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November 2017, Volume 37, Issue 11
- 1053-1093 Informed Trading in the Options Market and Stock Return Predictability
by JoongHo Han & Da‐Hea Kim & Suk‐Joon Byun - 1094-1123 Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market
by Junmao Chiu & Huimin Chung & George H. K. Wang - 1124-1140 A Multivariate Markov Regime‐Switching High‐Frequency‐Based Volatility Model for Optimal Futures Hedging
by Yu‐Sheng Lai & Her‐Jiun Sheu & Hsiang‐Tai Lee - 1141-1152 Forecasting the volatility of Nikkei 225 futures
by Manabu Asai & Michael McAleer
October 2017, Volume 37, Issue 10
- 963-963 Editor's Note
by Robert I. Webb - 964-988 The joint credit risk of UK global‐systemically important banks
by Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao - 989-1002 The dynamic correlations between the G7 economies and China: Evidence from both realized and implied volatilities
by Xingguo Luo & Xuyuanda Qi - 1003-1030 Index futures trading and spot volatility in China: A semiparametric approach with range‐based proxies
by Na Tan & Yulei Peng & Yanchu Liu & Zhewen Pan - 1031-1049 The effects of investor attention on commodity futures markets
by Liyan Han & Ziying Li & Libo Yin
September 2017, Volume 37, Issue 9
- 865-891 An Empirical Analysis of the Dynamic Probability of Informed Institutional Trading: Evidence from the Taiwan Futures Exchange
by Pei‐Shih Weng & Ming‐Hung Wu & Miao‐Ling Chen & Wei‐Che Tsai - 892-912 Option Introductions and the Skewness of Stock Returns
by Benjamin M. Blau & Ryan J. Whitby - 913-929 A Bivariate High‐Frequency‐Based Volatility Model for Optimal Futures Hedging
by Yu‐Sheng Lai & Donald Lien - 930-938 Trading Activity and Rate of Convergence in Commodity Futures Markets
by David Bosch & Elina Pradkhan - 939-960 Investors’ Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns
by Hsiu‐Chuan Lee & Tzu‐Hsiang Liao & Pao‐Ying Tung
August 2017, Volume 37, Issue 8
- 743-743 Editor's Note
by Robert I. Webb - 744-765 Sugar with your Coffee? Fundamentals, Financials, and Softs Price Uncertainty
by Genèvre Covindassamy & Michel A. Robe & Jonathan Wallen - 766-802 Macroeconomic Conditions and Credit Default Swap Spread Changes
by Tong Suk Kim & Jae Won Park & Yuen Jung Park - 803-835 Momentum in International Commodity Futures Markets
by Jangkoo Kang & Kyung Yoon Kwon - 836-861 The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns
by Gi H. Kim & Haitao Li & Weina Zhang
July 2017, Volume 37, Issue 7
- 641-659 Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model
by Tianyi Wang & Yiwen Shen & Yueting Jiang & Zhuo Huang - 660-688 Investor Sentiment and Credit Default Swap Spreads During the Global Financial Crisis
by Jeehye Lee & Sol Kim & Yuen Jung Park - 689-716 Expanding the Explanations for the Return–Volatility Relation
by Bakhtear Talukdar & Robert T. Daigler & A. M. Parhizgari - 717-740 Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?
by Sungbin Sohn & Xiaofeng Zhang
June 2017, Volume 37, Issue 6
- 541-541 Editor's Note
by Robert I. Webb - 542-577 VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets
by Johan Bjursell & George H. K. Wang & Hui Zheng - 578-598 The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
by Myeong‐Hyeon Kim & Changki Kim & Injun Hwang - 599-613 Equity Option Implied Probability of Default and Equity Recovery Rate
by Bo Young Chang & Greg Orosi - 614-638 Anchoring and Probability Weighting in Option Prices
by R. Jared DeLisle & Dean Diavatopoulos & Andy Fodor & Kevin Krieger
May 2017, Volume 37, Issue 5
- 431-451 Tail Wags Dog: Intraday Price Discovery in VIX Markets
by Nicolas P.B. Bollen & Michael J. O'Neill & Robert E. Whaley - 452-472 Variance Risk Premiums of Commodity ETFs
by Chyng Wen Tee & Christopher Ting - 473-498 Option Market Characteristics and Price Monotonicity Violations
by Heejin Yang & Hyung‐Suk Choi & Doojin Ryu - 499-521 The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk
by Xingchun Wang & Shiyu Song & Yongjin Wang - 522-538 Convenience Yields in Electricity Prices: Evidence from the Natural Gas Market
by Nikolaos Milonas & Nikolaos Paratsiokas
April 2017, Volume 37, Issue 4
- 315-315 Editor's Note
by Robert I. Webb - 316-327 Derivatives Valuation Based on Arbitrage: The Trade is Crucial
by Stephen Figlewski - 328-358 Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
by Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen - 359-373 Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence
by Alex Frino & Vito Mollica & Maria Grazia Romano & Zeyang Zhou - 374-410 AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism
by Zhenlong Zheng & Zhengyun Jiang & Rong Chen - 411-428 Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash
by Qian Han & Jufang Liang
March 2017, Volume 37, Issue 3
- 211-237 The Skewness Implied in the Heston Model and Its Application
by Jin E. Zhang & Fang Zhen & Xiaoxia Sun & Huimin Zhao - 238-259 Net Buying Pressure and Option Informed Trading
by Chao‐Chun Chen & Shih‐Hua Wang - 260-285 Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model
by José Da Fonseca & Riadh Zaatour - 286-312 Volatility Smile and One‐Month Foreign Currency Volatility Forecasts
by Alfred Huah‐Syn Wong & Richard A. Heaney
February 2017, Volume 37, Issue 2
- 107-131 Option Pricing with Threshold Mean Reversion
by Zeyu Chi & Fangyuan Dong & Hoi Ying Wong - 132-147 Cross‐Hedging Ambiguous Exchange Rate Risk
by Kit Pong Wong - 148-163 Differences in the Prices of Vulnerable Options with Different Counterparties
by Xingchun Wang - 164-183 VIX Exchange Traded Products: Price Discovery, Hedging, and Trading Strategy
by Christoffer Bordonado & Peter Molnár & Sven R. Samdal - 184-208 Trading the VIX Futures Roll and Volatility Premiums with VIX Options
by David P. Simon
January 2017, Volume 37, Issue 1
- 3-22 Does Option‐Implied Cross‐Sectional Return Dispersion Forecast Realized Cross‐Sectional Return Dispersion? Evidence From the G10 Currencies
by Klaus Grobys & Jari‐Pekka Heinonen - 23-51 Price Discovery and Foreign Participation in Korea's Government Bond Futures and Cash Markets
by Cyn‐Young Park & Rogelio Mercado Jr. & Jaehun Choi & Hosung Lim - 52-70 Price Discovery on the International Soybean Futures Markets: A Threshold Co‐Integration Approach
by Chao Li & Dermot J. Hayes - 71-89 Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?
by Kam Fong Chan & Philip Gray - 90-104 The Binomial CEV Model and the Greeks
by Aricson Cruz & José Carlos Dias
December 2016, Volume 36, Issue 12
- 1127-1163 Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models
by Dimos S. Kambouroudis & David G. McMillan & Katerina Tsakou - 1164-1193 An International Comparison of Implied, Realized, and GARCH Volatility Forecasts
by Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis - 1194-1209 Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion
by Sofiane Aboura & Didier Maillard - 1210-1230 Monetary Policy and Stock Prices: Does the “Fed Put” Work When It Is Most Needed?
by Alexander Kurov & Chen Gu - 1231-1255 Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures
by Huayun Jiang & Jen‐Je Su & Neda Todorova & Eduardo Roca
November 2016, Volume 36, Issue 11
- 1029-1056 Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures
by Xi Fu & Matteo Sandri & Mark B. Shackleton - 1057-1075 Empirical Properties, Information Flow, and Trading Strategies of China's Soybean Crush Spread
by Qingfeng Wilson Liu & Hui He Sono - 1076-1107 Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation
by Suk‐Joong Kim - 1108-1124 Estimation of Market Information Shares: A Comparison
by Donald Lien & Zijun Wang
October 2016, Volume 36, Issue 10
- 923-942 Futures Price Response to Crop Reports in Grain Markets
by Fabio L. Mattos & Rodrigo L. F. Silveira - 943-967 Risk‐Free Rates and Variance Futures Prices
by Leonidas S. Rompolis - 968-991 Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches
by Rui Fan & Haiqi Li & Sung Y. Park - 992-1013 An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures
by Gert Elaut & Péter Erdős & John Sjödin - 1014-1025 Fat‐Finger Trade and Market Quality: The First Evidence From China
by Ming Gao & Yu‐Jane Liu & Weili Wu
September 2016, Volume 36, Issue 9
- 819-850 Risk Analysis and Hedging of Parisian Options under a Jump‐Diffusion Model
by Kyoung‐Kuk Kim & Dong‐Young Lim - 851-869 Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
by Philipp Adämmer & Martin T. Bohl & Christian Gross - 870-886 On the Intraday Relation Between the VIX and its Futures
by Bart Frijns & Alireza Tourani‐Rad & Robert I. Webb - 887-901 A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options
by Lung‐Fu Chang & Jia‐Hau Guo & Mao‐Wei Hung - 902-919 Heston‐Type Stochastic Volatility with a Markov Switching Regime
by Robert J. Elliott & Katsumasa Nishide & Carlton‐James U. Osakwe
August 2016, Volume 36, Issue 8
- 721-721 Editor's Note
by Robert I. Webb - 722-744 Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices?
by Jangkoo Kang & Soonhee Lee - 745-757 CDS Inferred Stock Volatility
by Biao Guo - 758-792 Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets
by Marcel Prokopczuk & Lazaros Symeonidis & Chardin Wese Simen - 793-815 Pricing American Put Options Using the Mean Value Theorem
by Humphrey K.K. Tung
July 2016, Volume 36, Issue 7
- 625-646 Tests on the Monotonicity Properties of KOSPI 200 Options Prices
by Myounghwa Sim & Doojin Ryu & Heejin Yang - 647-670 To Squeeze or Not to Squeeze? That Is No Longer the Question
by Ramzi Ben‐Abdallah & Michèle Breton - 671-694 The Prevalence, Sources, and Effects of Herding
by Naomi E. Boyd & Bahattin Büyükşahin & Michael S. Haigh & Jeffrey H. Harris - 695-718 Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi
by Jiadong Tong & Zijun Wang & Jian Yang
June 2016, Volume 36, Issue 6
- 521-521 Editor's Note
by Robert I. Webb - 522-544 Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
by Annastiina Silvennoinen & Susan Thorp - 545-563 Components of the Bid–Ask Spread and Variance: A Unified Approach
by Björn Hagströmer & Richard Henricsson & Lars L. Nordén - 564-586 Who Sets the Price of Gold? London or New York
by Martin Hauptfleisch & Tālis J. Putniņš & Brian Lucey - 587-611 Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period
by Stefan Trück & Rafał Weron - 612-622 Are Hedgers Informed? An Examination of the Price Impact of Large Trades in Illiquid Agricultural Futures Markets
by Alex Frino & Andrew Lepone & Vito Mollica & Shunquan Zhang
May 2016, Volume 36, Issue 5
- 421-456 Information Content of Trading Activity in Precious Metals Futures Markets
by Elina Pradkhan - 457-487 Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?
by Gonzalo Cortazar & Simon Gutierrez & Hector Ortega - 488-505 Corridor Volatility Risk and Expected Returns
by George Dotsis & Nikolaos Vlastakis - 506-518 Production and Hedging Under Smooth Ambiguity Preferences
by Kit Pong Wong
April 2016, Volume 36, Issue 4
- 317-344 Fundamentals, Derivatives Market Information and Oil Price Volatility
by Michel A. Robe & Jonathan Wallen - 345-374 Forecasting the LIBOR‐Federal Funds Rate Spread During and After the Financial Crisis
by Wassim Dbouk & Ibrahim Jamali & Lawrence Kryzanowski - 375-396 Spot and Futures Markets Linkages: Does Contango Differ from Backwardation?
by Viviana Fernandez - 397-417 The Impact of a Premium‐Based Tick Size on Equity Option Liquidity
by Thanos Verousis & Owain ap Gwilym & Nikolaos Voukelatos
March 2016, Volume 36, Issue 3
- 217-239 Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach
by Massimo Guidolin & Erwin Hansen - 240-266 Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures
by Jing Chen & Yu‐Jane Liu & Lei Lu & Ya Tang - 267-294 Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures
by Yuting Gong & Xu Zheng - 295-314 Hedge Ratio Prediction with Noisy and Asynchronous High‐Frequency Data
by Yu‐Sheng Lai
February 2016, Volume 36, Issue 2
- 107-126 The Profitability of Volatility Spread Trading on ASX Equity Options
by Binh Huu Do & Anthony Foster & Philip Gray - 127-152 The Return–Volatility Relation in Commodity Futures Markets
by Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô - 153-173 Analyzing Oil Futures with a Dynamic Nelson‐Siegel Model
by Niels S. GrØnborg & Asger Lunde - 174-193 Stochastic Skew and Target Volatility Options
by Martino Grasselli & Jacinto Marabel Romo - 194-214 Quantile Estimation of Optimal Hedge Ratio
by Donald Lien & Keshab Shrestha & Jing Wu
January 2016, Volume 36, Issue 1
- 3-29 Foreign Central Bank Activities in US Futures Markets
by Raymond P. H. Fishe & Michel A. Robe & Aaron D. Smith - 30-45 Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
by Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling - 46-65 Concentrated Production and Conditional Heavy Tails in Commodity Returns
by Nicolas Merener - 66-87 The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime‐Shift Pricing Approach
by René Ferland & Geneviève Gauthier & Simon Lalancette - 88-104 Information Flow, Trading Activity and Commodity Futures Volatility
by Adam E. Clements & Neda Todorova
December 2015, Volume 35, Issue 12
- 1103-1116 Where Would the EUR/CHF Exchange Rate be Without the SNB's Minimum Exchange Rate Policy?
by Michael Hanke & Rolf Poulsen & Alex Weissensteiner - 1117-1132 Investor Beliefs and the Demand Pressure on Index Options in Taiwan
by Ging‐Ginq Pan & Yung‐Ming Shiu & Tu‐Cheng Wu - 1133-1153 Program Trading and the Link Between the Spot and Futures Prices
by Steven J. Jordan & Woo‐Baik Lee & Jong Won Park - 1154-1172 An Early‐Exercise‐Probability Perspective of American Put Options in the Low‐Interest‐Rate Era
by Daniel Wei‐Chung Miao & Yung‐Hsin Lee & Wan‐Ling Chao - 1173-1194 Trading Activity in Options and Stock Around Price‐Sensitive News Announcements
by Khelifa Mazouz & Yuliang Wu & Shuxing Yin - 1195-1219 The Demand for Warrants and Issuer Pricing Strategies
by Rainer Baule & Philip Blonski - 1220-1221 Comment: “On Approximating Deep in‐the‐money Asian Options Under Exponential Lévy Processes”
by Xianming Sun & Dorien Haesen & Michèle Vanmaele
November 2015, Volume 35, Issue 11
- 987-1002 Forecasting Volatility in the Presence of Limits to Arbitrage
by Lu Hong & Tom Nohel & Steven Todd - 1003-1025 Stock‐Versus‐Flow Distinctions, Information, and the Role of Inventory
by Bahram Adrangi & Arjun Chatrath & Rohan A. Christie‐David & Hong Miao & Sanjay Ramchander - 1026-1041 Return‐Implied Volatility Dynamics of High and Low Yielding Currencies
by Miikka Kaurijoki & Jussi Nikkinen & Janne Äijö - 1042-1066 Price and Volume Effects of Exchange‐Traded Barrier Options: Evidence from Callable Bull/Bear Contracts
by Adrian C. H. Lei - 1067-1087 Carry Trades and Sovereign CDS Spreads: Evidence from Asia‐Pacific Markets
by Ivelina Pavlova & Maria E. de Boyrie - 1088-1101 How Important is a Non‐Default Factor for CDS Valuation?
by Biao Guo & Qian Han & Jaeram Lee & Doojin Ryu
October 2015, Volume 35, Issue 10
- 893-893 Editor's Note
by Robert I. Webb - 894-915 The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange
by Robin K. Chou & George H. K. Wang & Yun‐Yi Wang - 916-938 Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
by Chris Brooks & Marcel Prokopczuk & Yingying Wu - 939-952 The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks
by Joseph K.W. Fung & Francis Lau & Yiuman Tse - 953-960 Executive Stock Option Pricing in China Under Stochastic Volatility
by Terence Tai Leung Chong & Yue Ding & Yong Li - 961-985 Production and Anticipatory Hedging under Time‐Inconsistent Preferences
by Donald Lien & Chia‐Feng (Jeffrey) Yu
September 2015, Volume 35, Issue 9
- 795-812 Volatility Risk Premium in Indian Options Prices
by Sonia Garg & Vipul - 813-838 Clustering and Mean Reversion in a Hawkes Microstructure Model
by José Da Fonseca & Riadh Zaatour - 839-848 Ambiguity and the Value of Hedging
by Kit Pong Wong - 849-867 Valuing Retail Credit Tranches with Structural, Double Mixture Models
by Taehan Bae & Ian Iscoe & Changki Kim - 868-891 Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?
by Paresh Kumar Narayan & Huson Ali Ahmed & Seema Narayan
August 2015, Volume 35, Issue 8
- 695-695 Editor's Note
by Robert I. Webb - 696-714 Does Futures Speculation Destabilize Commodity Markets?
by Abby Kim - 715-737 The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options
by Wei‐Che Tsai & Ying‐Tzu Chiu & Yaw‐Huei Wang - 738-752 Price‐to‐Earnings Ratios and Option Prices
by Ansley Chua & R. Jared DeLisle & Sze‐Shiang Feng & Bong Soo Lee - 753-775 Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges
by Hans Byström - 776-793 Risk Premium in Electricity Prices: Evidence from the PJM Market
by Yuewen Xiao & David B. Colwell & Ramaprasad Bhar
July 2015, Volume 35, Issue 7
- 597-624 The Distribution of Uncertainty: Evidence from the VIX Options Market
by Clemens Völkert - 625-654 A Convenience Yield Approximation Model for Mean‐Reverting Commodities
by Engelbert J. Dockner & Zehra Eksi & Margarethe Rammerstorfer - 655-678 Implied Risk Neutral Densities From Option Prices: Hypergeometric, Spline, Lognormal, and Edgeworth Functions
by André Santos & João Guerra - 679-694 Hoarding the Herd: The Convenience of Productive Stocks
by Frank Asche & Atle Oglend & Dengjun Zhang
June 2015, Volume 35, Issue 6
- 505-505 Editor's Note
by Robert I. Webb - 506-521 Two Order Books are Better than One? Trading at Settlement (TAS) in VIX Futures
by Bujar Huskaj & Lars L. Nordén - 522-541 Time Pro‐rata Matching: Evidence of a Change in LIFFE STIR Futures
by Angelo Aspris & Sean Foley & Drew Harris & Peter O'Neill - 542-560 Depth Characteristics for the Electronic Futures Limit Order Book
by Alexandre Aidov & Robert T. Daigler - 561-581 Exchange‐Traded Barrier Option and VPIN: Evidence from Hong Kong
by William M. Cheung & Robin K. Chou & Adrian C.H. Lei - 582-595 Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
by Minqiang Li
May 2015, Volume 35, Issue 5
- 399-425 The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market
by Robin K. Chou & George H. K. Wang & Yun‐Yi Wang - 426-454 Futures Market Volatility: What Has Changed?
by Nicolas P.B. Bollen & Robert E. Whaley - 455-475 Dislocations in the Currency Swap and Interest Rate Swap Markets: The Case of Korea
by Hail Park - 476-503 An Approach to the Option Market Model Based on End‐User Net Demand
by Hiroshi Sasaki
April 2015, Volume 35, Issue 4
- 299-299 Editor's Note
by Robert I. Webb - 300-320 A Simple Econometric Approach for Modeling Stress Event Intensities
by Rainer Jobst & Daniel Rösch & Harald Scheule & Martin Schmelzle - 321-338 Over the Hedge: Do Exporters Practice Selective Hedging?
by Richard Fabling & Arthur Grimes - 339-356 A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu - 357-370 A Factor Analytical Approach to the Efficient Futures Market Hypothesis
by Joakim Westerlund & Milda Norkute & Paresh Kumar Narayan - 371-384 A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices
by Jürgen Gaul & Erik Theissen - 385-398 Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps
by Jimmy E. Hilliard & Jitka Hilliard
March 2015, Volume 35, Issue 3
- 201-221 The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives
by Doojin Ryu - 222-244 The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets
by Wen‐Hsiu Kuo & San‐Lin Chung & Chiao‐Yi Chang - 245-273 Analytic Approximation of Finite‐Maturity Timer Option Prices
by Minqiang Li & Fabio Mercurio - 274-297 Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility
by Ana‐Maria Fuertes & Joëlle Miffre & Adrian Fernandez‐Perez
February 2015, Volume 35, Issue 2
- 105-126 The Informativeness of Trades and Quotes in the FTSE 100 Index Futures Market
by Bart Frijns & Yiuman Tse - 127-147 Implied Pricing Kernels: An Alternative Approach for Option Valuation
by Doojin Ryu & Jangkoo Kang & Sangwon Suh - 148-162 Price Dynamics in Global Crude Oil Markets
by Wai‐Man Liu & Emma Schultz & John Swieringa - 163-185 Petroleum Term Structure Dynamics and the Role of Regimes
by Nikos K. Nomikos & Panos K. Pouliasis - 186-200 Currency Overlay for Global Equity Portfolios: Cross‐Hedging and Base Currency
by Wei Opie & Jonathan Dark
January 2015, Volume 35, Issue 1
- 1-30 Globally Distributed Production and the Pricing of CME Commodity Futures
by Nicolas Merener - 31-51 High Frequency Trading in the Korean Index Futures Market
by Eun Jung Lee - 52-74 Psychological Barriers and Option Pricing
by Bong‐Gyu Jang & Changki Kim & Kyeong Tae Kim & Seungkyu Lee & Dong‐Hoon Shin - 75-86 Maximal Gaussian Affine Models for Multiple Commodities: A Note
by Jaime Casassus & Peng Liu & Ke Tang - 87-103 The Impact of Monetary Policy Surprises on Energy Prices
by Arabinda Basistha & Alexander Kurov
December 2014, Volume 34, Issue 12
- 1095-1121 Monte Carlo Simulation of the CGMY Process and Option Pricing
by Laura Ballotta & Ioannis Kyriakou - 1122-1145 Deviations from Put–Call Parity and Volatility Prediction: Evidence from the Taiwan Index Option Market
by Chin‐Ho Chen & Huimin Chung & Shu‐Fang Yuan - 1146-1169 Stochastic Skew in the Interest Rate Cap Market
by Kwai S. Leung & Hon Y. Ng & Hoi Y. Wong - 1170-1184 Pricing Bounds on Barrier Options
by Yukihiro Tsuzuki - 1185-1201 A Stochastic Dynamic Program for Valuing Options on Futures
by Mohamed A. Ayadi & Hatem Ben‐Ameur & Tymur Kirillov & Robert Welch
November 2014, Volume 34, Issue 11
- 1003-1039 Fixing a Leaky Fixing: Short‐Term Market Reactions to the London PM Gold Price Fixing
by Andrew Caminschi & Richard Heaney - 1040-1061 High Moment Variations and Their Application
by Geon Ho Choe & Kyungsub Lee - 1062-1076 The Pattern of Price Linkages Among Commodities
by Jeffrey H. Dorfman & Berna Karali - 1077-1094 Volatility Forecasts: Do Volatility Estimators and Evaluation Methods Matter?
by I‐Ming Jiang & Jui‐Cheng Hung & Chuan‐San Wang
October 2014, Volume 34, Issue 10
- 911-933 Noisy Inventory Announcements and Energy Prices
by Marketa W. Halova & Alexander Kurov & Oleg Kucher - 934-956 Volatility Discovery Across Stock Limit Order Book and Options Markets
by Qin Wang - 957-979 Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes
by Lihui Tian & Guanying Wang & Xingchun Wang & Yongjin Wang - 980-1001 S&P 500 Index‐Futures Price Jumps and Macroeconomic News
by Hong Miao & Sanjay Ramchander & J. Kenton Zumwalt
September 2014, Volume 34, Issue 9
- 819-837 Multiscale Stochastic Volatility with the Hull–White Rate of Interest
by Jeong‐Hoon Kim & Ji‐Hun Yoon & Seok‐Hyon Yu - 838-852 Do Option Strategy Traders Have a Disadvantage? Evidence from the Australian Options Market
by Anthony Flint & Andrew Lepone & Jin Young Yang - 853-867 Price Discovery in Futures and Options Markets
by Naomi Boyd & Peter Locke - 868-882 Expiration‐Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches
by Caihong Xu - 883-910 Order Splitting Behavior by Different Types of Traders in the Taiwan Index Futures Markets Under Diverse Market Conditions
by Yun‐Yi Wang
August 2014, Volume 34, Issue 8
- 703-703 Editor's Note
by Robert I. Webb - 704-730 Hedging Industrial Metals With Stochastic Volatility Models
by Qingfu Liu & Michael T. Chng & Dongxia Xu - 731-756 Trading Patience, Order Flows, and Liquidity in an Index Futures Market
by Caihong Xu - 757-787 Causes and Implications of Shifts in Financial Participation in Commodity Markets
by Bassam Fattouh & Lavan Mahadeva - 788-806 The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components
by Biao Guo & Qian Han & Bin Zhao - 807-818 Commonality in Liquidity Across International Borders: Evidence from Futures Markets
by Alex Frino & Vito Mollica & Zeyang Zhou