|
2025
|
Estimating Stock Market Betas via Machine Learning
|
Journal of Financial and Quantitative Analysis
|
B
|
4
|
|
2025
|
Predicting the equity premium around the globe: Comprehensive evidence from a large sample
|
International Journal of Forecasting
|
B
|
4
|
|
2024
|
Nonstandard Errors
|
Journal of Finance
|
A
|
343
|
|
2024
|
Measuring tail risk
|
Journal of Econometrics
|
A
|
4
|
|
2023
|
Convenience yield risk
|
Energy Economics
|
A
|
4
|
|
2023
|
Managing the Market Portfolio
|
Management Science
|
B
|
2
|
|
2023
|
Which Factors for Corporate Bond Returns?
|
Review of Asset Pricing Studies
|
B
|
4
|
|
2023
|
Commodity tail risks
|
Journal of Futures Markets
|
C
|
4
|
|
2022
|
Measuring commodity market quality
|
Journal of Banking & Finance
|
B
|
2
|
|
2022
|
Testing Factor Models in the Cross-Section
|
Journal of Banking & Finance
|
B
|
2
|
|
2022
|
How do corporate bond investors measure performance? Evidence from mutual fund flows
|
Journal of Banking & Finance
|
B
|
3
|
|
2021
|
The memory of beta
|
Journal of Banking & Finance
|
B
|
4
|
|
2021
|
The Natural Gas Announcement Day Puzzle
|
The Energy Journal
|
B
|
3
|
|
2021
|
The dynamics of commodity return comovements
|
Journal of Futures Markets
|
C
|
3
|
|
2020
|
Economic determinants of oil futures volatility: A term structure perspective
|
Energy Economics
|
A
|
3
|
|
2020
|
Curve momentum
|
Journal of Banking & Finance
|
B
|
3
|
|
2020
|
Beta uncertainty
|
Journal of Banking & Finance
|
B
|
3
|
|
2020
|
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas
|
Management Science
|
B
|
3
|
|
2020
|
Volatility term structures in commodity markets
|
Journal of Futures Markets
|
C
|
3
|
|
2019
|
International tail risk and World Fear
|
Journal of International Money and Finance
|
B
|
4
|
|
2019
|
The risk premium of gold
|
Journal of International Money and Finance
|
B
|
3
|
|
2019
|
Asset prices and “the devil(s) you know”
|
Journal of Banking & Finance
|
B
|
3
|
|
2019
|
The economic drivers of commodity market volatility
|
Journal of International Money and Finance
|
B
|
3
|
|
2019
|
Historical Antisemitism, Ethnic Specialization, and Financial Development
|
Review of Economic Studies
|
S
|
3
|
|
2019
|
The term structure of systematic and idiosyncratic risk
|
Journal of Futures Markets
|
C
|
3
|
|
2018
|
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance
|
Journal of Banking & Finance
|
B
|
3
|
|
2017
|
Variance risk in commodity markets
|
Journal of Banking & Finance
|
B
|
3
|
|
2016
|
Seasonal Stochastic Volatility: Implications for the pricing of commodity options
|
Journal of Banking & Finance
|
B
|
5
|
|
2016
|
Jump and variance risk premia in the S&P 500
|
Journal of Banking & Finance
|
B
|
3
|
|
2016
|
Estimating Beta
|
Journal of Financial and Quantitative Analysis
|
B
|
2
|
|
2016
|
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets
|
Journal of Futures Markets
|
C
|
3
|
|
2015
|
Electricity derivatives pricing with forward-looking information
|
Journal of Economic Dynamics and Control
|
B
|
3
|
|
2015
|
An empirical model comparison for valuing crack spread options
|
Energy Economics
|
A
|
2
|
|
2015
|
Time-variations in commodity price jumps
|
Journal of Empirical Finance
|
C
|
3
|
|
2015
|
Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
|
Journal of Futures Markets
|
C
|
3
|
|
2014
|
The importance of the volatility risk premium for volatility forecasting
|
Journal of Banking & Finance
|
B
|
2
|
|
2013
|
The (de)merits of minimum-variance hedging: Application to the crack spread
|
Energy Economics
|
A
|
3
|
|
2013
|
The case of negative day-ahead electricity prices
|
Energy Economics
|
A
|
3
|
|
2013
|
Seasonality and the valuation of commodity options
|
Journal of Banking & Finance
|
B
|
3
|
|
2013
|
Credit risk in covered bonds
|
Journal of Empirical Finance
|
C
|
3
|
|
2012
|
Futures basis, inventory and commodity price volatility: An empirical analysis
|
Economic Modeling
|
C
|
4
|
|
2011
|
American option valuation: Implied calibration of GARCH pricing models
|
Journal of Futures Markets
|
C
|
2
|
|
2011
|
Pricing and hedging in the freight futures market
|
Journal of Futures Markets
|
C
|
1
|
|
2010
|
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics
|
Journal of Banking & Finance
|
B
|
2
|
|
2007
|
Quantifying risk in the electricity business: A RAROC-based approach
|
Energy Economics
|
A
|
4
|