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Option pricing with state-dependent pricing kernel
Tong, Chen; Hansen, Peter Reinhard; Huang, Zhuo - In: The journal of futures markets 42 (2022) 8, pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
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Forecasting stock return volatility : a comparison of GARCH, implied volatility, and realized volatility models
Kambouroudis, Dimos S.; McMillan, David G.; Tsakou, Katerina - In: The journal of futures markets 36 (2016) 12, pp. 1127-1163
Persistent link: https://www.econbiz.de/10011665507
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The performance of event study approaches using daily commodity futures returns
McKenzie, Andrew M.; Thomsen, Michael R.; Dixon, Bruce L. - In: The journal of futures markets 24 (2004) 6, pp. 533-555
Persistent link: https://www.econbiz.de/10002059371
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Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-751
Persistent link: https://www.econbiz.de/10001523755
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Intraday volatility in interest-rate and foreign-exchange markets : ARCH, announcement, and seasonality effects
Ederington, Louis H.; Lee, Jae-ha - In: The journal of futures markets 21 (2001) 6, pp. 517-552
Persistent link: https://www.econbiz.de/10001579721
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Switching asymmetric GARCH and options on a volatility index
Daouk, Hazem; Guo, Jie Qun - In: The journal of futures markets 24 (2004) 3, pp. 251-282
Persistent link: https://www.econbiz.de/10001968654
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Forecasting volatility
Ederington, Louis H.; Guan, Wei - In: The journal of futures markets 25 (2005) 5, pp. 465-490
Persistent link: https://www.econbiz.de/10002811542
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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
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Optimal futures hedging under multichain Markov regime switching
Sheu, Her-jiun; Lee, Hsiang-tai - In: The journal of futures markets 34 (2014) 2, pp. 173-202
Persistent link: https://www.econbiz.de/10010255473
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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