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The journal of futures markets
IMF Working Papers
385
Journal of econometrics
108
Economics letters
99
Finance research letters
91
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70
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
67
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66
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54
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40
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39
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38
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36
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34
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International journal of theoretical and applied finance
33
Discussion paper series / IZA
30
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The North American journal of economics and finance : a journal of financial economics studies
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27
Discussion paper / Centre for Economic Policy Research
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International journal of forecasting
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Cambridge working papers in economics
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1
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
2
Riemannian-geometric regime-switching covariance hedging
Lee, Hsiang-Tai
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 1003-1054
Persistent link: https://www.econbiz.de/10014536714
Saved in:
3
Optimal futures hedging by using realized semicovariances : the information contained in signed high-frequency returns
Lai, Yu-Sheng
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 677-701
Persistent link: https://www.econbiz.de/10014293180
Saved in:
4
Dynamic correlations and volatility spillovers between subsectoral clean-energy stocks and commodity futures markets : a hedging perspective
Coskun, Merve
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1727-1749
Persistent link: https://www.econbiz.de/10014433002
Saved in:
5
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:
6
Exploring the dynamics of the equity-commodity nexus : a study of base metal futures
Saishree, Ipsita
;
Padhi, Puja
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1573-1596
Persistent link: https://www.econbiz.de/10013288006
Saved in:
7
Contagion or flight-to-quality? : the linkage between oil price and the US dollar based on the local Gaussian approach
Ming, Lei
;
Shen, Yao
;
Yang, Shenggang
;
Dong, Minyi
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 722-750
Persistent link: https://www.econbiz.de/10013187583
Saved in:
8
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:
9
The dynamic correlations between the G7 economies and China : evidence from both realized and implied volatilities
Luo, Xingguo
;
Qi, Xuyuanda
- In:
The journal of futures markets
37
(
2017
)
10
,
pp. 989-1002
Persistent link: https://www.econbiz.de/10011950925
Saved in:
10
Oil and stock markets before and after financial crises : a local Gaussian correlation approach
Bampinas, Georgios
;
Panagiōtidēs, Theodōros
- In:
The journal of futures markets
37
(
2017
)
12
,
pp. 1179-1204
Persistent link: https://www.econbiz.de/10011951028
Saved in:
11
Hedge ratio prediction with noisy and asynchronous high-frequency data
Lai, Yu-Sheng
- In:
The journal of futures markets
36
(
2016
)
3
,
pp. 295-314
Persistent link: https://www.econbiz.de/10011568233
Saved in:
12
Crude oil and agricultural futures : an analysis of correlation dynamics
Silvennoinen, Annastiina
;
Thorp, Susan
- In:
The journal of futures markets
36
(
2016
)
6
,
pp. 522-544
Persistent link: https://www.econbiz.de/10011568451
Saved in:
13
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:
14
Dynamic implied correlation modeling and forecasting in structured finance
Löhr, Sebastian
;
Mursajew, Olga
;
Rösch, Daniel
; …
- In:
The journal of futures markets
33
(
2013
)
11
,
pp. 994-1023
Persistent link: https://www.econbiz.de/10010255106
Saved in:
15
Quantitative impact of correlation errors on basket options with time-varying correlations
Wong, Amy S. K.
- In:
The journal of futures markets
32
(
2012
)
2
,
pp. 152-165
Persistent link: https://www.econbiz.de/10009487023
Saved in:
16
Multi-period hedge ratios for a multi-asset portfolio when accounting for returns co-movement
Fernández, Viviana
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 182-207
Persistent link: https://www.econbiz.de/10003647712
Saved in:
17
Realized bond-stock correlation : macroeconomic announcement effects
Christiansen, Charlotte
;
Ranaldo, Angelo
- In:
The journal of futures markets
27
(
2007
)
5
,
pp. 439-469
Persistent link: https://www.econbiz.de/10003493097
Saved in:
18
Optimal hedging with a regime-switching time-varying correlation GARCH model
Lee, Hsiang-tai
;
Yoder, Jonathan
- In:
The journal of futures markets
27
(
2007
)
5
,
pp. 495-516
Persistent link: https://www.econbiz.de/10003493100
Saved in:
19
Implied correlation index : a new measure of diversification
Skintzi, Vasiliki D.
;
Refenes, Apostolos-Paul
- In:
The journal of futures markets
25
(
2005
)
2
,
pp. 171-197
Persistent link: https://www.econbiz.de/10002535466
Saved in:
20
Futures hedging using dynamic models of the variance/covariance structure
Poomimars, Ponladesh
;
Cadle, John
;
Theobald, Michael
- In:
The journal of futures markets
23
(
2002
)
3
,
pp. 241-260
Persistent link: https://www.econbiz.de/10001765112
Saved in:
21
Asymmetric covariance in spot-futures markets
Meneu Ferrer, Vicente
;
Torró, Hipòlit
- In:
The journal of futures markets
23
(
2003
)
11
,
pp. 1019-1046
Persistent link: https://www.econbiz.de/10001795034
Saved in:
22
Cross-market correlations and transmission of information
Darbar, Salim M.
;
Deb, Partha
- In:
The journal of futures markets
22
(
2002
)
11
,
pp. 1059-1082
Persistent link: https://www.econbiz.de/10001713576
Saved in:
23
Time variation in the correlation structure of exchange rates : high-frequency analyses
Muthuswamy, Jayaram
(
contributor
)
- In:
The journal of futures markets
21
(
2001
)
2
,
pp. 127-144
Persistent link: https://www.econbiz.de/10001542992
Saved in:
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