This paper, following McGoun's (1997) seminal article comparing the economy of financial securities to a hyperreal poker game, argues that finance and accounting researchers should take the “linguistic turn” that has rejuvenated theory and research in many, if not most, of the social science...

One of the earliest signs of the financial crisis in summer 2007 was the plunge in the indicaaes compiled from credit default swaps (CDSs) on a basket of subprime backed bonds. Recently, the worsening situation in the emerging countries has been perceptible in the steep rise of CDS spreads on...

One of the earliest signs of the financial crisis in summer 2007 was the plunge in the indicaaes compiled from credit default swaps (CDSs) on a basket of subprimebacked bonds. Recently, the worsening situation in the emerging countries has been perceptible in the steep rise of CDS spreads on...

This paper addresses the question of whether the oil price spike of 2003-2008 was a bubble. We document and discuss what is known about the level of speculation in the paper oil market. We then analyze the dynamics of the term structure of futures prices, both during the earlier period of...

Two volatility indexes, VIBEX and VIBEX-NEW, are calculated for the Spanish financial market by using a non-model free, and a model free methodology, respectively. VIBEX-NEW index is worthy of being chosen first, due to liquidity problems in Spanish option market on IBEX35. Daily changes in...

We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding liquidity and market liquidity, are positively...

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...

Similar to the cross-sectional momentum crashes, the time series momentum experiences deep and persistent drawdowns in the stressed time of slumps in the upward momentum, rebounds in the downward momentum, and long time sideways market. We measure the upside and downside risk using the upper and...

We describe and briefly examine the standard model for viral infection, the so-called SIR model, and its potential usage in the current situation. We furthermore extend the model to account for government interventions, and for differences in testing approaches in different countries

In this article we derive tractable analytic solutions for futures and options prices for a linear-quadratic jump-diffusion model with seasonal adjustments in stochastic volatility and convenience yield. We then calibrate our model to data from the fish pool futures market, using the extended...