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The journal of futures markets
Finance research letters
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ECONIS (ZBW)
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1
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
2
High-frequency trading and market quality : evidence from account-level futures data
Coughlan, John
;
Orlov, Alexei G.
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1126-1160
Persistent link: https://www.econbiz.de/10014339377
Saved in:
3
The predictability of iron ore futures prices : a product-material lead-lag effect
He, Mengxi
;
Wang, Yudong
;
Zhang, Yaojie
- In:
The journal of futures markets
43
(
2023
)
9
,
pp. 1289-1304
Persistent link: https://www.econbiz.de/10014339412
Saved in:
4
Industry variance risk premium, cross-industry correlation, and expected returns
Zhu, Yabei
;
Luo, Xingguo
;
Xu, Qi
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 3-32
Persistent link: https://www.econbiz.de/10013465888
Saved in:
5
Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar
;
Saurav, Sumit
;
Varma, Jayanth Rama
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
Saved in:
6
Do oil shocks impact stock liquidity?
Zhang, Qin
;
Wong, Jin Boon
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 472-491
Persistent link: https://www.econbiz.de/10012817944
Saved in:
7
Robust information share measures with an application on the international crude oil markets
Li, Hong
;
Shi, Yanlin
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 555-579
Persistent link: https://www.econbiz.de/10013187561
Saved in:
8
Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Dhaene, Geert
;
Sercu, Piet
;
Wu, Jianbin
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 868-887
Persistent link: https://www.econbiz.de/10013187611
Saved in:
9
Beta and size equity premia following a high-VIX threshold
Bansal, Naresh K.
;
Connolly, Robert A.
;
Stivers, …
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1491-1517
Persistent link: https://www.econbiz.de/10013287992
Saved in:
10
Asymmetry in the permanent price impact of block purchases and sales : theory and empirical evidence
Frino, Alex
;
Mollica, Vito
;
Romano, Maria Grazia
;
Zhou, …
- In:
The journal of futures markets
37
(
2017
)
4
,
pp. 359-373
Persistent link: https://www.econbiz.de/10011950679
Saved in:
11
Could the extended trading of CSI 300 Index futures facilitate its role of price discovery?
Sohn, Sungbin
;
Zhang, Xiaofeng
- In:
The journal of futures markets
37
(
2017
)
7
,
pp. 717-740
Persistent link: https://www.econbiz.de/10011950872
Saved in:
12
Pricing vulnerable options with jump clustering
Ma, Yong
;
Shrestha, Keshab
;
Xu, Weidong
- In:
The journal of futures markets
37
(
2017
)
12
,
pp. 1155-1178
Persistent link: https://www.econbiz.de/10011951026
Saved in:
13
Do futures prices help forecast the spot price?
Jin, Xin
- In:
The journal of futures markets
37
(
2017
)
12
,
pp. 1205-1225
Persistent link: https://www.econbiz.de/10011951030
Saved in:
14
Correlation and lead-lag relationships in a Hawkes microstructure model
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
37
(
2017
)
3
,
pp. 260-285
Persistent link: https://www.econbiz.de/10011669809
Saved in:
15
Empirical properties, information flow, and trading strategies of China's soybean crush spread
Liu, Qingfeng Wilson
;
Sono, Hui He
- In:
The journal of futures markets
36
(
2016
)
11
,
pp. 1057-1075
Persistent link: https://www.econbiz.de/10011569015
Saved in:
16
Estimation of market information shares : a comparison
Lien, Da-hsiang Donald
;
Wang, Zijun
- In:
The journal of futures markets
36
(
2016
)
11
,
pp. 1108-1124
Persistent link: https://www.econbiz.de/10011569017
Saved in:
17
A partially linear approach to modeling the dynamics of spot and futures prices
Gaul, Jürgen
;
Theissen, Erik
- In:
The journal of futures markets
35
(
2015
)
4
,
pp. 371-384
Persistent link: https://www.econbiz.de/10011348414
Saved in:
18
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
- In:
The journal of futures markets
35
(
2015
)
4
,
pp. 339-356
Persistent link: https://www.econbiz.de/10011348418
Saved in:
19
The pattern of price linkages among commodities
Dorfman, Jeffrey H.
;
Karali, Berna
- In:
The journal of futures markets
34
(
2014
)
11
,
pp. 1062-1076
Persistent link: https://www.econbiz.de/10010508679
Saved in:
20
Closing call auctions at the index futures market
Hagströmer, Björn
;
Nordén, Lars
- In:
The journal of futures markets
34
(
2014
)
4
,
pp. 299-319
Persistent link: https://www.econbiz.de/10010355429
Saved in:
21
Price discovery in interrelated markets
Lien, Da-hsiang Donald
;
Shrestha, Keshab
- In:
The journal of futures markets
34
(
2014
)
3
,
pp. 203-219
Persistent link: https://www.econbiz.de/10010355437
Saved in:
22
Aggregate volatility and market jump risk : an option-based explanation to size and value premia
Arisoy, Yakup Eser
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 34-55
Persistent link: https://www.econbiz.de/10010254958
Saved in:
23
Options on troubled stock
Câmara, António
;
Popova, Ivilina
;
Simkins, Betty J.
- In:
The journal of futures markets
34
(
2014
)
7
,
pp. 637-657
Persistent link: https://www.econbiz.de/10010507943
Saved in:
24
Expiration-day effects and the impact of short trading breaks on intraday volatility : evidence from the Indian market
Agarwalla, Sobhesh Kumar
;
Pandey, Ajay
- In:
The journal of futures markets
33
(
2013
)
11
,
pp. 1046-1070
Persistent link: https://www.econbiz.de/10010255103
Saved in:
25
A comparative study of range-based stock return volatility estimators for the German market
Todorova, Neda
;
Husmann, Sven
- In:
The journal of futures markets
32
(
2012
)
6
,
pp. 560-586
Persistent link: https://www.econbiz.de/10010218787
Saved in:
26
Estimation and hedging effectiveness of time-varying hedge ratio : flexible bivariate GARCH approaches
Park, Sung Y.
;
Jei, Sang Young
- In:
The journal of futures markets
30
(
2010
)
1
,
pp. 71-99
Persistent link: https://www.econbiz.de/10003962426
Saved in:
27
Estimation and forecasting of stock volatility with range-based estimators
Vipul, Joshy Jacob
- In:
The journal of futures markets
28
(
2008
)
6
,
pp. 561-581
Persistent link: https://www.econbiz.de/10003715011
Saved in:
28
What moves the tail? : The determinants of the option-implied probability density function of the DAX index
Glatzer, Ernst
;
Scheicher, Martin
- In:
The journal of futures markets
25
(
2005
)
6
,
pp. 515-536
Persistent link: https://www.econbiz.de/10002846386
Saved in:
29
Intradaily periodicity and volatility spillovers between international stock index futures markets
Wu, Chunchi
;
Li, Jinliang
;
Zhang, Wei
- In:
The journal of futures markets
25
(
2005
)
6
,
pp. 553-585
Persistent link: https://www.econbiz.de/10002846393
Saved in:
30
Time variation in the tail behavior of bund future returns
Werner, Thomas
;
Upper, Christian
- In:
The journal of futures markets
24
(
2004
)
4
,
pp. 387-398
Persistent link: https://www.econbiz.de/10002005386
Saved in:
31
The introduction of derivatives on the Dow Jones Industrial Average and their impact on the volatility of component stocks
Rahman, Shafiqur
- In:
The journal of futures markets
21
(
2001
)
7
,
pp. 633-653
Persistent link: https://www.econbiz.de/10001588268
Saved in:
32
New insights into the impact of the introduction of futures trading on stock price volatility
McKenzie, Michael D.
;
Brailsford, Timothy J.
;
Faff, …
- In:
The journal of futures markets
21
(
2001
)
3
,
pp. 237-255
Persistent link: https://www.econbiz.de/10001556709
Saved in:
33
Mean reversion and basis dynamics
Theobald, Michael
;
Yallup, Peter
- In:
The journal of futures markets
21
(
2001
)
9
,
pp. 797-818
Persistent link: https://www.econbiz.de/10001595304
Saved in:
34
The cost of carry model and regime shifts in stock index futures markets : an empirical investigation
Sarno, Lucio
;
Valente, Giorgio
- In:
The journal of futures markets
20
(
2000
)
7
,
pp. 603-624
Persistent link: https://www.econbiz.de/10001523738
Saved in:
35
Standard and Poor's depository receipts and the performance of the S&P 500 index futures market
Switzer, Lorne N.
;
Varson, Paula L.
;
Zghidi, Samia
- In:
The journal of futures markets
20
(
2000
)
8
,
pp. 705-716
Persistent link: https://www.econbiz.de/10001523752
Saved in:
36
Determinants of endogenous price risk in corn and wheat futures markets
Goodwin, Barry K.
;
Schnepf, Randall D.
- In:
The journal of futures markets
20
(
2000
)
8
,
pp. 753-774
Persistent link: https://www.econbiz.de/10001523756
Saved in:
37
The lead-lag relationship between equities and stock index futures markets around information releases
Frino, Alex
;
Walter, Terry S.
;
West, Andrew
- In:
The journal of futures markets
20
(
2000
)
5
,
pp. 467-487
Persistent link: https://www.econbiz.de/10001500120
Saved in:
38
Pricing and hedging S&P 500 index options with Hermite polynomial approximation : empirical tests of Madan and Milne's model
Ané, Thierry
- In:
The journal of futures markets
19
(
1999
)
7
,
pp. 735-758
Persistent link: https://www.econbiz.de/10001443345
Saved in:
39
Volume and price relationships : hypothesis and testing for agricultural futures
Malliaris, Anastasios G.
- In:
The journal of futures markets
18
(
1998
)
1
,
pp. 53-72
Persistent link: https://www.econbiz.de/10001234360
Saved in:
40
An examination of the relationship between stock index cash and futures markets : a cointegration approach
Pizzi, Michael A.
- In:
The journal of futures markets
18
(
1998
)
3
,
pp. 297-305
Persistent link: https://www.econbiz.de/10001242653
Saved in:
41
A time series approach to testing for market linkage : unit root and cointegration tests
Wang, George H. K.
- In:
The journal of futures markets
14
(
1994
)
4
,
pp. 457-474
Persistent link: https://www.econbiz.de/10001169791
Saved in:
42
An intraday analysis of bid-ask spreads and price volatility in the S&P 500 index futures market
Wang, George H. K.
(
contributor
)
- In:
The journal of futures markets
14
(
1994
)
7
,
pp. 837-859
Persistent link: https://www.econbiz.de/10001171172
Saved in:
43
(Micro) fads in asset prices : evidence from the futures market
Gay, Gerald D.
(
contributor
)
- In:
The journal of futures markets
14
(
1994
)
6
,
pp. 637-659
Persistent link: https://www.econbiz.de/10001171312
Saved in:
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