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Content
June 2022, Volume 42, Issue 6
- 1067-1083 Resale options and heterogeneous beliefs
by Kai‐Min Huang & I‐Doun Kuo & Rong‐Tsorng Wang - 1084-1113 Nonlinear limits to arbitrage
by Jingzhi Chen & Charlie X. Cai & Robert Faff & Yongcheol Shin - 1114-1134 Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns
by Yun‐Huan Lee & Tzu‐Hsiang Liao & Hsiu‐Chuan Lee - 1135-1166 The information in global interest rate futures contracts
by Robert Brooks & Brandon N. Cline & Pavel Teterin & Yu You - 1167-1185 Does offshore NDF market influence onshore forex market? Evidence from India
by Harendra Behera & Rajiv Ranjan & Sajjid Chinoy
May 2022, Volume 42, Issue 5
- 790-802 Sheep in wolves' clothing: Using false signals of demand to execute a market power manipulation
by Craig Pirrong - 803-822 A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?
by Yufeng Han & Lingfei Kong - 823-851 Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges
by Ekaterina E. Emm & Gerald D. Gay & Han Ma & Honglin Ren - 852-867 Pricing vulnerable options under correlated skew Brownian motions
by Che Guo & Xingchun Wang - 868-887 Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets
by Geert Dhaene & Piet Sercu & Jianbin Wu - 888-922 Pricing VXX options by modeling VIX directly
by Wei Lin & Jin E. Zhang - 923-958 Investment horizon and option market activity
by Da‐Hea Kim - 959-980 A Black–Scholes user's guide to the Bachelier model
by Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang
April 2022, Volume 42, Issue 4
- 555-579 Robust information share measures with an application on the international crude oil markets
by Hong Li & Yanlin Shi - 580-604 Information contents of intraday SSE 50 ETF options trades
by Xingguo Luo & Wenye Cai & Doojin Ryu - 605-644 Information and the arrival rate of option trading volume
by Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou - 645-667 Multistep forecast of the implied volatility surface using deep learning
by Nikita Medvedev & Zhiguang Wang - 668-691 Option‐implied moments and the cross‐section of stock returns
by Lykourgos Alexiou & Leonidas S. Rompolis - 692-721 Multi‐step reflection principle and barrier options
by Hangsuck Lee & Gaeun Lee & Seongjoo Song - 722-750 Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach
by Lei Ming & Yao Shen & Shenggang Yang & Minyi Dong - 751-785 Risk‐neutral skewness and commodity futures pricing
by Ana‐Maria Fuertes & Zhenya Liu & Weiqing Tang
March 2022, Volume 42, Issue 3
- 313-337 Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?
by Tianyang Zhang & Ziran Li - 338-364 Who and what drives informed options trading after the market opens?
by Jongho Kang & Jangkoo Kang & Jaeram Lee - 365-388 Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach
by Pakorn Aschakulporn & Jin E. Zhang - 389-412 A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
by Hsiang‐Tai Lee - 413-427 US experience with futures transaction taxes
by Scott Mixon - 428-445 The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread
by Ziran Li & Dermot J. Hayes - 446-471 The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach
by Gregor Helmut Schoenemann - 472-491 Do oil shocks impact stock liquidity?
by Qin Zhang & Jin Boon Wong - 492-524 Arbitrage, contract design, and market structure in Bitcoin futures markets
by Riccardo De Blasis & Alexander Webb - 525-551 A Skellam market model for loan prime rate options
by Zhanyu Chen & Kai Zhang & Hongbiao Zhao
February 2022, Volume 42, Issue 2
- 191-191 Editor's note
by Robert I. Webb - 192-211 One session options: Playing the announcement lottery?
by Lee A. Smales & Zhangxin (Frank) Liu & Cameron D. Robertson - 212-230 Speculation or hedging?—Options trading prior to FOMC announcements
by George J. Jiang & Guanzhong Pan - 231-249 Lottery and bubble stocks and the cross‐section of option‐implied tail risks
by Sobhesh Kumar Agarwalla & Sumit Saurav & Jayanth R. Varma - 250-275 Market uncertainty and sentiment around USDA announcements
by An N. Q. Cao & Michel A. Robe - 276-295 Warrants in the financial management decisions of innovative firms
by Hyuna Park - 296-309 Connectivity costs and price efficiency: An event study
by Alex Frino & Ognjen Kovacevic & Vito Mollica & Robert I. Webb
January 2022, Volume 42, Issue 1
- 3-3 Editor's Note
by Bart Frijns - 4-4 Editor's Note
by Robert I. Webb - 5-23 Resiliency in the E‐mini futures market
by Raymond P. H. Fishe & Richard Haynes & Esen Onur - 24-60 Do enhanced derivative disclosures work? An informational perspective
by Guanming He & Helen Mengbing Ren & Richard Taffler - 61-76 Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity
by Doojin Ryu & Jinyoung Yu - 77-103 Revisiting the valuation of deposit insurance
by Chuang‐Chang Chang & San‐Lin Chung & Ruey‐Jenn Ho & Yu‐Jen Hsiao - 104-124 Use of high‐frequency data to evaluate the performance of dynamic hedging strategies
by Yu‐Sheng Lai - 125-151 Piecewise linear double barrier options
by Hangsuck Lee & Hongjun Ha & Minha Lee - 152-171 Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems
by Ana M. Monteiro & António A. F. Santos - 172-188 Market inefficiencies surrounding energy announcements
by Sultan Alturki & Alexander Kurov
December 2021, Volume 41, Issue 12
- 1891-1915 One hundred years of rare disaster concerns and commodity prices
by Qunzi Zhang - 1916-1932 Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning
by Geon Ho Choe & Minseok Kim - 1933-1958 Realized bipower variation, jump components, and option valuation
by Zhiyuan Pan & Yudong Wang & Li Liu - 1959-1987 Volatility spillovers in commodity futures markets: A network approach
by Jian Yang & Zheng Li & Hong Miao - 1988-2008 Financialization, common stochastic trends, and commodity prices
by Moses M. Kupabado & Juergen Kaehler - 2009-2022 Fundamental questions on central counterparties: A review of the literature
by Ron Berndsen - 2023-2045 Generalized autoregressive score model with high‐frequency data for optimal futures hedging
by Yu‐Sheng Lai - 2046-2078 The real effect of foreign exchange hedging on corporate innovation
by Chongwu Xia & Chuyi Yang & Lei Zhang - 2079-2082 A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”
by Peter Miu & Meng‐Lan Yueh - 2083-2084 Comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk and transaction costs” by Peter Miu and Meng‐Lan Yueh: Reply
by Jieye Qin & Christopher J. Green & Kavita Sirichand
November 2021, Volume 41, Issue 11
- 1677-1692 Single stock futures and their impact on market quality: Be careful what you wish for
by Edward Curran & Jack Hunt & Vito Mollica - 1693-1714 Regional premiums in nonferrous metals markets
by Christopher L. Gilbert - 1715-1734 When two worlds collide: Using particle physics tools to visualize the limit order book
by Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo‐Barrera & Lorenzo Moneta - 1735-1774 Do economic variables forecast commodity futures volatility?
by Loïc Maréchal - 1775-1796 The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns
by Zhenyu Cui & Majeed Simaan - 1797-1823 Estimating real‐world probabilities: A forward‐looking behavioral framework
by Ricardo Crisóstomo - 1824-1842 Estimating risk‐neutral freight rate dynamics: A nonparametric approach
by Lourdes Gómez‐Valle & Ioannis Kyriakou & Julia Martínez‐Rodríguez & Nikos K. Nomikos - 1843-1860 Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate
by Yanping Zhao & Zaghum Umar & Xuan Vinh Vo - 1861-1887 The lead of oil price rises on US equity market beliefs and preferences
by Jonathan Dark
October 2021, Volume 41, Issue 10
- 1498-1519 Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market
by Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani - 1520-1544 Dynamic term structure models for SOFR futures
by Jacob Bjerre Skov & David Skovmand - 1545-1568 Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock
by Kyong S. Eom & Kyung Y. Kwon & Jong‐Ho Park - 1569-1596 Stock market tail risk, tail risk premia, and return predictability
by Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon - 1597-1617 The dynamics of commodity return comovements
by Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann - 1618-1639 Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility
by Dimos S. Kambouroudis & David G. McMillan & Katerina Tsakou - 1640-1654 Discrete variance swap in a rough volatility economy
by Yiru Xi & Hoi Ying Wong - 1655-1673 The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets
by Haiying Wang & Ying Yuan & Tianyang Wang
September 2021, Volume 41, Issue 9
- 1351-1374 Oil price analysts' forecasts
by Isabel Figuerola‐Ferretti & Alejandro Rodríguez & Eduardo Schwartz - 1375-1396 Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets
by Tangyong Liu & Xu Gong & Boqiang Lin - 1397-1411 Improving liquidity in emission trading schemes
by Jihun Kim & Kwangwoo Park - 1412-1426 Investor sentiment and the market reaction to macroeconomic news
by Chen Gu & Denghui Chen & Raluca Stan - 1427-1455 Investor sentiment, misreaction, and the skewness‐return relationship
by Chin‐Ho Chen - 1456-1477 Specification analysis of VXX option pricing models under Lévy processes
by Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang - 1478-1494 Fractional cointegration in bitcoin spot and futures markets
by Jinghong Wu & Ke Xu & Xinwei Zheng & Jian Chen
August 2021, Volume 41, Issue 8
- 1179-1179 Editor's Note
by Robert I. Webb - 1180-1200 Pricing VIX options with realized volatility
by Chen Tong & Zhuo Huang - 1201-1219 Jumps in foreign exchange spot rates and the informational efficiency of currency forwards
by Gbenga Ibikunle & Vito Mollica & Qiao Sun - 1220-1240 Smile‐implied hedging with volatility risk
by Pascal François & Lars Stentoft - 1241-1267 Intermediary asset pricing in currency carry trade returns
by Libo Yin & Jing Nie - 1268-1285 How does skewness perform in the Chinese commodity futures market?
by Xue Jiang & Liyan Han & Yang Xu - 1286-1300 The pricing mechanism between ETF option and spot markets in China
by Da Dong & Qingfu Liu & Pingping Tao & Zhiliang Ying - 1301-1314 The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth
by Alex Frino & Dionigi Gerace & Masud Behnia - 1315-1332 Effects of investor attention in China's commodity futures markets
by Ming‐Hung Wu & Wei‐Che Tsai & Pei‐Shih Weng & Dan‐Yi Li - 1333-1347 How trading in commodity futures option markets impacts commodity futures prices
by Xingguo Luo & Yuting Lin & Xiaoli Yu & Feng He
July 2021, Volume 41, Issue 7
- 987-1006 Kelly trading and option pricing
by Hans‐Peter Bermin & Magnus Holm - 1007-1026 Valuation of bitcoin options
by Melanie Cao & Batur Celik - 1027-1054 Forty years of the Journal of Futures Markets: A bibliometric overview
by H. Kent Baker & Satish Kumar & Nitesh Pandey - 1055-1073 Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market
by Bin Wu & Pengzhan Chen & Wuyi Ye - 1074-1091 Pricing and calibration of the futures options market: A unified approximation
by Xiaotong Lian & Yingda Song - 1092-1123 Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?
by Sanjay Sehgal & Neharika Sobti & Florent Diesting - 1124-1153 Effects of structural changes on the prediction of downside volatility in futures markets
by Xu Gong & Boqiang Lin - 1154-1176 Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options
by Sol Kim
June 2021, Volume 41, Issue 6
- 785-810 VIX term structure: The role of jump propagation risks
by Xinglin Yang & Ji Chen - 811-874 New evidence on commodity stocks
by Charoula Daskalaki - 875-894 When it pays to follow the crowd: Strategy conformity and CTA performance
by Nicolas P. B. Bollen & Mark C. Hutchinson & John O'Brien - 895-925 Time‐varying dynamics of expected shortfall in commodity futures markets
by Julia S. Mehlitz & Benjamin R. Auer - 926-948 Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures
by Yu‐Lun Chen & Yen‐Hsien Lee & Robin K. Chou & Ya‐Kai Chang - 949-984 Efficiency in the Atlantic salmon futures market
by Bendik P. Andersen & Petter E. de Lange
May 2021, Volume 41, Issue 5
- 559-576 Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility
by Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh - 577-640 Intermediary capital risk and commodity futures volatility
by Libo Yin & Jing Nie & Liyan Han - 641-657 Credit risk in derivative securities: A simplified approach
by Rainer Baule - 658-685 Informed options trading around holidays
by Doojin Ryu & Jinyoung Yu - 686-709 Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank
by Raymond Kim - 710-735 On the computation of hedging strategies in affine GARCH models
by Maciej Augustyniak & Alexandru Badescu - 736-757 Determinants of the WTI‐Brent price spread revisited
by Jerome Geyer‐Klingeberg & Andreas W. Rathgeber - 758-782 Managing volatility in commodity momentum
by Qi Xu & Ying Wang
April 2021, Volume 41, Issue 4
- 439-457 The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps
by Xiaoyu Tan & Chengxiang Wang & Wei Lin & Jin E. Zhang & Shenghong Li & Xuejun Zhao & Zili Zhang - 458-477 A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps
by Fangsheng Yin & Yang Bian & Tianyi Wang - 478-492 Off‐market block trades: New evidence on transparency and information efficiency
by Alex Frino - 493-513 Quantile information share under Markov regime‐switching
by Donald Lien & Ziling Wang & Xiaojian Yu - 514-535 American option pricing: Optimal Lattice models and multidimensional efficiency tests
by Qianru Shang & Brian Byrne - 536-555 Price discovery in chinese agricultural futures markets: A comprehensive look
by Jian Yang & Zheng Li & Tao Wang - 556-556 Erratum to “An analytical perturbative solution to the Merton Garman model using symmetries”
by Xavier Calmet & Nathaniel Wiesendanger Shaw
March 2021, Volume 41, Issue 3
- 289-289 Editor's Note
by Robert I. Webb - 290-324 Semivariance and semiskew risk premiums in currency markets
by José Da Fonseca & Edem Dawui - 325-348 Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange
by Yi‐Wei Chuang & Wei‐Che Tsai & Pei‐Shih Weng & Chi Yin - 349-360 Estimation of stochastic volatility and option prices
by Suk Joon Byun & Jung‐Soon Hyun & Woon Jun Sung - 361-383 Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry
by Sanghak Choi & Hyeonung Jang & Daejin Kim & Byoung Ki Seo - 384-405 Hedging operating and financing risk with financial derivatives during the global financial crisis
by Sung C. Bae & Taek Ho Kwon - 406-436 The traders' rule and long‐term options
by Sol Kim & In Jung Song
February 2021, Volume 41, Issue 2
- 159-178 Volatility‐managed commodity futures portfolios
by Jangkoo Kang & Kyung Yoon Kwon - 179-193 Stock market reactions to different types of oil shocks: Evidence from China
by Jin Boon Wong - 194-225 Bitcoin spot and futures market microstructure
by Saketh Aleti & Bruce Mizrach - 226-244 Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896
by Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski - 245-265 Volatility‐of‐volatility risk in the crude oil market
by Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao - 266-285 Optimal portfolio allocation using option‐implied information
by Maria Kyriacou & Jose Olmo & Marius Strittmatter
January 2021, Volume 41, Issue 1
- 3-26 The Chinese warrant bubble: A fundamental analysis
by Yintian Wang & Guofu Zhou & Yingzi Zhu - 27-45 The impact of net buying pressure on index options prices
by Doojin Ryu & Doowon Ryu & Heejin Yang - 46-71 Forecasting equity returns: The role of commodity futures along the supply chain
by Chenchen Li & Chongfeng Wu & Chunyang Zhou - 72-104 The implied volatility smirk of commodity options
by Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang - 105-114 The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets
by Takahiro Hattori & Ryo Ishida - 115-134 Impact of bitcoin futures on the informational efficiency of bitcoin spot market
by Andrei Shynkevich - 135-156 VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
by Qi Wang & Zerong Wang
December 2020, Volume 40, Issue 12
- 1809-1824 Is the synthetic stock price really lower than actual price?
by Jianfeng Hu - 1825-1860 Can commodity futures risk factors predict economic growth?
by Jangkoo Kang & Kyung Yoon Kwon - 1861-1879 Bitcoin and sentiment
by Hoje Jo & Haehean Park & Hersh Shefrin - 1880-1917 Valuation of VIX and target volatility options with affine GARCH models
by Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman - 1918-1934 Stochastic multifactor models in risk management of energy futures
by Zi‐Yi Guo
November 2020, Volume 40, Issue 11
- 1647-1647 Editor's Note
by Robert I. Webb - 1648-1664 Skewness and index futures return
by Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang - 1665-1690 Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares
by Xingguo Luo & Xiaoli Yu & Shihua Qin & Qi Xu - 1691-1710 Benchmarks in the spotlight: The impact on exchange traded markets
by Angelo Aspris & Sean Foley & Peter O'Neill - 1711-1730 Intermediary asset pricing in commodity futures returns
by Libo Yin & Jing Nie & Liyan Han - 1731-1750 Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong
by Adrian C. H. Lei & Xiaorong Ma & Martin H. Y. Yick - 1751-1766 The market quality of commodity futures markets
by Qingfu Liu & Qian Luo & Yiuman Tse & Yuchi Xie - 1767-1792 Volatility and jump risk in option returns
by Biao Guo & Hai Lin - 1793-1806 Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures
by Edward Curran & Jack Hunt & Vito Mollica
October 2020, Volume 40, Issue 10
- 1459-1485 When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests
by Scott Fung & Robert Loveland - 1486-1507 Night trading and market quality: Evidence from Chinese and US precious metal futures markets
by Ying Jiang & Neil Kellard & Xiaoquan Liu - 1508-1534 Modeling VXX under jump diffusion with stochastic long‐term mean
by Sebastian A. Gehricke & Jin E. Zhang - 1535-1547 A simple method for extracting the probability of default from American put option prices
by Bo Young Chang & Greg Orosi - 1548-1561 Dynamic programming for valuing American options under a variance‐gamma process
by Hatem Ben‐Ameur & Rim Chérif & Bruno Rémillard - 1562-1583 Enhancing managerial equity incentives with moving average payoffs
by Yisong S. Tian - 1584-1602 Forecasting bitcoin volatility: Evidence from the options market
by Lai T. Hoang & Dirk G. Baur - 1603-1630 Earnings announcement timing, uncertainty, and volatility risk premiums
by Tom Adams & Thaddeus Neururer - 1631-1644 The sensitivity of trading to the cost of information
by Alex Frino & Ognjen Kovačević & Vito Mollica & Robert I. Webb
September 2020, Volume 40, Issue 9
- 1315-1336 Liquidity shocks, commodity financialization, and market comovements
by Conghui Hu & Zhibing Li & Xiaoyu Liu - 1337-1353 Bid and ask prices of index put options: Which predicts the underlying stock returns?
by Jian Chen & Yangshu Liu - 1354-1374 Metal prices made in China? A network analysis of industrial metal futures
by Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther - 1375-1397 The role of financial investors in determining the commodity futures risk premium
by Mohammad Isleimeyyeh - 1398-1419 When trading options is not the only option: The effects of single‐stock futures trading on options market quality
by George J. Jiang & Yoshiki Shimizu & Cuyler Strong - 1420-1441 Samuelson hypothesis, arbitrage activity, and futures term premiums
by Robert Brooks & Pavel Teterin - 1442-1456 A revisit to the hedge and safe haven properties of gold: New evidence from China
by Lei Ming & Xinran Zhang & Qianqiu Liu & Shenggang Yang
August 2020, Volume 40, Issue 8
- 1211-1211 Editor's Note
by Robert I. Webb - 1212-1230 The effect of oil price shocks on asset markets: Evidence from oil inventory news
by Ron Alquist & Reinhard Ellwanger & Jianjian Jin - 1231-1263 Trading and information in futures markets
by Guillermo Llorente & Jiang Wang - 1264-1281 Characterizing the hedging policies of commodity price‐sensitive corporations
by Raphaël H. Boroumand & Stéphane Goutte & Ehud I. Ronn - 1282-1311 Oil jump risk
by Nima Ebrahimi & Craig Pirrong
July 2020, Volume 40, Issue 7
- 1031-1048 Trader networks and options risk management
by Naomi Boyd & Peter Locke & Li Sun - 1049-1071 Hedging costs and joint determinants of premiums and spreads in structured financial products
by Oliver Entrop & Georg Fischer - 1072-1089 Return predictability of variance differences: A fractionally cointegrated approach
by Zhenxiong Li & Marwan Izzeldin & Xingzhi Yao - 1090-1108 Optimal futures hedging for energy commodities: An application of the GAS model
by Yingying Xu & Donald Lien - 1109-1126 Uncertainty and the volatility forecasting power of option‐implied volatility
by Byounghyun Jeon & Sung Won Seo & Jun Sik Kim - 1127-1159 Volatility forecasts embedded in the prices of crude‐oil options
by Dudley Gilder & Leonidas Tsiaras - 1160-1175 The theory of storage in the crude oil futures market, the role of financial conditions
by Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera - 1176-1191 The impact of trading restrictions and margin requirements on stock index futures
by Jianqiang Hu & Tianxiang Wang & Wenwei Hu & Jun Tong - 1192-1208 Old crop versus new crop prices: Explaining the correlation
by Francisco Arroyo Marioli
June 2020, Volume 40, Issue 6
- 841-859 Volatility as an asset class: Holding VIX in a portfolio
by James S. Doran - 860-884 Return and volatility transmission between China's and international crude oil futures markets: A first look
by Jian Yang & Yinggang Zhou - 885-894 Bank risk‐taking and market discipline: Evidence from CoCo bonds in Korea
by Younghwan Lee & Haerang Park - 895-927 Does corporate hedging affect firm valuation? Evidence from the IPO market
by Zheng Qiao & Chongwu Xia & Lei Zhang - 928-944 Pricing VIX options with volatility clustering
by Bo Jing & Shenghong Li & Yong Ma - 945-973 Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices
by Jiling Cao & Xinfeng Ruan & Wenjun Zhang - 974-988 Repeated Richardson extrapolation and static hedging of barrier options under the CEV model
by Jia‐Hau Guo & Lung‐Fu Chang - 989-1010 Index options open interest and stock market returns
by Sung Won Seo & Suk Joon Byun & Jun Sik Kim - 1011-1029 When is informed trading more prevalent?—An examination of options trading around Indian M&A announcements
by Soniya Mohil & Reena Nayyar & Archana Patro
May 2020, Volume 40, Issue 5
- 709-709 Editor's Note
by Robert I. Webb - 710-721 The risk of betting on risk: Conditional variance and correlation of bank credit default swaps
by Xin Huang - 722-748 Impact of international energy prices on China's industries
by Jin Boon Wong & Qin Zhang - 749-760 Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives
by Alex Frino & Michael Garcia & Zeyang Zhou