Takashi, 2019. "Liquidation, fire sales, and acquirers’ private information," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  • Michi Nishihara & Takashi Shibata, 2018. "Liquidation, fire sales, and acquirers' private information," Discussion Papers in Economics and Business 18-25, Osaka University, Graduate School of Economics.
• Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
• Niu, Huawei & Hua, Wei, 2019. "An endogenous structural credit risk model incorporating with moral hazard and rollover risk," Economic Modelling, Elsevier, vol. 78(C), pages 47-59.
• Aït-Youcef, Camille, 2019. "How index investment impacts commodities: A story about the financialization of agricultural commodities," Economic Modelling, Elsevier, vol. 80(C), pages 23-33.
• Hu, May & Park, Jason, 2019. "Valuation of collateralized debt obligations: An equilibrium model," Economic Modelling, Elsevier, vol. 82(C), pages 119-135.
• 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, vol. 47(C), pages 442-460.
• 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, vol. 48(C), pages 149-169.
• 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, vol. 49(C), pages 1-26.
• 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, vol. 49(C), pages 133-151.
• Lee, Hangsuck & Ko, Bangwon & Song, Seongjoo, 2019. "Valuing step barrier options and their icicled variations," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 396-411.
• 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, vol. 50(C).
• 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, vol. 50(C).
• 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, vol. 50(C).
• 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, vol. 50(C).
• 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, vol. 50(C).
• Wang, Xingchun, 2019. "Valuation of new-designed contracts for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
• Casiraghi, Marco & Miccoli, Marcello, 2019. "Inflation risk premia and risk-adjusted expectations of inflation," Economics Letters, Elsevier, vol. 175(C), pages 36-39.
• Delgado-Mohatar, Oscar & Felis-Rota, Marta & Fernández-Herraiz, Carlos, 2019. "The Bitcoin mining breakdown: Is mining still profitable?," Economics Letters, Elsevier, vol. 184(C).
• Fulop, Andras & Li, Junye, 2019. "Bayesian estimation of dynamic asset pricing models with informative observations," Journal of Econometrics, Elsevier, vol. 209(1), pages 114-138.
• Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
  • Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 2114, Cowles Foundation for Research in Economics, Yale University.
  • Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Economics and Statistics Working Papers 18-2017, Singapore Management University, School of Economics.
• 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, vol. 12(C), pages 78-145.
  • Robert Czudaj, 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Chemnitz Economic Papers 030, Department of Economics, Chemnitz University of Technology, revised May 2019.
• Akron, Sagi, 2019. "The optimal derivative-based corporate hedging strategies under equity-linked managerial compensation," Emerging Markets Review, Elsevier, vol. 41(C).
• 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, vol. 51(C), pages 64-94.
• Díaz-Hernández, Adán & Constantinou, Nick, 2019. "A multiple regime extension to the Heston–Nandi GARCH(1,1) model," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 162-180.
• 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, vol. 77(C), pages 23-33.
• Müller, Gernot & Seibert, Armin, 2019. "Bayesian estimation of stable CARMA spot models for electricity prices," Energy Economics, Elsevier, vol. 78(C), pages 267-277.
• Li, Bingxin, 2019. "Pricing dynamics of natural gas futures," Energy Economics, Elsevier, vol. 78(C), pages 91-108.
• Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019. "A branching process approach to power markets," Energy Economics, Elsevier, vol. 79(C), pages 144-156.
• Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019. "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, vol. 79(C), pages 3-20.
• Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019. "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, vol. 79(C), pages 45-58.
• Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
  • Robert Czudaj, 2019. "Crude oil futures trading and uncertainty," Chemnitz Economic Papers 027, Department of Economics, Chemnitz University of Technology, revised Jan 2019.
• Lingohr, Daniel & Müller, Gernot, 2019. "Stochastic modeling of intraday photovoltaic power generation," Energy Economics, Elsevier, vol. 81(C), pages 175-186.
• Ruan, Xinfeng & Zhang, Jin E., 2019. "Moment spreads in the energy market," Energy Economics, Elsevier, vol. 81(C), pages 598-609.
• Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," Energy Economics, Elsevier, vol. 81(C), pages 639-649.
  • Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," MPRA Paper 96446, University Library of Munich, Germany.
• Chang, Chia-Lin & Liu, Chia-Ping & McAleer, Michael, 2019. "Volatility spillovers for spot, futures, and ETF prices in agriculture and energy," Energy Economics, Elsevier, vol. 81(C), pages 779-792.
• Bakas, Dimitrios & Triantafyllou, Athanasios, 2019. "Volatility forecasting in commodity markets using macro uncertainty," Energy Economics, Elsevier, vol. 81(C), pages 79-94.
• 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, vol. 84(C).
• Zarnikau, J. & Woo, C.K. & Zhu, S. & Tsai, C.H., 2019. "Market price behavior of wholesale electricity products: Texas," Energy Policy, Elsevier, vol. 125(C), pages 418-428.
• 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, vol. 183(C), pages 477-486.
• Białkowski, Jędrzej & Perera, Devmali, 2019. "Stock index futures arbitrage: Evidence from a meta-analysis," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 284-294.
• 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, vol. 63(C), pages 58-68.
• 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, vol. 64(C), pages 273-281.
• Forte, Santiago & Lovreta, Lidija, 2019. "Volatility discovery: Can the CDS market beat the equity options market?," Finance Research Letters, Elsevier, vol. 28(C), pages 107-111.
• 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, vol. 28(C), pages 112-117.
• Ye, Wuyi & Guo, Ranran & Jiang, Ying & Liu, Xiaoquan & Deschamps, Bruno, 2019. "Professional macroeconomic forecasts and Chinese commodity futures prices," Finance Research Letters, Elsevier, vol. 28(C), pages 130-136.
• Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019. "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, vol. 28(C), pages 185-190.
  • Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers 1712.03566, arXiv.org.
• Xu, Guangli & Shao, Xinjian & Wang, Xingchun, 2019. "Analytical valuation of power exchange options with default risk," Finance Research Letters, Elsevier, vol. 28(C), pages 265-274.
• 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, vol. 28(C), pages 319-327.
• Martinez, Valeria & Tse, Yiuman, 2019. "The impact of tick-size reductions in foreign currency futures markets," Finance Research Letters, Elsevier, vol. 28(C), pages 32-38.
• Pereira, Paulo J. & Rodrigues, Artur, 2019. "Investing in a random start American option under competition," Finance Research Letters, Elsevier, vol. 28(C), pages 388-397.
• Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David, 2019. "Co-explosivity in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 29(C), pages 178-183.
• Bouri, Elie & Gupta, Rangan & Roubaud, David, 2019. "Herding behaviour in cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 216-221.
• Bi, Hongwei & Wang, Guanying & Wang, Xingchun, 2019. "Valuation of catastrophe equity put options with correlated default risk and jump risk," Finance Research Letters, Elsevier, vol. 29(C), pages 323-329.
• 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, vol. 29(C), pages 7-16.
• Ahn, Jung-Hyun & Six, Pierre, 2019. "A study of first generation commodity indices: Indices based on financial diversification," Finance Research Letters, Elsevier, vol. 30(C), pages 194-200.
• Wu, Yu & Zhang, Tong, 2019. "Effects of change in commission fees on China futures market," Finance Research Letters, Elsevier, vol. 31(C), pages 54-65.
• Lim, Kian Guan & Chen, Ying & Yap, Nelson K.L., 2019. "Intraday information from S&P 500 Index futures options," Journal of Financial Markets, Elsevier, vol. 42(C), pages 29-55.
• 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, vol. 46(C).
  • George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
• Marra, Miriam & Yu, Fan & Zhu, Lu, 2019. "The impact of trade reporting and central clearing on CDS price informativeness," Journal of Financial Stability, Elsevier, vol. 43(C), pages 130-145.
• Beißner, Patrick & Khan, M. Ali, 2019. "On Hurwicz–Nash equilibria of non-Bayesian games under incomplete information," Games and Economic Behavior, Elsevier, vol. 115(C), pages 470-490.
• Hambardzumyan, Hayk & Korn, Ralf, 2019. "Dynamic hybrid products with guarantees—An optimal portfolio framework," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 54-66.
• Gatzert, Nadine, 2019. "An analysis of transaction costs in participating life insurance under mean–variance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 185-197.
• Ye, Jinchun, 2019. "Random distribution kernels and three types of defaultable contingent payoffs," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 198-204.
• van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.
• Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
• 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, vol. 86(C), pages 51-63.
• 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, vol. 87(C), pages 130-142.
• Beer, Simone & Braun, Alexander & Marugg, Andrin, 2019. "Pricing industry loss warranties in a Lévy–Frailty framework," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 171-181.
• Chen, An & Rach, Manuel, 2019. "Options on tontines: An innovative way of combining tontines and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 182-192.
• 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, vol. 61(C), pages 213-222.
• Hattori, Takahiro, 2019. "J-liquidity measure: The term structure of the liquidity premium in Japan," Japan and the World Economy, Elsevier, vol. 49(C), pages 61-72.
• Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
• Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
• Lambrinoudakis, Costas & Skiadopoulos, George & Gkionis, Konstantinos, 2019. "Capital structure and financial flexibility: Expectations of future shocks," Journal of Banking & Finance, Elsevier, vol. 104(C), pages 1-18.
  • Costas Lambrinoudakis & Michael Neumann & George Skiadopoulos, 2014. "Capital Structure and Financial Flexibility: Expectations of Future Shocks," Working Papers 731, Queen Mary University of London, School of Economics and Finance.
• Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
• Nishiotis, George P. & Rompolis, Leonidas S., 2019. "Put-call parity violations and return predictability: Evidence from the 2008 short sale ban," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 276-297.
• Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
• Borochin, Paul & Zhao, Yanhui, 2019. "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
• Guo, Xu & Wu, Chunchi, 2019. "Short interest, stock returns and credit ratings," Journal of Banking & Finance, Elsevier, vol. 108(C).
• Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
• Lee, Hwang Hee & Hyun, Jung-Soon, 2019. "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 125-136.
• Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
  • Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017. "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers 2017-15, Department of Economics and Business Economics, Aarhus University.
• Da Fonseca, José & Ignatieva, Katja, 2019. "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 45-62.
• Shiller, Robert J. & Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2019. "Continuous Workout Mortgages: Efficient pricing and systemic implications," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 244-274.
  • Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017. "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers 2116, Cowles Foundation for Research in Economics, Yale University.
• Lang, Ruitian, 2019. "Try before you buy: A theory of dynamic information acquisition," Journal of Economic Theory, Elsevier, vol. 183(C), pages 1057-1093.
• Straub, Ludwig & Ulbricht, Robert, 2019. "Endogenous second moments: A unified approach to fluctuations in risk, dispersion, and uncertainty," Journal of Economic Theory, Elsevier, vol. 183(C), pages 625-660.
  • Straub, Ludwig & Ulbricht, Robert, 2016. "Endogenous Second Moments: A Unified Approach to Fluctuations in Risk, Dispersion, and Uncertainty," TSE Working Papers 16-664, Toulouse School of Economics (TSE), revised Mar 2018.
• Bolton, Patrick & Wang, Neng & Yang, Jinqiang, 2019. "Investment under uncertainty with financial constraints," Journal of Economic Theory, Elsevier, vol. 184(C).
  • Patrick Bolton & Neng Wang & Jinqiang Yang, 2014. "Investment under Uncertainty with Financial Constraints," NBER Working Papers 20610, National Bureau of Economic Research, Inc.
• Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2019. "The leverage effect and the basket-index put spread," Journal of Financial Economics, Elsevier, vol. 131(1), pages 186-205.
• Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
• Lu, Zhongjin & Murray, Scott, 2019. "Bear beta," Journal of Financial Economics, Elsevier, vol. 131(3), pages 736-760.
• Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
• Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
  • Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
  • Lando, David & Pedersen, Lasse Heje & Skov Jensen, Christian, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019. "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 133(2), pages 397-417.
• Atmaz, Adem & Basak, Suleyman, 2019. "Option prices and costly short-selling," Journal of Financial Economics, Elsevier, vol. 134(1), pages 1-28.
  • Atmaz, Adem & Basak, Suleyman, 2018. "Option Prices and Costly Short-Selling," CEPR Discussion Papers 13029, C.E.P.R. Discussion Papers.
• Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
• Li, Gang & Zhang, Chu, 2019. "Counterparty credit risk and derivatives pricing," Journal of Financial Economics, Elsevier, vol. 134(3), pages 647-668.
• van Huellen, Sophie, 2019. "Price discovery in commodity futures and cash markets with heterogeneous agents," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 1-13.
  • Sophie van Huellen, 2018. "Price Discovery in Commodity Futures and Cash Markets with Heterogenous Agents," Working Papers 213, Department of Economics, SOAS University of London, UK.
• Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
• Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "A review of the evidence on the relation between crude oil prices and petroleum product prices," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 1-15.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Jumps in commodity markets," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 55-70.
  • Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017. "Jumps in Commodity Markets," Hannover Economic Papers (HEP) dp-615, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
• Lo, Chien-Ling & Shih, Pai-Ta & Wang, Yaw-Huei & Yu, Min-Teh, 2019. "VIX derivatives: Valuation models and empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 1-21.
• Zhao, Yang & Yu, Min-Teh, 2019. "Measuring the liquidity impact on catastrophe bond spreads," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 197-210.
• Hsieh, Ming-Hua & Lee, Yi-Hsi & Shyu, So-De & Chiu, Yu-Fen, 2019. "Estimating multifactor portfolio credit risk: A variance reduction approach," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
• Chiu, Yu-Fen & Hsieh, Ming-Hua & Tsai, Chenghsien, 2019. "Valuation and analysis on complex equity indexed annuities," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
• Chai, Daniel & Chiah, Mardy & Zhong, Angel, 2019. "Choosing factors: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
• Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019. "Momentum and contrarian effects on the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 691-701.
  • Krzysztof Kość & Paweł Sakowski & Robert Ślepaczuk, 2018. "Momentum and contrarian effects on the cryptocurrency market," Working Papers 2018-09, Faculty of Economic Sciences, University of Warsaw.
• Ertaş, Mehmet & Keskin, Mustafa, 2019. "Dynamic magnetic properties the spin-1 Ising model with bilinear and biquadratic interactions within the path probability method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C), pages 1-1.
• Wang, Guanying & Wang, Xingchun, 2019. "Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
• Inaba, Kei-Ichiro, 2019. "The behaviour of bidders in quantitative-easing auctions of sovereign bonds in Japan: Determinants of the popularity of the 9 to 10-year maturity segment," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 206-214.
• Garivaltis, Alex, 2019. "Two resolutions of the margin loan pricing puzzle," Research in Economics, Elsevier, vol. 73(2), pages 199-207.
  • Alex Garivaltis, 2019. "Two Resolutions of the Margin Loan Pricing Puzzle," Papers 1906.01025, arXiv.org, revised Oct 2022.
• Fassas, Athanasios P. & Siriopoulos, Costas, 2019. "Intraday price discovery and volatility spillovers in an emerging market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 333-346.
• Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
• Zhang, Huiming & Watada, Junzo, 2019. "An analysis of the arbitrage efficiency of the Chinese SSE 50ETF options market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 474-489.
• Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019. "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 203-215.
  • Martin T. Bohl & Christian Gross & Waldemar Souza, 2016. "The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets," CQE Working Papers 5116, Center for Quantitative Economics (CQE), University of Muenster.
• Mili, Mehdi, 2019. "The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets," Research in International Business and Finance, Elsevier, vol. 48(C), pages 187-200.
• Landini, S. & Uberti, M. & Casellina, S., 2019. "Credit risk migration rates modelling as open systems II: A simulation model and IFRS9-baseline principles," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 175-189.
• Lim, Kian Guan & Nomikos, Nikos K. & Yap, Nelson, 2019. "Understanding the fundamentals of freight markets volatility," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 130(C), pages 1-15.
• 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, vol. 18(C).
  • Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2018. "Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?," CQE Working Papers 7518, Center for Quantitative Economics (CQE), University of Muenster.
  • Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2019. "Price discovery in agricultural commodity markets: Do speculators contribute?," CAMA Working Papers 2019-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Makarov, Igor & Schoar, Antoinette, 2019. "Price discovery in cryptocurrency markets," LSE Research Online Documents on Economics 100410, London School of Economics and Political Science, LSE Library.
• Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
• Jorge Miguel Bravo, 2019. "Funding for longer lives. Retirement wallet and risk-sharing annuities," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, vol. 96(02), pages 268-291.
• Aparna Prasad Bhat, 2019. "Who predicts dollar-rupee volatility better? A tale of two options markets," Managerial Finance, Emerald Group Publishing, vol. 45(9), pages 1292-1308, September.
• Athanasios Fassas & Stephanos Papadamou & Dionisis Philippas, 2019. "Investors’ risk aversion integration and quantitative easing," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 12(2), pages 170-183, August.
• Ako Doffou, 2019. "Testing derivatives pricing models under higher-order moment swaps," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 36(2), pages 154-167, March.
• Yong Jae Shin & Unyong Pyo, 2019. "Liquidity hedging with futures and forward contracts," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 36(2), pages 265-290, June.
• Vasile BRÄ‚TIAN, 2019. "Evaluation of Options using the Black-Scholes Methodology," Expert Journal of Economics, Sprint Investify, vol. 7(2), pages 59-65.
• Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022. "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, vol. 77(6), pages 3093-3140, December.
  • Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2019. "The Two-Pillar Policy for the RMB," FRB Atlanta Working Paper 2019-8, Federal Reserve Bank of Atlanta.
• Yang-Ho Park, 2019. "Variance Disparity and Market Frictions," Finance and Economics Discussion Series 2019-059, Board of Governors of the Federal Reserve System (U.S.).
• Robert J. Barro & Gordon Y. Liao, 2019. "Tractable Rare Disaster Probability and Options-Pricing," Finance and Economics Discussion Series 2019-073, Board of Governors of the Federal Reserve System (U.S.).
• Juan M. Londono & Nancy R. Xu, 2019. "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers 1247, Board of Governors of the Federal Reserve System (U.S.).
• Sumit Agarwal & Brent W. Ambrose & Moussa Diop, 2019. "Do Minimum Wage Increases Benefit Intended Households? Evidence from the Performance of Residential Leases," Working Papers 19-28, Federal Reserve Bank of Philadelphia.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019. "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, vol. 12(8), pages 1-24, April.
  • Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers 16-053/III, Tinbergen Institute.
• Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
  • Fabien Le Floc’h & Cornelis W. Oosterlee, 2019. "Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II," Risks, MDPI, vol. 7(1), pages 1-21, March.
• Ana Margarida Monteiro & António Alberto Ferreira Santos, 2019. "Kernel density estimation using local cubic polynomials through option prices applied to intraday data," CeBER Working Papers 2019-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Chong-Meng, 2019. "Effect of Stock Price Information on Timing of Share Repurchases," GATR Journals jfbr155, Global Academy of Training and Research (GATR) Enterprise.
• Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," EconStor Preprints 202549, ZBW - Leibniz Information Centre for Economics.
  • Tim Xiao, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers hal-02165501, HAL.
  • Xiao, Tim, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper 94135, University Library of Munich, Germany.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org 5uxef, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv 5hf4b, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv kzbxf, Center for Open Science.
• Herbetsson, Alexander, 2019. "CDS index options in Markov chain models," Working Papers in Economics 748, University of Gothenburg, Department of Economics.
• Armerin, Fredrik, 2019. "Stochastic discount factors and the optimal timing of irreversible investments," Working Paper Series 19/11, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
• Armerin, Fredrik & Gunnelin, Åke, 2019. "Competitive investment with varying risk premia," Working Paper Series 19/12, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
• Michail Filippidis & Renatas Kizys & George Filis & Christos Floros, 2019. "The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 10(1), pages 3-38.
  • Michail Filippidis & George Filis & Christos Floros & Renatas Kizys, 2018. "The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis," BAFES Working Papers BAFES19, Department of Accounting, Finance & Economic, Bournemouth University.
• Tetsuya Adachi & Takumi Sueshige & Toshinao Yoshiba, 2019. "Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas," IMES Discussion Paper Series 19-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
• Araceli Matías González & María Teresa Verónica Martínez-Palacios & Ambrosio Ortiz-Ramírez, 2019. "Consumo e inversión óptimos y valuación de opciones asiáticas en un entorno estocástico con fundamentos microeconómicos y simulación Monte Carlo," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(3), pages 397-414, Julio - S.
• Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2019. "A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Management Science, INFORMS, vol. 65(10), pages 4927-4949, October.
  • Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018. "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 850, Queen Mary University of London, School of Economics and Finance.
• Frédéric Godiny & Van Son Lai & Denis-Alexandre Trottier, 2019. "Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence," Working Papers 2019-014, Department of Research, Ipag Business School.
• João Guerra & Manuel Guerra & Zachary Polaski, 2019. "Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market," Working Papers REM 2019/74, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Raquel M. Gaspar & Paulo M. Silva, 2019. "Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories," Working Papers REM 2019/92, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Dilip B. Madan & Wim Schoutens, 2019. "Conic asset pricing and the costs of price fluctuations," Annals of Finance, Springer, vol. 15(1), pages 29-58, March.
• Archil Gulisashvili & Frederi Viens & Xin Zhang, 2019. "Extreme-strike asymptotics for general Gaussian stochastic volatility models," Annals of Finance, Springer, vol. 15(1), pages 59-101, March.
• Florence Guillaume & Gero Junike & Peter Leoni & Wim Schoutens, 2019. "Implied liquidity risk premia in option markets," Annals of Finance, Springer, vol. 15(2), pages 233-246, June.
• Julia Jiang & Weidong Tian, 2019. "Semi-nonparametric approximation and index options," Annals of Finance, Springer, vol. 15(4), pages 563-600, December.
• Wenli Zhu & Xinfeng Ruan, 2019. "Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 507-532, February.
• Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
  • Ciprian Necula & Gabriel G. Drimus & Walter Farkas, 2015. "A General Closed Form Option Pricing Formula," Swiss Finance Institute Research Paper Series 15-53, Swiss Finance Institute, revised Mar 2016.
• Wei Lin & Shenghong Li & Shane Chern & Jin E. Zhang, 2019. "Pricing VIX derivatives with free stochastic volatility model," Review of Derivatives Research, Springer, vol. 22(1), pages 41-75, April.
• Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
• Ging-Ginq Pan & Yung-Ming Shiu & Tu-Cheng Wu, 2019. "Is trading in the shortest-term index options profitable?," Review of Derivatives Research, Springer, vol. 22(1), pages 169-201, April.
• Hongfei Tang & Xiaoqing Eleanor Xu, 2019. "Dissecting the tracking performance of regular and leveraged VIX ETPs," Review of Derivatives Research, Springer, vol. 22(2), pages 261-327, July.
• Steffen Hitzemann & Marliese Uhrig-Homburg, 2019. "Empirical performance of reduced-form models for emission permit prices," Review of Derivatives Research, Springer, vol. 22(3), pages 389-418, October.
• Manuel Ammann & Alexander Feser, 2019. "Option-implied Value-at-Risk and the cross-section of stock returns," Review of Derivatives Research, Springer, vol. 22(3), pages 449-474, October.
• Evangelos C. Charalambakis & Ian Garrett, 2019. "On corporate financial distress prediction: What can we learn from private firms in a developing economy? Evidence from Greece," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 467-491, February.
• Oleg Sokolinskiy, 2019. "Debt rollover-induced local volatility model," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1065-1084, May.
• Brian Du, 2019. "Relative option liquidity and price efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1119-1135, May.
• Phillip A. Cartwright & Natalija Riabko, 2019. "Do spot food commodity and oil prices predict futures prices?," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 153-194, July.
• Bernard Ben Sita, 2019. "Crude oil and gasoline volatility risk into a Realized-EGARCH model," Review of Quantitative Finance and Accounting, Springer, vol. 53(3), pages 701-720, October.
• Robert W. Włodarczyk & Magdalena Sikorska, 2019. "The importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market," International Entrepreneurship Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., vol. 5(4), pages 109-122.
• Ricardo Troncoso-Sepúlveda & Juan Cabas-Monje, 2019. "Feasibility of using futures contracts of the Chicago Mercantile Exchange for hedging price risk in Chilean cattle," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 90, pages 9-44, Enero - J.
• Rasekhi , Saeed & Nabavi , Nasim, 2019. "The Effect of Derivative Instruments on the Contagion of Stock Markets in Developing Countries," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(4), pages 475-494, October.
• Christophe Chorro & R.H. Fanirisoa Zazaravaka, 2019. "Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures," Documents de travail du Centre d'Economie de la Sorbonne 19014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Christophe Chorro & R.H. Fanirisoa Zazaravaka, 2019. "Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures," Documents de travail du Centre d'Economie de la Sorbonne 19014r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2020.
• Bernard De Meyer & Moussa Dabo, 2019. "The CMMV Pricing Model in Practice," Documents de travail du Centre d'Economie de la Sorbonne 19026, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Marcin Dec, 2019. "Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives," Bank i Kredyt, Narodowy Bank Polski, vol. 50(2), pages 107-148.
  • Marcin Dec, 2018. "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," Working Papers 2018-038, Warsaw School of Economics, Collegium of Economic Analysis.
• Urban J Jermann, 2020. "Negative Swap Spreads and Limited Arbitrage," Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 212-238.
  • Urban Jermann, 2019. "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers 25422, National Bureau of Economic Research, Inc.
• Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019. "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers 25673, National Bureau of Economic Research, Inc.
• Akshaya Jha & Frank A. Wolak, 2019. "Can Financial Participants Improve Price Discovery and Efficiency in Multi-Settlement Markets with Trading Costs?," NBER Working Papers 25851, National Bureau of Economic Research, Inc.
• Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2021. "Hedging macroeconomic and financial uncertainty and volatility," Journal of Financial Economics, Elsevier, vol. 142(1), pages 23-45.
  • Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019. "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers 26323, National Bureau of Economic Research, Inc.
  • Dew-Becker, Ian & Kelly, Bryan, 2020. "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers 15239, C.E.P.R. Discussion Papers.
• Fernando Antonio Lucena Aiube & Ariel Levy, 2019. "Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 29(1), pages 223-248, January-A.
• Harvey, Campbell R., 2019. "Editorial: Replication in Financial Economics," Critical Finance Review, now publishers, vol. 8(1-2), pages 1-9, December.
• Dash, M., 2019. "A Study on Commodity Market Behaviour, Price Discovery and its Factors," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 8(3), pages 125-134, September.
• Michi Nishihara, 2019. "Real options with illiquidity of exercise opportunities," Discussion Papers in Economics and Business 19-01, Osaka University, Graduate School of Economics.
• Michi Nishihara & Takashi Shibata, 2019. "The effects of asset liquidity on dynamic bankruptcy decisions," Discussion Papers in Economics and Business 19-12, Osaka University, Graduate School of Economics.
• Paul Schneider & Fabio Trojani, 2019. "Divergence and the Price of Uncertainty," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(3), pages 341-396.
• Daniela Osterrieder & Daniel Ventosa-Santaulària & J Eduardo Vera-Valdés, 2019. "The VIX, the Variance Premium, and Expected Returns," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(4), pages 517-558.
• Robert Jarrow & Haitao Li & Xiaoxia Ye & May Hu, 2019. "Exploring Mispricing in the Term Structure of CDS Spreads," Review of Finance, European Finance Association, vol. 23(1), pages 161-198.
• Brent W Ambrose & Thomas Emmerling & Henry H Huang & Yildiray Yildirim, 2019. "Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt," Review of Finance, European Finance Association, vol. 23(3), pages 659-695.

2018

• 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, vol. 38(3), pages 662-678, July.
  • Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers 2018-02, Department of Economics and Business Economics, Aarhus University.
• Isabel Casas & Jiti Gao & Shangyu Xie, 2018. "Modelling time-varying income elasticities of health care expenditure for the OECD," Monash Econometrics and Business Statistics Working Papers 22/18, Monash University, Department of Econometrics and Business Statistics.
  • Isabel Casas & Jiti Gao & Shangyu Xie, 2018. "Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD," CREATES Research Papers 2018-29, Department of Economics and Business Economics, Aarhus University.
• Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2018. "Option-Based Credit Spreads," American Economic Review, American Economic Association, vol. 108(2), pages 454-488, February.
• Kerry McCullough, 2018. "Intraday Information Transmission in the South African Equities Market," The African Finance Journal, Africagrowth Institute, vol. 20(2), pages 1-20.
• Hipòlit Torró, 2019. "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.
  • Hipòlit Torró, 2018. "The Response of European Energy Prices to ECB Monetary Policy," Working Papers 2018.09, Fondazione Eni Enrico Mattei.
  • Torró, Hipòlit, 2018. "The Response of European Energy Prices to ECB Monetary Policy," ETA: Economic Theory and Applications 269537, Fondazione Eni Enrico Mattei (FEEM).
• Stephen Figlewski, 2018. "Risk-Neutral Densities: A Review," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 329-359, November.
• Hao Zhou, 2018. "Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 481-497, November.
• Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
  • Ricardo Crisóstomo & Lorena Couso, 2017. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  • Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.
• Derksen, Mike & Spreij, Peter & van Wijnbergen, Sweder, 2018. "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers 12869, C.E.P.R. Discussion Papers.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of CoCos," Papers 1804.06890, arXiv.org.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of Cocos," Tinbergen Institute Discussion Papers 18-037/VI, Tinbergen Institute.
• Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
  • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
  • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
• Carol Alexander & Xi Chen, 2021. "Model risk in real option valuation," Annals of Operations Research, Springer, vol. 299(1), pages 1025-1056, April.
  • Carol Alexander & Xi Chen, 2018. "Model Risk in Real Option Valuation," Papers 1809.00817, arXiv.org, revised Sep 2018.
• 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, vol. 114(C).
  • Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series 384, Quantitative Finance Research Centre, University of Technology, Sydney.
  • Mesias Alfeus & Martino Grasselli & Erik Schlogl, 2018. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Papers 1809.06643, arXiv.org.
• Erhan Bayraktar & Matteo Burzoni, 2020. "On the quasi-sure superhedging duality with frictions," Finance and Stochastics, Springer, vol. 24(1), pages 249-275, January.
  • Erhan Bayraktar & Matteo Burzoni, 2018. "On the quasi-sure superhedging duality with frictions," Papers 1809.07516, arXiv.org, revised Sep 2019.
• Michail Filippidis & Renatas Kizys & George Filis & Christos Floros, 2019. "The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 10(1), pages 3-38.
  • Michail Filippidis & George Filis & Christos Floros & Renatas Kizys, 2018. "The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis," BAFES Working Papers BAFES19, Department of Accounting, Finance & Economic, Bournemouth University.
• Patricia Palhau Mora, 2018. "The “Too Big to Fail” Subsidy in Canada: Some Estimates," Staff Working Papers 18-9, Bank of Canada.
• Filippo Natoli, 2018. "Analyzing the structural transformation of commodity markets: financialization revisited," Questioni di Economia e Finanza (Occasional Papers) 419, Bank of Italy, Economic Research and International Relations Area.
• Sven Klingler & Suresh Sundaresan, 2018. "An explanation of negative swap spreads: demand for duration from underfunded pension plans," BIS Working Papers 705, Bank for International Settlements.
• Malamud, Semyon & Schrimpf, Andreas, 2018. "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers 13182, C.E.P.R. Discussion Papers.
  • Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
  • Semyon Malamud & Andreas Schrimpf, 2018. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 18-14, Swiss Finance Institute, revised Jun 2018.
• Baum, Christopher F. & Zerilli, Paola & Chen, Liyuan, 2021. "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data," Energy Economics, Elsevier, vol. 93(C).
  • Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018. "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics 952, Boston College Department of Economics, revised 29 May 2019.
• Kumar Satish, 2018. "An Empirical Examination of Risk Premiums in the Indian Currency Futures Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 12(1), pages 1-24, January.
• Kumar Satish, 2018. "An Empirical Examination of Risk Premiums in the Indian Currency Futures Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 12(1), pages 1-24, January.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018. "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers wp619, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Sander Willems, 2018. "Asian Option Pricing with Orthogonal Polynomials," Swiss Finance Institute Research Paper Series 18-09, Swiss Finance Institute, revised Feb 2018.
• Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
  • Semyon Malamud & Andreas Schrimpf, 2018. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 18-14, Swiss Finance Institute, revised Jun 2018.
  • Malamud, Semyon & Schrimpf, Andreas, 2018. "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers 13182, C.E.P.R. Discussion Papers.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2018. "S&P 500 Index, an Option-Implied Risk Analysis," Swiss Finance Institute Research Paper Series 18-29, Swiss Finance Institute.
• Paola Pederzoli, 2018. "Crash Risk in Individual Stocks," Swiss Finance Institute Research Paper Series 18-31, Swiss Finance Institute, revised May 2018.
• Damir Filipović & Martin Larsson & Tony Ware, 2018. "Polynomial Processes for Power Prices," Swiss Finance Institute Research Paper Series 18-34, Swiss Finance Institute.
• Harald Hau & Gabriela Hrasko, 2018. "Are CoCo Bonds a Good Substitute for Equity? Evidence from European Banks," Swiss Finance Institute Research Paper Series 18-67, Swiss Finance Institute.
• Hackbarth, Dirk & Rivera, Alejandro & Wong, Tak-Yuen, 2018. "Optimal Short-Termism," CEPR Discussion Papers 12588, C.E.P.R. Discussion Papers.
• Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
  • Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
  • Lando, David & Pedersen, Lasse Heje & Skov Jensen, Christian, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Buss, Adrian & Schönleber, Lorenzo & Vilkov, Grigory, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
• Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of CoCos," Papers 1804.06890, arXiv.org.
  • Derksen, Mike & Spreij, Peter & van Wijnbergen, Sweder, 2018. "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers 12869, C.E.P.R. Discussion Papers.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of Cocos," Tinbergen Institute Discussion Papers 18-037/VI, Tinbergen Institute.
• Martin, Ian, 2018. "Options and the Gamma Knife," LSE Research Online Documents on Economics 88077, London School of Economics and Political Science, LSE Library.
  • Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
• Atmaz, Adem & Basak, Suleyman, 2019. "Option prices and costly short-selling," Journal of Financial Economics, Elsevier, vol. 134(1), pages 1-28.
  • Atmaz, Adem & Basak, Suleyman, 2018. "Option Prices and Costly Short-Selling," CEPR Discussion Papers 13029, C.E.P.R. Discussion Papers.
• Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
  • Malamud, Semyon & Schrimpf, Andreas, 2018. "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers 13182, C.E.P.R. Discussion Papers.
  • Semyon Malamud & Andreas Schrimpf, 2018. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 18-14, Swiss Finance Institute, revised Jun 2018.
• Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation Margins, Fire Sales, and Information-constrained Optimality [Leverage, Moral Hazard, and Liquidity]," Review of Economic Studies, Oxford University Press, vol. 88(6), pages 2654-2686.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," Working Paper Series 2191, European Central Bank.
  • Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation margins, fire-sales and information-constrained optimality," Post-Print hal-03546710, HAL.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," CEPR Discussion Papers 13192, C.E.P.R. Discussion Papers.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022. "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers 126554, Toulouse School of Economics (TSE).
• Stan Olijslagers & Annelie Petersen & Nander de Vette & Sweder (S.J.G.) van Wijnbergen, 2018. "What Option Prices tell us about the ECB's Unconventional Monetary Policies," Tinbergen Institute Discussion Papers 18-096/VI, Tinbergen Institute.
  • de Vette, Nander & Petersen, Annelie & Stan Olijslager, Stan & van Wijnbergen, Sweder, 2018. "What Option Prices tell us about the ECB's Unconventional Monetary Policies," CEPR Discussion Papers 13371, C.E.P.R. Discussion Papers.
• 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, vol. 18(C).
  • Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2018. "Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?," CQE Working Papers 7518, Center for Quantitative Economics (CQE), University of Muenster.
  • Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2019. "Price discovery in agricultural commodity markets: Do speculators contribute?," CAMA Working Papers 2019-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2018. "Golden options in financial mathematics," INDEM - Working Paper Business Economic Series 27672, Instituto para el Desarrollo Empresarial (INDEM).
• Теодор Тодоров, 2018. "Тестване Обективността На Прецизиращите Параметри На Валутните Опции," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, vol. 14(14 Year 2), pages 97-122.
• Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2018. "Estimating a Latent Risk Premium in Exchange Rate Futures," Discussion Papers of DIW Berlin 1733, DIW Berlin, German Institute for Economic Research.
• Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation Margins, Fire Sales, and Information-constrained Optimality [Leverage, Moral Hazard, and Liquidity]," Review of Economic Studies, Oxford University Press, vol. 88(6), pages 2654-2686.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," CEPR Discussion Papers 13192, C.E.P.R. Discussion Papers.
  • Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation margins, fire-sales and information-constrained optimality," Post-Print hal-03546710, HAL.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2018. "Variation margins, fire sales, and information-constrained optimality," Working Paper Series 2191, European Central Bank.
  • Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022. "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers 126554, Toulouse School of Economics (TSE).
• Ritika Jaiswal & Rashmi Uchil, 2018. "An Analysis of Gold Futures as an Alternative Asset: Evidence from India," International Journal of Economics and Financial Issues, Econjournals, vol. 8(6), pages 144-150.
• Mustafa Kemal Yilmaz & Necla I. Kucukcolak & R. Ali Kucukcolak, 2018. "Market Efficiency and Risk Premium in the Turkish Wholesale Electricity Market," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 76-88.
• Dolores Furio & Javier Poblacion, 2018. "Electricity and Natural Gas Prices Sharing the Long-term Trend: Some Evidence from the Spanish Market," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 173-180.
• Bohl, Martin T. & Siklos, Pierre L. & Wellenreuther, Claudia, 2018. "Speculative activity and returns volatility of Chinese agricultural commodity futures," Journal of Asian Economics, Elsevier, vol. 54(C), pages 69-91.
• Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
• Shibata, Takashi & Nishihara, Michi, 2018. "Investment timing, reversibility, and financing constraints," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 771-796.
• Nishihara, Michi & Shibata, Takashi, 2018. "Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 118-137.
  • Michi Nishihara & Takashi Shibata, 2017. "Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders," Discussion Papers in Economics and Business 17-18, Osaka University, Graduate School of Economics.
• Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018. "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 1-29.
• Nazliben, K. Korhan & Rodríguez, Juan Carlos, 2018. "Permanent shocks, signal extraction, and portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 47-68.
• Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.
• Niroomand, Naghmeh & Jenkins, Glenn P., 2018. "A comparison of stated preference methods for the valuation of improvement in road safety," Economic Analysis and Policy, Elsevier, vol. 59(C), pages 138-149.
  • Naghmeh Niroomand & Glenn P. Jenkins, 2016. "A Comparison of Stated Preference Methods for the Valuation of Improvement in Road Safety," Development Discussion Papers 2016-10, JDI Executive Programs.
• McNevin, Bruce D. & Nix, Joan, 2018. "The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors," Economic Modelling, Elsevier, vol. 68(C), pages 570-585.
• Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
  • Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE 2019-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
• Chen, Wei-Peng & Ling Lin, Shu & Lu, Jun & Wu, Chih-Chiang, 2018. "The impact of funding liquidity on market quality," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 153-166.
• Marcato, Gianluca & Sebehela, Tumellano & Campani, Carlos Heitor, 2018. "Volatility smiles when information is lagged in prices," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 151-165.
• Ruddell, Keith & Downward, Anthony & Philpott, Andy, 2018. "Market power and forward prices," Economics Letters, Elsevier, vol. 166(C), pages 6-9.
  • Ruddell, Keith & Downward, Tony & Philpott, Andy, 2017. "Market Power and Forward Prices," Working Paper Series 1193, Research Institute of Industrial Economics.
• Akyildirim, Erdinc & Nguyen, Duc Khuong & Sensoy, Ahmet, 2018. "A tale of two risks in the EMU sovereign debt markets," Economics Letters, Elsevier, vol. 172(C), pages 102-106.
  • Erdinc Akyildirim & Duc Khuong Nguyen & Ahmet Sensoy, 2018. "A Tale of Two Risks in the EMU Sovereign Debt Markets," Working Papers 2018-004, Department of Research, Ipag Business School.
• Galai, Dan & Wiener, Zvi, 2018. "Dividend policy relevance in a levered firm—The binomial case," Economics Letters, Elsevier, vol. 172(C), pages 78-80.
• Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.
• Miao, Hong & Ramchander, Sanjay & Ryan, Patricia & Wang, Tianyang, 2018. "Default prediction models: The role of forward-looking measures of returns and volatility," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 146-162.
• Junttila, Juha & Myllymäki, Valtteri & Raatikainen, Juhani, 2018. "Pricing of electricity futures based on locational price differences: The case of Finland," Energy Economics, Elsevier, vol. 71(C), pages 222-237.
• Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2018. "Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices," Energy Economics, Elsevier, vol. 72(C), pages 486-504.
• Ruan, Xinfeng & Zhang, Jin E., 2018. "Risk-neutral moments in the crude oil market," Energy Economics, Elsevier, vol. 72(C), pages 583-600.
• Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
• Aliakbari, Elmira & McKitrick, Ross, 2018. "Information aggregation in a prediction market for climate outcomes," Energy Economics, Elsevier, vol. 74(C), pages 97-106.
  • Elmira Aliakbari & Ross McKitrick, 2017. "Information Aggregation in a Prediction Market for Climate Outcomes," Working Papers 1702, University of Guelph, Department of Economics and Finance.
• Alasseur, C. & Féron, O., 2018. "Structural price model for coupled electricity markets," Energy Economics, Elsevier, vol. 75(C), pages 104-119.
• Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
• Bevin-McCrimmon, Fergus & Diaz-Rainey, Ivan & McCarten, Matthew & Sise, Greg, 2018. "Liquidity and risk premia in electricity futures," Energy Economics, Elsevier, vol. 75(C), pages 503-517.
• Martínez, Beatriz & Torró, Hipòlit, 2018. "Hedging spark spread risk with futures," Energy Policy, Elsevier, vol. 113(C), pages 731-746.
  • Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
• Daskalakis, George, 2018. "Temporal restrictions on emissions trading and the implications for the carbon futures market: Lessons from the EU emissions trading scheme," Energy Policy, Elsevier, vol. 115(C), pages 88-91.
• Peña, Juan Ignacio & Rodriguez, Rosa, 2018. "Default supply auctions in electricity markets: Challenges and proposals," Energy Policy, Elsevier, vol. 122(C), pages 142-151.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
• Jang, Hyun Jin & Na, Young Hoon & Zheng, Harry, 2018. "Contingent convertible bonds with the default risk premium," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 77-93.
• Ahmed, Shamim & Judge, Amrit & Mahmud, Syed Ehsan, 2018. "Does derivatives use reduce the cost of equity?," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 1-16.
• Sensoy, Ahmet & Omole, John, 2018. "Implied volatility indices: A review and extension in the Turkish case," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 151-161.
• Blazsek, Szabolcs & Carrizo, Daniela & Eskildsen, Ricardo & Gonzalez, Humberto, 2018. "Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH," Finance Research Letters, Elsevier, vol. 24(C), pages 193-198.
• Jang, Bong-Gyu & Tae, Hyeon-Wuk, 2018. "Option pricing under regime switching: Integration over simplexes method," Finance Research Letters, Elsevier, vol. 24(C), pages 301-312.
• Zhipeng, Yan & Shenghong, Li, 2018. "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, vol. 24(C), pages 49-55.
• (Meni) Abudy, Menachem & Binsky, Hadar & Raviv, Alon, 2018. "The effect of liquidity on non-marketable securities," Finance Research Letters, Elsevier, vol. 26(C), pages 139-144.
• Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
• Wang, Xingchun, 2018. "Valuing executive stock options under correlated employment shocks," Finance Research Letters, Elsevier, vol. 27(C), pages 38-45.
• Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018. "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, vol. 35(C), pages 38-52.
  • Jill Cetina & Mark Paddrik & Sriram Rajan, 2016. "Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets," Working Papers 16-01, Office of Financial Research, US Department of the Treasury.
• Khan, M. Ali & Zhang, Yongchao, 2018. "On pure-strategy equilibria in games with correlated information," Games and Economic Behavior, Elsevier, vol. 111(C), pages 289-304.
• Mozumder, Sharif & Choudhry, Taufiq & Dempsey, Michael, 2018. "Spectral measures of risk for international futures markets: A comparison of extreme value and Lévy models," Global Finance Journal, Elsevier, vol. 37(C), pages 248-261.
• Du, Brian & Fung, Scott, 2018. "Directional information effects of options trading: Evidence from the banking industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 149-168.
• Pereira, John & Sorwar, Ghulam & Nurullah, Mohamed, 2018. "What drives corporate CDS spreads? A comparison across US, UK and EU firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 188-200.
• Junttila, Juha & Pesonen, Juho & Raatikainen, Juhani, 2018. "Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 255-280.
• Bettis, J. Carr & Bizjak, John & Coles, Jeffrey L. & Kalpathy, Swaminathan, 2018. "Performance-vesting provisions in executive compensation," Journal of Accounting and Economics, Elsevier, vol. 66(1), pages 194-221.
• Fernandez-Perez, Adrian & Frijns, Bart & Fuertes, Ana-Maria & Miffre, Joelle, 2018. "The skewness of commodity futures returns," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 143-158.
  • Adrian Fernandez-Perez & Bart Frijns & Ana-Maria Fuertes & Joelle Miffre, 2018. "The skewness of commodity futures returns," Post-Print hal-01678744, HAL.
• Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018. "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
  • Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
• Tarsalewska, Monika, 2018. "Buyouts under the threat of preemption," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 39-58.
• Jeanneret, Alexandre, 2018. "Sovereign credit spreads under good/bad governance," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 230-246.
• Casassus, Jaime & Collin-Dufresne, Pierre & Routledge, Bryan R., 2018. "Equilibrium commodity prices with irreversible investment and non-linear technologies," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 128-147.
  • Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, "undated". "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies," GSIA Working Papers 2004-E54, Carnegie Mellon University, Tepper School of Business.
• Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
• Schneider, Lorenz & Tavin, Bertrand, 2018. "From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 185-202.
• Frino, Alex & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2018. "The impact of commodity benchmarks on derivatives markets: The case of the dated Brent assessment and Brent futures," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 27-43.
• Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
• Christoffersen, Peter & Pan, Xuhui (Nick), 2018. "Oil volatility risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 5-26.
  • Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers 2015-06, Department of Economics and Business Economics, Aarhus University.
• Li, Bingxin, 2018. "Speculation, risk aversion, and risk premiums in the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 64-81.
• Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018. "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 82-96.
• Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
• Hain, Martin & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2018. "Managing renewable energy production risk," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 1-19.
• Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2018. "What makes individual investors exercise early? Empirical evidence from non-tradable fixed-income products," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 318-334.
• Li, Xindan & Subrahmanyam, Avanidhar & Yang, Xuewei, 2018. "Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market," Journal of Financial Economics, Elsevier, vol. 128(1), pages 38-65.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
  • Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
  • David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
• Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2018. "Corporate debt maturity profiles," Journal of Financial Economics, Elsevier, vol. 130(3), pages 484-502.
  • Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2017. "Corporate Debt Maturity Profiles," CEPR Discussion Papers 12289, C.E.P.R. Discussion Papers.
• Martynova, Natalya & Perotti, Enrico, 2018. "Convertible bonds and bank risk-taking," Journal of Financial Intermediation, Elsevier, vol. 35(PB), pages 61-80.
  • Natalya Martynova & Enrico Perotti, 2012. "Convertible Bonds and Bank Risk-Taking," Tinbergen Institute Discussion Papers 12-106/IV/DSF41, Tinbergen Institute, revised 10 Oct 2016.
  • Martynova, Natalya & Perotti, Enrico C., 2018. "Convertible bonds and bank risk-taking," Discussion Papers 24/2018, Deutsche Bundesbank.
• Gimeno, Ricardo & Ibáñez, Alfredo, 2018. "The eurozone (expected) inflation: An option's eyes view," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 70-92.
  • Ricardo Gimeno & Alfredo Ibáñez, 2017. "The eurozone (expected) inflation: an option’s eyes view," Working Papers 1722, Banco de España.
• Bakas, Dimitrios & Triantafyllou, Athanasios, 2018. "The impact of uncertainty shocks on the volatility of commodity prices," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 96-111.
  • Dimitrios Bakas & Athanasios Triantafyllou, 2017. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," Working Paper series 17-31, Rimini Centre for Economic Analysis.
  • Dimitrios Bakas & Athanasios Triantafyllou, 2018. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics 2018/02, Economics, Nottingham Business School, Nottingham Trent University.
• Main, Scott & Irwin, Scott H. & Sanders, Dwight R. & Smith, Aaron, 2018. "Financialization and the returns to commodity investments," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 22-28.
• Haase, Marco & Huss, Matthias, 2018. "Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 29-46.
• Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018. "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 3-21.
• Spencer, Simon & Bredin, Don & Conlon, Thomas, 2018. "Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 1-20.
• Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2018. "Latent jump diffusion factor estimation for commodity futures," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 35-54.
• Fizaine, Florian, 2018. "Toward generalization of futures contracts for raw materials: A probabilistic answer applied to metal markets," Resources Policy, Elsevier, vol. 59(C), pages 379-388.
  • Florian Fizaine, 2018. "Toward generalization of futures contracts for raw materials: A probabilistic answer applied to metal markets," Post-Print halshs-01957410, HAL.
• Choi, Jaewon & Kim, Yongjun, 2018. "Anomalies and market (dis)integration," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 16-34.
• Bahloul, Walid & Balcilar, Mehmet & Cunado, Juncal & Gupta, Rangan, 2018. "The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test," Journal of Multinational Financial Management, Elsevier, vol. 45(C), pages 52-71.
  • Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017. "The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201725, University of Pretoria, Department of Economics.
• Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
• Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
• Pan, Zheyao & Chan, Kam Fong, 2018. "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 200-215.
• Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2018. "Testing CEV stochastic volatility models using implied volatility index data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 224-232.
• Carvalho, Augusto & Guimaraes, Bernardo, 2018. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Journal of Public Economics, Elsevier, vol. 159(C), pages 66-78.
  • Augusto Carvalho & Bernardo Guimaraes, 2016. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers 1702, Centre for Macroeconomics (CFM).
  • Carvalho, Augusto & Guimaraes, Bernardo, 2017. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," LSE Research Online Documents on Economics 86172, London School of Economics and Political Science, LSE Library.
  • Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão 435, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
• Jou, Jyh-Bang, 2018. "R&D investment and patent renewal decisions," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 144-154.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Lee, Sunghoon & Burris, Mark W., 2018. "Estimating the Option Value of managed lanes," Research in Transportation Economics, Elsevier, vol. 70(C), pages 28-36.
• Tian, Yuan, 2018. "Optimal policy for attracting FDI: Investment cost subsidy versus tax rate reduction," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 151-159.
• Ming, Lei & Yang, Shenggang & Song, Dandan, 2018. "Valuation and analysis of performance sensitive debt with contingent convertibility," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 98-108.
• Hong, Hui & Sung, Hao-Chang & Yang, Jingjing, 2018. "On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 295-307.
• Jitmaneeroj, Boonlert, 2018. "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 282-298.
• Martínez, Beatriz & Torró, Hipòlit, 2018. "Analysis of risk premium in UK natural gas futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 621-636.
• Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "Bank stability and refinancing operations during the crisis: Which way causality?," Research in International Business and Finance, Elsevier, vol. 43(C), pages 79-89.
• Aboura, Sofiane & Chevallier, Julien, 2018. "Tail risk and the return-volatility relation," Research in International Business and Finance, Elsevier, vol. 46(C), pages 16-29.
• Fassas, Athanasios P. & Papadamou, Stephanos, 2018. "Variance risk premium and equity returns," Research in International Business and Finance, Elsevier, vol. 46(C), pages 462-470.
• Kumar, Satish, 2018. "Price discovery in emerging currency markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 528-536.
• Gavriilidis, Konstantinos & Kambouroudis, Dimos S. & Tsakou, Katerina & Tsouknidis, Dimitris A., 2018. "Volatility forecasting across tanker freight rates: The role of oil price shocks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 118(C), pages 376-391.
  • Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018. "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers 2018-27, Swansea University, School of Management.
• Martin T. Bohl, Pierre Siklos, Claudia Wellenreuther, 2018. "Speculative Activity and Returns to Volatility of Chinese Major Agricultural Commodity Futures," LCERPA Working Papers 0111, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
  • Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative activity and returns volatility of Chinese major agricultural commodity futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• A. Can Inci, 2018. "Cointegration and causality in capital markets," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 2(1), pages 82-94, June.
• A. Can Inci, 2018. "Cointegration and causality in capital markets," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 2(1), pages 82-94, June.
• Haykel Hamdi & Jihed Majdoub, 2018. "Risk-sharing finance governance: Islamic vs conventional indexes option pricing," Managerial Finance, Emerald Group Publishing, vol. 44(5), pages 540-550, May.
• Jaskowski, Marcin & McAleer, Michael, 2021. "Spurious cross-sectional dependence in credit spread changes," Econometrics and Statistics, Elsevier, vol. 18(C), pages 12-27.
  • Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Suranjana Joarder, 2018. "The Commodity Futures Volatility and Macroeconomic Fundamentals - The Case of Oil and Oilseed Commodities in India," International Econometric Review (IER), Econometric Research Association, vol. 10(2), pages 33-50, September.
• Vasile BRÄ‚TIAN, 2018. "Evaluation of Options using the Monte Carlo Method and the Entropy of Information," Expert Journal of Economics, Sprint Investify, vol. 6(2), pages 35-43.
• Hipòlit Torró, 2019. "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.
  • Torró, Hipòlit, 2018. "The Response of European Energy Prices to ECB Monetary Policy," ETA: Economic Theory and Applications 269537, Fondazione Eni Enrico Mattei (FEEM).
  • Hipòlit Torró, 2018. "The Response of European Energy Prices to ECB Monetary Policy," Working Papers 2018.09, Fondazione Eni Enrico Mattei.
• Jianjun Miao & Bin Wei & Hao Zhou, 2019. "Ambiguity Aversion and the Variance Premium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-36, June.
  • Jianjun Miao & Bin Wei & Hao Zhou, 2012. "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series WP2012-009, Boston University - Department of Economics.
  • Jianjun Miao & Bin Wei & Hao Zhou, 2018. "Ambiguity Aversion and Variance Premium," FRB Atlanta Working Paper 2018-14, Federal Reserve Bank of Atlanta.
• Nina Boyarchenko & Pooja Gupta & Nick Steele & Jacqueline Yen, 2018. "Negative swap spreads," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 1-14.
• Nina Boyarchenko & Pooja Gupta & Nick Steele & Jacqueline Yen, 2018. "Trends in credit basis spreads," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 15-37.
• Peter Van Tassel, 2018. "Equity Volatility Term Premia," Staff Reports 867, Federal Reserve Bank of New York.
  • Charles Smith & Peter Van Tassel, 2021. "Equity Volatility Term Premia," Liberty Street Economics 20210203, Federal Reserve Bank of New York.
• Fernandez-Perez, Adrian & Frijns, Bart & Fuertes, Ana-Maria & Miffre, Joelle, 2018. "The skewness of commodity futures returns," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 143-158.
  • Adrian Fernandez-Perez & Bart Frijns & Ana-Maria Fuertes & Joelle Miffre, 2018. "The skewness of commodity futures returns," Post-Print hal-01678744, HAL.
• Bouoiyour, Jamal & Selmi, Refk, 2018. "Are BRICS Markets Equally Exposed to Trump’s Agenda?," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 33(2), pages 1203-1233.
  • Jamal Bouoiyour & Refk Selmi, 2018. "Are BRICs Markets equally exposed to Trump’s agenda," Post-Print hal-01879666, HAL.
• Fizaine, Florian, 2018. "Toward generalization of futures contracts for raw materials: A probabilistic answer applied to metal markets," Resources Policy, Elsevier, vol. 59(C), pages 379-388.
  • Florian Fizaine, 2018. "Toward generalization of futures contracts for raw materials: A probabilistic answer applied to metal markets," Post-Print halshs-01957410, HAL.
• Filippo Natoli & Laura Sigalotti, 2018. "Tail Co-movement in Inflation Expectations as an Indicator of Anchoring," International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 35-71, January.
  • Natoli, Filippo & Sigalotti, Laura, 2017. "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series 1997, European Central Bank.
• Akyildirim, Erdinc & Nguyen, Duc Khuong & Sensoy, Ahmet, 2018. "A tale of two risks in the EMU sovereign debt markets," Economics Letters, Elsevier, vol. 172(C), pages 102-106.
  • Erdinc Akyildirim & Duc Khuong Nguyen & Ahmet Sensoy, 2018. "A Tale of Two Risks in the EMU Sovereign Debt Markets," Working Papers 2018-004, Department of Research, Ipag Business School.
• Ming-Chang Wang & Yu-Jia Ding & Pei-Han Hsin, 2018. "Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 14(2), pages 191-216, August.
• Magdalena Grothe & Aidan Meyler, 2018. "Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 171-188, January.
  • Grothe, Magdalena & Meyler, Aidan, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," MPRA Paper 66982, University Library of Munich, Germany.
  • Meyler, Aidan & Grothe, Magdalena, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," Working Paper Series 1865, European Central Bank.
• Vladislav Krasin & Ivan Smirnov & Alexander Melnikov, 2018. "Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes," Annals of Finance, Springer, vol. 14(2), pages 195-209, May.
• Dilip B. Madan, 2018. "Financial equilibrium with non-linear valuations," Annals of Finance, Springer, vol. 14(2), pages 211-221, May.
• Nikolai Dokuchaev, 2018. "On the implied market price of risk under the stochastic numéraire," Annals of Finance, Springer, vol. 14(2), pages 223-251, May.
• Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
• Josselin Garnier & Knut Sølna, 2018. "Option pricing under fast-varying and rough stochastic volatility," Annals of Finance, Springer, vol. 14(4), pages 489-516, November.
• Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli, 2018. "Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 379-406, March.
• Seraina C. Anagnostopoulou & Aikaterini C. Ferentinou & Panagiotis A. Tsaousis & Andrianos E. Tsekrekos, 2018. "The Options Market Reaction to Bank Loan Announcements," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(1), pages 99-139, February.
• Arzu Uluc, 2018. "Stabilising House Prices: the Role of Housing Futures Trading," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 587-621, May.
  • Uluc, Arzu, 2015. "Stabilising house prices: the role of housing futures trading," Bank of England working papers 559, Bank of England.
• Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
• Sung Ik Kim & Young Shin Kim, 2018. "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, vol. 21(1), pages 119-148, April.
• Felix Brinkmann & Olaf Korn, 2018. "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, vol. 21(2), pages 149-173, July.
• Johannes Gerer & Gregor Dorfleitner, 2018. "Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions," Review of Derivatives Research, Springer, vol. 21(2), pages 175-199, July.
• Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle in forward looking data," Review of Derivatives Research, Springer, vol. 21(3), pages 253-276, October.
• Matthias R. Fengler & Alexander Melnikov, 2018. "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, vol. 21(3), pages 277-305, October.
  • Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
• Robert Jarrow & Scott Fung & Shih-Chuan Tsai, 2018. "An empirical investigation of large trader market manipulation in derivatives markets," Review of Derivatives Research, Springer, vol. 21(3), pages 331-374, October.
• Nan Hu & Ling Liu & Lu Zhu, 2018. "Credit default swap spreads and annual report readability," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 591-621, February.
• Boros, Péter, 2018. "A hitelértékelési kiigazítás tőketartalékolásának új szabályozása [New regulation of the Credit Valuation Adjustment for capital reserves]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 161-184.
• Dömötör, Barbara & Bihary, Zsolt, 2018. "Menedzserösztönzők hatása a vállalati fedezésre [Manager incentives-based model of corporate hedging]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 701-710.
• Chiaki Hara, 2018. "Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets," KIER Working Papers 1005, Kyoto University, Institute of Economic Research.
• Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
  • Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018. "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers 20183, University of Liverpool, Department of Economics.
• Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018. "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche 1807, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The Risk-Asymmetry Index as a new Measure of Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 22(3-4), pages 173-210, September.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The use of option prices in order to evaluate the skewness risk premium," Department of Economics 0132, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The properties of a skewness index and its relation with volatility and returns," Department of Economics 0133, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Isabel Casas & Jiti Gao & Shangyu Xie, 2018. "Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD," CREATES Research Papers 2018-29, Department of Economics and Business Economics, Aarhus University.
  • Isabel Casas & Jiti Gao & Shangyu Xie, 2018. "Modelling time-varying income elasticities of health care expenditure for the OECD," Monash Econometrics and Business Statistics Working Papers 22/18, Monash University, Department of Econometrics and Business Statistics.
• Juliusz Jabłecki, 2018. "Instrumenty zabezpieczone obligacjami skarbowymi: próba wyceny i analizy ryzyka," Bank i Kredyt, Narodowy Bank Polski, vol. 49(4), pages 379-404.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2019. "The True Cost of Social Security," Tax Policy and the Economy, University of Chicago Press, vol. 33(1), pages 131-163.
  • Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2018. "The True Cost of Social Security," NBER Chapters, in: Tax Policy and the Economy, Volume 33, National Bureau of Economic Research, Inc.
  • Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008. "The True Cost of Social Security," NBER Working Papers 14427, National Bureau of Economic Research, Inc.
• Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017. "Corporate Credit Risk Premia," Research Papers repec:ecl:stabus:3617, Stanford University, Graduate School of Business.
  • Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia," NBER Working Papers 24213, National Bureau of Economic Research, Inc.
• Matthias Fleckenstein & Francis A. Longstaff, 2018. "Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints," NBER Working Papers 24224, National Bureau of Economic Research, Inc.
• George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018. "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers 24575, National Bureau of Economic Research, Inc.
• Jose Pizarro & Eduardo S. Schwartz, 2018. "The Valuation of Fisheries Rights: A Real Options Approach," NBER Working Papers 25140, National Bureau of Economic Research, Inc.
• Bakas, Dimitrios & Triantafyllou, Athanasios, 2018. "The impact of uncertainty shocks on the volatility of commodity prices," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 96-111.
  • Dimitrios Bakas & Athanasios Triantafyllou, 2017. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," Working Paper series 17-31, Rimini Centre for Economic Analysis.
  • Dimitrios Bakas & Athanasios Triantafyllou, 2018. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics 2018/02, Economics, Nottingham Business School, Nottingham Trent University.
• Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," EconStor Preprints 202549, ZBW - Leibniz Information Centre for Economics.
  • Tim Xiao, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers hal-02165501, HAL.
  • Xiao, Tim, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper 94135, University Library of Munich, Germany.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org 5uxef, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv 5hf4b, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv kzbxf, Center for Open Science.
• Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," EconStor Preprints 202549, ZBW - Leibniz Information Centre for Economics.
  • Tim Xiao, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers hal-02165501, HAL.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv 5hf4b, Center for Open Science.
  • Xiao, Tim, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper 94135, University Library of Munich, Germany.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org 5uxef, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv kzbxf, Center for Open Science.
• Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
  • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
• Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," EconStor Preprints 202549, ZBW - Leibniz Information Centre for Economics.
  • Tim Xiao, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers hal-02165501, HAL.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv kzbxf, Center for Open Science.
  • Xiao, Tim, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper 94135, University Library of Munich, Germany.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org 5uxef, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv 5hf4b, Center for Open Science.
• Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018. "A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(3), pages 425-460.
  • Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
• Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia [Fallen angels and price pressure]," Review of Finance, European Finance Association, vol. 22(2), pages 419-454.
• Deniz Anginer & Çelim Yıldızhan, 2018. "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, vol. 22(2), pages 633-660.
• Andreas Kaeck, 2018. "Variance-of-Variance Risk Premium," Review of Finance, European Finance Association, vol. 22(4), pages 1549-1579.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2018. "The Factor Structure in Equity Options," Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 595-637.
  • Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2013. "The Factor Structure in Equity Options," CREATES Research Papers 2013-47, Department of Economics and Business Economics, Aarhus University.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1132-1183.
  • Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," NBER Working Papers 22096, National Bureau of Economic Research, Inc.
  • Chernov, Mikhail & Dunn, Brett R. & Longstaff, Francis, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers 10947, C.E.P.R. Discussion Papers.
• Cangoz,Mehmet Coskun & Boitreaud,Sebastien-000379895 & Dychala,Christopher Benjamin, 2018. "How Do Countries Use an Asset and Liability Management Approach ? A Survey on Sovereign Balance Sheet Management," Policy Research Working Paper Series 8624, The World Bank.
  • Cangoz, Mehmet Coskun & Boitreaud, Sebastien & Dychala, Christopher Benjamin, 2018. "How Do Countries Use an Asset and Liability Management Approach? A Survey on Sovereign Balance Sheet Management," MPRA Paper 100309, University Library of Munich, Germany.
• White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
• Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.
• Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
• Ferriani, Fabrizio & Natoli, Filippo & Veronese, Giovanni & Zeni, Federica, 2018. "Futures risk premia in the era of shale oil," MPRA Paper 89097, University Library of Munich, Germany.
• Singh, Ritvik & Gangwar, Rachna, 2018. "A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange," MPRA Paper 89689, University Library of Munich, Germany.
• Giulio Cifarelli and Paolo Paesani, 2021. "Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  • Cifarelli, Giulio & Paesani, Paolo, 2018. "Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing," MPRA Paper 90470, University Library of Munich, Germany.
• Tumasyan, Hovik, 2018. "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," MPRA Paper 90806, University Library of Munich, Germany.
• He, Qing & Gan, Jingyun & Wang, Shuwan & Chong, Terence Tai-Leung, 2019. "The effects of trading suspensions in China," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  • He, Qing & Gan, Jingyun & Wang, Shuwan & Chong, Terence Tai Leung, 2018. "The Effects of Trading Suspensions in China," MPRA Paper 92037, University Library of Munich, Germany.
• Nizar, Muhammad Afdi, 2018. "Kontroversi Mata Uang Digital [The Controversies of Digital Currency]," MPRA Paper 97940, University Library of Munich, Germany.
• Elie Bouri & Rangan Gupta & David Roubaud, 2018. "Herding Behaviour in the Cryptocurrency Market," Working Papers 201834, University of Pretoria, Department of Economics.
• Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2019. "A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Management Science, INFORMS, vol. 65(10), pages 4927-4949, October.
  • Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018. "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 850, Queen Mary University of London, School of Economics and Finance.
• Gkionis, Konstantinos & Kostakis, Alexandros & Skiadopoulos, George & Stilger, Przemyslaw S., 2021. "Positive stock information in out-of-the-money option prices," Journal of Banking & Finance, Elsevier, vol. 128(C).
  • Konstantinos Gkionis & Alexandros Kostakis & George Skiadopoulos & Przemyslaw S. Stilger, 2018. "Positive Stock Information In Out-Of-The-Money Option Prices," Working Papers 859, Queen Mary University of London, School of Economics and Finance.
• Kazuhiro Hiraki & George Skiadopoulos, 2018. "The Contribution of Frictions to Expected Returns," Working Papers 874, Queen Mary University of London, School of Economics and Finance.
• Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2021. "The impact of central clearing on the market for single-name credit default swaps," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  • Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2018. "The impact of central clearing on the market for single-name credit default swaps," Working Papers 18-1, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jan 2019.
• Bouoiyour, Jamal & Selmi, Refk, 2018. "Are BRICS Markets Equally Exposed to Trump’s Agenda?," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 33(2), pages 1203-1233.
  • Jamal Bouoiyour & Refk Selmi, 2018. "Are BRICs Markets equally exposed to Trump’s agenda," Post-Print hal-01879666, HAL.
• Kiran Kumar Kotha, 2018. "Mis-pricing in Single Stock Futures: Evidence from National Stock Exchange of India," Proceedings of International Academic Conferences 7310288, International Institute of Social and Economic Sciences.
• Marcin Dec, 2019. "Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives," Bank i Kredyt, Narodowy Bank Polski, vol. 50(2), pages 107-148.
  • Marcin Dec, 2018. "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," Working Papers 2018-038, Warsaw School of Economics, Collegium of Economic Analysis.
• Marcin Dec, 2018. "On the trade-offs in money market benchmarks' stabilisation," Working Papers 2018-039, Warsaw School of Economics, Collegium of Economic Analysis.
• van Huellen, Sophie, 2020. "Too much of a good thing? Speculative effects on commodity futures curves," Journal of Financial Markets, Elsevier, vol. 47(C).
  • Sophie van Huellen, 2018. "Too Much of a Good Thing? Speculative Effects on Commodity Futures Curves," Working Papers 211, Department of Economics, SOAS University of London, UK.
• van Huellen, Sophie, 2019. "Price discovery in commodity futures and cash markets with heterogeneous agents," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 1-13.
  • Sophie van Huellen, 2018. "Price Discovery in Commodity Futures and Cash Markets with Heterogenous Agents," Working Papers 213, Department of Economics, SOAS University of London, UK.
• Hamza Bahaji, 2018. "Are employee stock option exercise decisions better explained through the prospect theory?," Annals of Operations Research, Springer, vol. 262(2), pages 335-359, March.
• Marco Nicolosi, 2018. "Optimal strategy for a fund manager with option compensation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 1-17, May.
• Hirbod Assa & Nikolay Gospodinov, 2018. "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 65-90, May.
• Luca Vincenzo Ballestra, 2018. "Fast and accurate calculation of American option prices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 399-426, November.
• Xiaojie Xu, 2018. "Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis," Empirical Economics, Springer, vol. 54(3), pages 1267-1295, May.
• Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.
• Fred Espen Benth & Paul Krühner, 2018. "Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models," Finance and Stochastics, Springer, vol. 22(2), pages 327-366, April.
• Johannes Muhle-Karbe & Marcel Nutz, 2018. "A risk-neutral equilibrium leading to uncertain volatility pricing," Finance and Stochastics, Springer, vol. 22(2), pages 281-295, April.
• Zhaoxu Hou & Jan Obłój, 2018. "Robust pricing–hedging dualities in continuous time," Finance and Stochastics, Springer, vol. 22(3), pages 511-567, July.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
• Hyungbin Park, 2018. "Sensitivity analysis of long-term cash flows," Finance and Stochastics, Springer, vol. 22(4), pages 773-825, October.
• Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
• Laurence E. Blose & Vijay Gondhalekar & Alan Kort, 2018. "Overnight versus day returns in gold and gold related assets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 526-549, July.
• Sarveshwar Kumar Inani, 2018. "Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 129-154, March.
• Alok Dixit & Shivam Singh, 2018. "Ad-Hoc Black–Scholes vis-à-vis TSRV-based Black–Scholes: Evidence from Indian Options Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 57-88, March.
• Juan Ignacio Guzmán & Enrique Silva, 2018. "Copper price determination: fundamentals versus non-fundamentals," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 31(3), pages 283-300, October.
• Gavriilidis, Konstantinos & Kambouroudis, Dimos S. & Tsakou, Katerina & Tsouknidis, Dimitris A., 2018. "Volatility forecasting across tanker freight rates: The role of oil price shocks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 118(C), pages 376-391.
  • Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018. "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers 2018-27, Swansea University, School of Management.
• Javier Mencía & Enrique Sentana, 2018. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 599-614, October.
  • Javier Mencía & Enrique Sentana, 2015. "Volatility-related exchange traded assets: an econometric investigation," Working Papers 1510, Banco de España.
  • Mencía, Javier & Sentana, Enrique, 2015. "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers 10444, C.E.P.R. Discussion Papers.
  • Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
• de Vette, Nander & Petersen, Annelie & Stan Olijslager, Stan & van Wijnbergen, Sweder, 2018. "What Option Prices tell us about the ECB's Unconventional Monetary Policies," CEPR Discussion Papers 13371, C.E.P.R. Discussion Papers.
  • Stan Olijslagers & Annelie Petersen & Nander de Vette & Sweder (S.J.G.) van Wijnbergen, 2018. "What Option Prices tell us about the ECB's Unconventional Monetary Policies," Tinbergen Institute Discussion Papers 18-096/VI, Tinbergen Institute.
• Jaskowski, Marcin & McAleer, Michael, 2021. "Spurious cross-sectional dependence in credit spread changes," Econometrics and Statistics, Elsevier, vol. 18(C), pages 12-27.
  • Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
• AROSKAR, Rajarshi (Raj) & OGDEN, A. William, 2018. "A Comparative Study Of The Volatility And Efficiency Of Commodity Futures Index Roll Methods," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(3), pages 27-40, September.
• Mallika Mathew & Sulphey M. M., 2018. "Gold Exchange Traded Fund - Price Discovery and Performance Analysis," Scientific Annals of Economics and Business, Sciendo, vol. 65(4), pages 477-495, December.
• Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019. "Momentum and contrarian effects on the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 691-701.
  • Krzysztof Kość & Paweł Sakowski & Robert Ślepaczuk, 2018. "Momentum and contrarian effects on the cryptocurrency market," Working Papers 2018-09, Faculty of Economic Sciences, University of Warsaw.
• Małgorzata Jabłczyńska & Krzysztof Kosc & Przemysław Ryś & Robert Ślepaczuk & Paweł Sakowski & Grzegorz Zakrzewski, 2018. "Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions," Working Papers 2018-18, Faculty of Economic Sciences, University of Warsaw.
• Cangoz, Mehmet Coskun & Boitreaud, Sebastien & Dychala, Christopher Benjamin, 2018. "How Do Countries Use an Asset and Liability Management Approach? A Survey on Sovereign Balance Sheet Management," MPRA Paper 100309, University Library of Munich, Germany.
  • Cangoz,Mehmet Coskun & Boitreaud,Sebastien-000379895 & Dychala,Christopher Benjamin, 2018. "How Do Countries Use an Asset and Liability Management Approach ? A Survey on Sovereign Balance Sheet Management," Policy Research Working Paper Series 8624, The World Bank.
• Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative activity and returns volatility of Chinese major agricultural commodity futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Martin T. Bohl, Pierre Siklos, Claudia Wellenreuther, 2018. "Speculative Activity and Returns to Volatility of Chinese Major Agricultural Commodity Futures," LCERPA Working Papers 0111, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  • Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2018. "Risk Premia and Seasonality in Commodity Futures," EMF Research Papers 18, Economic Modelling and Forecasting Group.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers 11169, C.E.P.R. Discussion Papers.
• Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
  • Ricardo Crisóstomo & Lorena Couso, 2017. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  • Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2018. "Risk Premia and Seasonality in Commodity Futures," EMF Research Papers 18, Economic Modelling and Forecasting Group.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers 11169, C.E.P.R. Discussion Papers.
  • Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
• Martynova, Natalya & Perotti, Enrico, 2018. "Convertible bonds and bank risk-taking," Journal of Financial Intermediation, Elsevier, vol. 35(PB), pages 61-80.
  • Natalya Martynova & Enrico Perotti, 2012. "Convertible Bonds and Bank Risk-Taking," Tinbergen Institute Discussion Papers 12-106/IV/DSF41, Tinbergen Institute, revised 10 Oct 2016.
  • Martynova, Natalya & Perotti, Enrico C., 2018. "Convertible bonds and bank risk-taking," Discussion Papers 24/2018, Deutsche Bundesbank.
• Pal, Sumantra, 2018. "How to intervene in foreign exchange market without buying/selling dollars?," EconStor Preprints 181880, ZBW - Leibniz Information Centre for Economics.
• Singh, Ritvik & Gangwar, Rachna, 2018. "A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange," EconStor Preprints 183471, ZBW - Leibniz Information Centre for Economics.
• Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv kzbxf, Center for Open Science.
  • Tim Xiao, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers hal-02165501, HAL.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," EconStor Preprints 202549, ZBW - Leibniz Information Centre for Economics.
  • Xiao, Tim, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper 94135, University Library of Munich, Germany.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org 5uxef, Center for Open Science.
  • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv 5hf4b, Center for Open Science.
• Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW Kiel).
• Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018. "Volatility-of-volatility risk," SAFE Working Paper Series 210, Leibniz Institute for Financial Research SAFE.

2017

• Holger M. Mueller & Paige P. Ouimet & Elena Simintzi, 2017. "Within-Firm Pay Inequality," Review of Financial Studies, Society for Financial Studies, vol. 30(10), pages 3605-3635.
• Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2017. "Contingent Capital, Tail Risk, and Debt-Induced Collapse," Review of Financial Studies, Society for Financial Studies, vol. 30(11), pages 3921-3969.
• Jack Bao & Kewei Hou, 2017. "De Facto Seniority, Credit Risk, and Corporate Bond Prices," Review of Financial Studies, Society for Financial Studies, vol. 30(11), pages 4038-4080.
• Martin Oehmke & Adam Zawadowski, 2017. "The Anatomy of the CDS Market," Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 80-119.
• Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
  • Anisha Ghosh & Christian Julliard, 2011. "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers dp691, Financial Markets Group.
• Dion Bongaerts & Frank de Jong & Joost Driessen, 2017. "An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1229-1269.
• Saqib Khan & Zeigham Khokher & Timothy Simin, 2017. "The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices," Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2818-2850.
• I-Ming Jiang & Chia Chun Lo & Andreas Karathanasopoulos & Konstantinos Skindilias, 2017. "A risk control tool for foreign financial activities – A new derivatives pricing model," Journal of Asset Management, Palgrave Macmillan, vol. 18(4), pages 269-294, July.
• Greg Orosi, 2017. "Information content of right option tails: Evidence from S&P 500 index options," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 516-526, December.
• Agata Gniadkowska-Szymanska, 2017. "The Multifactorial Pastor-Stambaugh Model: Explaining The Impact Of Liquidity On The Rate Of Return Based On The Example Of The Warsaw Stock Exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 12(2), pages 211-228, June.
• Pinshi, Christian, 2016. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective on financial stability]," MPRA Paper 77905, University Library of Munich, Germany, revised 28 Feb 2017.
  • Pinshi, Christian, 2017. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective of financial stability]," MPRA Paper 79189, University Library of Munich, Germany, revised 16 May 2017.
  • Christian Pinshi, 2017. "Une Perspective Macroprudentielle Pour La Stabilité Financière," Post-Print hal-02566812, HAL.
  • Pinshi Paula, Christian, 2017. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective on financial stability]," MPRA Paper 80505, University Library of Munich, Germany, revised Jun 2017.
  • Pinshi, Christian P., 2017. "Une Perspective Macroprudentielle Pour La Stabilité Financière [A macroprudential perspective on financial stability]," MPRA Paper 93140, University Library of Munich, Germany, revised 2017.
• Cantillo, Miguel, 2017. "A Reconsideration of the Equity Premium Puzzle," MPRA Paper 79357, University Library of Munich, Germany.
• Pinshi, Christian, 2016. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective on financial stability]," MPRA Paper 77905, University Library of Munich, Germany, revised 28 Feb 2017.
  • Pinshi Paula, Christian, 2017. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective on financial stability]," MPRA Paper 80505, University Library of Munich, Germany, revised Jun 2017.
  • Christian Pinshi, 2017. "Une Perspective Macroprudentielle Pour La Stabilité Financière," Post-Print hal-02566812, HAL.
  • Pinshi, Christian, 2017. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective of financial stability]," MPRA Paper 79189, University Library of Munich, Germany, revised 16 May 2017.
  • Pinshi, Christian P., 2017. "Une Perspective Macroprudentielle Pour La Stabilité Financière [A macroprudential perspective on financial stability]," MPRA Paper 93140, University Library of Munich, Germany, revised 2017.
• Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017. "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1745-1757, November.
  • Chong, Terence Tai Leung & Tsui, Chun & Chan, Wing Hong, 2017. "Factor Pricing in Commodity Futures and the Role of Liquidity," MPRA Paper 80555, University Library of Munich, Germany.
• Hou, Yang & Nartea, Gilbert, 2017. "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper 81995, University Library of Munich, Germany.
• Hou, Yang & Li, Steven, 2017. "Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets," MPRA Paper 81999, University Library of Munich, Germany.
• Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
• Oubdi, Lahsen & Raghibi, Abdessamad, 2017. "An Overview on the Practice and Issues of Hedging in Islamic Finance," MPRA Paper 82646, University Library of Munich, Germany.
• Hassett, Kevin & Zhong, Weifeng, 2017. "On the Observational Implications of Knightian Uncertainty," MPRA Paper 82998, University Library of Munich, Germany.
• Giulio Cifarelli & Paolo Paesani, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," Working Papers - Economics wp2017_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  • Cifarelli, Giulio & Paesani, Paolo, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," MPRA Paper 84009, University Library of Munich, Germany.
• Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
  • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
• Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 28-49.
  • Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
• Chang, Kuo-Ping, 2017. "On Using Risk-Neutral Probabilities to Price Assets," MPRA Paper 96564, University Library of Munich, Germany.
• Bahloul, Walid & Balcilar, Mehmet & Cunado, Juncal & Gupta, Rangan, 2018. "The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test," Journal of Multinational Financial Management, Elsevier, vol. 45(C), pages 52-71.
  • Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017. "The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201725, University of Pretoria, Department of Economics.
• Jonathan Hambur & Nick Stenner, 2017. "Financialisation and the Term Structure of Commodity Risk Premiums," RBA Research Discussion Papers rdp2017-03, Reserve Bank of Australia.
• Filipe Martins da Rocha & Yiannis Vailakis, 2017. "Borrowing in Excess of Natural Ability to Repay," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 23, pages 42-59, January.
  • Victor Filipe Martins da Rocha & Yiannis Vailakis, 2017. "Borrowing in Excess of Natural Ability to Repay," Post-Print hal-01249202, HAL.
• Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz & Yichuan Wang, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
  • Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017. "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers 1641, Society for Economic Dynamics.
• Bakas, Dimitrios & Triantafyllou, Athanasios, 2018. "The impact of uncertainty shocks on the volatility of commodity prices," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 96-111.
  • Dimitrios Bakas & Athanasios Triantafyllou, 2017. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," Working Paper series 17-31, Rimini Centre for Economic Analysis.
  • Dimitrios Bakas & Athanasios Triantafyllou, 2018. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics 2018/02, Economics, Nottingham Business School, Nottingham Trent University.
• Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon, 2017. "Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets," ADB Economics Working Paper Series 530, Asian Development Bank.
• Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
  • Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 2114, Cowles Foundation for Research in Economics, Yale University.
  • Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Economics and Statistics Working Papers 18-2017, Singapore Management University, School of Economics.
• Jamie Alcock & Godfrey Smith, 2017. "Non-parametric American option valuation using Cressie–Read divergences," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 252-275, May.
• Shuang Li & Yanli Zhou & Yonghong Wu & Xiangyu Ge, 2017. "Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 276-295, May.
• Zi-Yi Guo, 2017. "A Stochastic Factor Model for Risk Management of Commodity Derivatives," Proceedings of Economics and Finance Conferences 4507452, International Institute of Social and Economic Sciences.
• Gavira Durón, Nora & Aguilar Galindo, Julio Irving, 2017. "Métodos numéricos para cálculo de la prima de opciones asiáticas / Numerical Methods for Calculation of Asian Options Premium," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 7(1), pages 27-66, enero-jun.
• Olivares Aguayo, Héctor Alonso & Ortiz Ramírez, Ambrosio & Venegas Martínez, Francisco, 2017. "Valuación de una nota estructurada que vincula el rendimiento de un bono cupón cero con una opción en un portafolio de inversión / Pricing a Structured Note that Links a Zero-Coupon Bond Return with a," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 7(2), pages 201-235, julio-dic.
• M. Papi & L. Pontecorvi & C. Donatucci, 2017. "Weighted average price in the Heston stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 351-373, November.
• Qiang Liu & Gaoxiu Qiao, 2017. "The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market," Empirical Economics, Springer, vol. 52(4), pages 1569-1585, June.
• Constantinos Kardaras & Scott Robertson, 2017. "Continuous-time perpetuities and time reversal of diffusions," Finance and Stochastics, Springer, vol. 21(1), pages 65-110, January.
• Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
• David Hobson & Anthony Neuberger, 2017. "Model uncertainty and the pricing of American options," Finance and Stochastics, Springer, vol. 21(1), pages 285-329, January.
• Ivan Guo & Marek Rutkowski, 2017. "Arbitrage-free pricing of multi-person game claims in discrete time," Finance and Stochastics, Springer, vol. 21(1), pages 111-155, January.
• Neofytos Rodosthenous & Mihail Zervos, 2017. "Watermark options," Finance and Stochastics, Springer, vol. 21(1), pages 157-186, January.
• Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017. "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, vol. 21(2), pages 487-508, April.
• Luciano Campi & Ismail Laachir & Claude Martini, 2017. "Change of numeraire in the two-marginals martingale transport problem," Finance and Stochastics, Springer, vol. 21(2), pages 471-486, April.
• Beatrice Acciaio & Martin Larsson & Walter Schachermayer, 2017. "The space of outcomes of semi-static trading strategies need not be closed," Finance and Stochastics, Springer, vol. 21(3), pages 741-751, July.
• Vladimir Vovk, 2017. "The role of measurability in game-theoretic probability," Finance and Stochastics, Springer, vol. 21(3), pages 719-739, July.
• Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Hybrid scheme for Brownian semistationary processes," Finance and Stochastics, Springer, vol. 21(4), pages 931-965, October.
• Mathias Beiglböck & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Prömel, 2017. "Pathwise superreplication via Vovk’s outer measure," Finance and Stochastics, Springer, vol. 21(4), pages 1141-1166, October.
• Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
• Masahiko Egami & Tadao Oryu, 2017. "A direct solution method for pricing options involving the maximum process," Finance and Stochastics, Springer, vol. 21(4), pages 967-993, October.
• Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017. "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 463-473, July.
• A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017. "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 309-345, January.
• Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
  • Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408, arXiv.org.
• M. Ali Khan & Yongchao Zhang, 2017. "Existence of pure-strategy equilibria in Bayesian games: a sharpened necessity result," International Journal of Game Theory, Springer;Game Theory Society, vol. 46(1), pages 167-183, March.
• Dirk Becherer & Klebert Kentia, 2017. "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 171-214, August.
• Simone Farinelli & Luisa Tibiletti, 2017. "Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets," Operations Research Proceedings, in: Karl Franz Dörner & Ivana Ljubic & Georg Pflug & Gernot Tragler (ed.), Operations Research Proceedings 2015, pages 631-636, Springer.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 203-230, Springer.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Documents de travail du Centre d'Economie de la Sorbonne 16027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," PSE-Ecole d'économie de Paris (Postprint) halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01397606, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01314609, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01314609, HAL.
• Vasilios Sogiakas, 2017. "Option trading for optimizing volatility forecasting," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(3), pages 1-3.
• José Fajardo, 2017. "A new factor to explain implied volatility smirk," Applied Economics, Taylor & Francis Journals, vol. 49(40), pages 4026-4034, August.
  • fajardo, José, 2016. "A New Factor to Explain Implied Volatility Smirk," MPRA Paper 71809, University Library of Munich, Germany.
• Manabu Asai & Michael McAleer, 2017. "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
  • Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers 848, Kyoto University, Institute of Economic Research.
  • Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Documentos de Trabajo del ICAE 2013-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017. "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1745-1757, November.
  • Chong, Terence Tai Leung & Tsui, Chun & Chan, Wing Hong, 2017. "Factor Pricing in Commodity Futures and the Role of Liquidity," MPRA Paper 80555, University Library of Munich, Germany.
• Khan, Mohammed Ali & Rath, Kali P. & Yu, Haomiao & Zhang, Yongchao, 2017. "On the equivalence of large individualized and distributionalized games," Theoretical Economics, Econometric Society, vol. 12(2), May.
• Sun, Hang & Bos, Jaap W.B. & Li, Zhuo, 2017. "In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
• Matthias R. Fengler & Alexander Melnikov, 2018. "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, vol. 21(3), pages 277-305, October.
  • Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
• Dare, Wale, 2017. "Statistical arbitrage in the U.S. treasury futures market," Economics Working Paper Series 1716, University of St. Gallen, School of Economics and Political Science.
• Dietmar Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Papers 1705.03929, arXiv.org.
  • Dietmar P.J. Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Research Paper Series 381, Quantitative Finance Research Centre, University of Technology, Sydney.
• 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, vol. 114(C).
  • Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series 384, Quantitative Finance Research Centre, University of Technology, Sydney.
  • Mesias Alfeus & Martino Grasselli & Erik Schlogl, 2018. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Papers 1809.06643, arXiv.org.
• Kabaivanov Stanimir & Markovska Veneta, 2017. "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business, Sciendo, vol. 64(4), pages 423-430, December.
• Markus Hertrich & Heinz Zimmermann, 2017. "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 567-578, March.
  • Hertrich, Markus & Zimmermann, Heinz, 2015. "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Working papers 2015/09, Faculty of Business and Economics - University of Basel.
• Olaf Korn & Paolo Krischak & Erik Theissen, 2019. "Illiquidity transmission from spot to futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1228-1249, October.
  • Korn, Olaf & Krischak, Paolo & Theissen, Erik, 2017. "Illiquidity transmission from spot to futures markets," CFR Working Papers 14-10, University of Cologne, Centre for Financial Research (CFR).
• Heidorn, Thomas & Maier, F. & Winker, M., 2017. "The effectiveness of seasonal investments in European Share Portfolios," Frankfurt School - Working Paper Series 224, Frankfurt School of Finance and Management.
• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017. "Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability," CREATES Research Papers 2017-10, Department of Economics and Business Economics, Aarhus University.
• Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
  • Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017. "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers 2017-15, Department of Economics and Business Economics, Aarhus University.
• Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
  • Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017. "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers 2017-21, Department of Economics and Business Economics, Aarhus University.
• Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
• Sims, Eric N. & Quintanar, Sarah, 2017. "Analyzing Barrel Purchasing Decisions on Winery Costs," Working Papers 253849, American Association of Wine Economists.
• Juárez-Torres, Miriam & Sánchez-Aragón, Leonardo & Vedenov, Dmitry, 2017. "Weather Derivatives and Water Management in Developing Countries: An Application for an Irrigation District in Central Mexico," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 42(2), May.
  • Juarez-Torres, Miriam & Sanchez, Leonardo & Vedenov, Dmitry V., 2012. "Effectiveness of Weather Derivatives as Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124813, Agricultural and Applied Economics Association.
  • Miriam Juarez-Torres, 2013. "Effectiveness of weather derivatives as a cross-hedging instrument against climate change: Case studies of reservoir water allocation management in Guanajuato, Mexico," Working Papers 201348, Latin American and Caribbean Environmental Economics Program, revised 2013.
• John E. Parsons, 2017. "The Fundamentals Underlying Oil and Natural Gas Derivative Markets," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 283-300, November.
• Mohd Aminul Islam, 2017. "An Empirical Evaluation of Hedging Effectiveness of Crude Palm Oil Futures Market in Malaysia," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(11), pages 303-314, 11-2017.
• Dietmar P.J. Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Research Paper Series 381, Quantitative Finance Research Centre, University of Technology, Sydney.
  • Dietmar Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Papers 1705.03929, arXiv.org.
• Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019. "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, vol. 28(C), pages 185-190.
  • Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers 1712.03566, arXiv.org.
• Andrea Paltrinieri & Enrico Geretto & Maurizio Polato, 2017. "Volatility Exchange Traded Notes: a case study," BANCARIA, Bancaria Editrice, vol. 12, pages 64-72, December.
• David Nickerson & Robert Jones, 2017. "Collateral Risk and Demographic Discrimination in Mortgage Market Equilibria," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 13-28, August.
• Rodrigo Hernandez & Yingying Shao & Pu Liu, 2017. "Leverage Certificates - A Case of Innovative Financial Engineering," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 71-82, August.
• Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
• Gimeno, Ricardo & Ibáñez, Alfredo, 2018. "The eurozone (expected) inflation: An option's eyes view," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 70-92.
  • Ricardo Gimeno & Alfredo Ibáñez, 2017. "The eurozone (expected) inflation: an option’s eyes view," Working Papers 1722, Banco de España.
• Natoli, Filippo & Sigalotti, Laura, 2017. "A new indicator of inflation expectations anchoring," Working Paper Series 1996, European Central Bank.
  • Filippo Natoli & Laura Sigalotti, 2017. "An indicator of inflation expectations anchoring," Temi di discussione (Economic working papers) 1103, Bank of Italy, Economic Research and International Relations Area.
• Jian Li & Chongguang Li & Jean-Paul Chavas, 2017. "Food Price Bubbles and Government Intervention: Is China Different?," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 65(1), pages 135-157, March.
  • Li, Jian & Li, Chongguang & Chavas, Jean-Paul, 2015. "Food Price Bubbles and Government Intervention: Is China Different?," Staff Paper Series 579, University of Wisconsin, Agricultural and Applied Economics.
• BRATIAN Vasile, 2017. "Options Evaluation Using Monte Carlo Simulation," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(4), pages 30-42, November.
• Houllier, Melanie & Murphy, David, 2017. "Borderline: judging the adequacy of return distribution estimation techniques in initial margin models," Bank of England working papers 673, Bank of England.
• Evangelia Kasimati & Nikolaos Veraros, 2017. "Is there accuracy of forward freight agreements in forecasting future freight rates? An empirical investigation," Working Papers 230, Bank of Greece.
• Jędrzej Białkowski & Jan Koeman, 2017. "Does the Design of Spot Markets Matter for the Success of Futures Markets? Evidence from Dairy Futures," Working Papers in Economics 17/18, University of Canterbury, Department of Economics and Finance.
• Raushan Kumar, 2017. "Price Discovery in Some Primary Commodity Markets in India," Working papers 276, Centre for Development Economics, Delhi School of Economics.
• Marcus Miller & Lei Zhang & Songklod Rastapana, 2017. "Subprime assets and financial crisis: theory, policy and the law," CAGE Online Working Paper Series 340, Competitive Advantage in the Global Economy (CAGE).
• Erwan Morellec & Alexei Zhdanov, 2017. "Product Market Competition and Option Prices," Swiss Finance Institute Research Paper Series 17-07, Swiss Finance Institute.
• Sascha Kolaric & Florian Kiesel & Steven Ongena, 2021. "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 367-400, March.
  • Sascha KOLARIC & Florian KIESEL & Steven ONGENA, 2017. "Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?," Swiss Finance Institute Research Paper Series 17-09, Swiss Finance Institute.
  • Kolaric, S. & Kiesel, F. & Ongena, S., 2021. "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 125503, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Thorsten Hens & Terje Lensberg & Klaus Reiner Schenk‐Hoppé, 2018. "Front‐Running and Market Quality: An Evolutionary Perspective on High Frequency Trading," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 727-741, December.
  • Thorsten Hens & Terje Lensberg & Klaus Reiner Schenk-Hoppé, 2017. "Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading," Swiss Finance Institute Research Paper Series 17-10, Swiss Finance Institute, revised Sep 2017.
• Damir Filipović & Martin Larsson & Francesco Statti, 2017. "Unspanned Stochastic Volatility in the Multi-Factor CIR Model," Swiss Finance Institute Research Paper Series 17-16, Swiss Finance Institute, revised Apr 2018.
• Martin Schweizer & Danijel Zivoi & Mario Sikic, 2017. "Dynamic Mean-Variance Optimisation Problems with Deterministic Information," Swiss Finance Institute Research Paper Series 17-29, Swiss Finance Institute, revised Feb 2018.
• Damien Ackerer & Damir Filipović, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Swiss Finance Institute Research Paper Series 17-41, Swiss Finance Institute.
• Damir Filipović & Sander Willems, 2017. "A Term Structure Model for Dividends and Interest Rates," Swiss Finance Institute Research Paper Series 17-52, Swiss Finance Institute.
• Damir Filipović & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Swiss Finance Institute Research Paper Series 17-60, Swiss Finance Institute.
• Carolina Pagliacci & Jennifer Peña, 2017. "A Systemic Measure of Liquidity Risk," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(2), pages 163-202, July-Dece.
• Carolina Pagliacci & Jennifer Peña, 2017. "Una medida sistémica del riesgo de liquidez," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(2), pages 175-218, julio-dic.
• Ricardo Crisóstomo, 2017. "Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
  • Ricardo Crisóstomo & Lorena Couso, 2017. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  • Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.
• Barrera Montoya, Carlos Andrés & Gutiérrez Castañeda, Belky Esperanza, 2017. "Riesgo idiosincrático y retornos en el mercado accionario de Colombia," Borradores Departamento de Economía 017495, Universidad de Antioquia - CIE.
• Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2018. "Corporate debt maturity profiles," Journal of Financial Economics, Elsevier, vol. 130(3), pages 484-502.
  • Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2017. "Corporate Debt Maturity Profiles," CEPR Discussion Papers 12289, C.E.P.R. Discussion Papers.
• Christian Gross, 2017. "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers 6317, Center for Quantitative Economics (CQE), University of Muenster.
• Cyr, Don & Kwong, Lester & Sun, Ling, 2017. "An Examination of Tail Dependence in Bordeaux Futures Prices and Parker Ratings," Journal of Wine Economics, Cambridge University Press, vol. 12(3), pages 252-266, August.
• Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
  • Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Economics and Statistics Working Papers 18-2017, Singapore Management University, School of Economics.
  • Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 2114, Cowles Foundation for Research in Economics, Yale University.
• Shiller, Robert J. & Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2019. "Continuous Workout Mortgages: Efficient pricing and systemic implications," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 244-274.
  • Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017. "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers 2116, Cowles Foundation for Research in Economics, Yale University.
• Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Economics and Statistics Working Papers 18-2017, Singapore Management University, School of Economics.
  • Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 3014, Cowles Foundation for Research in Economics, Yale University.
• Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017. "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers 3016, Cowles Foundation for Research in Economics, Yale University.
• Xinyu WU & Senchun REN & Hailin ZHOU, 2017. "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 263-278.
• Michael Hachula & Malte Rieth, 2017. "Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility," Discussion Papers of DIW Berlin 1646, DIW Berlin, German Institute for Economic Research.
• Xiao Xiao & Chen Zhou, 2017. "Entropy-based implied moments," DNB Working Papers 581, Netherlands Central Bank, Research Department.
• Filippo Natoli & Laura Sigalotti, 2017. "An indicator of inflation expectations anchoring," Temi di discussione (Economic working papers) 1103, Bank of Italy, Economic Research and International Relations Area.
  • Natoli, Filippo & Sigalotti, Laura, 2017. "A new indicator of inflation expectations anchoring," Working Paper Series 1996, European Central Bank.
• Filippo Natoli & Laura Sigalotti, 2018. "Tail Co-movement in Inflation Expectations as an Indicator of Anchoring," International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 35-71, January.
  • Sara Cecchetti & Filippo Natoli & Laura Sigalotti, 2015. "Tail comovement in option-implied inflation expectations as an indicator of anchoring," Temi di discussione (Economic working papers) 1025, Bank of Italy, Economic Research and International Relations Area.
  • Natoli, Filippo & Sigalotti, Laura, 2017. "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series 1997, European Central Bank.
• Tomas Konecny & Jakub Seidler & Aelta Belyaeva & Konstantin Belyaev, 2017. "The Time Dimension of the Links Between Loss Given Default and the Macroeconomy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(6), pages 462-491, October.
  • Seidler, Jakub & Konečný, Tomáš & Belyaeva, Aelita & Belyaev, Konstantin, 2017. "The time dimension of the links between loss given default and the macroeconomy," Working Paper Series 2037, European Central Bank.
• Bao, Jack & Hou, Kewei, 2017. "De Facto Seniority, Credit Risk, and Corporate Bond Prices," Working Paper Series 2017-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017. "Corporate Credit Risk Premia," Research Papers repec:ecl:stabus:3617, Stanford University, Graduate School of Business.
  • Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia," NBER Working Papers 24213, National Bureau of Economic Research, Inc.
• Muhammad Sofjan, 2017. "The Effect of Liberalization on Export-import in Indonesia," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 672-676.
• Samih Antoine Azar, 2017. "Risk-free Yields, Risk Aversion, and Volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 105-112.
• He, Xin-Jiang & Zhu, Song-Ping, 2017. "How should a local regime-switching model be calibrated?," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 149-163.
• Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
• Yang, Nian & Chen, Nan & Liu, Yanchu & Wan, Xiangwei, 2017. "Approximate arbitrage-free option pricing under the SABR model," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 198-214.
• Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
• Wei, Yu & Cao, Yang, 2017. "Forecasting house prices using dynamic model averaging approach: Evidence from China," Economic Modelling, Elsevier, vol. 61(C), pages 147-155.
• Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
• Ryu, Doojin & Yang, Heejin, 2017. "Price disagreements and adjustments in index derivatives markets," Economics Letters, Elsevier, vol. 151(C), pages 104-106.
• Chaudhury, Mo, 2017. "Volatility and expected option returns: A note," Economics Letters, Elsevier, vol. 152(C), pages 1-4.
• Realdon, Marco & Boonyanet, Wachira, 2017. "Linear–quadratic term structure models for negative euro area yields," Economics Letters, Elsevier, vol. 155(C), pages 149-153.
• Plante, Michael & Dhaliwal, Navi, 2017. "Inventory shocks and the oil–ethanol–grain price nexus," Economics Letters, Elsevier, vol. 156(C), pages 58-60.
• Marinelli, Carlo & d’Addona, Stefano, 2017. "Nonparametric estimates of pricing functionals," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 19-35.
  • Carlo Marinelli & Stefano d'Addona, 2015. "Nonparametric estimates of pricing functionals," Papers 1506.06568, arXiv.org, revised Sep 2017.
• Ghoddusi, Hamed, 2017. "Blending under uncertainty: Real options analysis of ethanol plants and biofuels mandates," Energy Economics, Elsevier, vol. 61(C), pages 110-120.
• Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E., 2017. "Joint price and volumetric risk in wind power trading: A copula approach," Energy Economics, Elsevier, vol. 62(C), pages 139-154.
• Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017. "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, vol. 63(C), pages 31-40.
• Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J., 2017. "Generating options-implied probability densities to understand oil market events," Energy Economics, Elsevier, vol. 64(C), pages 440-457.
  • Deepa Dhume Datta & Juan M. Londono & Landon J. Ross, 2014. "Generating Options-Implied Probability Densities to Understand Oil Market Events," International Finance Discussion Papers 1122, Board of Governors of the Federal Reserve System (U.S.).
• Gersema, Gerke & Wozabal, David, 2017. "An equilibrium pricing model for wind power futures," Energy Economics, Elsevier, vol. 65(C), pages 64-74.
• Diaz-Rainey, Ivan & Roberts, Helen & Lont, David H., 2017. "Crude inventory accounting and speculation in the physical oil market," Energy Economics, Elsevier, vol. 66(C), pages 508-522.
• Cortazar, Gonzalo & Lopez, Matias & Naranjo, Lorenzo, 2017. "A multifactor stochastic volatility model of commodity prices," Energy Economics, Elsevier, vol. 67(C), pages 182-201.
• Da Fonseca, José & Xu, Yahua, 2017. "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, vol. 67(C), pages 410-422.
• Hess, Markus, 2017. "Modeling positive electricity prices with arithmetic jump-diffusions," Energy Economics, Elsevier, vol. 67(C), pages 496-507.
• Pircalabu, A. & Benth, F.E., 2017. "A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets," Energy Economics, Elsevier, vol. 68(C), pages 283-302.
• Tegnér, Martin & Ernstsen, Rune Ramsdal & Skajaa, Anders & Poulsen, Rolf, 2017. "Risk-minimisation in electricity markets: Fixed price, unknown consumption," Energy Economics, Elsevier, vol. 68(C), pages 423-439.
• Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.
• Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
• Gzyl, H. & Milev, M. & Tagliani, A., 2017. "Discontinuous payoff option pricing by Mellin transform: A probabilistic approach," Finance Research Letters, Elsevier, vol. 20(C), pages 281-288.
• Braouezec, Yann, 2017. "How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach," Finance Research Letters, Elsevier, vol. 21(C), pages 92-99.
• Drago, Danilo & Tommaso, Caterina Di & Thornton, John, 2017. "What determines bank CDS spreads? Evidence from European and US banks," Finance Research Letters, Elsevier, vol. 22(C), pages 140-145.
• Madan, Dilip B. & Smith, Robert H. & Wang, King, 2017. "Laplacian risk management," Finance Research Letters, Elsevier, vol. 22(C), pages 202-210.
• Gürtler, Marc & Stolpe, Julia, 2017. "Cumulative Prospect Theory for piecewise continuous distributions," Finance Research Letters, Elsevier, vol. 22(C), pages 5-10.
• Liao, Qunfeng & Mehdian, Seyed & Rezvanian, Rasoul, 2017. "An examination of investors’ reaction to the announcement of CoCo bonds issuance: A global outlook," Finance Research Letters, Elsevier, vol. 22(C), pages 58-65.
• Alexakis, Christos & Bagnarosa, Guillaume & Dowling, Michael, 2017. "Do cointegrated commodities bubble together? the case of hog, corn, and soybean," Finance Research Letters, Elsevier, vol. 23(C), pages 96-102.
• Tang, Dragon Yongjun & Yan, Hong, 2017. "Understanding transactions prices in the credit default swaps market," Journal of Financial Markets, Elsevier, vol. 32(C), pages 1-27.
• Bai, Xuelian & Hu, Nan & Liu, Ling & Zhu, Lu, 2017. "Credit derivatives and stock return synchronicity," Journal of Financial Stability, Elsevier, vol. 28(C), pages 79-90.
• Clements, Sherwood & Tidwell, Alan & Jin, Changha, 2017. "Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs," Journal of Forest Economics, Elsevier, vol. 28(C), pages 70-79.
• Benlagha, Noureddine & Chargui, Sana, 2017. "Range-based and GARCH volatility estimation: Evidence from the French asset market," Global Finance Journal, Elsevier, vol. 32(C), pages 149-165.
• Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017. "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 46-62.
• Zhu, Wenge, 2017. "Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 14-23.
• Bu, Ruijun & Jawadi, Fredj & Li, Yuyi, 2017. "An empirical comparison of transformed diffusion models for VIX and VIX futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 116-127.
• Orlowski, Lucjan T., 2017. "Volatility of commodity futures prices and market-implied inflation expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 133-141.
• Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  • Markus Leippold & Steven Schaerer, 2016. "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series 16-15, Swiss Finance Institute.
• Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
• González-Urteaga, Ana & Rubio, Gonzalo, 2017. "The joint cross-sectional variation of equity returns and volatilities," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 17-34.
• Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2017. "Corporate liquidity and dividend policy under uncertainty," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 200-214.
• Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
• Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
• Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
• Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
  • Markus LEIPPOLD & Nikola VASILJEVIC, 2015. "Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model," Swiss Finance Institute Research Paper Series 15-08, Swiss Finance Institute, revised Mar 2015.
• Chiang, I-Hsuan Ethan & Hughen, W. Keener, 2017. "Do oil futures prices predict stock returns?," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 129-141.
• Buchner, Axel & Wagner, Niklas F., 2017. "Rewarding risk-taking or skill? The case of private equity fund managers," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 14-32.
• Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin, 2017. "Variance risk in commodity markets," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 136-149.
• Lambrecht, Bart M., 2017. "Real options in finance," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 166-171.
• Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2017. "Corporate liquidity and dividend policy under uncertainty," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 221-235.
• Hull, John & White, Alan, 2017. "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 180-190.
• Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017. "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, vol. 168(C), pages 400-431.
• Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
  • Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
• Han, Bing & Subrahmanyam, Avanidhar & Zhou, Yi, 2017. "The term structure of credit spreads, firm fundamentals, and expected stock returns," Journal of Financial Economics, Elsevier, vol. 124(1), pages 147-171.
• Eraker, Bjørn & Wu, Yue, 2017. "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, vol. 125(1), pages 72-98.
• Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
• Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 28-49.
  • Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
• Shanker, Latha, 2017. "New indices of adequate and excess speculation and their relationship with volatility in the crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 18-35.
• Dimpfl, Thomas & Flad, Michael & Jung, Robert C., 2017. "Price discovery in agricultural commodity markets in the presence of futures speculation," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 50-62.
• Guo, Kevin & Leung, Tim, 2017. "Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 32-49.
  • Kevin Guo & Tim Leung, 2016. "Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options," Papers 1610.09403, arXiv.org, revised Apr 2017.
• Yan, Lei & Garcia, Philip, 2017. "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, vol. 8(C), pages 43-55.
• Aminrostamkolaee, Behnam & Scroggs, Jeffrey S. & Borghei, Matin Sadat & Safdari-Vaighani, Ali & Mohammadi, Teymour & Hossein Pourkazemi, Mohammad, 2017. "Valuation of a hypothetical mining project under commodity price and exchange rate uncertainties by using numerical methods," Resources Policy, Elsevier, vol. 52(C), pages 296-307.
• Go, You-How & Lau, Wee-Yeap, 2017. "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, vol. 53(C), pages 135-146.
• Muteba Mwamba, John W. & Hammoudeh, Shawkat & Gupta, Rangan, 2017. "Financial tail risks in conventional and Islamic stock markets: A comparative analysis," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 60-82.
• Wang, Guanying & Wang, Xingchun & Zhou, Ke, 2017. "Pricing vulnerable options with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 91-103.
• Mu, Congming & Wang, Anxing & Yang, Jinqiang, 2017. "Optimal capital structure with moral hazard," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 326-338.
• Kim, Kwanho, 2017. "Liquidity basis between credit default swaps and corporate bonds markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 98-115.
• Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao, 2017. "Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 1-16.
• Yoon, Sun-Joong, 2017. "Time-varying risk aversion and return predictability," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 327-339.
• Zhu, Jiaqing & Li, Guangzhong & Li, Jie, 2017. "Merge to be too big to fail: A real option approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 342-353.
• Tan, Yingxian & Yang, Zhaojun, 2017. "Growth option, contingent capital and agency conflicts," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 354-369.
• Wong, Kit Pong, 2017. "Production and hedging under state-dependent preferences and background risk," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 527-534.
• Rannou, Yves, 2017. "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 779-808.
  • Yves Rannou, 2017. "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Post-Print hal-01650533, HAL.
• Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E., 2017. "Accounting quality, information risk and the term structure of implied volatility around earnings announcements," Research in International Business and Finance, Elsevier, vol. 41(C), pages 445-460.
• Charteris, Ailie & Musadziruma, Arnold, 2017. "Feedback trading in stock index futures: Evidence from South Africa," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1289-1297.
• Ahmad, Wasim, 2017. "On the dynamic dependence and investment performance of crude oil and clean energy stocks," Research in International Business and Finance, Elsevier, vol. 42(C), pages 376-389.
• Hadhri, Sinda & Ftiti, Zied, 2017. "Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 39-60.
• Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
• Leo Krippner, 2017. "A comment on Wu and Xia (2016) from a macroeconomic perspective," CAMA Working Papers 2017-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Kardaras, Constantinos & Robertson, Scott, 2017. "Continuous-time perpetuities and time reversal of diffusions," LSE Research Online Documents on Economics 67495, London School of Economics and Political Science, LSE Library.
• Rodosthenous, Neofytos & Zervos, Mihail, 2017. "Watermark options," LSE Research Online Documents on Economics 67859, London School of Economics and Political Science, LSE Library.
• Campi, Luciano & Laachir, Ismail & Martini, Claude, 2017. "Change of numeraire in the two-marginals martingale transport problem," LSE Research Online Documents on Economics 68783, London School of Economics and Political Science, LSE Library.
• Carvalho, Augusto & Guimaraes, Bernardo, 2018. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Journal of Public Economics, Elsevier, vol. 159(C), pages 66-78.
  • Augusto Carvalho & Bernardo Guimaraes, 2016. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers 1702, Centre for Macroeconomics (CFM).
  • Carvalho, Augusto & Guimaraes, Bernardo, 2017. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," LSE Research Online Documents on Economics 86172, London School of Economics and Political Science, LSE Library.
  • Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão 435, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Sierra-Juárez, Guillermo & Méndez García, Daniela, 2017. "Un modelo de inversión óptima para fondos soberanos: caso fondo mexicano del petróleo para la estabilización y el desarrollo," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(335), pages .731-756, julio-sep.
• Hong Yu Xin Pan & Jun Song, 2017. "Volatility cones and volatility arbitrage strategies – empirical study based on SSE ETF option," China Finance Review International, Emerald Group Publishing Limited, vol. 7(2), pages 203-227, May.
• Ryan McKeon, 2017. "Empirical patterns of time value decay in options," China Finance Review International, Emerald Group Publishing Limited, vol. 7(4), pages 429-449, September.
• Yurun Yang & Ahmet Goncu & Athanasios Pantelous, 2017. "Pairs trading with commodity futures: evidence from the Chinese market," China Finance Review International, Emerald Group Publishing Limited, vol. 7(3), pages 274-294, August.
• Hong Yu Xin Pan & Jun Song, 2017. "Volatility cones and volatility arbitrage strategies – empirical study based on SSE ETF option," China Finance Review International, Emerald Group Publishing Limited, vol. 7(2), pages 203-227, May.
• Ryan McKeon, 2017. "Empirical patterns of time value decay in options," China Finance Review International, Emerald Group Publishing Limited, vol. 7(4), pages 429-449, September.
• Yurun Yang & Ahmet Goncu & Athanasios Pantelous, 2017. "Pairs trading with commodity futures: evidence from the Chinese market," China Finance Review International, Emerald Group Publishing Limited, vol. 7(3), pages 274-294, August.
• Youssef El-Khatib & Abdulnasser Hatemi-J, 2017. "Option valuation and hedging in markets with a crunch," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 44(5), pages 801-815, October.
• Abdul Rashid & Farooq Ahmad & Ammara Yasmin, 2017. "Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 18(4), pages 368-380, August.
• Abdul Rashid & Farooq Ahmad & Ammara Yasmin, 2017. "Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 18(4), pages 368-380, August.
• Timo Korkeamäki & Eva Liljeblom & Markus Pfister, 2016. "Airline fuel hedging and management ownership," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 17(5), pages 492-509, November.
• Geoffrey Loudon, 2017. "The impact of global financial market uncertainty on the risk-return relation in the stock markets of G7 countries," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(1), pages 2-23, March.
• Tomas Konecny & Jakub Seidler & Aelta Belyaeva & Konstantin Belyaev, 2017. "The Time Dimension of the Links Between Loss Given Default and the Macroeconomy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(6), pages 462-491, October.
  • Seidler, Jakub & Konečný, Tomáš & Belyaeva, Aelita & Belyaev, Konstantin, 2017. "The time dimension of the links between loss given default and the macroeconomy," Working Paper Series 2037, European Central Bank.
• Astorino, Eduardo & Chague, Fernando & Giovannetti, Bruno Cara & da Silva, Marcos Eugênio, 2017. "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(1), May.
  • Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva, 2015. "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Working Papers, Department of Economics 2015_08, University of São Paulo (FEA-USP).
• Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
• Lily Y. Liu, 2017. "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers RPA 17-1, Federal Reserve Bank of Boston.
• 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., vol. 10(02), pages 1-42, June.
  • Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz, 2017. "Is There an On-the-Run Premium in TIPS?," Working Paper Series 2017-10, Federal Reserve Bank of San Francisco.
• Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020. "The TIPS Liquidity Premium," Working Paper Series 2017-11, Federal Reserve Bank of San Francisco.
• Esen Onur & John S. Roberts & Tugkan Tuzun, 2017. "Trader Positions and Marketwide Liquidity Demand," Finance and Economics Discussion Series 2017-103, Board of Governors of the Federal Reserve System (U.S.).
• Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
  • Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
  • Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
• Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017. "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers 1212, Board of Governors of the Federal Reserve System (U.S.).
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," IJFS, MDPI, vol. 6(1), pages 1-24, December.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Diego C. Cueto, 2017. "Private Valuation of Compensation Stock Options," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 2(2), pages 1-30.
• Aliakbari, Elmira & McKitrick, Ross, 2018. "Information aggregation in a prediction market for climate outcomes," Energy Economics, Elsevier, vol. 74(C), pages 97-106.
  • Elmira Aliakbari & Ross McKitrick, 2017. "Information Aggregation in a Prediction Market for Climate Outcomes," Working Papers 1702, University of Guelph, Department of Economics and Finance.
• Sofiane Aboura & Eser Arisoy, 2017. "Can Exposure to Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies?," CEPN Working Papers hal-01529356, HAL.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 203-230, Springer.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01314609, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01397606, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01314609, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Documents de travail du Centre d'Economie de la Sorbonne 16027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," PSE-Ecole d'économie de Paris (Postprint) halshs-01397606, HAL.
• Filipe Martins da Rocha & Yiannis Vailakis, 2017. "Borrowing in Excess of Natural Ability to Repay," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 23, pages 42-59, January.
  • Victor Filipe Martins da Rocha & Yiannis Vailakis, 2017. "Borrowing in Excess of Natural Ability to Repay," Post-Print hal-01249202, HAL.
• Filipe Martins da Rocha & Yiannis Vailakis, 2017. "Borrowing in Excess of Natural Ability to Repay," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 23, pages 42-59, January.
  • Victor Filipe Martins da Rocha & Yiannis Vailakis, 2017. "Borrowing in Excess of Natural Ability to Repay," Post-Print hal-01249202, HAL.
  • Victor Filipe Martins da Rocha & Yiannis Vailakis, 2017. "Borrowing in excess of natural ability to repay," Post-Print hal-01394079, HAL.
• Rannou, Yves, 2017. "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 779-808.
  • Yves Rannou, 2017. "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Post-Print hal-01650533, HAL.
• Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
  • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
  • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
• Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  • Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  • Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
• Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  • Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  • Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 203-230, Springer.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01314609, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01397606, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01314609, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Documents de travail du Centre d'Economie de la Sorbonne 16027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," PSE-Ecole d'économie de Paris (Postprint) halshs-01397606, HAL.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 203-230, Springer.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01314609, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," PSE-Ecole d'économie de Paris (Postprint) halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01397606, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01314609, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Documents de travail du Centre d'Economie de la Sorbonne 16027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  • Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  • Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
• Julien Chevallier & Sofiane Aboura, 2017. "Geographical Diversification with a World Volatility Index," Working Papers hal-01529755, HAL.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Jumps in commodity markets," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 55-70.
  • Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017. "Jumps in Commodity Markets," Hannover Economic Papers (HEP) dp-615, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Tangerås, Thomas & Wolak, Frank A., 2017. "The Competitive Effects of Linking Electricity Markets Across Space and Time," Working Paper Series 1184, Research Institute of Industrial Economics.
• Ruddell, Keith & Downward, Anthony & Philpott, Andy, 2018. "Market power and forward prices," Economics Letters, Elsevier, vol. 166(C), pages 6-9.
  • Ruddell, Keith & Downward, Tony & Philpott, Andy, 2017. "Market Power and Forward Prices," Working Paper Series 1193, Research Institute of Industrial Economics.
• Juan Carlos Alonso & Mario Luis Perossa & Pablo Waldman & Santiago Gigler, 2017. "The Effects Of Information On Stock Indexes: The Contagion Of The 2007/2008 Crisis From The Core Countries To The Periphery, El Efecto De La Informacion Sobre Los Indices Bursatiles: La Transferencia ," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 10(2), pages 41-52.
• Mario Luis Perossa & Alejandra Marinaro & Walter Velardez, 2017. "Evolution Of Energy Company Share Prices And Their Relationship With Macroeconomic Variables: Evidence From Argentina Evolucion De Precios De Acciones De Empresa De Energia Y Su Relacion Con Las Varia," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 10(4), pages 1-14.
• Zi-Yi Guo & Yangxiaoteng Luo, 2017. "Dynamic Stochastic Factors, Risk Management and the Energy Futures," International Business Research, Canadian Center of Science and Education, vol. 10(9), pages 50-59, September.
• Park Kwang Hee & Woon Kyung Song, 2017. "Factors Affecting Derivatives Use for Life Insurance Companies," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(12), pages 168-174, December.
• Ponce-Gutiérrez, Blanca Estela & Portillo-Vázquez, Marcos, 2017. "Modelo de seguro agrícola aplicado al distrito de desarrollo rural de guasave, sinaloa," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 12(46), pages 81-88, Primer se.
• Martínez, Beatriz & Torró, Hipòlit, 2018. "Hedging spark spread risk with futures," Energy Policy, Elsevier, vol. 113(C), pages 731-746.
  • Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
• Hideharu Funahashi & Masaaki Kijima, 2017. "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, vol. 13(1), pages 55-74, February.
• Ping Wu & Robert J. Elliott, 2017. "A simple efficient approximation to price basket stock options with volatility smile," Annals of Finance, Springer, vol. 13(1), pages 1-29, February.
• Liu Gan & Zhaojun Yang, 2017. "Investment, agency conflicts, debt maturity, and loan guarantees by negotiation," Annals of Finance, Springer, vol. 13(3), pages 253-271, August.
• Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi, 2017. "Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 169-191, September.
• Marta Biancardi & Giovanni Villani, 2017. "Robust Monte Carlo Method for R&D Real Options Valuation," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 481-498, March.
• Ping Wu & Robert J. Elliott, 2017. "Valuation of certain CMS spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 445-467, November.
• Dong Zou & Pu Gong, 2017. "A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate," The Journal of Real Estate Finance and Economics, Springer, vol. 55(2), pages 242-263, August.
• Dirk Veestraeten, 2017. "On the multiplicity of option prices under CEV with positive elasticity of variance," Review of Derivatives Research, Springer, vol. 20(1), pages 1-13, April.
• Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017. "A bias in the volatility smile," Review of Derivatives Research, Springer, vol. 20(1), pages 47-90, April.
• Jr-Yan Wang & Hsiao-Chuan Wang & Yi-Chen Ko & Mao-Wei Hung, 2017. "Rainbow trend options: valuation and applications," Review of Derivatives Research, Springer, vol. 20(2), pages 91-133, July.
• Max F. Schöne & Stefan Spinler, 2017. "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, vol. 20(2), pages 135-165, July.
• Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
• Hideharu Funahashi & Masaaki Kijima, 2017. "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, vol. 20(3), pages 203-229, October.
• Ralf Meyer, 2017. "Profitability patterns in the interest rate derivatives market," Review of Derivatives Research, Springer, vol. 20(3), pages 231-254, October.
• Shiyu Song & Yongjin Wang, 2017. "Pricing double barrier options under a volatility regime-switching model with psychological barriers," Review of Derivatives Research, Springer, vol. 20(3), pages 255-280, October.
• Antje Mahayni & Matthias Muck, 2017. "The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk," Review of Derivatives Research, Springer, vol. 20(3), pages 281-308, October.
• Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
• Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen, 2017. "The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(3), pages 819-848, April.
• Ying Jiang & Shamim Ahmed & Xiaoquan Liu, 2017. "Volatility forecasting in the Chinese commodity futures market with intraday data," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1123-1173, May.
• Julio César Alonso Cifuentes & Andrés Mauricio Arcila Vásquez & Sebastián Montenegro Arana, 2017. "Internal price stabilization tools in the Colombian sugar market: Do they work?," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 86, pages 105-126, Enero - J.
• Dr. Erin Vicente, 2017. "An Exploration of Contingent Faculty Experiences at a Private, Liberal Arts College," Review of Social Sciences, LAR Center Press, vol. 2(3), pages 9-23, March.
• Peter Reichling & Anastasiia Zbandut, 2017. "Costs of capital under credit risk," FEMM Working Papers 170003, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
• You-How Go & Wee-Yeap Lau, 2017. "The Relationship of Crude Palm Oil Spot-Futures under Inflationary Expectation in Gold Market," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 43-62.
• Takahiro Hattori, 2017. "J-liquidity Measure: the Term Structure of the Liquidity Premium and the Decomposition of the Municipal Bond Spread," Discussion papers ron290, Policy Research Institute, Ministry of Finance Japan.
• Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017. "Transmisión de precios futuros de maíz del Chicago Board of Trade al mercado spot mexicano," Contaduría y Administración, Accounting and Management, vol. 62(3), pages 924-940, Julio-Sep.
• Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017. "Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market," Contaduría y Administración, Accounting and Management, vol. 62(3), pages 941-957, Julio-Sep.
• José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1136-1159, Octubre-D.
• José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1160-1182, Octubre-D.
• José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 11-12, Diciembre.
• César Augusto Giraldo-Prietoa & Gabriel Jaime González Uribe & Cristhian Vesga Bermejo & Diana Carolina Ferreira Herrera, 2017. "Coberturas financieras con derivados y su incidencia enel valor de mercado en empresas colombianas quecotizan en Bolsa," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 17-18, Diciembre.
• César Augusto Giraldo-Prietoa & Gabriel Jaime González Uribe & Cristhian Vesga Bermejo & Diana Carolina Ferreira Herrera, 2017. "Financial hedging with derivatives and its impact on the Colombian market value for listed companies," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 19-20, Diciembre.
• José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 9-10, Diciembre.
• Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor, 2017. "Sharing R&D Risk in Healthcare via FDA Hedges," NBER Working Papers 23344, National Bureau of Economic Research, Inc.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2017. "Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows," NBER Working Papers 23474, National Bureau of Economic Research, Inc.
• George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020. "Mispriced index option portfolios," Financial Management, Financial Management Association International, vol. 49(2), pages 297-330, June.
  • George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2017. "Mispriced Index Option Portfolios," NBER Working Papers 23708, National Bureau of Economic Research, Inc.
• Geoffrey Heal, 2017. "Price Uncertainty and Price-Contingent Securities," NBER Working Papers 23723, National Bureau of Economic Research, Inc.
• William Gornall & Ilya A. Strebulaev, 2017. "Squaring Venture Capital Valuations with Reality," NBER Working Papers 23895, National Bureau of Economic Research, Inc.
• Abdinardo Moreira Barreto de Oliveira & Joséte Florencio dos Santos, 2017. "Previsões de razões ótimas de hedge para a manga exportada brasileira [Forecasting of optimal hedge ratios for the Brazilian exported mango]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 27(3), pages 671-703, September.
• Hom Nath Gaire, 2017. "Forecasting NEPSE Index: An ARIMA And GARCH Approach," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 29(1), pages 53-68, April.
• Mariya Paskaleva, 2017. "Risk Measurements-credit Default Swaps versus Capital Markets – Relationship, Dynamics and Forecast Ability," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 138-151, October.
• Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 1-25.
  • Xiao,Tim, 2015. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 1-25.
  • Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," arabixiv.org ez659, Center for Open Science.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," SocArXiv zr7hp, Center for Open Science.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," FrenXiv unz4k, Center for Open Science.
  • Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print hal-01812928, HAL.
• Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 1-25.
  • Xiao,Tim, 2015. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 1-25.
  • Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," FrenXiv unz4k, Center for Open Science.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," SocArXiv zr7hp, Center for Open Science.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," arabixiv.org ez659, Center for Open Science.
  • Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print hal-01812928, HAL.
• Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
  • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
  • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
• Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 1-25.
  • Xiao,Tim, 2015. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 1-25.
  • Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," SocArXiv zr7hp, Center for Open Science.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," arabixiv.org ez659, Center for Open Science.
  • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," FrenXiv unz4k, Center for Open Science.
  • Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print hal-01812928, HAL.
• Nishihara, Michi & Shibata, Takashi, 2018. "Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 118-137.
  • Michi Nishihara & Takashi Shibata, 2017. "Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders," Discussion Papers in Economics and Business 17-18, Osaka University, Graduate School of Economics.
• Nishihara, Michi & Shibata, Takashi, 2019. "Liquidation, fire sales, and acquirers’ private information," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  • Michi Nishihara & Takashi Shibata, 2018. "Liquidation, fire sales, and acquirers' private information," Discussion Papers in Economics and Business 18-25, Osaka University, Graduate School of Economics.
• Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu, 2017. "On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(1), pages 207-224.
• Valentina G. Bruno & Bahattin Büyükşahin & Michel A. Robe, 2017. "The Financialization of Food?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(1), pages 243-264.
  • Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe, 2013. "The Financialization of Food?," Staff Working Papers 13-39, Bank of Canada.
• Joseph P. Janzen & Michael K. Adjemian, 2017. "Estimating the Location of World Wheat Price Discovery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(5), pages 1188-1207.
  • Janzen, Joseph P. & Adjemian, Michael K., 2016. "Estimating the Location of World Wheat Price Discovery," 2017 Allied Social Sciences Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois 250112, Agricultural and Applied Economics Association.
• Liuren Wu & Jingyi Zhu, 2017. "Simple Robust Hedging with Nearby Contracts," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(1), pages 1-35.
• Gianni Amisano & Roberto Savona, 2017. "Mutual Funds Dynamics and Economic Predictors," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(2), pages 302-330.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 333-376.
  • René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 377-387.
  • Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
  • Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 418-426.
• Konstantinos Metaxoglou & Aaron Smith, 2017. "Forecasting Stock Returns Using Option-Implied State Prices," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 427-473.
• Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega, 2017. "Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(4), pages 602-648.
• Pablo Moran, 2017. "Information Revelation in Merger Waves," Review of Corporate Finance Studies, Oxford University Press, vol. 6(2), pages 174-233.
• Maria Grith & Wolfgang K. Härdle & Volker Krätschmer, 2017. "Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle," Review of Finance, European Finance Association, vol. 21(1), pages 269-298.
• Hanxue Yang & Juho Kanniainen, 2017. "Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets," Review of Finance, European Finance Association, vol. 21(2), pages 811-844.
• Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2017. "Commodity Markets, Long-Run Predictability, and Intertemporal Pricing," Review of Finance, European Finance Association, vol. 21(3), pages 1159-1188.
• Johan Walden, 2017. "Recovery with Unbounded Diffusion Processes," Review of Finance, European Finance Association, vol. 21(4), pages 1403-1444.
• Athina Georgopoulou & Jiaguo (George) Wang, 2017. "The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets," Review of Finance, European Finance Association, vol. 21(4), pages 1557-1592.
• Frank J. Fabozzi & Ahmet K. Karagozoglu & Na Wang, 2017. "Effects of Spot Market Short-Sale Constraints on Index Futures Trading," Review of Finance, European Finance Association, vol. 21(5), pages 1975-2005.

2016

• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
• Alexandru Badescu & Joan del Castillo & Juan-Pablo Ortega, 2016. "Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options," Annals of Economics and Statistics, GENES, issue 123-124, pages 271-306.
• Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2016. "Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees," American Economic Review, American Economic Association, vol. 106(6), pages 1278-1319, June.
  • Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers 1285, Society for Economic Dynamics.
  • Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," CEPR Discussion Papers 9023, C.E.P.R. Discussion Papers.
  • Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers 17149, National Bureau of Economic Research, Inc.
• Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.
  • Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2013. "The response of tail risk perceptions to unconventional monetary policy," BIS Working Papers 425, Bank for International Settlements.
• Christopher R. Knittel & Robert S. Pindyck, 2016. "The Simple Economics of Commodity Price Speculation," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 85-110, April.
  • Christopher R. Knittel & Robert S. Pindyck, 2013. "The Simple Economics of Commodity Price Speculation," NBER Working Papers 18951, National Bureau of Economic Research, Inc.
• Daniel J. Clarke, 2016. "A Theory of Rational Demand for Index Insurance," American Economic Journal: Microeconomics, American Economic Association, vol. 8(1), pages 283-306, February.
  • Daniel J. Clarke, 2011. "A Theory of Rational Demand for Index Insurance," Economics Series Working Papers 572, University of Oxford, Department of Economics.
• Jian Li & Jean-Paul Chavas & Xiaoli L. Etienne & Chongguang Li, 2017. "Commodity price bubbles and macroeconomics: evidence from the Chinese agricultural markets," Agricultural Economics, International Association of Agricultural Economists, vol. 48(6), pages 755-768, November.
  • Li, Jian & Chavas, Jean-Paul & Etienne, Xiaoli & Li, Chongguang, 2016. "Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235068, Agricultural and Applied Economics Association.
• Kishore Joseph & Philip Garcia, 2018. "Intraday market effects in electronic soybean futures market during non-trading and trading hour announcements," Applied Economics, Taylor & Francis Journals, vol. 50(11), pages 1188-1202, March.
  • Joseph, Kishore & Garcia, Philip, 2016. "Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235772, Agricultural and Applied Economics Association.
• Chen, Kuan-Ju & Chen, Kuan-Heng, 2016. "Analysis of Energy and Agricultural Commodity Markets with the Policy Mandated: A Vine Copula-based ARMA-EGARCH Model," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236028, Agricultural and Applied Economics Association.
• Joseph, Kishore & Garcia, Philip & Peterson, Paul E., 2016. "Does the Boxed Beef Price Inform the Live Cattle Futures Price?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236166, Agricultural and Applied Economics Association.
• Shah, Anand, 2016. "Pricing of Rainfall Insurance in India using Gaussian and t Copulas," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK 236288, Agricultural Economics Society.
• Joseph P. Janzen & Michael K. Adjemian, 2017. "Estimating the Location of World Wheat Price Discovery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(5), pages 1188-1207.
  • Janzen, Joseph P. & Adjemian, Michael K., 2016. "Estimating the Location of World Wheat Price Discovery," 2017 Allied Social Sciences Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois 250112, Agricultural and Applied Economics Association.
• Beatriz Martínez & Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," Working Papers 2016.06, Fondazione Eni Enrico Mattei.
  • Beatriz Martínez, Beatriz Martínez & Hipòlit Torró, Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," ESP: Energy Scenarios and Policy 232212, Fondazione Eni Enrico Mattei (FEEM).
• Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
  • Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
• Ferreira Frascaroli, Bruno & Soares de Araújo Carvalho, Patrícia, 2016. "Transmissão De Preços No Mercado De Bioetanol Entre Alagoas E Pernambuco: Uma Análise De Cointegração," Revista de Economia e Agronegócio / Brazilian Review of Economics and Agribusiness, Federal University of Vicosa, Department of Agricultural Economics, vol. 14(1-2-3), pages 1-34.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series 374, Quantitative Finance Research Centre, University of Technology, Sydney.
  • Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Papers 1608.04683, arXiv.org, revised Mar 2018.
• Guo, Kevin & Leung, Tim, 2017. "Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 32-49.
  • Kevin Guo & Tim Leung, 2016. "Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options," Papers 1610.09403, arXiv.org, revised Apr 2017.
• Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series 379, Quantitative Finance Research Centre, University of Technology, Sydney.
  • Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
• Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016. "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, vol. 145(C), pages 225-229.
  • Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi, 2016. "Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion," Papers 1612.01979, arXiv.org.
• Vitaliy Semenyuk, 2016. "Pragmatics Of Using A Modified Capm Model For Estimating Cost Of Equity On Emerging Markets," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 2(2).
• Bo Young Chang & Greg Orosi, 2016. "Equity Option-Implied Probability of Default and Equity Recovery Rate," Staff Working Papers 16-58, Bank of Canada.
• Jean-Sébastien Fontaine, 2016. "What Fed Funds Futures Tell Us About Monetary Policy Uncertainty," Staff Working Papers 16-61, Bank of Canada.
• Abdulkadir KAYA, 2016. "The Feature of Being Leading Indicator of Futures and Spot Markets That Based on Share Market: Evidence From Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 10(1), pages 35-64.
• Ozge KORKMAZ & Deniz ERER & Elif ERER, 2016. "Do the Bubbles in Alternative Financial Instruments Affect the Turkish Stock Market? An Application to BIST100," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 10(2), pages 29-61.
• Ricardo Gimeno & Eva Ortega, 2016. "The evolution of inflation expectations in euro area markets," Working Papers 1627, Banco de España.
• Onofrio Panzarino & Francesco Potente & Alfonso Puorro, 2016. "BTP futures and cash relationships: a high frequency data analysis," Temi di discussione (Economic working papers) 1083, Bank of Italy, Economic Research and International Relations Area.
• Benavides Guillermo, 2016. "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Working Papers 2016-11, Banco de México.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  • Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2018. "Risk Premia and Seasonality in Commodity Futures," EMF Research Papers 18, Economic Modelling and Forecasting Group.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers 11169, C.E.P.R. Discussion Papers.
• Baranova, Yuliya & Liu, Zijun & Noss, Joseph, 2016. "The role of collateral in supporting liquidity," Bank of England working papers 609, Bank of England.
• Benford, James & Joy, Mark & Kruger, Mark, 2016. "Sovereign GDP-linked bonds," Bank of England Financial Stability Papers 39, Bank of England.
• Sun-Joong Yoon & Chang Gyun Park, 2016. "Non-Recourse Mortgage Loans and Implied Option Prices (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(1), pages 63-92, March.
• Härdle Wolfgang Karl & Silyakova Elena, 2016. "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 1-20, September.
• Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
  • Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
  • Michael Hasler & Roberto Marfè, 2016. "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks 458, Collegio Carlo Alberto.
• Carvalho, Augusto & Guimaraes, Bernardo, 2018. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Journal of Public Economics, Elsevier, vol. 159(C), pages 66-78.
  • Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão 435, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  • Carvalho, Augusto & Guimaraes, Bernardo, 2017. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," LSE Research Online Documents on Economics 86172, London School of Economics and Political Science, LSE Library.
  • Augusto Carvalho & Bernardo Guimaraes, 2016. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers 1702, Centre for Macroeconomics (CFM).
• Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
• Giovanni Barone-Adesi & Chiara Legnazzi & Antonietta Mira, 2016. "A Bayesian Estimate of the Pricing Kernel," Swiss Finance Institute Research Paper Series 16-14, Swiss Finance Institute.
• Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  • Markus Leippold & Steven Schaerer, 2016. "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series 16-15, Swiss Finance Institute.
• Damir Filipović & Martin Larsson & Anders B. Trolle, 2016. "On the Relation between Linearity-Generating Processes and Linear-Rational Models," Swiss Finance Institute Research Paper Series 16-23, Swiss Finance Institute.
• Damien Ackerer & Damir Filipović, 2016. "Linear Credit Risk Models," Swiss Finance Institute Research Paper Series 16-34, Swiss Finance Institute, revised Jun 2016.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series 16-35, Swiss Finance Institute, revised Jun 2016.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 377-387.
  • Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
  • Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
• Damir Filipovic & Yerkin Kitapbayev, 2016. "On the American Swaption in the Linear-Rational Framework," Swiss Finance Institute Research Paper Series 16-44, Swiss Finance Institute.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016. "WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application," Swiss Finance Institute Research Paper Series 16-53, Swiss Finance Institute.
• Damien Ackerer & Thibault Vatter, 2016. "Dependent Defaults and Losses with Factor Copula Models," Swiss Finance Institute Research Paper Series 16-59, Swiss Finance Institute.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016. "S&P 500 Index, an Option Implied Risk Analysis," Swiss Finance Institute Research Paper Series 16-62, Swiss Finance Institute.
• Yan Dolinsky & Halil Mete Soner, 2016. "Convex Duality with Transaction Costs," Swiss Finance Institute Research Paper Series 16-71, Swiss Finance Institute.
• Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 333-376.
  • René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
• Ben Abdallah, Skander & Lasserre, Pierre, 2016. "Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 144-164.
  • Skander Ben Abdallah & Pierre Lasserre, 2016. "Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry," CIRANO Working Papers 2016s-37, CIRANO.
• GastoÌ n Silverio Milanesi, 2016. "ValuacioÌ n de opciones simples y complejas contenidas en arrendamientos financieros," Estudios Gerenciales, Universidad Icesi, vol. 32(138), pages 25-34, February.
• Alonso Cifuentes, Julio César & Arcila Vásquez, Andrés Mauricio & Montenegro Arana, Sebastián, 2016. "Herramientas de estabilización de los precios internos del azúcar en Colombia: ¿Funcionan?," Revista Lecturas de Economía, Universidad de Antioquia - CIE, issue 86, pages 105-126, December.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1132-1183.
  • Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," NBER Working Papers 22096, National Bureau of Economic Research, Inc.
  • Chernov, Mikhail & Dunn, Brett R. & Longstaff, Francis, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers 10947, C.E.P.R. Discussion Papers.
• Chan, Stephanie & van Wijnbergen, Sweder, 2016. "CoCo Design, Risk Shifting and Financial Fragility," CEPR Discussion Papers 11099, C.E.P.R. Discussion Papers.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  • Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers 11169, C.E.P.R. Discussion Papers.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2018. "Risk Premia and Seasonality in Commodity Futures," EMF Research Papers 18, Economic Modelling and Forecasting Group.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
  • Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
  • David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
• Miller, Marcus & Rastapana, Songklod & Zhang, Lei, 2016. "A comedy of errors: misguided policy, mis-sold mortgages, and more," CEPR Discussion Papers 11533, C.E.P.R. Discussion Papers.
• Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020. "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, vol. 75(5), pages 2809-2844, October.
  • Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
  • Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016. "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers 11576, C.E.P.R. Discussion Papers.
• Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019. "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 203-215.
  • Martin T. Bohl & Christian Gross & Waldemar Souza, 2016. "The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets," CQE Working Papers 5116, Center for Quantitative Economics (CQE), University of Muenster.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016. "Coherent Pricing," INDEM - Working Paper Business Economic Series 22932, Instituto para el Desarrollo Empresarial (INDEM).
• Balbás, Alejandro & Garrido, José & Okhrati, Ramin, 2016. "Good deal measurement in asset pricing: Actuarial and financial implications," INDEM - Working Paper Business Economic Series 23546, Instituto para el Desarrollo Empresarial (INDEM).
• Ashton, Robert H., 2016. "The Value of Expert Opinion in the Pricing of Bordeaux Wine Futures," Journal of Wine Economics, Cambridge University Press, vol. 11(2), pages 261-288, August.
• Ruxing Xu & Dan Wu & Ronghua Yi, 2016. "Pricing Cdss And Cds Options Under A Regime-Switching Cev Process With Jump To Default," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 253-271.
• Xinyu WU & Hailin ZHOU, 2016. "GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 327-342.
• Kyoung-Sook Moon & Yunju Jeong & Hongjoong Kim, 2016. "An Efficient Binomial Method for Pricing Asian Options," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 151-164.
• Atanu DAS, 2016. "Higher Order Adaptive Kalman Filter For Time Varying Alpha And Cross Market Beta Estimation In Indian Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 211-228.
• Иван Иванов, 2016. "Алтернативни Инвестиции В Зелена Енергия," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, vol. 11(11 Year 2), pages 705-714.
• Стефан Симеонов, 2016. "Измерители На Борсовата Активност – Изследване На Индикаторите И Анализ На Пазарния Тренд," "Economic World" Library, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 131 Year , pages 3-228.
• Daniël Vullings, 2016. "Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem," DNB Working Papers 517, Netherlands Central Bank, Research Department.
• Vergote, Olivier, 2016. "Credit risk spillover between financials and sovereigns in the euro area during 2007-2015," Working Paper Series 1898, European Central Bank.
• Huang, Jing-Zhi & Shi, Zhan, 2016. "Hedging Interest Rate Risk Using a Structural Model of Credit Risk," Working Paper Series 2016-04, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016. "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series 2016-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Chen, Zhiyao & Strebulaev, Ilya A., 2016. "Bargaining Power, Business Cycle and Levered Equity Risk," Research Papers 3466, Stanford University, Graduate School of Business.
• Nessrine Hamzaoui & Boutheina Regaieg, 2016. "The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1608-1615.
• Woradee Jongadsayakul, 2016. "A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1744-1749.
• Wajih Abbasi & Petr Hájek & Diana Ismailova & Saira Yessimzhanova & Zouhaier Ben Khelifa & Kholnazar Amonov, 2016. "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1918-1929.
• Tanattrin Bunnag, 2016. "Volatility Transmission in Crude Oil, Gold, Standard and Poor’s 500 and US Dollar Index Futures using Vector Autoregressive Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model," International Journal of Energy Economics and Policy, Econjournals, vol. 6(1), pages 39-52.
• Ching-Chun Wei & Shu-Min Chen, 2016. "Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US," International Journal of Energy Economics and Policy, Econjournals, vol. 6(1), pages 58-64.
• Ching-Chun Wei & Ya-Ling Lin, 2016. "Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S," International Journal of Energy Economics and Policy, Econjournals, vol. 6(4), pages 655-662.
• Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016. "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, vol. 48(2), pages 134-150.
• Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016. "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, vol. 48(4), pages 431-447.
• Sun, Lei & Widdicks, Martin, 2016. "Why do employees like to be paid with Options?: A multi-period prospect theory approach," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 106-125.
• Dai, Min & Tang, Ling & Yue, Xingye, 2016. "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 66-81.
• Glover, Kristoffer J. & Hambusch, Gerhard, 2016. "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 1-21.
• Ben Abdallah, Skander & Lasserre, Pierre, 2016. "Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 144-164.
  • Skander Ben Abdallah & Pierre Lasserre, 2016. "Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry," CIRANO Working Papers 2016s-37, CIRANO.
• He, Xin-Jiang & Zhu, Song-Ping, 2016. "An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 77-85.
• Soumaré, Issouf & Lai, Van Son, 2016. "An analysis of government loan guarantees and direct investment through public-private partnerships," Economic Modelling, Elsevier, vol. 59(C), pages 508-519.
• Chen, Chen & Lee, Hsiu-Chuan & Liao, Tzu-Hsiang, 2016. "Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 203-225.
• Gogolin, Fabian & Kearney, Fearghal, 2016. "Does speculation impact what factors determine oil futures prices?," Economics Letters, Elsevier, vol. 144(C), pages 119-122.
• Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016. "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, vol. 145(C), pages 225-229.
  • Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi, 2016. "Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion," Papers 1612.01979, arXiv.org.
• Jang, Woon Wook & Eom, Young Ho & Kang, Yong Joo, 2016. "Corporate bond pricing model with stochastically volatile firm value process," Economics Letters, Elsevier, vol. 148(C), pages 41-44.
• Ghoddusi, Hamed & Fahim, Arash, 2016. "Volatility can be detrimental to option values!," Economics Letters, Elsevier, vol. 149(C), pages 5-9.
• Song, Zhaogang & Xiu, Dacheng, 2016. "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, vol. 190(1), pages 176-196.
  • Zhaogang Song & Dacheng Xiu, 2014. "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk," Finance and Economics Discussion Series 2014-58, Board of Governors of the Federal Reserve System (U.S.).
• Park, Yang-Ho, 2016. "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, vol. 192(1), pages 313-328.
• Wang, Xiaohu & Yu, Jun, 2016. "Double asymptotics for explosive continuous time models," Journal of Econometrics, Elsevier, vol. 193(1), pages 35-53.
  • Xiaohu Wang & Jun Yu, 2011. "Double Asymptotics for an Explosive Continuous Time Model," Working Papers 16-2011, Singapore Management University, School of Economics.
  • Xiaohu Wang & Jun Yu, 2012. "Double Asymptotics for Explosive Continuous Time Models," Working Papers 16-2012, Singapore Management University, School of Economics.
• Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016. "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 43-67.
• Tu, Anthony H. & Hsieh, Wen-Liang G. & Wu, Wei-Shao, 2016. "Market uncertainty, expected volatility and the mispricing of S&P 500 index futures," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 78-98.
• Agliardi, Elettra & Amel-Zadeh, Amir & Koussis, Nicos, 2016. "Leverage changes and growth options in mergers and acquisitions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 37-58.
• Kim, Myeong Jun & Park, Sung Y., 2016. "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 139-156.
• Teterin, Pavel & Brooks, Robert & Enders, Walter, 2016. "Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 22-36.
• Figuerola-Ferretti, Isabel & McCrorie, J. Roderick, 2016. "The shine of precious metals around the global financial crisis," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 717-738.
• Baum, Christopher F. & Zerilli, Paola, 2016. "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Energy Economics, Elsevier, vol. 53(C), pages 175-181.
  • Christopher F Baum & Paola Zerilli, 2014. "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Boston College Working Papers in Economics 860, Boston College Department of Economics.
• Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2016. "Modelling futures price volatility in energy markets: Is there a role for financial speculation?," Energy Economics, Elsevier, vol. 53(C), pages 220-229.
• Almansour, Abdullah, 2016. "Convenience yield in commodity price modeling: A regime switching approach," Energy Economics, Elsevier, vol. 53(C), pages 238-247.
• Xu, Li & Deng, Shi-Jie & Thomas, Valerie M., 2016. "Carbon emission permit price volatility reduction through financial options," Energy Economics, Elsevier, vol. 53(C), pages 248-260.
• Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang, 2016. "An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments," Energy Economics, Elsevier, vol. 54(C), pages 213-223.
• Benedetto, F. & Giunta, G. & Mastroeni, L., 2016. "On the predictability of energy commodity markets by an entropy-based computational method," Energy Economics, Elsevier, vol. 54(C), pages 302-312.
• Kang, Sang Baum & Létourneau, Pascal, 2016. "Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk," Energy Economics, Elsevier, vol. 54(C), pages 96-107.
• Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016. "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, vol. 56(C), pages 215-228.
• Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
• Berger, Theo & Uddin, Gazi Salah, 2016. "On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes," Energy Economics, Elsevier, vol. 56(C), pages 374-383.
• Ergen, Ibrahim & Rizvanoghlu, Islam, 2016. "Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach," Energy Economics, Elsevier, vol. 56(C), pages 64-74.
• Fiuza de Bragança, Gabriel Godofredo & Daglish, Toby, 2016. "Can market power in the electricity spot market translate into market power in the hedge market?," Energy Economics, Elsevier, vol. 58(C), pages 11-26.
• Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, vol. 59(C), pages 11-23.
  • Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2015. "How is Volatility in Commodity Markets Linked to Oil Price Shocks?," Working Papers 2015.101, Fondazione Eni Enrico Mattei.
  • Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is Volatility in Commodity Markets Linked to Oil Price Shocks?," Energy: Resources and Markets 230684, Fondazione Eni Enrico Mattei (FEEM).
• Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
• Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016. "Parametric model risk and power plant valuation," Energy Economics, Elsevier, vol. 59(C), pages 423-434.
• Guedes, José & Santos, Pedro, 2016. "Valuing an offshore oil exploration and production project through real options analysis," Energy Economics, Elsevier, vol. 60(C), pages 377-386.
• Peña, Juan Ignacio & Rodriguez, Rosa, 2016. "Time-zero efficiency of European power derivatives markets," Energy Policy, Elsevier, vol. 95(C), pages 253-268.
• Misund, Bård & Oglend, Atle, 2016. "Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach," Energy, Elsevier, vol. 111(C), pages 178-189.
  • Misund, Bård & Oglend, Atle, 2015. "Supply and Demand Determinants of Natural Gas Price Volatility in the U.K.: A Vector Autoregression Approach," UiS Working Papers in Economics and Finance 2015/10, University of Stavanger.
• Jin, Xing & Yang, Cheng-Yu, 2016. "Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 65-77.
• Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
• Cummins, Mark & Dowling, Michael & Kearney, Fearghal, 2016. "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 211-218.
  • Mark Cummins & Michael Dowling & Fearghal Kearney, 2016. "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," Post-Print hal-01387596, HAL.
• Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2016. "Is idiosyncratic volatility priced in commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 219-226.
• Olkhov, Victor, 2016. "On Economic Space notion," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 372-381.
• Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016. "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 182-192.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2016. "Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy," Finance Research Letters, Elsevier, vol. 16(C), pages 208-219.
• Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016. "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, vol. 16(C), pages 220-229.
• Buchner, Axel & Wagner, Niklas, 2016. "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, vol. 16(C), pages 283-289.
• Madan, Dilip B. & Wang, King, 2016. "Nonrandom price movements," Finance Research Letters, Elsevier, vol. 17(C), pages 103-109.
• Han, Heejae & Jeon, Junkee & Kang, Myungjoo, 2016. "Closed form valuation of American chained knock-in options," Finance Research Letters, Elsevier, vol. 17(C), pages 176-185.
• Luo, Xingguo & Qin, Shihua & Ye, Zinan, 2016. "The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market," Finance Research Letters, Elsevier, vol. 19(C), pages 105-111.
• Liu, Yanchu & Cui, Zhenyu & Zhang, Ning, 2016. "Integral representation of vega for American put options," Finance Research Letters, Elsevier, vol. 19(C), pages 204-208.
• Christopoulos, Andreas D. & Barratt, Joshua G., 2016. "Credit risk findings for commercial real estate loans using the reduced form," Finance Research Letters, Elsevier, vol. 19(C), pages 228-234.
• Feng, Yun & Huang, Bing-hua & Huang, Yu, 2016. "Valuing resettable convertible bonds: Based on path decomposing," Finance Research Letters, Elsevier, vol. 19(C), pages 279-290.
• Wang, Xingchun, 2016. "Pricing vulnerable options with stochastic default barriers," Finance Research Letters, Elsevier, vol. 19(C), pages 305-313.
• Xiao, Shuang & Ma, Shihua, 2016. "Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani," Finance Research Letters, Elsevier, vol. 19(C), pages 67-74.
• Wang, Xingchun, 2016. "Pricing power exchange options with correlated jump risk," Finance Research Letters, Elsevier, vol. 19(C), pages 90-97.
• Lasser, Dennis J. & Spizman, Joshua D., 2016. "The value of the wildcard option in cash-settled American index options," Journal of Financial Markets, Elsevier, vol. 28(C), pages 116-131.
• Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016. "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, vol. 30(C), pages 103-124.
• Abudy, Menachem Meni & Raviv, Alon, 2016. "How much can illiquidity affect corporate debt yield spread?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 58-69.
• Eichler, Stefan & Sobański, Karol, 2016. "National politics and bank default risk in the eurozone," Journal of Financial Stability, Elsevier, vol. 26(C), pages 247-256.
• van Eijkel, Remco & Kuper, Gerard H. & Moraga-González, José L., 2016. "Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas," International Journal of Industrial Organization, Elsevier, vol. 49(C), pages 1-35.
  • van Eijkel, Remco & Moraga-González, Jose L., 2010. "Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas," IESE Research Papers D/864, IESE Business School.
  • Remco van Eijkel & José Luis Moraga Gonzalez, 2010. "Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas," CESifo Working Paper Series 3270, CESifo.
• Cui, Zhenyu & Nguyen, Duy, 2016. "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 150-161.
• Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.
• Wang, Ting & Young, Virginia R., 2016. "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 238-255.
• Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.
• Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016. "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 59-69.
• Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan, 2016. "Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 286-300.
• Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
• Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
• Wang, Xingchun, 2016. "Catastrophe equity put options with target variance," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 79-86.
• Philip, Dennis & Shi, Yukun, 2016. "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 1-15.
• Tanha, Hassan & Dempsey, Michael, 2016. "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 44-57.
• Realdon, Marco, 2016. "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 128-147.
• Laminou Abdou, Souleymane & Moraux, Franck, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 112-125.
  • Souleymane Laminou Abdou & Franck Moraux, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Post-Print halshs-01242610, HAL.
• Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
  • Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
• Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
• Huang, Henry H. & Wang, Kent & Wang, Zhanglong, 2016. "A test of efficiency for the S&P 500 index option market using the generalized spectrum method," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 52-70.
• Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
• Kokholm, Thomas, 2016. "Pricing and hedging of derivatives in contagious markets," Journal of Banking & Finance, Elsevier, vol. 66(C), pages 19-34.
• Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus, 2016. "Seasonal Stochastic Volatility: Implications for the pricing of commodity options," Journal of Banking & Finance, Elsevier, vol. 66(C), pages 53-65.
  • Janis Back & Marcel Prokopczuk & Markus Rudolf, 2011. "Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2011-16, Henley Business School, University of Reading.
• Schertler, Andrea, 2016. "Pricing effects when competitors arrive: The case of discount certificates in Germany," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 84-99.
• Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin, 2016. "Jump and variance risk premia in the S&P 500," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 72-83.
• Eaves, James & Williams, Jeffrey & Power, Gabriel J., 2016. "Do traders strategically time their pledges during real-world Walrasian auctions?," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 109-118.
• Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
• Baller, Stefanie & Entrop, Oliver & McKenzie, Michael & Wilkens, Marco, 2016. "Market makers’ optimal price-setting policy for exchange-traded certificates," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 206-226.
• Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
• Kim, Gi H., 2016. "Credit derivatives as a commitment device: Evidence from the cost of corporate debt," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 67-83.
• Noussair, Charles N. & Tucker, Steven & Xu, Yilong, 2016. "Futures markets, cognitive ability, and mispricing in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 166-179.
• Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, vol. 86(C), pages 16-32.
• Abudy, Menachem (Meni) & Benninga, Simon, 2016. "Valuing restricted stock grants to non-executive employees," Journal of Economics and Business, Elsevier, vol. 86(C), pages 33-51.
• DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
• Chambers, Christopher P. & Liu, Ce & Martinez, Seung-Keun, 2016. "A test for risk-averse expected utility," Journal of Economic Theory, Elsevier, vol. 163(C), pages 775-785.
  • Liu, Ce & Chambers, Christopher & Martinez, Seung-Keun, 2016. "A Test for Risk-Averse Expected Utility," Working Papers 2016-1, Michigan State University, Department of Economics.
• Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
• González-Urteaga, Ana & Rubio, Gonzalo, 2016. "The cross-sectional variation of volatility risk premia," Journal of Financial Economics, Elsevier, vol. 119(2), pages 353-370.
• Birru, Justin & Wang, Baolian, 2016. "Nominal price illusion," Journal of Financial Economics, Elsevier, vol. 119(3), pages 578-598.
• Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
• Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
• Ge, Li & Lin, Tse-Chun & Pearson, Neil D., 2016. "Why does the option to stock volume ratio predict stock returns?," Journal of Financial Economics, Elsevier, vol. 120(3), pages 601-622.
• Feldhütter, Peter & Hotchkiss, Edith & Karakaş, Oğuzhan, 2016. "The value of creditor control in corporate bonds," Journal of Financial Economics, Elsevier, vol. 121(1), pages 1-27.
• Bessembinder, Hendrik & Carrion, Allen & Tuttle, Laura & Venkataraman, Kumar, 2016. "Liquidity, resiliency and market quality around predictable trades: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 121(1), pages 142-166.
• Barras, Laurent & Malkhozov, Aytek, 2016. "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, vol. 121(1), pages 79-92.
• Choi, Jaewon & Richardson, Matthew, 2016. "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, vol. 121(2), pages 254-277.
• Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016. "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, vol. 121(2), pages 278-299.
  • Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015. "Early Option Exercise: Never Say Never," CEPR Discussion Papers 11019, C.E.P.R. Discussion Papers.
• Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
  • Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
  • Michael Hasler & Roberto Marfè, 2016. "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks 458, Collegio Carlo Alberto.
• Byun, Suk-Joon & Kim, Da-Hea, 2016. "Gambling preference and individual equity option returns," Journal of Financial Economics, Elsevier, vol. 122(1), pages 155-174.
• Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
• Taylor, Nick, 2016. "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 14-34.
• Miffre, Joëlle, 2016. "Long-short commodity investing: A review of the literature," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 3-13.
• Asche, Frank & Misund, Bård & Oglend, Atle, 2016. "Determinants of the Atlantic salmon futures risk premium," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 6-17.
• Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
• Chaves, Denis B. & Viswanathan, Vivek, 2016. "Momentum and mean-reversion in commodity spot and futures markets," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 39-53.
• Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.
• Takino, Kazuhiro, 2016. "An equilibrium model for the OTC derivatives market with a collateral agreement," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 41-55.
• Bahloul, Walid & Bouri, Abdelfettah, 2016. "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 89-102.
• Gil-Alana, Luis A. & Gupta, Rangan & de Gracia, Fernando Perez, 2016. "Modeling persistence of carbon emission allowance prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 55(C), pages 221-226.
  • Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta, 2015. "Modeling Persistence of Carbon Emission Allowance Prices," Working Papers 201515, University of Pretoria, Department of Economics.
• Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.
• Reboredo, Juan C. & Uddin, Gazi Salah, 2016. "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 284-298.
• Lu, Jin-Ray & Hwang, Chih-Chiang & Lin, Chien-Yi, 2016. "Do shareholders appreciate capital investment policies of corporations?," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 344-353.
• Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2016. "The importance of stock liquidity on option pricing," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 457-467.
• Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh, 2016. "Systematic risk and volatility skew," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 72-87.
• Lin, Yueh-Neng & Lin, Anchor Y., 2016. "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 88-106.
• Población, Javier & Serna, Gregorio, 2016. "Is the refining margin stationary?," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 169-186.
• Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing, 2016. "Swiss franc's one-sided target zone during 2011–2015," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 54-67.
• Shang, Hua & Yuan, Ping & Huang, Lin, 2016. "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 316-332.
• Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
• Buchner, Axel, 2016. "How much can lack of marketability affect private equity fund values?," Review of Financial Economics, Elsevier, vol. 28(C), pages 35-45.
• Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016. "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 1-16.
• Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
• Martin, Ian & Wagner, Christian, 2016. "What is the expected return on a stock?," LSE Research Online Documents on Economics 118957, London School of Economics and Political Science, LSE Library.
• Oehmke, Martin & Zawadowski, Adam, 2016. "The anatomy of the CDS market," LSE Research Online Documents on Economics 118964, London School of Economics and Political Science, LSE Library.
• Dassios, Angelos & Zhang, You You, 2016. "The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing," LSE Research Online Documents on Economics 64959, London School of Economics and Political Science, LSE Library.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Applying exogenous variables and regime switching to multi-factor models on equity indices," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 47.
  • Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices," Working Papers 2016-10, Faculty of Economic Sciences, University of Warsaw.
• Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2016. "Dynamic Factor Models for the Volatility Surface☆," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 127-174, Emerald Group Publishing Limited.
• Kushankur Dey & Debasish Maitra, 2016. "Can futures markets accommodate Indian farmers?," Journal of Agribusiness in Developing and Emerging Economies, Emerald Group Publishing Limited, vol. 6(2), pages 150-172, November.
• Kushankur Dey & Debasish Maitra, 2016. "Can futures markets accommodate Indian farmers?," Journal of Agribusiness in Developing and Emerging Economies, Emerald Group Publishing, vol. 6(2), pages 150-172, November.
• Narain & Narander Kumar Nigam & Piyush Pandey, 2016. "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 13(3), pages 271-291, November.
• Narain & Narander Kumar Nigam & Piyush Pandey, 2016. "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 13(3), pages 271-291, November.
• Timo Korkeamäki & Eva Liljeblom & Markus Pfister, 2016. "Airline fuel hedging and management ownership," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 17(5), pages 492-509, November.
• Paulo Pereira da Silva, 2016. "Earnings surprises and the response of CDS markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 33(3), pages 377-402, August.
• Paulo Pereira da Silva, 2016. "Earnings surprises and the response of CDS markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 33(3), pages 377-402, August.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE 2016-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers EI2016-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers 16-046/III, Tinbergen Institute.
  • Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016. "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE 2016-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019. "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, vol. 12(8), pages 1-24, April.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers 16-053/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," IJFS, MDPI, vol. 6(1), pages 1-24, December.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Jian Chen & Chenghu Ma, 2016. "Option Pricing Based on Alternative Jump Size Distributions," Frontiers of Economics in China, IAR, Shanghai University of Finance and Economics, vol. 11(3), pages 439-467, September.
• Beatriz Martínez, Beatriz Martínez & Hipòlit Torró, Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," ESP: Energy Scenarios and Policy 232212, Fondazione Eni Enrico Mattei (FEEM).
  • Beatriz Martínez & Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," Working Papers 2016.06, Fondazione Eni Enrico Mattei.
• Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
  • Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  • Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
• Carvalho, Augusto & Guimaraes, Bernardo, 2018. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Journal of Public Economics, Elsevier, vol. 159(C), pages 66-78.
  • Augusto Carvalho & Bernardo Guimaraes, 2016. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers 1702, Centre for Macroeconomics (CFM).
  • Carvalho, Augusto & Guimaraes, Bernardo, 2017. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," LSE Research Online Documents on Economics 86172, London School of Economics and Political Science, LSE Library.
  • Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão 435, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series 2016-087, Board of Governors of the Federal Reserve System (U.S.).
• Nick Gebbia, 2016. "Option-Implied Libor Rate Expectations across Currencies," International Finance Discussion Papers 1182, Board of Governors of the Federal Reserve System (U.S.).
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
  • David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
  • Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
• Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
• Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  • Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
• Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
  • Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2016. "Valuing American options using fast recursive projections," Working Papers unige:82087, University of Geneva, Geneva School of Economics and Management.
  • Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2015. "Valuing American options using fast recursive projections," DEM Discussion Paper Series 15-20, Department of Economics at the University of Luxembourg.
  • Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012. "Valuing American options using fast recursive projections," Working Papers unige:41856, University of Geneva, Geneva School of Economics and Management.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 377-387.
  • Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
  • Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 203-230, Springer.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Documents de travail du Centre d'Economie de la Sorbonne 16027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01397606, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01314609, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01314609, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," PSE-Ecole d'économie de Paris (Postprint) halshs-01397606, HAL.
• Cummins, Mark & Dowling, Michael & Kearney, Fearghal, 2016. "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 211-218.
  • Mark Cummins & Michael Dowling & Fearghal Kearney, 2016. "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," Post-Print hal-01387596, HAL.
• Edouard Jaeck & Delphine Lautier, 2016. "Volatility in electricity derivative markets: the Samuelson effect revisited," Post-Print hal-01488127, HAL.
• Laminou Abdou, Souleymane & Moraux, Franck, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 112-125.
  • Souleymane Laminou Abdou & Franck Moraux, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Post-Print halshs-01242610, HAL.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 203-230, Springer.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01314609, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01397606, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01314609, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Documents de travail du Centre d'Economie de la Sorbonne 16027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," PSE-Ecole d'économie de Paris (Postprint) halshs-01397606, HAL.
• Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
  • Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016. "Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors," Working Papers hal-01282601, HAL.
• Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  • Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  • Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  • Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
  • Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
• Herbertsson, Alexander & Frey, Rüdiger, 2016. "Cds Index Options Under Incomplete Information," Working Papers in Economics 685, University of Gothenburg, Department of Economics.
• Anna Grodecka‐Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(4), pages 1600-1654, November.
  • Anna Grodecka-Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics, Canadian Economics Association, vol. 52(4), pages 1600-1654, November.
  • Grodecka, Anna, 2013. "Subprime borrowers, securitization and the transmission of business cycles," Bonn Econ Discussion Papers 07/2013, University of Bonn, Bonn Graduate School of Economics (BGSE).
  • Grodecka, Anna, 2016. "Subprime Borrowers, Securitization and the Transmission of Business Cycles," Working Paper Series 317, Sveriges Riksbank (Central Bank of Sweden).
  • Grodecka, Anna, 2014. "Subprime borrowers, securitization and the transmission of business cycles," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100456, Verein für Socialpolitik / German Economic Association.
• Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau, 2016. "Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets," Working Papers 072016, Hong Kong Institute for Monetary Research.
• Chi-Fai Lo & Cho-Hoi Hui, 2016. "Pricing Corporate Bonds With Interest Rates Following Double Square-root Process," Working Papers 112016, Hong Kong Institute for Monetary Research.
• Cho-Hoi Hui & Edward Tan, 2016. "Dynamic interactions between government bonds and exchange rate expectations in currency options," Working Papers 182016, Hong Kong Institute for Monetary Research.
• Maria Grith & Wolfgang K. Härdle & Alois Kneip & Heiko Wagner, 2016. "Functional Principal Component Analysis for Derivatives of Multivariate Curves," SFB 649 Discussion Papers SFB649DP2016-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• David Nickerson, 2016. "Asset Price Volatility And Efficient Discrimination In Credit Market Equilibrium," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 10(4), pages 91-101.
• Eduardo Sandoval & Macarena Soto, 2016. "Integrated Markets Of Latin American: A Cointegration Analysis, Mercado Integrado Latinoamericano: Un Analisis De Cointegracion," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 9(2), pages 1-17.
• Covindassamy, Genevre & Robe, Michel A. & Wallen, Jonathan, 2018. "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers) 8588, Inter-American Development Bank.
• Guillermo Benavides Perales, 2016. "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 11(1), pages 55-77, Enero-Jun.
• Mengzhe Zhang & Leunglung Chan, 2016. "Saddlepoint approximations to option price in a regime-switching model," Annals of Finance, Springer, vol. 12(1), pages 55-69, February.
• Dilip B. Madan, 2016. "Risk premia in option markets," Annals of Finance, Springer, vol. 12(1), pages 71-94, February.
• Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016. "Relative asset price bubbles," Annals of Finance, Springer, vol. 12(2), pages 135-160, May.
• Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
• Ryoichi Ikeda & Yoske Igarashi, 2016. "Credit risk analysis with creditor’s option to extend maturities," Annals of Finance, Springer, vol. 12(3), pages 275-304, December.
• Dilip B. Madan, 2016. "Adapted hedging," Annals of Finance, Springer, vol. 12(3), pages 305-334, December.
• Katsushi Nakajima & Kazuhiko Ohashi, 2016. "Commodity Spread Option with Cointegration," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 1-44, March.
• Taiga Saito, 2016. "Pricing Foreign Exchange Options Under Intervention by Absorption Modeling," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 85-106, March.
• Danny Cassimon & Peter-Jan Engelen & Luc Liedekerke, 2016. "When do Firms Invest in Corporate Social Responsibility? A Real Option Framework," Journal of Business Ethics, Springer, vol. 137(1), pages 15-29, August.
  • D. Cassimon & P.J. Engelen & L. Liedekerke, 2014. "When Do Firms Invest in Corporate Social Responsibility?: A Real Option Framework," Working Papers 14-06, Utrecht School of Economics.
  • Cassimon, Danny & Engelen, Peter-Jan & Van Liedekerke, Luc, 2014. "When do firms invest in corporate social responsibility? A real option framework," IOB Working Papers 2014.06, Universiteit Antwerpen, Institute of Development Policy (IOB).
• Peter Miu & Bogie Ozdemir & Evren Cubukgil & Michael Giesinger, 2016. "Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(2), pages 243-273, October.
• Iftekhar Hasan & Liuling Liu & Gaiyan Zhang, 2016. "The Determinants of Global Bank Credit-Default-Swap Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 275-309, December.
• Jiro Yoshida & Miki Seko & Kazuto Sumita, 2016. "The Rent Term Premium for Cancellable Leases," The Journal of Real Estate Finance and Economics, Springer, vol. 52(4), pages 480-511, May.
• Robert H. Edelstein & Peng Liu, 2016. "The Economics of Commercial Real Estate Preleasing," The Journal of Real Estate Finance and Economics, Springer, vol. 53(2), pages 200-217, August.
• Lie-Jane Kao, 2016. "Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options," Review of Derivatives Research, Springer, vol. 19(1), pages 41-64, April.
• Jacinto Marabel Romo, 2016. "Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?," Review of Derivatives Research, Springer, vol. 19(1), pages 65-83, April.
• Marcos Escobar & Daniel Krause & Rudi Zagst, 2016. "Stochastic covariance and dimension reduction in the pricing of basket options," Review of Derivatives Research, Springer, vol. 19(3), pages 165-200, October.
• Roman V. Ivanov & Katsunori Ano, 2016. "On exact pricing of FX options in multivariate time-changed Lévy models," Review of Derivatives Research, Springer, vol. 19(3), pages 201-216, October.
• Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
• Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
• Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen, 2016. "Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 459-482, April.
• Nicole Thorne Jenkins & Michael D. Kimbrough & Juan Wang, 2016. "The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 725-761, May.
• Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2016. "Explaining the volatility smile: non-parametric versus parametric option models," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 907-935, May.
• Evangelos C. Charalambakis & Ian Garrett, 2016. "On the prediction of financial distress in developed and emerging markets: Does the choice of accounting and market information matter? A comparison of UK and Indian Firms," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 1-28, July.
• Cheng Few Lee & Yibing Chen & John Lee, 2020. "Alternative Methods to Derive Option Pricing Models: Review and Comparison," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 102, pages 3573-3617, World Scientific Publishing Co. Pte. Ltd..
  • Cheng-Few Lee & Yibing Chen & John Lee, 2016. "Alternative methods to derive option pricing models: review and comparison," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 417-451, August.
• Shu Feng & Chun-Yu Ho, 2016. "The real option approach to adoption or discontinuation of a management accounting innovation: the case of activity-based costing," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 835-856, October.
• Han-Hsing Lee & Kuanyu Shih & Kehluh Wang, 2016. "Measuring sovereign credit risk using a structural model approach," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1097-1128, November.
• Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
• Takahiro Hattori, 2016. "The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen," Keio-IES Discussion Paper Series 2016-018, Institute for Economics Studies, Keio University.
• Daniel Ladley & Guanqing Liu & James Rockey, 2016. "Margin Trading: Hedonic Returns and Real Losses," Discussion Papers in Economics 16/06, Division of Economics, School of Business, University of Leicester.
• Aysegul Ates, 2016. "Relation between ISE 30 index and ISE 30 index futures markets: Evidence from recursive and rolling cointegration," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(1), pages 35-42, February.
• Elyas Elyasiani & Silvia Muzzioli & Alessio Ruggieri, 2016. "Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions," Department of Economics 0099, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2016. "Fear or greed? What does a skewness index measure?," Department of Economics 0102, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2016. "Moment Risk Premia and the Cross-Section of Stock Returns," Department of Economics 0103, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli, 2016. "The risk asymmetry index," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0061, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli, 2016. "The risk asymmetry index," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 16212, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 203-230, Springer.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01314609, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01397606, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01397606, HAL.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Documents de travail du Centre d'Economie de la Sorbonne 16027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01314609, HAL.
  • Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," PSE-Ecole d'économie de Paris (Postprint) halshs-01397606, HAL.
• Ambrosio Ortiz Ramírez & María Teresa Martínez Palacios, 2016. "Pricing of average value options versus European options with stochastic interest rate," Contaduría y Administración, Accounting and Management, vol. 61(4), pages 629-648, Octubre-D.
• Robert J. Barro & Gordon Y. Liao, 2016. "Options-Pricing Formula with Disaster Risk," NBER Working Papers 21888, National Bureau of Economic Research, Inc.
  • Robert J. Barro & Gordon Liao, 2017. "Option-pricing formula with disaster risk," AEI Economics Working Papers 966780, American Enterprise Institute.
• David S. Bates, 2016. "How Crashes Develop: Intradaily Volatility and Crash Evolution," NBER Working Papers 22028, National Bureau of Economic Research, Inc.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1132-1183.
  • Chernov, Mikhail & Dunn, Brett R. & Longstaff, Francis, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers 10947, C.E.P.R. Discussion Papers.
  • Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," NBER Working Papers 22096, National Bureau of Economic Research, Inc.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
  • Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
  • David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
• Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
• Ari Levine & Yao Hua Ooi & Matthew Richardson, 2016. "Commodities for the Long Run," NBER Working Papers 22793, National Bureau of Economic Research, Inc.
• Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
  • Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
  • Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
• Erik Gilje & Robert Ready & Nikolai Roussanov, 2016. "Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution," NBER Working Papers 22914, National Bureau of Economic Research, Inc.
• Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2016. "Commodity Price Forecasts, Futures Prices and Pricing Models," NBER Working Papers 22991, National Bureau of Economic Research, Inc.
• Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018. "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, vol. 35(C), pages 38-52.
  • Jill Cetina & Mark Paddrik & Sriram Rajan, 2016. "Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets," Working Papers 16-01, Office of Financial Research, US Department of the Treasury.
• Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
  • Roberto Marfè, 2015. "Corporate Fraction and the Equilibrium Term-Structure of Equity Risk," Carlo Alberto Notebooks 409, Collegio Carlo Alberto.
• Shah, Anand, 2016. "Pricing and Risk Mitigation Analysis of a Cyber Liability Insurance using Gaussian, t and Gumbel Copulas – A case for Cyber Risk Index," MPRA Paper 111968, University Library of Munich, Germany.
• Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
• Kim, Minseong, 2016. "Futures market approach to understanding equity premium puzzle," MPRA Paper 70310, University Library of Munich, Germany.
• García Muñoz, Luis Manuel & Palomar Burdeus, Juan Esteban & de Lope Contreras, Fernando, 2016. "The recursive nature of KVA: KVA mitigation from KVA," MPRA Paper 70927, University Library of Munich, Germany.
• José Fajardo, 2017. "A new factor to explain implied volatility smirk," Applied Economics, Taylor & Francis Journals, vol. 49(40), pages 4026-4034, August.
  • fajardo, José, 2016. "A New Factor to Explain Implied Volatility Smirk," MPRA Paper 71809, University Library of Munich, Germany.
• Fajardo, José, 2016. "Power Style Contracts Under Asymmetric Lévy Processes," MPRA Paper 71813, University Library of Munich, Germany.
• Giandomenico, Rossano, 2016. "Option Pricing Models," MPRA Paper 73353, University Library of Munich, Germany.
• Brogi, Athos, 2016. "A Binomial Tree to Price European and American Options," MPRA Paper 74962, University Library of Munich, Germany.
• Pandey, Ashish, 2016. "High Bids and Low Recovery: A Possible Case for Non-Performing Loan Auctions in India," MPRA Paper 75254, University Library of Munich, Germany.
• Rosas-Martinez, Victor H., 2016. "Expectations Over Durable Assets: How to Avoid the Formation of Value Bubbles," MPRA Paper 75350, University Library of Munich, Germany.
• Silva-Correa, María de los Ángeles & Martínez-Marca, José Luís & Venegas-Martínez, Francisco, 2016. "Impacto del mercado de derivados en la política monetaria: un modelo de volatilidad estocástica [Impact of the Derivatives Market on Monetary Policy: A Stochastic Volatility Model]," MPRA Paper 75705, University Library of Munich, Germany.
• Pinshi, Christian, 2016. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective on financial stability]," MPRA Paper 77905, University Library of Munich, Germany, revised 28 Feb 2017.
  • Christian Pinshi, 2017. "Une Perspective Macroprudentielle Pour La Stabilité Financière," Post-Print hal-02566812, HAL.
  • Pinshi, Christian, 2017. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective of financial stability]," MPRA Paper 79189, University Library of Munich, Germany, revised 16 May 2017.
  • Pinshi Paula, Christian, 2017. "Une perspective macroprudentielle pour la stabilité financière [A macroprudential perspective on financial stability]," MPRA Paper 80505, University Library of Munich, Germany, revised Jun 2017.
  • Pinshi, Christian P., 2017. "Une Perspective Macroprudentielle Pour La Stabilité Financière [A macroprudential perspective on financial stability]," MPRA Paper 93140, University Library of Munich, Germany, revised 2017.
• Nauta, Bert-Jan, 2016. "Multi-Curve Discounting," MPRA Paper 85657, University Library of Munich, Germany, revised 20 Feb 2018.
• Otero, Karina V., 2016. "Intensity of default in sovereign bonds: Estimation of an unobservable process," MPRA Paper 86782, University Library of Munich, Germany.
• Nauta, Bert-Jan, 2016. "A Model for the Valuation of Assets with Liquidity Risk," MPRA Paper 92493, University Library of Munich, Germany.
• Andrea Klimešová & Tomáš Václavík, 2016. "Gas Swing Options: Introduction and Pricing using Monte Carlo Methods," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2016(1), pages 15-32.
• Edyta Marcinkiewicz, 2016. "Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(5), pages 547-559.
• Ilker Ersegun Kayhan & Glenn P. Jenkins, 2016. "Build-Operate-Transfer Projects in Turkey: Contingent Liabilities and Associated Risks," Development Discussion Papers 2016-01, JDI Executive Programs.
• Ilker Ersegun Kayhan & Glenn P. Jenkins, 2016. "Evaluating Minimum-Traffic Guarantees for PPPs in Turkey by Real-Option Pricing," Development Discussion Papers 2016-02, JDI Executive Programs.
• Niroomand, Naghmeh & Jenkins, Glenn P., 2018. "A comparison of stated preference methods for the valuation of improvement in road safety," Economic Analysis and Policy, Elsevier, vol. 59(C), pages 138-149.
  • Naghmeh Niroomand & Glenn P. Jenkins, 2016. "A Comparison of Stated Preference Methods for the Valuation of Improvement in Road Safety," Development Discussion Papers 2016-10, JDI Executive Programs.
• Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
• Elise Gourier, 2016. "Pricing of Idiosyncratic Equity and Variance Risks," Working Papers 781, Queen Mary University of London, School of Economics and Finance.
• Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
• Elise Gourier, 2016. "Pricing of Idiosyncratic Equity and Variance Risks," Working Papers 781, Queen Mary University of London, School of Economics and Finance.
• Raul De Jesus Gutierrez & Edgar Ortiz Calisto & Oswaldo Garcia Salgado & Veronica Angeles Morales, 2016. "Medicion del riesgo de la cola en el mercado del petroleo mexicano aplicando la teoria de valores extremos condicional," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 13(2), pages 77-98, Julio-Dic.
• Raul De Jesus Gutierrez & Edgar Ortiz Calisto & Oswaldo Garcia Salgado & Veronica Angeles Morales, 2016. "Medicion del riesgo de la cola en el mercado del petroleo mexicano aplicando la teoria de valores extremos condicional," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 13(2), pages 77-98, Julio-Dic.
• Nick Baltas, 2016. "Multi-Asset Seasonality and Trend-Following Strategies," Bankers, Markets & Investors, ESKA Publishing, issue 140, pages 47-62, January-F.
• Vivien Brunel & Stéphane Crépey & Monique Jeanblanc, 2016. "Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis," Bankers, Markets & Investors, ESKA Publishing, issue 141, pages 6-18, March-Apr.
• Jian Wu, 2016. "When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance," Bankers, Markets & Investors, ESKA Publishing, issue 142, pages 42-53, May-June.
• Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020. "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, vol. 75(5), pages 2809-2844, October.
  • Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016. "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers 11576, C.E.P.R. Discussion Papers.
  • Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
• Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
  • Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
  • Lando, David & Pedersen, Lasse Heje & Skov Jensen, Christian, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Pratap Kumar Jena, 2016. "Financialisation of Commodity Market in India : A Closer Look at the Evidence," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(60), pages 147-168, June.
• Osama M. Badr & Ahmed F. El-khadrawi, 2016. "Macroeconomic Variables, Government Effectiveness and Sovereign Credit Rating: A Case of Egypt," Applied Economics and Finance, Redfame publishing, vol. 3(4), pages 29-36, November.
• Kopits, George & Ferrarini, Benno & Ramayandi, Arief, 2016. "Exploring Risk-Adjusted Fiscal Sustainability Analysis for Asian Economies," ADB Economics Working Paper Series 483, Asian Development Bank.
• Brière, Marie & Ferrarini, Benno & Ramayandi, Arief, 2016. "Contingent Claims Analysis of Sovereign Debt Sustainability in Asian Emerging Markets," ADB Economics Working Paper Series 486, Asian Development Bank.
• Zaremba, Adam, 2016. "Strategies Based on Momentum and Term Structure in Financialized Commodity Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 31-46, January.
• Tresierra, Álvaro & Carrasco, Claudia, 2016. "Valorización de opciones reales: modelo Ornstein-Uhlenbeck," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 21(41), pages 56-62.
• Lauenstein, Philipp & Küster Simic, André, 2016. "Information Processing in Freight and Freight Forward Markets: An Event Study on OPEC Announcements," Working Paper 172/2016, Helmut Schmidt University, Hamburg.
• Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³, 2016. "Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(2), pages 23-35, October.
  • Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2015. "Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices," Working Papers 2015-39, Faculty of Economic Sciences, University of Warsaw.
• Michael J O’Neill & Zhangxin (Frank) Liu, 2016. "Tail risk hedging for mutual funds using equity market state prices," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 687-698, November.
• Thiagu Ranganathan & Sarthak Gaurav & Ashish Singh, 2016. "Demand for Price Insurance among Farmers in India: A Choice Experiment-based Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 10(2), pages 198-224, May.
• Brajesh Kumar, 2016. "Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets," Proceedings of Economics and Finance Conferences 3205752, International Institute of Social and Economic Sciences.
• Milanesi, Gastón Silverio, 2016. "Un modelo "naive" de opción barrera para la predicción de fracaso financiero / A “naive” barrier option model to predict final distress," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 6(2), pages 159-186, julio-dic.
• Marc Chesney & Delia Coculescu & Selim Gökay, 2016. "Endogenous trading in credit default swaps," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 1-31, April.
• Sanjay Sehgal & Mala Dutt, 2016. "Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(3), pages 239-258, September.
• Xiaodong Du & Fengxia Dong, 2016. "Responses to market information and the impact on price volatility and trading volume: the case of Class III milk futures," Empirical Economics, Springer, vol. 50(2), pages 661-678, March.
• Lukito Adi Nugroho, 2016. "Franchise ownership redirection: real options perspective," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-11, December.
• Peter Bank & Selim Gökay, 2016. "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, vol. 20(1), pages 153-182, January.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016. "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 1-50, January.
• Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
• Bruno Bouchard & Marcel Nutz, 2016. "Consistent price systems under model uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 83-98, January.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016. "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 1-50, January.
• Peter Bank & Selim Gökay, 2016. "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, vol. 20(1), pages 153-182, January.
• Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
• Bruno Bouchard & Marcel Nutz, 2016. "Consistent price systems under model uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 83-98, January.
• Kim Weston, 2016. "Stability of utility maximization in nonequivalent markets," Finance and Stochastics, Springer, vol. 20(2), pages 511-541, April.
• Jiatu Cai & Masaaki Fukasawa, 2016. "Asymptotic replication with modified volatility under small transaction costs," Finance and Stochastics, Springer, vol. 20(2), pages 381-431, April.
• Alexander M. G. Cox & Zhaoxu Hou & Jan Obłój, 2016. "Robust pricing and hedging under trading restrictions and the emergence of local martingale models," Finance and Stochastics, Springer, vol. 20(3), pages 669-704, July.
• Bruno Bouchard & Grégoire Loeper & Yiyi Zou, 2016. "Almost-sure hedging with permanent price impact," Finance and Stochastics, Springer, vol. 20(3), pages 741-771, July.
• Pierre Henry-Labordère & Nizar Touzi, 2016. "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, vol. 20(3), pages 635-668, July.
• Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016. "Additive subordination and its applications in finance," Finance and Stochastics, Springer, vol. 20(3), pages 589-634, July.
• Angelos Dassios & You You Zhang, 2016. "The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing," Finance and Stochastics, Springer, vol. 20(3), pages 773-804, July.
• Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016. "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, vol. 20(3), pages 705-740, July.
• Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
• Tianyang Nie & Marek Rutkowski, 2016. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Finance and Stochastics, Springer, vol. 20(4), pages 855-900, October.
• Andrew Lyasoff, 2016. "Another look at the integral of exponential Brownian motion and the pricing of Asian options," Finance and Stochastics, Springer, vol. 20(4), pages 1061-1096, October.
• Yuri Kabanov & Constantinos Kardaras & Shiqi Song, 2016. "No arbitrage of the first kind and local martingale numéraires," Finance and Stochastics, Springer, vol. 20(4), pages 1097-1108, October.
  • Kabanov, Yuri & Kardaras, Constantinos & Song, Shiqi, 2016. "No arbitrage of the first kind and local martingale numéraires," LSE Research Online Documents on Economics 68002, London School of Economics and Political Science, LSE Library.
• Seth J. Kopchak, 2016. "The regime-switching risk premium in the gold futures market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(3), pages 472-491, July.
• Frances Shaw & Finbarr Murphy & Fergal O’Brien, 2016. "Interest rate dynamics and volatility transmission in the European short term interest rate market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(4), pages 754-772, October.
• Thaddeus Neururer & George Papadakis & Edward J. Riedl, 2016. "Tests of investor learning models using earnings innovations and implied volatilities," Review of Accounting Studies, Springer, vol. 21(2), pages 400-437, June.
• Markus HERTRICH, 2016. "A Note on Credit Spread Forwards," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 7(1), pages 77-81.
  • Hertrich, Markus, 2015. "A Note on Credit Spread Forwards," MPRA Paper 67838, University Library of Munich, Germany.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
  • David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
  • Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
  • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
• Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018. "A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(3), pages 425-460.
  • Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
• Lumengo Bonga-Bonga & Ekerete Umoetok, 2016. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 3999-4018, September.
  • Bonga-Bonga, Lumengo & Umoetok, Ekerete, 2015. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," MPRA Paper 62932, University Library of Munich, Germany.
• Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016. "Recovering the real-world density and liquidity premia from option data," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1147-1164, July.
  • Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2015. "Recovering the Real-World Density and Liquidity Premia From Option Data," Research Paper Series 363, Quantitative Finance Research Centre, University of Technology, Sydney.
• Stephanie Chan & Sweder van Wijnbergen, 2016. "Coco Design, Risk Shifting Incentives and Capital Regulation," Tinbergen Institute Discussion Papers 16-007/VI, Tinbergen Institute, revised 13 Nov 2017.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers 16-046/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016. "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE 2016-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," IJFS, MDPI, vol. 6(1), pages 1-24, December.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019. "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, vol. 12(8), pages 1-24, April.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers 16-053/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Straub, Ludwig & Ulbricht, Robert, 2019. "Endogenous second moments: A unified approach to fluctuations in risk, dispersion, and uncertainty," Journal of Economic Theory, Elsevier, vol. 183(C), pages 625-660.
  • Straub, Ludwig & Ulbricht, Robert, 2016. "Endogenous Second Moments: A Unified Approach to Fluctuations in Risk, Dispersion, and Uncertainty," TSE Working Papers 16-664, Toulouse School of Economics (TSE), revised Mar 2018.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers EI2016-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE 2016-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019. "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, vol. 12(8), pages 1-24, April.
  • Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers 16-053/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers 16-046/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016. "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE 2016-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," IJFS, MDPI, vol. 6(1), pages 1-24, December.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• C. José García Martín & Begoña Herrero Piqueras & Ana María Ibáñez Escribano, 2016. "The informational role of thin options markets: Empirical evidence from the Spanish case," Estudios de Economia, University of Chile, Department of Economics, vol. 43(2 Year 20), pages 233-263, December.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers 11169, C.E.P.R. Discussion Papers.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2018. "Risk Premia and Seasonality in Commodity Futures," EMF Research Papers 18, Economic Modelling and Forecasting Group.
  • Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.
• Ben Ammar, Semir, 2016. "Pricing of Catastrophe Risk and the Implied Volatility Smile," Working Papers on Finance 1617, University of St. Gallen, School of Finance.
• Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2016. "Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns," Working Papers on Finance 1621, University of St. Gallen, School of Finance.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Papers 1608.04683, arXiv.org, revised Mar 2018.
  • Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series 374, Quantitative Finance Research Centre, University of Technology, Sydney.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series 375, Quantitative Finance Research Centre, University of Technology, Sydney.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Hedging Performance on Long-Dated Crude Oil Derivatives," Research Paper Series 376, Quantitative Finance Research Centre, University of Technology, Sydney.
• Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018. "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
  • Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
• Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  • Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series 379, Quantitative Finance Research Centre, University of Technology, Sydney.
• Martina Nardon & Paolo Pianca, 2016. "Covered call writing in a cumulative prospect theory framework," Working Papers 2016:35, Department of Economics, University of Venice "Ca' Foscari".
• Łukaszewski Tomasz & Głoćko Wojciech, 2016. "An Assessment of Wind Farm Construction Efficiency Using the Real Option Method," Folia Oeconomica Stetinensia, Sciendo, vol. 16(2), pages 84-102, December.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study," Working Papers 2016-08, Faculty of Economic Sciences, University of Warsaw.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?," Working Papers 2016-09, Faculty of Economic Sciences, University of Warsaw.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Applying exogenous variables and regime switching to multi-factor models on equity indices," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 47.
  • Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices," Working Papers 2016-10, Faculty of Economic Sciences, University of Warsaw.
• Julian S. Leppin & Stefan Reitz, 2016. "The Role of a Changing Market Environment for Credit Default Swap Pricing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 209-223, July.
  • Leppin, Julia S. & Reitz, Stefan, 2014. "The Role of a Changing Market Environment for Credit Default Swap Pricing," FinMaP-Working Papers 7, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market: Environment for credit default swap pricing," HWWI Research Papers 153, Hamburg Institute of International Economics (HWWI).
  • Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market environment for credit default swap pricing," Kiel Working Papers 1946, Kiel Institute for the World Economy (IfW Kiel).
• Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô, 2016. "The Return–Volatility Relation in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 127-152, February.
  • Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013. "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series 336, Quantitative Finance Research Centre, University of Technology, Sydney.
• Stefan Trück & Rafał Weron, 2016. "Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 587-611, June.
  • Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Technology.
• Philipp Adämmer & Martin T. Bohl & Christian Gross, 2016. "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(9), pages 851-869, September.
  • Adaemmer, Philipp & Bohl, Martin T. & Christian, Groß, 2015. "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113213, Verein für Socialpolitik / German Economic Association.
  • Philipp Adämmer & Martin T. Bohl & Christian Gross, 2015. "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," CQE Working Papers 3915, Center for Quantitative Economics (CQE), University of Muenster.
• Song Han & Hao Zhou, 2016. "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-49, September.
  • Song Han & Hao Zhou, 2008. "Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data," Finance and Economics Discussion Series 2008-40, Board of Governors of the Federal Reserve System (U.S.).
  • Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
• Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Technology.
• Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2016. "Stock Illiquidity, option prices, and option returns," CFR Working Papers 16-08, University of Cologne, Centre for Financial Research (CFR).
• Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G., 2016. "Why do investors buy sovereign default insurance?," CFS Working Paper Series 540, Center for Financial Studies (CFS).
• Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Subrahmanyam, Marti G., 2016. "How do insiders trade?," CFS Working Paper Series 541, Center for Financial Studies (CFS).
• Hofmann, Maurice & Rottmann, Horst, 2016. "Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank," Weidener Diskussionspapiere 55, University of Applied Sciences Amberg-Weiden (OTH).
• Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131 [rev.], Leibniz Institute for Financial Research SAFE.
  • Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131, Leibniz Institute for Financial Research SAFE.
• Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131, Leibniz Institute for Financial Research SAFE.
  • Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131 [rev.], Leibniz Institute for Financial Research SAFE.
• Dilger, Alexander, 2016. "Bedingte Aktiengeschäfte," Discussion Papers of the Institute for Organisational Economics 08/2016, University of Münster, Institute for Organisational Economics.
• Gelman, Sergey & Kliger, Doron, 2016. "Time-Induced Stress Effect on Financial Decision Making in Real Markets: The Case of Traffic Congestion," VfS Annual Conference 2016 (Augsburg): Demographic Change 145915, Verein für Socialpolitik / German Economic Association.

2015

• Siddiqi, Hammad, 2015. "Analogy based Valuation of Commodity Options," MPRA Paper 61083, University Library of Munich, Germany.
• García Muñoz, Luis Manuel & de Lope Contreras, Fernando & Palomar Burdeus, Juan Esteban, 2015. "Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA," MPRA Paper 62086, University Library of Munich, Germany.
• Siddiqi, Hammad, 2015. "Analogy Based Valuation of Currency Options," MPRA Paper 62333, University Library of Munich, Germany.
• Siddiqi, Hammad, 2015. "Relative Risk Perception and the Puzzle of Covered Call writing," MPRA Paper 62763, University Library of Munich, Germany.
• Lumengo Bonga-Bonga & Ekerete Umoetok, 2016. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 3999-4018, September.
  • Bonga-Bonga, Lumengo & Umoetok, Ekerete, 2015. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," MPRA Paper 62932, University Library of Munich, Germany.
• Ibañéz, Francisco & Romero-Meza, Rafael & Coronado-Ramírez, Semei & Venegas-Martínez, Francisco, 2016. "Innovaciones financieras en América Latina:Mercado de Derivados y Determinates de la Administración de Riesgo," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(22), pages 7-38, Primer se.
  • Ibañez, Francisco & Romero-Meza, Rafael & Coronado-Ramírez, Semei & Venegas-Martínez, Francisco, 2015. "Innovaciones financieras en América Latina: mercados de derivados y determinantes de la administración de riesgo [Financial Innovations in Latin America: Derivatives markets and Determinants of Ris," MPRA Paper 63151, University Library of Munich, Germany.
• Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," MPRA Paper 63218, University Library of Munich, Germany.
• Siddiqi, Hammad, 2015. "Explaining the Smile in Currency Options: Is it Anchoring?," MPRA Paper 63528, University Library of Munich, Germany.
• Cayton, Peter Julian & Ho, Kin-Yip, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 79134, University Library of Munich, Germany.
  • Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
• Hammad, Siddiqi, 2015. "Index Option Returns from an Anchoring Perspective," MPRA Paper 65331, University Library of Munich, Germany.
• Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad & Karimli, Tural, 2015. "Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması [Extracting risk-neutral probability distribution from Brent oil options]," MPRA Paper 65704, University Library of Munich, Germany.
• Mehta, Deepshikha, 2015. "Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices," MPRA Paper 66494, University Library of Munich, Germany.
• Magdalena Grothe & Aidan Meyler, 2018. "Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 171-188, January.
  • Meyler, Aidan & Grothe, Magdalena, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," Working Paper Series 1865, European Central Bank.
  • Grothe, Magdalena & Meyler, Aidan, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," MPRA Paper 66982, University Library of Munich, Germany.
• Markus HERTRICH, 2016. "A Note on Credit Spread Forwards," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 7(1), pages 77-81.
  • Hertrich, Markus, 2015. "A Note on Credit Spread Forwards," MPRA Paper 67838, University Library of Munich, Germany.
• Bornah, Mathew, 2015. "The key characteristics of the EURO 2012 arenas and the sources of their financing," MPRA Paper 68203, University Library of Munich, Germany.
• Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic in Option Pricing," MPRA Paper 68595, University Library of Munich, Germany.
• Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
  • Cayton, Peter Julian & Ho, Kin-Yip, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 79134, University Library of Munich, Germany.
• Gil-Alana, Luis A. & Gupta, Rangan & de Gracia, Fernando Perez, 2016. "Modeling persistence of carbon emission allowance prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 55(C), pages 221-226.
  • Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta, 2015. "Modeling Persistence of Carbon Emission Allowance Prices," Working Papers 201515, University of Pretoria, Department of Economics.
• Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
• Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
  • Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
• Zhong Chen & Bo Han & Yeqin Zeng, 2015. "Does Corporate Financial Risk Management Add Value? Evidence from Cross-Border Mergers and Acquisitions," ICMA Centre Discussion Papers in Finance icma-dp2015-04, Henley Business School, University of Reading.
• Jaehun CHOI & Hosung LIM & Rogelio Jr. MERCADO & Cyn-Young PARK, 2015. "Price Discovery and Foreign Participation in Korea's Government Bond Cash and