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Content
May 2020, Volume 40, Issue 5
- 761-775 Show me the money: Option moneyness concentration and future stock returns
by Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor - 776-803 Informed options trading on the implied volatility surface: A cross‐sectional approach
by Baeho Kim & Da‐Hea Kim & Haehean Park - 804-815 Predictive abilities of speculators in energy markets
by Yulia Merkoulova - 816-837 The determinants of price discovery on bitcoin markets
by Oliver Entrop & Bart Frijns & Marco Seruset
April 2020, Volume 40, Issue 4
- 503-526 Pricing and integration of credit default swap index tranches
by Andrew Carverhill & Dan Luo - 527-555 Volatility term structures in commodity markets
by Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig - 556-574 Efficient trinomial trees for local‐volatility models in pricing double‐barrier options
by U Hou Lok & Yuh‐Dauh Lyuu - 575-597 Speculative pressure
by John Hua Fan & Adrian Fernandez‐Perez & Ana‐Maria Fuertes & Joëlle Miffre - 598-616 Estimating the connectedness of commodity futures using a network approach
by Binqing Xiao & Honghai Yu & Libing Fang & Sifang Ding - 617-631 Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification
by Atle Oglend & Hans‐Martin Straume - 632-650 Intraday time‐series momentum: Evidence from China
by Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang - 651-670 Yield curve risks in currency carry forwards
by Seungho Baek & Jeong Wan Lee & Kyong Joo Oh & Myoungji Lee - 671-706 The untold story of commodity futures in China
by John Hua Fan & Tingxi Zhang
March 2020, Volume 40, Issue 3
- 279-307 Arbitrage opportunities, liquidity provision, and trader types in an index option market
by Chin‐Ho Chen & Junmao Chiu & Huimin Chung - 308-328 A rare move: The effects of switching from a closing call auction to a continuous trading
by Ya‐Kai Chang & Robin K. Chou & J. Jimmy Yang - 329-354 Pricing VIX derivatives with infinite‐activity jumps
by Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang - 355-373 Does trade size restriction affect trading behavior? Evidence from Indian single stock futures market
by Anirban Banerjee & Ashok Banerjee - 374-391 The impact of soft intervention on the Chinese financial futures market
by Jimmy E. Hilliard & Haoran Zhang - 392-409 Systemic risk in global volatility spillover networks: Evidence from option‐implied volatility indices
by Zihui Yang & Yinggang Zhou & Xin Cheng - 410-429 Analytical valuation of Asian options with counterparty risk under stochastic volatility models
by Xingchun Wang - 430-459 A novel risk management framework for natural gas markets
by Panos K. Pouliasis & Ilias D. Visvikis & Nikos C. Papapostolou & Alexander A. Kryukov - 460-478 Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions
by Chunyang Zhou & Chongfeng Wu & Weidong Xu - 479-500 Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets
by Vijay Singal & Jitendra Tayal
February 2020, Volume 40, Issue 2
- 163-163 Editor's Note
by Robert I. Webb - 164-191 Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market
by Jangkoo Kang & Kyung Yoon Kwon & Wooyeon Kim - 192-208 Heterogeneity and netting efficiency under central clearing: A stochastic network analysis
by Injun Hwang & Baeho Kim - 209-227 The impact of net buying pressure on VIX option prices
by Yi‐Wei Chuang & Wei‐Che Tsai & Ming‐Hung Wu - 228-246 Are disposition effect and skew preference correlated? Evidence from account‐level ELW transactions
by Youngsoo Choi & Woojin Kim & Eunji Kwon - 247-275 Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
by Hyun Jin Jang & Kiseop Lee & Kyungsub Lee
January 2020, Volume 40, Issue 1
- 3-22 An analytical perturbative solution to the Merton–Garman model using symmetries
by Xavier Calmet & Nathaniel Wiesendanger Shaw - 23-43 BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
by Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn - 44-66 Programs trades and trade regulation: An evidence of the Korean securities market
by Cheoljun Eom & Steven J. Jordan & Woo‐Baik Lee & Jong Won Park - 67-91 What do we know about individual equity options?
by Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang - 92-125 The externalities of credit default swaps on stock return synchronicity
by Ran Zhao & Lu Zhu - 126-144 The time‐to‐maturity pattern of futures price sensitivity to news
by Hoang‐Long Phan & Ralf Zurbruegg - 145-159 Return dynamics during periods of high speculation in a thinly traded commodity market
by Martin T. Bohl & Martin Stefan
December 2019, Volume 39, Issue 12
- 1489-1514 How about selling commodity futures losers?
by Jangkoo Kang & Kyung Yoon Kwon - 1515-1528 Time‐series momentum in China's commodity futures market
by Hyuna Ham & Hoon Cho & Hyeongjun Kim & Doojin Ryu - 1529-1548 Flexible covariance dynamics, high‐frequency data, and optimal futures hedging
by Yu‐Sheng Lai - 1549-1564 Oil price volatility and real options: 35 years of evidence
by John Elder - 1565-1586 Multivariate realized volatility forecasts of agricultural commodity futures
by Jiawen Luo & Langnan Chen - 1587-1612 Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
by Shan Lu - 1613-1632 Hedging performance of multiscale hedge ratios
by Jahangir Sultan & Antonios K. Alexandridis & Mohammad Hasan & Xuxi Guo
November 2019, Volume 39, Issue 11
- 1347-1347 Editor's Note
by Robert I. Webb - 1348-1359 Volatility index and the return–volatility relation: Intraday evidence from Chinese options market
by Jupeng Li & Xiaoli Yu & Xingguo Luo - 1360-1382 A smiling bear in the equity options market and the cross‐section of stock returns
by Haehean Park & Baeho Kim & Hyeongsop Shim - 1383-1393 Market quality and the connectedness of steel rebar and other industrial metal futures in China
by Ivan Indriawan & Qingfu Liu & Yiuman Tse - 1394-1434 High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures
by Jing Nie - 1435-1449 Can skewness of the futures‐spot basis predict currency spot returns?
by Xue Jiang & Liyan Han & Libo Yin - 1450-1470 How do US options traders “smirk” on China? Evidence from FXI options
by Jianhui Li & Sebastian A. Gehricke & Jin E. Zhang - 1471-1485 Derivatives pricing with liquidity risk
by Yongmin Zhang & Shusheng Ding & Meryem Duygun
October 2019, Volume 39, Issue 10
- 1193-1213 Instantaneous squared VIX and VIX derivatives
by Xingguo Luo & Jin E. Zhang & Wenjun Zhang - 1214-1227 A dimension‐invariant cascade model for VIX futures
by Zhiguang Wang & Brice Dupoyet - 1228-1249 Illiquidity transmission from spot to futures markets
by Olaf Korn & Paolo Krischak & Erik Theissen - 1250-1268 Options pricing and short‐selling in the underlying: Evidence from India
by Alok Dixit & Vipul & Shivam Singh - 1269-1300 Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs
by Jieye Qin & Christopher J. Green & Kavita Sirichand - 1301-1321 Does maturity matter? The case of treasury futures volume
by Doina Chichernea & Kershen Huang & Alex Petkevich - 1322-1343 Information share and its predictability in the Indian stock market
by Madhusudan Karmakar & Sarveshwar Inani
September 2019, Volume 39, Issue 9
- 1035-1055 Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures
by Scott Mixon & Esen Onur - 1056-1084 Pricing executive stock options with averaging features under the Heston–Nandi GARCH model
by Zhiwei Su & Xingchun Wang - 1085-1106 Is options trading informed? Evidence from credit rating change announcements
by Jun Zhang - 1107-1121 Price discovery in commodity derivatives: Speculation or hedging?
by Marc J. M. Bohmann & David Michayluk & Vinay Patel - 1122-1136 The evolution of price discovery in us equity and derivatives markets
by Damien Wallace & Petko S. Kalev & Guanhua Lian - 1137-1166 Robust estimation of risk‐neutral moments
by Manuel Ammann & Alexander Feser - 1167-1189 Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
by František Čech & Jozef Baruník
August 2019, Volume 39, Issue 8
- 919-919 Editor's Note
by Robert I. Webb - 921-945 Economic uncertainty, trading activity, and commodity futures volatility
by Sumudu W. Watugala - 946-961 On commodity price limits
by Rajkumar Janardanan & Xiao Qiao & K. Geert Rouwenhorst - 962-984 An analysis of illiquidity in commodity markets
by Sungjun Cho & Chanaka N. Ganepola & Ian Garrett - 985-1007 Block trades in options markets
by Eleni Gousgounis & Sayee Srinivasan - 1008-1031 The formation of forward freight agreement rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations
by Ioannis C. Moutzouris & Nikos K. Nomikos
July 2019, Volume 39, Issue 7
- 779-802 The impact of the US stock market opening on price discovery of government bond futures
by Ivan Indriawan & Feng Jiao & Yiuman Tse - 803-817 Price discovery in bitcoin spot or futures?
by Dirk G. Baur & Thomas Dimpfl - 818-837 The quantile dependence of commodity futures markets on news sentiment
by Akihiro Omura & Neda Todorova - 838-864 Corporate risk exposures, disclosure, and derivatives use: A longitudinal study
by Ekaterina E. Emm & Gerald D. Gay & Honglin Ren - 865-889 Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?
by Tore S. Kleppe & Atle Oglend - 890-915 Jump variance risk: Evidence from option valuation and stock returns
by Hsuan‐Ling Chang & Yen‐Cheng Chang & Hung‐Wen Cheng & Po‐Hsiang Peng & Kevin Tseng
June 2019, Volume 39, Issue 6
- 635-655 Pricing variance swaps under the Hawkes jump‐diffusion process
by Weiyi Liu & Song‐Ping Zhu - 656-685 The impacts of public news announcements on intraday implied volatility dynamics
by Jieun Lee & Doojin Ryu - 686-703 Institutional quality and sovereign credit default swap spreads
by Wei Huang & Shu Lin & Jian Yang - 704-720 Valuation and applications of compound basket options
by Kwangil Bae - 721-743 Losers and prospectors in the short‐term options market
by Arjun Chatrath & Rohan A. Christie‐David & Hong Miao & Sanjay Ramchander - 744-776 Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model
by Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang
May 2019, Volume 39, Issue 5
- 537-537 Editor's Note
by Robert I. Webb - 538-552 Regime switching rough Heston model
by Mesias Alfeus & Ludger Overbeck & Erik Schlögl - 553-578 Contrarians or momentum chasers? Individual investors’ behavior when trading exchange‐traded funds
by Carlo Da Dalt & David Feldman & Gerald Garvey & Peter Joakim Westerholm - 579-589 Informed trading around earnings announcements—Spot, futures, or options?
by Sonali Jain & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Ajay Pandey - 590-599 Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation
by Alex Frino & Ognjen Kovačević & Vito Mollica - 600-611 Volatility of volatility is (also) rough
by José Da Fonseca & Wenjun Zhang - 612-631 Properties and the predictive power of implied volatility in the New Zealand dairy market
by Adrian Fernandez‐Perez & Bart Frijns & Ilnara Gafiatullina & Alireza Tourani‐Rad
April 2019, Volume 39, Issue 4
- 405-417 Speculation and volatility—A time‐varying approach applied on Chinese commodity futures markets
by Claudia Wellenreuther & Jan Voelzke - 418-434 Semistatic hedging and pricing American floating strike lookback options
by San‐Lin Chung & Yi‐Ta Huang & Pai‐Ta Shih & Jr‐Yan Wang - 435-460 The term structure of systematic and idiosyncratic risk
by Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen - 461-480 Economic policy uncertainty, CDS spreads, and CDS liquidity provision
by Xinjie Wang & Weike Xu & Zhaodong (Ken) Zhong - 481-498 How to hedge if the payment date is uncertain?
by Olaf Korn & Alexander Merz - 499-521 Improving momentum strategies using residual returns and option‐implied information
by Ming‐Yu Liu - 522-534 The trilogy of China cotton markets: The lead–lag relationship among spot, forward, and futures markets
by Mert Demir & Terrence F. Martell & Jun Wang
March 2019, Volume 39, Issue 3
- 263-278 When stock futures dominate price discovery
by Nidhi Aggarwal & Susan Thomas - 279-301 Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan
by Yi‐Wei Chuang & Yu‐Fen Lin & Pei‐Shih Weng - 302-321 Variance and skew risk premiums for the volatility market: The VIX evidence
by José Da Fonseca & Yahua Xu - 322-341 Long‐term dynamics of the VIX index and its tradable counterpart VXX
by Milan Bašta & Peter Molnár - 342-365 Pricing and issuance dependencies in structured financial product portfolios
by Matthias Pelster & Andrea Schertler - 366-383 Do country risk and financial uncertainty matter for energy commodity futures?
by Chien‐Chiang Lee & Chi‐Chuan Lee & Donald Lien - 384-401 Market openness and market quality in gold markets
by Caihong Xu & Dong Zhang
February 2019, Volume 39, Issue 2
- 150-163 Indian equity options: Smile, risk premiums, and efficiency
by Sonali Jain & Jayanth R. Varma & Sobhesh Kumar Agarwalla - 164-185 Settlement procedures and stock market efficiency
by Emily Lin & Carl R. Chen - 186-204 Hyperbolic normal stochastic volatility model
by Jaehyuk Choi & Chenru Liu & Byoung Ki Seo - 205-237 Do hedge funds time market tail risk? Evidence from option‐implied tail risk
by Jung‐Soon Shin & Minki Kim & Dongjun Oh & Tong Suk Kim - 238-259 Price discovery among SSE 50 Index‐based spot, futures, and options markets
by Kwangwon Ahn & Yingyao Bi & Sungbin Sohn
January 2019, Volume 39, Issue 1
- 3-14 Robust upper bounds for American put options
by Ye Du & Shan Xue & Yanchu Liu - 15-37 Withdrawn: A general jump‐diffusion process to price volatility derivatives
by Cheng Yan & Bo Zhao - 38-55 Quantile information share
by Donald Lien & Zijun Wang - 56-71 Volatility information implied in the term structure of VIX
by Kai‐Jiun Chang & Mao‐Wei Hung & Yaw‐Huei Wang & Kuang‐Chieh Yen - 72-93 VIX term structure and VIX futures pricing with realized volatility
by Zhuo Huang & Chen Tong & Tianyi Wang - 94-108 Option‐implied betas and the cross section of stock returns
by Richard D. F. Harris & Xuguang Li & Fang Qiao - 109-127 Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?
by Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl - 128-146 Correlation risk and international portfolio choice
by Nicole Branger & Matthias Muck & Stefan Weisheit
December 2018, Volume 38, Issue 12
- 1443-1469 Trader types and fleeting orders: Evidence from Taiwan Futures Exchange
by Wei‐Yu Kuo & Ching‐Ting Lin - 1470-1486 An efficient and stable method for short maturity Asian options
by Rupak Chatterjee & Zhenyu Cui & Jiacheng Fan & Mingzhe Liu - 1487-1513 Excess returns to buying low options‐volume stocks and selling high options‐volume stocks: Information or characteristics?
by Li Cai & Jian Du - 1514-1532 Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model
by Donald Lien & Hsiang‐Tai Lee & Her‐Jiun Sheu - 1533-1548 The directional information content of options volumes
by Doojin Ryu & Heejin Yang - 1549-1564 Asymmetric spot‐futures price adjustments in grain markets
by Zhige Wu & Alex Maynard & Alfons Weersink & Getu Hailu
November 2018, Volume 38, Issue 11
- 1284-1312 Model specification and collateralized debt obligation (mis)pricing
by Dan Luo & Dragon Yongjun Tang & Sarah Qian Wang - 1313-1333 Equity index futures trading and stock price crash risk: Evidence from Chinese markets
by Jinyu Liu & Rui Zhong - 1334-1369 Jump risk and option liquidity in an incomplete market
by PeiLin Hsieh & QinQin Zhang & Yajun Wang - 1370-1390 Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model
by Yu‐Sheng Lai - 1391-1406 Multivariate constrained robust M‐regression for shaping forward curves in electricity markets
by Peter Leoni & Pieter Segaert & Sven Serneels & Tim Verdonck - 1407-1439 Volatility and correlation timing: The role of commodities
by Panos K. Pouliasis & Nikos C. Papapostolou
October 2018, Volume 38, Issue 10
- 1179-1188 Price discovery in short‐term interest rate markets: Futures versus swaps
by Alex Frino & Michael Garcia - 1189-1205 From funding liquidity to market liquidity: Evidence from the index options market
by Chunbo Liu & Cheng Zhang & Zhiping Zhou - 1206-1226 Information about price and volatility jumps inferred from options prices
by Stephen J. Taylor & Chi‐Feng Tzeng & Martin Widdicks - 1227-1245 Policy impact on volatility dynamics in commodity futures markets: Evidence from China
by Yongmin Zhang & Shusheng Ding & Eric Scheffel - 1246-1261 Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors
by Yang Liu & Liyan Han & Libo Yin - 1262-1281 Price discovery in the Chinese gold market
by Muzhao Jin & Youwei Li & Jianxin Wang & Yung Chiang Yang
September 2018, Volume 38, Issue 9
- 998-1023 Pairs‐trading and spread persistence in the European stock market
by Isabel Figuerola‐Ferretti & Ioannis Paraskevopoulos & Tao Tang - 1024-1042 Is stock return predictability of option‐implied skewness affected by the market state?
by Tong Suk Kim & Heewoo Park - 1043-1061 An approximation formula for normal implied volatility under general local stochastic volatility models
by Yasaman Karami & Kenichiro Shiraya - 1062-1078 A hybrid information approach to predict corporate credit risk
by Di Bu & Simone Kelly & Yin Liao & Qing Zhou - 1079-1096 What drives informed trading before public releases? Evidence from natural gas inventory announcements
by Chen Gu & Alexander Kurov - 1097-1125 Good jump, bad jump, and option valuation
by Xinglin Yang - 1126-1151 VIX futures pricing with conditional skewness
by Xinglin Yang & Peng Wang - 1152-1175 Modeling temperature behaviors: Application to weather derivative valuation
by Jr‐Wei Huang & Sharon S. Yang & Chuang‐Chang Chang
August 2018, Volume 38, Issue 8
- 841-864 The effect of settlement rules on the incentive to Bang the Close
by Esen Onur & David Reiffen - 865-880 Market uncertainty and market orders in futures markets
by Matthew C. Chang & Chih‐Ling Tsai & Rebecca Chung‐Fern Wu & Ning Zhu - 881-897 Volatility jumps and macroeconomic news announcements
by Kam F. Chan & Philip Gray - 898-924 A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process
by San‐Lin Chung & Jr‐Yan Wang - 925-942 Short‐selling and credit default swap spreads—Where do informed traders trade?
by Steven Lecce & Andrew Lepone & Michael D. McKenzie & Jin Boon Wong & Jin Y. Yang - 943-957 Call options with concave payoffs: An application to executive stock options
by Kwangil Bae & Jangkoo Kang & Hwa‐Sung Kim - 958-976 Modeling VXX
by Sebastian A. Gehricke & Jin E. Zhang - 977-995 Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing
by Hendrik Hülsbusch & Alexander Kraftschik
July 2018, Volume 38, Issue 7
- 757-757 Editor's Note
by Robert I. Webb - 758-774 Volatility discovery and volatility quoting on markets for options and warrants
by Rainer Baule & Bart Frijns & Milena E. Tieves - 775-787 Should macroeconomic information be released during trading breaks in futures markets?
by Alex Frino & Michael Garcia - 788-803 Return predictability and contrarian profits of international index futures
by Yiuman Tse - 804-821 Bank risk, financial stress, and bank derivative use
by Barbara A. Bliss & Jeffrey A. Clark & R. Jared DeLisle - 822-838 VIX futures calendar spreads
by Ai Jun Hou & Lars L. Nordén
June 2018, Volume 38, Issue 6
- 627-644 Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options
by Jaehyuk Choi - 645-672 Are there gains from using information over the surface of implied volatilities?
by Biao Guo & Qian Han & Hai Lin - 673-695 Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures
by Stuart Snaith & Neil M. Kellard & Norzalina Ahmad - 696-714 The impact of data frequency on market efficiency tests of commodity futures prices
by Xuedong Wu & Jeffrey H. Dorfman & Berna Karali - 715-730 Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan
by Ging‐Ginq Pan & Yung‐Ming Shiu & Tu‐Cheng Wu - 731-753 Central clearing and CDS market quality
by Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira
May 2018, Volume 38, Issue 5
- 513-534 Macroeconomic news announcements, systemic risk, financial market volatility, and jumps
by Xin Huang - 535-548 Determinants of intraday price discovery in VIX exchange traded notes
by Adrian Fernandez‐Perez & Bart Frijns & Ilnara Gafiatullina & Alireza Tourani‐Rad - 549-562 Price discovery dynamics in European agricultural markets
by Philipp Adämmer & Martin T. Bohl - 563-585 Asymmetric and nonlinear dynamics in sovereign credit risk markets
by Geoffrey M. Ngene & Parker Benefield & Allen K. Lynch - 586-606 On full calibration of hybrid local volatility and regime‐switching models
by Xin‐Jiang He & Song‐Ping Zhu - 607-624 Quadratic approximation of the slow factor of volatility in a multifactor stochastic volatility model
by Gifty Malhotra & R. Srivastava & H. C. Taneja
April 2018, Volume 38, Issue 4
- 424-424 Editor's Note
by Robert I. Webb - 425-445 A comprehensive look at the return predictability of variance risk premia
by Suk Joon Byun & Bart Frijns & Tai‐Yong Roh - 446-467 Currency derivatives for hedging: New evidence on determinants, firm risk, and performance
by Sung C. Bae & Hyeon Sook Kim & Taek Ho Kwon - 468-477 Investor sentiment and the Chinese index futures market: Evidence from the internet search
by Xiaolin Wang & Qiang Ye & Feng Zhao & Yi Kou - 478-492 Investor attention and stock market under‐reaction to earnings announcements: Evidence from the options market
by Xuewu Wesley Wang & Zhipeng Yan & Qunzi Zhang & Xuechen Gao - 493-510 The information content of option‐implied tail risk on the future returns of the underlying asset
by Yaw‐Huei Wang & Kuang‐Chieh Yen
March 2018, Volume 38, Issue 3
- 290-339 Structural breaks and volatility forecasting in the copper futures market
by Xu Gong & Boqiang Lin - 340-358 Benchmarking commodity investments
by Jesse Blocher & Ricky Cooper & Marat Molyboga - 359-372 The weather premium in the U.S. corn market
by Ziran Li & Dermot J. Hayes & Keri L. Jacobs - 373-389 Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures
by Jędrzej Białkowski & Jan Koeman - 390-412 Optionable Stocks and Mutual Fund Performance
by Chune Young Chung & Doojin Ryu & Kainan Wang & Blerina Bela Zykaj - 413-422 The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach
by Libing Fang & Baizhu Chen & Honghai Yu & Yichuo Qian
February 2018, Volume 38, Issue 2
- 158-174 An analysis on the intraday trading activity of VIX derivatives
by Dian‐Xuan Kao & Wei‐Che Tsai & Yaw‐Huei Wang & Kuang‐Chieh Yen - 175-198 Do investors use options and futures to trade on different types of information? Evidence from an aggregate stock index
by Kyoung‐Hun Bae & Peter Dixon - 199-218 Forecasting using alternative measures of model‐free option‐implied volatility
by Xingzhi Yao & Marwan Izzeldin - 219-242 Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
by Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu - 243-270 Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market
by Yue Zhao & Difang Wan - 271-288 Options‐based benchmark indices—A review of performance and (in)appropriate measures
by Markus Natter
January 2018, Volume 38, Issue 1
- 3-21 Need for speed: Hard information processing in a high‐frequency world
by S. Sarah Zhang - 22-37 Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market
by Michèle Breton & Ramzi Ben‐Abdallah - 38-65 The impact of crude oil inventory announcements on prices: Evidence from derivatives markets
by Hong Miao & Sanjay Ramchander & Tianyang Wang & Jian Yang - 66-82 Are single stock futures used as an alternative during a short‐selling ban?
by Bouchra Benzennou & Owain ap Gwilym & Gwion Williams - 83-103 Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices
by Rui Fan & Stephen J. Taylor & Matteo Sandri - 104-128 Catastrophe futures and reinsurance contracts: An incomplete markets approach
by Stylianos Perrakis & Ali Boloorforoosh - 129-155 Price discovery in dual‐class shares across multiple markets
by Marcelo Fernandes & Cristina M. Scherrer
December 2017, Volume 37, Issue 12
- 1155-1178 Pricing Vulnerable Options with Jump Clustering
by Yong Ma & Keshab Shrestha & Weidong Xu - 1179-1204 Oil and stock markets before and after financial crises: A local Gaussian correlation approach
by Georgios Bampinas & Theodore Panagiotidis - 1205-1225 Do futures prices help forecast the spot price?
by Xin Jin - 1226-1254 Do trend following strategies work in Chinese futures markets?
by Bin Li & Di Zhang & Yang Zhou