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The journal of futures markets
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ECONIS (ZBW)
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1
A tale of two premiums revisited
Maréchal, Loïc
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 580-614
Persistent link: https://www.econbiz.de/10014293173
Saved in:
2
Modeling skewness in portfolio choice
Trung Hai Le
;
Kourtis, Apostolos
;
Markellos, Raphaēl N.
- In:
The journal of futures markets
43
(
2023
)
6
,
pp. 734-770
Persistent link: https://www.econbiz.de/10014293220
Saved in:
3
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
4
The geopolitical risk premium in the commodity futures market
Cheng, Daxuan
;
Liao, Yin
;
Pan, Zheyao
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1069-1090
Persistent link: https://www.econbiz.de/10014339374
Saved in:
5
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
Saved in:
6
Forecasting variance swap payoffs
Dark, Jonathan
;
Gao, Xin
;
Heijden, Thijs van der
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2135-2164
Persistent link: https://www.econbiz.de/10013465873
Saved in:
7
Commodity premia and risk management
Fan, John Hua
;
Zhang, Tingxi
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1097-1116
Persistent link: https://www.econbiz.de/10014553950
Saved in:
8
Corporate credit default swap systematic factors
Chan, Ka Kei
;
Lin, Ming-Tsung
;
Lu, Qinye
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1224-1256
Persistent link: https://www.econbiz.de/10014553983
Saved in:
9
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:
10
The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread
Li, Ziran
;
Hayes, Dermot James
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 428-445
Persistent link: https://www.econbiz.de/10012817939
Saved in:
11
Recovering subjective probability distributions
Yamazaki, Akira
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1234-1263
Persistent link: https://www.econbiz.de/10013287943
Saved in:
12
Forecasting high-yield equity and CDS index returns : does observed cross-market informational flow have predictive power?
Procasky, William J.
;
Yin, Anwen
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1466-1490
Persistent link: https://www.econbiz.de/10013287989
Saved in:
13
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:
14
Option-implied moments and the cross-section of stock returns
Alexiou, Lykourgos
;
Rompolis, Leonidas S.
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 668-691
Persistent link: https://www.econbiz.de/10013187580
Saved in:
15
Risk-neutral skewness and commodity futures pricing
Fuertes, Ana María
;
Liu, Zhenya
;
Tang, Weiqing
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 751-785
Persistent link: https://www.econbiz.de/10013187584
Saved in:
16
Bitcoin futures risk premia
Shi, Shimeng
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2190-2217
Persistent link: https://www.econbiz.de/10013465876
Saved in:
17
Variance risk premiums of commodity ETFs
Tee, Chyng Wen
;
Ting, Christopher
- In:
The journal of futures markets
37
(
2017
)
5
,
pp. 452-472
Persistent link: https://www.econbiz.de/10011950709
Saved in:
18
The valuation of power exchange options with counterparty risk and jump risk
Wang, Xingchun
;
Song, Shiyu
;
Wang, Yongjin
- In:
The journal of futures markets
37
(
2017
)
5
,
pp. 499-521
Persistent link: https://www.econbiz.de/10011950726
Saved in:
19
Corridor volatility risk and expected returns
Dotsis, George
;
Vlastakis, Nikolaos
- In:
The journal of futures markets
36
(
2016
)
5
,
pp. 488-505
Persistent link: https://www.econbiz.de/10011568446
Saved in:
20
Convenience yields and risk premiums in the EU-ETS-evidence from the Kyoto commitment period
Trück, Stefan
;
Weron, Rafał
- In:
The journal of futures markets
36
(
2016
)
6
,
pp. 587-611
Persistent link: https://www.econbiz.de/10011568460
Saved in:
21
A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu
;
Guo, Jia-Hau
;
Hung, Mao-Wei
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 887-901
Persistent link: https://www.econbiz.de/10011568657
Saved in:
22
Risk-free rates and variance futures prices
Rompolis, Leonidas S.
- In:
The journal of futures markets
36
(
2016
)
10
,
pp. 943-967
Persistent link: https://www.econbiz.de/10011568814
Saved in:
23
Risk premium in electricity prices : evidence from the PJM market
Xiao, Yuewen
;
Colwell, David B.
;
Bhar, Ramaprasad
- In:
The journal of futures markets
35
(
2015
)
8
,
pp. 776-793
Persistent link: https://www.econbiz.de/10011392653
Saved in:
24
Volatility risk premium in Indian options prices
Garg, Sonia
;
Vipul
- In:
The journal of futures markets
35
(
2015
)
9
,
pp. 795-812
Persistent link: https://www.econbiz.de/10011392659
Saved in:
25
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:
26
Equity volatility, bond yields, and yield spreads
Jubinski, Daniel
;
Lipton, Amy F.
- In:
The journal of futures markets
32
(
2012
)
5
,
pp. 480-503
Persistent link: https://www.econbiz.de/10010218783
Saved in:
27
Variance risk premiums and predictive power of alternative forward variances in the corn market
Wang, Zhiguang
;
Fausti, Scott W.
;
Qasmi, Bashir A.
- In:
The journal of futures markets
32
(
2012
)
6
,
pp. 587-608
Persistent link: https://www.econbiz.de/10010218789
Saved in:
28
Time-varying jump risk premia in stock index futures returns
Hong, Chan, Wing
;
Feng, Liling
- In:
The journal of futures markets
32
(
2012
)
7
,
pp. 639-659
Persistent link: https://www.econbiz.de/10010218791
Saved in:
29
Risk premiums and predictive ability of BAX futures
Gospodinov, Nikolaj
;
Jamali, Ibrahim
- In:
The journal of futures markets
31
(
2011
)
6
,
pp. 534-561
Persistent link: https://www.econbiz.de/10009009218
Saved in:
30
Time-varying market price of risk in the crude oil futures market
Bhar, Ramaprasad
;
Lee, Damien
- In:
The journal of futures markets
31
(
2011
)
8
,
pp. 779-807
Persistent link: https://www.econbiz.de/10009157424
Saved in:
31
Is volatility risk priced in the KOSPI 200 index options market?
Yoon, Sun-joong
;
Byun, Suk Joon
- In:
The journal of futures markets
29
(
2009
)
9
,
pp. 797-825
Persistent link: https://www.econbiz.de/10003900683
Saved in:
32
Extracting the expected path of monetary policy from futures rates
Sack, Brian
- In:
The journal of futures markets
24
(
2004
)
8
,
pp. 733-754
Persistent link: https://www.econbiz.de/10002138807
Saved in:
33
Explaining credit default swap premia
Benkert, Christoph
- In:
The journal of futures markets
24
(
2004
)
1
,
pp. 71-92
Persistent link: https://www.econbiz.de/10001850815
Saved in:
34
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:
35
Options on bond futures : isolating the risk premium
Tompkins, Robert G.
- In:
The journal of futures markets
23
(
2002
)
2
,
pp. 169-215
Persistent link: https://www.econbiz.de/10001762673
Saved in:
36
Volatility and trading demands in stock index futures
Pan, Ming-Shiun
;
Liu, Y. Angela
;
Roth, Herbert J.
- In:
The journal of futures markets
23
(
2002
)
4
,
pp. 399-414
Persistent link: https://www.econbiz.de/10001765137
Saved in:
37
Looking for contagion in currency futures markets
Tai, Chu-sheng
- In:
The journal of futures markets
23
(
2003
)
10
,
pp. 957-988
Persistent link: https://www.econbiz.de/10001789597
Saved in:
38
Economic significance of risk premiums in the S&P 500 option market
Balyeat, R. Brian
- In:
The journal of futures markets
22
(
2002
)
12
,
pp. 1147-1178
Persistent link: https://www.econbiz.de/10001713591
Saved in:
39
Risk premiums on inventory assets : the case of crude oil and natural gas
Considine, Timothy James
;
Larson, Donald Frederick
- In:
The journal of futures markets
21
(
2001
)
2
,
pp. 109-126
Persistent link: https://www.econbiz.de/10001542985
Saved in:
40
Response to price and production risk : the case of Australian wheat
Rambaldi, Alicia N.
;
Simmons, Phillip Ray
- In:
The journal of futures markets
20
(
2000
)
4
,
pp. 345-359
Persistent link: https://www.econbiz.de/10001485221
Saved in:
41
Normal backwardation is normal
Miffre, Joëlle
- In:
The journal of futures markets
20
(
2000
)
9
,
pp. 803-821
Persistent link: https://www.econbiz.de/10001525965
Saved in:
42
Optimal hedging of contingent exposure : the importance of a risk premium
Persson, Svein-Arne
;
Trovik, Tørres
- In:
The journal of futures markets
20
(
2000
)
9
,
pp. 823-841
Persistent link: https://www.econbiz.de/10001525966
Saved in:
43
Risk premia in the ruble-dollar futures market
Pereseckij, Anatolij A.
- In:
The journal of futures markets
17
(
1997
)
2
,
pp. 191-214
Persistent link: https://www.econbiz.de/10001218564
Saved in:
44
Commitment of traders, basis behavior, and the issue of risk premia in futures markets
Chatrath, Arjun
- In:
The journal of futures markets
17
(
1997
)
6
,
pp. 707-731
Persistent link: https://www.econbiz.de/10001228025
Saved in:
45
Derivatives and the price of risk
Bollen, Nicolas P. B.
- In:
The journal of futures markets
17
(
1997
)
7
,
pp. 839-854
Persistent link: https://www.econbiz.de/10001228456
Saved in:
46
Time-varying risk premia in the foreign currency futures basis
Baum, Christopher F.
- In:
The journal of futures markets
16
(
1996
)
7
,
pp. 735-755
Persistent link: https://www.econbiz.de/10001205865
Saved in:
47
Risk premia in the futures and forward markets
Cooper, Rick
- In:
The journal of futures markets
13
(
1993
)
4
,
pp. 357-371
Persistent link: https://www.econbiz.de/10001145982
Saved in:
48
An empirical analysis of risk premia in futures markets
Bessembinder, Hendrik
- In:
The journal of futures markets
13
(
1993
)
6
,
pp. 611-630
Persistent link: https://www.econbiz.de/10001149385
Saved in:
49
Premiums on stock index futures : some evidence
Bhatt, Swati
- In:
The journal of futures markets
10
(
1990
)
4
,
pp. 367-375
Persistent link: https://www.econbiz.de/10001128011
Saved in:
50
South African political unrest, oil prices, and the time varying risk premium in the gold futures market
Melvin, Michael
- In:
The journal of futures markets
10
(
1990
)
2
,
pp. 103-111
Persistent link: https://www.econbiz.de/10001128104
Saved in:
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