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October 2010, Volume 30, Issue 10
- 909-937 The early news catches the attention: On the relative price impact of similar economic indicators
by Dieter Hess & Alexandra Niessen - 938-956 Currency option pricing: Mean reversion and multi‐scale stochastic volatility
by Hoi Ying Wong & Jing Zhao - 957-982 The dynamics of long forward rate term structures
by Xingguo Luo & Jin E. Zhang - 983-1006 Alternative tilts for nonparametric option pricing
by M. Ryan Haley & Todd B. Walker
September 2010, Volume 30, Issue 9
- 809-833 The new market for volatility trading
by Jin E. Zhang & Jinghong Shu & Menachem Brenner - 834-845 How firms should hedge: An extension
by Olaf Korn - 846-873 Delivery horizon and grain market volatility
by Berna Karali & Jeffrey H. Dorfman & Walter N. Thurman - 874-896 The incremental value of a futures hedge using realized volatility
by Yu‐Sheng Lai & Her‐Jiun Sheu - 897-908 Estimation and testing of portfolio Value‐at‐Risk based on L‐comoment matrices
by Wei‐Han Liu
August 2010, Volume 30, Issue 8
- 705-724 Further analysis of the speed of response to large trades in interest rate futures
by James Richard Cummings & Alex Frino - 725-752 Performance and persistence of Commodity Trading Advisors: Further evidence
by Greg N. Gregoriou & Georges Hübner & Maher Kooli - 753-779 Regime‐switching in stock index and Treasury futures returns and measures of stock market stress
by Naresh Bansal & Robert A. Connolly & Chris Stivers - 780-794 Hedging and value at risk: A semi‐parametric approach
by Zhiguang Cao & Richard D.F. Harris & Jian Shen - 795-800 Effects of omitting information variables on optimal hedge ratio estimation: A note
by Donald Lien - 801-807 Optimal hedge ratios in the presence of common jumps
by Wing Hong Chan
July 2010, Volume 30, Issue 7
- 607-632 The effects of structural breaks and long memory on currency hedging
by Donald Lien & Li Yang - 633-659 A reality check on technical trading rule profits in the U.S. futures markets
by Cheol‐Ho Park & Scott H. Irwin - 660-688 Valuation of housing index derivatives
by Melanie Cao & Jason Wei - 689-703 Estimating financial risk measures for futures positions: A nonparametric approach
by John Cotter & Kevin Dowd
June 2010, Volume 30, Issue 6
- 509-532 Empirical tests of canonical nonparametric American option‐pricing methods
by Jamie Alcock & Diana Auerswald - 533-558 Information content of volatility spreads
by Byung Jin Kang & Tong Suk Kim & Sun‐Joong Yoon - 559-589 Equilibrium pricing of contingent claims in tradable permit markets
by Masaaki Kijima & Akira Maeda & Katsumasa Nishide - 590-606 Price discovery in electronic foreign exchange markets: The sterling/dollar market
by Russell Poskitt
May 2010, Volume 30, Issue 5
- 409-431 General equilibrium and preference free model for pricing options under transformed gamma distribution
by Luiz Vitiello & Ser‐Huang Poon - 432-443 Size clustering in the FTSE100 index futures market
by Owain ap Gwilym & Lei Meng - 444-464 Option pricing under Markov‐switching GARCH processes
by Chao‐Chun Chen & Ming‐Yang Hung - 465-489 Examination of long‐term bond iShare option selling strategies
by David P. Simon - 490-507 Persistence in some energy futures markets
by Juncal Cunado & Luis A. Gil‐Alana & Fernando Perez de Gracia
April 2010, Volume 30, Issue 4
- 305-323 The bias in time series volatility forecasts
by Louis H. Ederington & Wei Guan - 324-360 Option prices and risk‐neutral densities for currency cross rates
by Stephen J. Taylor & Yaw‐Huei Wang - 361-377 The impact of off‐market trading on liquidity: Evidence from the Australian options market
by Andrew Lepone & Jin Young Yang - 378-406 The economic significance of conditional skewness in index option markets
by Ranjini Jha & Madhu Kalimipalli
March 2010, Volume 30, Issue 3
- 203-229 Narrow framing: Professions, sophistication, and experience
by Yu‐Jane Liu & Ming‐Chun Wang & Longkai Zhao - 230-256 Volatility components: The term structure dynamics of VIX futures
by Zhongjin Lu & Yingzi Zhu - 257-277 Do volatility determinants vary across futures contracts? Insights from a smoothed Bayesian estimator
by Berna Karali & Jeffrey H. Dorfman & Walter N. Thurman - 278-289 The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution
by Donald Lien - 290-304 Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”?
by Gabriel J. Power & Dmitry Vedenov
February 2010, Volume 30, Issue 2
- 101-133 A maximal affine stochastic volatility model of oil prices
by W. Keener Hughen - 134-155 The information content of implied volatility: Evidence from Australia
by Bart Frijns & Christian Tallau & Alireza Tourani‐Rad - 156-174 Do small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng Index markets
by Libin Tao & Frank M. Song - 175-187 Pricing American options by canonical least‐squares Monte Carlo
by Qiang Liu - 188-201 Threshold levels, strike price grid, and other market microstructure issues associated with exchange‐traded equity options
by Edwin D. Maberly & Raylene M. Pierce & Patrick Catania
January 2010, Volume 30, Issue 1
- 1-24 Local trader profitability in futures markets: Liquidity and position taking profits
by Alex Frino & Elvis Jarnecic & Roger Feletto - 25-47 Corporate usage of financial derivatives, information asymmetry, and insider trading
by Hoa Nguyen & Robert Faff & Allan Hodgson - 48-70 The CBOE S&P 500 three‐month variance futures
by Jin E. Zhang & Yuqin Huang - 71-99 Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches
by Sung Yong Park & Sang Young Jei
December 2009, Volume 29, Issue 12
- 1101-1101 Editor's note
by Robert I. Webb - 1102-1129 Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange
by Robin K. Chou & Yun‐Yi Wang - 1130-1160 Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth
by Paul Kofman & David Michayluk & James T. Moser - 1161-1189 Are credit spreads too low or too high? A hybrid barrier option approach for financial distress
by William Lin & David Sun - 1190-1213 The impact of volatility derivatives on S&P500 volatility
by Paul Dawson & Sotiris K. Staikouras
November 2009, Volume 29, Issue 11
- 999-1020 The performance of traders' rules in options market
by Sol Kim - 1021-1049 Model risk adjusted hedge ratios
by Carol Alexander & Andreas Kaeck & Leonardo M. Nogueira - 1050-1066 Liquidity and hedging effectiveness under futures mispricing: International evidence
by A. Andani & J. A. Lafuente & A. Novales - 1067-1099 Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAs
by Hossein Kazemi & Ying Li
October 2009, Volume 29, Issue 10
- 895-919 Reverse convertible bonds analyzed
by Marta Szymanowska & Jenke Ter Horst & Chris Veld - 920-945 Expiration‐day effects on individual stocks and the overall market: Evidence from Taiwan
by Wen‐Liang Gideon Hsieh - 946-972 A copula‐based regime‐switching GARCH model for optimal futures hedging
by Hsiang‐Tai Lee - 973-998 Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross‐currency Levy processes
by Szu‐Lang Liao & Pao‐Peng Hsu
September 2009, Volume 29, Issue 9
- 797-825 Is volatility risk priced in the KOSPI 200 index options market?
by Sun‐Joong Yoon & Suk Joon Byun - 826-839 Trinomial or binomial: Accelerating American put option price on trees
by Jiun Hong Chan & Mark Joshi & Robert Tang & Chao Yang - 840-861 The value of mortgage prepayment and default options
by Yong Chen & Michael Connolly & Wenjin Tang & Tie Su - 862-893 An explicitly solvable multi‐scale stochastic volatility model: Option pricing and calibration problems
by Lorella Fatone & Francesca Mariani & Maria Cristina Recchioni & Francesco Zirilli
August 2009, Volume 29, Issue 8
- 695-712 Empirical evidence on the dependence of credit default swaps and equity prices
by Debbie Dupuis & Eric Jacquier & Nicolas Papageorgiou & Bruno Rémillard - 713-735 An expanded model for the valuation of employee stock options
by Feng‐Yu Liao & Yuh‐Dauh Lyuu - 736-756 Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry
by Mark Bertus & Jonathan Godbey & Jimmy E. Hilliard - 757-774 Options on normal underlyings with an application to the pricing of survivor swaptions
by Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake - 775-796 A brighter future with lower transactions costs?
by Lars Nordén
July 2009, Volume 29, Issue 7
- 599-629 Option implied cost of equity and its properties
by António Câmara & San‐Lin Chung & Yaw‐Huei Wang - 630-652 Explaining country and cross‐border liquidity commonality in international equity markets
by Zheng Zhang & Jun Cai & Yan Leung Cheung - 653-683 International evidence on alternative models of the term structure of volatilities
by Antonio Díaz & Vicente Meneu & Eliseo Navarro - 684-694 Rolling over stock index futures contracts
by Óscar Carchano & Ángel Pardo
June 2009, Volume 29, Issue 6
- 495-495 Editor's note
by Robert I. Webb - 496-522 The disposition effect and investment performance in the futures market
by Hyuk Choe & Yunsung Eom - 523-543 VIX option pricing
by Yueh‐Neng Lin & Chien‐Hung Chang - 544-562 Box‐spread arbitrage efficiency of Nifty index options: The Indian evidence
by Vipul - 563-597 Derivatives trading, volatility spillover, and regulation: Evidence from the Korean securities markets
by Sung C. Bae & Taek Ho Kwon & Jong Won Park
May 2009, Volume 29, Issue 5
- 397-413 A new scheme for static hedging of European derivatives under stochastic volatility models
by Akihiko Takahashi & Akira Yamazaki - 414-429 Do investors learn about analyst accuracy? A study of the oil futures market
by Charles Chang & Hazem Daouk & Albert Wang - 430-450 Expiration‐day effects—An Asian twist
by Joseph K. W. Fung & Haynes H. M. Yung - 451-477 Analyst forecasts and price discovery in futures markets: The case of natural gas storage
by Gerald D. Gay & Betty J. Simkins & Marian Turac - 478-493 A generalization of the Barone‐Adesi and Whaley approach for the analytic approximation of American options
by Jia‐Hau Guo & Mao‐Wei Hung & Leh‐Chyan So
April 2009, Volume 29, Issue 4
- 297-318 Risk management with options and futures under liquidity risk
by Axel F. A. Adam‐Müller & Argyro Panaretou - 319-347 Implied deterministic volatility functions: An empirical test for Euribor options
by I‐Doun Kuo & Kai‐Li Wang - 348-376 Is reversal of large stock‐price declines caused by overreaction or information asymmetry: Evidence from stock and option markets
by Hyung‐Suk Choi & Narayanan Jayaraman - 377-395 A new information share measure
by Donald Lien & Keshab Shrestha
March 2009, Volume 29, Issue 3
- 197-217 Cross‐commodity analysis and applications to risk management
by Reik Börger & Álvaro Cartea & Rüdiger Kiesel & Gero Schindlmayr - 218-243 Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited
by David G. McMillan & Numan Ülkü - 244-269 A comparison of alternative approaches for determining the downside risk of hedge fund strategies
by Daniel Giamouridis & Ioanna Ntoula - 270-295 Who knows more about future currency volatility?
by Charlie Charoenwong & Nattawut Jenwittayaroje & Buen Sin Low
February 2009, Volume 29, Issue 2
- 95-113 Estimation of physical intensity models for default risk
by Michel Denault & Geneviève Gauthier & Jean‐Guy Simonato - 114-136 After‐hours trading in equity futures markets
by Mardi Dungey & Luba Fakhrutdinova & Charles Goodhart - 137-156 Do futures lead price discovery in electronic foreign exchange markets?
by Juan Cabrera & Tao Wang & Jian Yang - 157-178 Decimalization, ETFs and futures pricing efficiency
by Wei‐Peng Chen & Robin K. Chou & Huimin Chung - 179-196 On the exit value of a forward contract
by Gabriel J. Power & Calum G. Turvey
January 2009, Volume 29, Issue 1
- 1-15 Efficient static replication of European options under exponential Lévy models
by Akihiko Takahashi & Akira Yamazaki - 16-41 The information content of an open limit‐order book
by Charles Cao & Oliver Hansch & Xiaoxin Wang - 42-73 How potent are news reversals?: Evidence from the futures markets
by Arjun Chatrath & Rohan A. Christie‐David & Kiseop Lee - 74-93 Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange
by Yu‐Lun Chen & Yin‐Feng Gau
December 2008, Volume 28, Issue 12
- 1117-1117 Editor's Note
by Robert I. Webb - 1118-1146 Informed trading in the index option market: The case of KOSPI 200 options
by Hee‐Joon Ahn & Jangkoo Kang & Doojin Ryu - 1147-1181 Large trades and intraday futures price behavior
by Alex Frino & Johan Bjursell & George H. K. Wang & Andrew Lepone - 1182-1205 The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS
by Nivine Richie & Robert T. Daigler & Kimberly C. Gleason - 1206-1221 Can exchange seat prices predict financial market volatility?
by Taewoo You & Mark E. Holder
November 2008, Volume 28, Issue 11
- 1013-1039 The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets
by Dean Diavatopoulos & James S. Doran & David R. Peterson - 1040-1065 Testing the martingale hypothesis for futures prices: Implications for hedgers
by Cédric de Ville de Goyet & Geert Dhaene & Piet Sercu - 1066-1094 The economic value of volatility transmission between the stock and bond markets
by Helena Chuliá & Hipòlit Torró - 1095-1116 Dynamic hedging with futures: A copula‐based GARCH model
by Chih‐Chiang Hsu & Chih‐Ping Tseng & Yaw‐Huei Wang
October 2008, Volume 28, Issue 10
- 911-934 The specification of GARCH models with stochastic covariates
by Jeff Fleming & Chris Kirby & Barbara Ostdiek - 935-962 Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens
by Isabel Figuerola‐Ferretti & Christopher L. Gilbert - 963-992 An examination of the complementary volume–volatility information theories
by Zhiyao Chen & Robert T. Daigler - 993-1011 Realized volatility and correlation in energy futures markets
by Tao Wang & Jingtao Wu & Jian Yang
September 2008, Volume 28, Issue 9
- 815-844 Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns
by Dimitrios D. Thomakos & Tao Wang & Jingtao Wu & Russell P. Chuderewicz - 845-870 The impact of return nonnormality on exchange options
by Minqiang Li - 871-888 Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets
by Alexander Kurov - 889-910 Cross‐market efficiency in the Indian derivatives market: A test of put–call parity
by Vipul
August 2008, Volume 28, Issue 8
- 717-748 Nonparametric American option pricing
by Jamie Alcock & Trent Carmichael - 749-762 Production, liquidity, and futures price dynamics
by Kit Pong Wong - 763-789 Do tax‐exempt yields adjust slowly to substantial changes in taxable yields?
by Donna Dudney & John Geppert - 790-814 HDD and CDD option pricing with market price of weather risk for Taiwan
by Hung‐Hsi Huang & Yung‐Ming Shiu & Pei‐Syun Lin
July 2008, Volume 28, Issue 7
- 617-633 In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets
by Russell Poskitt - 634-655 The valuation of inflation‐indexed and FX convertible bonds
by Yoram Landskroner & Alon Raviv - 656-679 An analysis of the failed municipal bond and note futures contracts
by Patrick J. Cusatis - 680-696 A test of the Samuelson Hypothesis using realized range
by Petko S. Kalev & Huu Nhan Duong - 697-710 Valuation of floating range notes in a LIBOR market model
by Ting‐Pin Wu & Son‐Nan Chen - 711-716 A note on estimating the benefit of a composite hedge
by Donald Lien
June 2008, Volume 28, Issue 6
- 517-517 Editor's note
by Robert I. Webb - 518-536 Efficiency of single‐stock futures: An intraday analysis
by Joseph K.W. Fung & Yiuman Tse - 537-560 A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another
by Gonzalo Cortazar & Carlos Milla & Felipe Severino - 561-581 Estimation and forecasting of stock volatility with range‐based estimators
by Joshy Jacob & Vipul - 582-597 Credit risk management in Greater China
by Hans Byström - 598-616 Pricing European Asian options with skewness and kurtosis in the underlying distribution
by Keng‐Hsin Lo & Kehluh Wang & Ming‐Feng Hsu
May 2008, Volume 28, Issue 5
- 417-437 Does adverse selection affect bid–ask spreads for options?
by Söhnke M. Bartram & Frank Fehle & David G. Shrider - 438-463 Volatility dynamics of NYMEX natural gas futures prices
by Hiroaki Suenaga & Aaron Smith & Jeffrey Williams - 464-487 Pricing and hedging illiquid energy derivatives: An application to the JCC index
by Elisa Scarpa & Matteo Manera - 488-515 A generalization of Rubinstein's “Pay now, choose later”
by Jia‐Hau Guo & Mao‐Wei Hung
April 2008, Volume 28, Issue 4
- 313-334 Intraday volatility in the bond, foreign exchange, and stock index futures markets
by Valeria Martinez & Yiuman Tse - 335-353 Information revelation in the futures market: Evidence from single stock futures
by Kuldeep Shastri & Ramabhadran S. Thirumalai & Chad J. Zutter - 354-375 Price discovery in the options markets: An application of put‐call parity
by Wen‐Liang G. Hsieh & Chin‐Shen Lee & Shu‐Fang Yuan - 376-397 Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates
by Rainer Baule & Oliver Entrop & Marco Wilkens - 398-415 Efficiency of the IBEX spot–futures basis: The impact of the mini‐futures
by David G. McMillan & Raquel Quiroga Garcia
March 2008, Volume 28, Issue 3
- 213-230 Closed‐form option pricing formulas with extreme events
by António Câmara & Steven L. Heston - 231-247 Valuing stock options when prices are subject to a lower boundary
by Dirk Veestraeten - 248-263 Hedging under counterparty credit uncertainty
by Olivier Mahul & J. David Cummins - 264-274 Does deliverability enhance the value of U.S. Treasury bonds?
by David R. Kuipers - 275-293 Path‐dependent currency options with mean reversion
by Hoi Ying Wong & Ka Yung Lau - 294-307 Intraday behavior of market depth in a competitive dealer market: A note
by Alex Frino & Andrew Lepone & Grant Wearin - 308-311 A further note on the optimality of the OLS hedge strategy
by Donald Lien
February 2008, Volume 28, Issue 2
- 109-130 The compatibility of one‐factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance
by Yunbi An & Wulin Suo - 131-154 Interdealer inference and price discovery
by Tzu‐man Huang & Peter Locke - 155-181 Value at risk and conditional extreme value theory via markov regime switching models
by Yau Man Ze‐to Samuel - 182-207 Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement
by Viviana Fernandez - 208-211 Optimal futures heading: Quadratic versus exponential utility functions
by Donald Lien
January 2008, Volume 28, Issue 1
- 1-33 Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures
by Turan G. Bali & K. Ozgur Demirtas - 34-56 Forecasting oil price movements: Exploiting the information in the futures market
by Andrea Coppola - 57-81 Smiling less at LIFFE
by Bing‐Huei Lin & Ing‐Jye Chang & Dean A. Paxson - 82-107 Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model
by Ying Huang & Carl R. Chen & Maximo Camacho
December 2007, Volume 27, Issue 12
- 1127-1127 Editor's note
by Robert I. Webb - 1129-1157 Order imbalance and the dynamics of index and futures prices
by Joseph K.W. Fung & Philip L.H. Yu - 1159-1174 Transactions in futures markets: Informed or uninformed?
by Alex Frino & Jennifer Kruk & Andrew Lepone - 1175-1217 Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures
by Yueh‐Neng Lin - 1219-1243 Market microstructure effects on volatility at the TAIFEX
by Robert I. Webb & Jayaram Muthuswamy & Reuben Segara
November 2007, Volume 27, Issue 11
- 1021-1051 Price discovery in the treasury futures market
by Michael W. Brandt & Kenneth A. Kavajecz & Shane E. Underwood - 1053-1083 A new look at hedging with derivatives: Will firms reduce market risk exposure?
by Turan G. Bali & Susan R. Hume & Terrence F. Martell - 1085-1105 Forecasting performance of extreme‐value volatility estimators
by Vipul & Joshy Jacob - 1107-1125 One‐day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data
by Lester Hadsell & Hany A. Shawky
October 2007, Volume 27, Issue 10
- 921-959 Is there information in the volatility skew?
by James S. Doran & David R. Peterson & Brian C. Tarrant - 961-979 On estimating an asset's implicit beta
by Sven Husmann & Andreas Stephan - 981-1001 Benchmark tipping and the role of the swap market in price discovery
by Russell Poskitt - 1003-1019 The stock closing calland futures price behavior: Evidence from the Taiwan futures market
by Hsiu‐Chuan Lee & Cheng‐Yi Chien & Yen‐Sheng Huang
September 2007, Volume 27, Issue 9
- 819-837 Approximate basket option valuation for a simplified jump process
by Dimitris Flamouris & Daniel Giamouridis - 839-866 The effect of futures trading on the distribution of spot index returns: Implications for CVaR in the Spanish market
by M. Illueca & J.A. Lafuente - 867-891 Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates
by Jia‐Hau Guo & Mao‐Wei Hung - 893-920 Equity swaps in a LIBOR market model
by Ting‐Pin Wu & Son Nan Chen
August 2007, Volume 27, Issue 8
- 719-737 Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
by Andreas Röthig & Carl Chiarella - 739-770 AN examination of short QQQ option trades
by David P. Simon - 771-790 Canonical valuation and hedging of index options
by Philip Gray & Shane Edwards & Egon Kalotay - 791-817 Richardson extrapolation techniques for the pricing of American‐style options
by Chuang‐Chang Chang & San‐Lin Chung & Richard C. Stapleton
July 2007, Volume 27, Issue 7
- 617-642 Is volatility risk priced in the securities market? Evidence from S&P 500 index options
by Yakup Eser Arisoy & Aslihan Salih & Levent Akdeniz - 643-668 Long memory models for daily and high frequency commodity futures returns
by Richard T. Baillie & Young‐Wook Han & Robert J. Myers & Jeongseok Song - 669-695 The pricing of foreign currency options under jump‐diffusion processes
by Chang Mo Ahn & D. Chinhyung Cho & Keehwan Park - 697-717 Order imbalance and the pricing of index futures
by Joseph K.W. Fung
June 2007, Volume 27, Issue 6
- 517-534 The hidden martingale restriction in Gram‐Charlier option prices
by Charles Corrado - 535-554 Target redemption notes
by Chi Chiu Chu & Yue Kuen Kwok - 555-574 The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash
by Joseph K. W. Fung - 575-598 A simplified approach to modeling the co‐movement of asset returns
by Richard D. F. Harris & Evarist Stoja & Jon Tucker - 599-615 The finite sample properties of the GARCH option pricing model
by George Dotsis & Raphael N. Markellos
May 2007, Volume 27, Issue 5
- 411-437 Long memory in commodity futures volatility: A wavelet perspective
by John Elder & Hyun J. Jin - 439-469 Realized bond—stock correlation: Macroeconomic announcement effects
by Charlotte Christiansen & Angelo Ranaldo - 471-494 Hedging under the influence of transaction costs: An empirical investigation on FTSE 100 index options
by Andros Gregoriou & Jerome Healy & Christos Ioannidis - 495-516 Optimal hedging with a regime‐switching time‐varying correlation GARCH model
by Hsiang‐Tai Lee & Jonathan Yoder
April 2007, Volume 27, Issue 4
- 305-336 On inverse carrying charges and spatial arbitrage
by Donald F. Larson - 337-359 The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
by Pierre Giot & Sébastien Laurent - 361-385 The impact of execution delay on the profitability of put‐call‐futures trading strategies—Evidence from Taiwan
by Jong‐Rong Chiou & Wen‐Liang Gideon Hsieh & Yuan‐Yi Lin - 387-410 The pricing of electricity futures: Evidence from the European energy exchange
by Sascha Wilkens & Jens Wimschulte
March 2007, Volume 27, Issue 3
- 203-226 Valuing real options using implied binomial trees and commodity futures options
by Tom Arnold & Timothy Falcon Crack & Adam Schwartz - 227-256 An examination of momentum strategies in commodity futures markets
by Qian Shen & Andrew C. Szakmary & Subhash C. Sharma - 257-273 Pricing American exchange options in a jump‐diffusion model
by Snorre Lindset