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The journal of futures markets
Journal of econometrics
1,626
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967
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720
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602
Econometric reviews
434
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1
Option prices for risk-neutral density estimation using nonparametric methods through big data and large-scale problems
Monteiro, Ana M.
;
Santos, António A. F.
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 152-171
Persistent link: https://www.econbiz.de/10012796300
Saved in:
2
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators : an affine jump-diffusion approach
Aschakulporn, Pakorn
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 365-388
Persistent link: https://www.econbiz.de/10012817922
Saved in:
3
Option pricing using the martingale approach with polynomial interpolation
Wang, Ming-chieh
;
Huang, Li-jhang
;
Liao, Szu-Lang
- In:
The journal of futures markets
33
(
2013
)
5
,
pp. 469-491
Persistent link: https://www.econbiz.de/10009726364
Saved in:
4
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:
5
A cointegrated commodity pricing model
Nakajima, Katsushi
;
Ōhashi, Kazuhiko
- In:
The journal of futures markets
32
(
2012
)
11
,
pp. 995-1033
Persistent link: https://www.econbiz.de/10009697818
Saved in:
6
Effects of omitting information variables on optimal hedge ratio estimation : a note
Lien, Da-hsiang Donald
- In:
The journal of futures markets
30
(
2010
)
8
,
pp. 795-800
Persistent link: https://www.econbiz.de/10003985095
Saved in:
7
Information content of volatility spreads
Kang, Byung Jin
;
Kim, Tong Suk
;
Yoon, Sun-joong
- In:
The journal of futures markets
30
(
2010
)
6
,
pp. 533-558
Persistent link: https://www.econbiz.de/10003962646
Saved in:
8
Improved estimation of portfolio value-at-risk under Copula models with mixed marginals
Miller, Douglas J.
;
Liu, Wei-han
- In:
The journal of futures markets
26
(
2006
)
10
,
pp. 997-1018
Persistent link: https://www.econbiz.de/10003391974
Saved in:
9
Testing range estimators of historical volatility
Shu, Jinghong
;
Zhang, Jin E.
- In:
The journal of futures markets
26
(
2006
)
3
,
pp. 297-313
Persistent link: https://www.econbiz.de/10003304002
Saved in:
10
On a mean-generalized semivariance approach to determining the hedge ratio
Chen, Sheng-syan
;
Lee, Cheng F.
;
Shrestha, Keshab
- In:
The journal of futures markets
21
(
2001
)
6
,
pp. 581-598
Persistent link: https://www.econbiz.de/10001579727
Saved in:
11
Estimating time-varying optimal hedge ratios on futures markets
Myers, Robert J.
- In:
The journal of futures markets
20
(
2000
)
1
,
pp. 73-87
Persistent link: https://www.econbiz.de/10001447798
Saved in:
12
Valuation of a European futures option in the BIFFEX market
Tvedt, Jostein
- In:
The journal of futures markets
18
(
1998
)
2
,
pp. 167-175
Persistent link: https://www.econbiz.de/10001239195
Saved in:
13
Estimating cash settlement price : the bootstrap and other estimators
Cita, John
- In:
The journal of futures markets
17
(
1997
)
6
,
pp. 617-632
Persistent link: https://www.econbiz.de/10001228030
Saved in:
14
A note on modified lattice approaches to option pricing
Easton, Stephen Andrew
- In:
The journal of futures markets
16
(
1996
)
5
,
pp. 585-594
Persistent link: https://www.econbiz.de/10001202903
Saved in:
15
The effect of the cointegration relationship on futures hedging : a note
Lien, Da-hsiang Donald
- In:
The journal of futures markets
16
(
1996
)
7
,
pp. 773-780
Persistent link: https://www.econbiz.de/10001205863
Saved in:
16
Conditional dynamics and optimal spreading in the precious metals futures markets
Wahab, Mamoud S.
- In:
The journal of futures markets
15
(
1995
)
2
,
pp. 131-136
Persistent link: https://www.econbiz.de/10001178573
Saved in:
17
Multiperiod hedging in the presence of conditional heteroskedasticity
Lien, Da-hsiang Donald
- In:
The journal of futures markets
14
(
1994
)
8
,
pp. 927-955
Persistent link: https://www.econbiz.de/10001173366
Saved in:
18
Cointegration and error correction models : intertemporal causality between index and futures prices
Ghosh, Asim K.
- In:
The journal of futures markets
13
(
1993
)
2
,
pp. 193-198
Persistent link: https://www.econbiz.de/10001141884
Saved in:
19
Reducing the bias in empirical studies due to limit moves
Sutrick, Kenneth H.
- In:
The journal of futures markets
13
(
1993
)
5
,
pp. 527-543
Persistent link: https://www.econbiz.de/10001145977
Saved in:
20
Two-step testing procedure for price discovery role of futures prices
Quan, Jing
- In:
The journal of futures markets
12
(
1992
)
2
,
pp. 139-149
Persistent link: https://www.econbiz.de/10001124224
Saved in:
21
Estimating the volatility of S&P 500 futures prices using the extreme-value method
Wiggins, James B.
- In:
The journal of futures markets
12
(
1992
)
3
,
pp. 265-273
Persistent link: https://www.econbiz.de/10001125677
Saved in:
22
The theoretical source of autocorrelation in forward and futures price relationships
Polakoff, Michael A.
- In:
The journal of futures markets
12
(
1992
)
4
,
pp. 459-473
Persistent link: https://www.econbiz.de/10001128523
Saved in:
23
Estimating time-varying optimal hedge ratios on futures markets
Myers, Robert J.
- In:
The journal of futures markets
11
(
1991
)
1
,
pp. 39-53
Persistent link: https://www.econbiz.de/10001101543
Saved in:
24
Reduction in hedging risk from adjusting for autocorrelation in the residuals of a price level regression
Elam, Emmett
- In:
The journal of futures markets
11
(
1991
)
3
,
pp. 371-384
Persistent link: https://www.econbiz.de/10001104840
Saved in:
25
Cointegration : some results on US cattle prices
Bessler, David A.
- In:
The journal of futures markets
11
(
1991
)
4
,
pp. 461-474
Persistent link: https://www.econbiz.de/10001109427
Saved in:
26
A GARCH examination of the relationship between volume and price variability in futures markets
Najand, Mohammad
- In:
The journal of futures markets
11
(
1991
)
5
,
pp. 613-621
Persistent link: https://www.econbiz.de/10001110863
Saved in:
27
Estimation of the optimal hedge ratio, expected utility, and ordinary least squares regression
Heaney, John
- In:
The journal of futures markets
11
(
1991
)
5
,
pp. 603-612
Persistent link: https://www.econbiz.de/10001110882
Saved in:
28
Futures market efficiency : evidence from cointegration tests
Chowdhury, Abdur R.
- In:
The journal of futures markets
11
(
1991
)
5
,
pp. 577-589
Persistent link: https://www.econbiz.de/10001110893
Saved in:
29
A cointegration test for market efficiency
Lai, Kon-sun
- In:
The journal of futures markets
11
(
1991
)
5
,
pp. 567-575
Persistent link: https://www.econbiz.de/10001110894
Saved in:
30
An empirical test for parities between metal prices at the LME
Franses, Philip Hans
- In:
The journal of futures markets
11
(
1991
)
6
,
pp. 729-736
Persistent link: https://www.econbiz.de/10001116050
Saved in:
31
Multiperiod hedging using futures : a risk minimization approach in the presence of autocorrelation
Howard, Charles T.
- In:
The journal of futures markets
11
(
1991
)
6
,
pp. 697-710
Persistent link: https://www.econbiz.de/10001116056
Saved in:
32
Price discovery and cointegration for live hogs
Schroeder, Ted C.
- In:
The journal of futures markets
11
(
1991
)
6
,
pp. 685-696
Persistent link: https://www.econbiz.de/10001116058
Saved in:
33
Testing unbiasedness in futures markets : a clarification
Hein, Scott E.
- In:
The journal of futures markets
10
(
1990
)
5
,
pp. 555-562
Persistent link: https://www.econbiz.de/10001094580
Saved in:
34
Alternative estimates of weighted implied volatilities from soybean and live cattle options
Turvey, Calum Greig
- In:
The journal of futures markets
10
(
1990
)
4
,
pp. 353-366
Persistent link: https://www.econbiz.de/10001128013
Saved in:
35
Daily trading estimates for treasury bond futures contract prices
LaBarge, Karin P.
- In:
The journal of futures markets
8
(
1988
)
5
,
pp. 533-561
Persistent link: https://www.econbiz.de/10001134541
Saved in:
36
Examining the validity of a test of futures market efficiency
Elam, Emmett
- In:
The journal of futures markets
8
(
1988
)
3
,
pp. 365-372
Persistent link: https://www.econbiz.de/10001134557
Saved in:
37
Stability and the hedging performance of foreign currency futures
Grammatikos, Theoharry
- In:
The journal of futures markets
3
(
1983
)
3
,
pp. 295-305
Persistent link: https://www.econbiz.de/10001085138
Saved in:
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