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~subject:"USA"
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The journal of futures markets
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1
Pricing the CBOE VIX futures with the Heston-Nandi GARCH model
Wang, Tianyi
;
Shen, Yiwen
;
Jiang, Yueting
;
Huang, Zhuo
- In:
The journal of futures markets
37
(
2017
)
7
,
pp. 641-659
Persistent link: https://www.econbiz.de/10011950860
Saved in:
2
A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng
;
Sheu, Her-jiun
;
Lee, Hsiang-Tai
- In:
The journal of futures markets
37
(
2017
)
11
,
pp. 1124-1140
Persistent link: https://www.econbiz.de/10011950956
Saved in:
3
To squeeze or not to squeeze? : that is no longer the question
Ben-Abdallah, Ramzi
;
Breton, Michèle
- In:
The journal of futures markets
36
(
2016
)
7
,
pp. 647-670
Persistent link: https://www.econbiz.de/10011568527
Saved in:
4
On the intraday relation between the VIX and its futures
Frijns, Bart
;
Tourani Rad, Alireza
;
Webb, Robert I.
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 870-886
Persistent link: https://www.econbiz.de/10011568650
Saved in:
5
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:
6
Estimation and hedging effectiveness of time-varying hedge ratio : nonparametric approaches
Fan, Rui
;
Li, Haiqi
;
Park, Sung Y.
- In:
The journal of futures markets
36
(
2016
)
10
,
pp. 968-991
Persistent link: https://www.econbiz.de/10011568846
Saved in:
7
Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures
Fu, Xi
;
Sandri, Matteo
;
Shackleton, Mark B.
- In:
The journal of futures markets
36
(
2016
)
11
,
pp. 1029-1056
Persistent link: https://www.econbiz.de/10011569013
Saved in:
8
Forecasting volatility in the presence of limits to arbitrage
Hong, Lu
;
Nohel, Tom
;
Todd, Steven
- In:
The journal of futures markets
35
(
2015
)
11
,
pp. 987-1002
Persistent link: https://www.econbiz.de/10011546208
Saved in:
9
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
Saved in:
10
Do seasonal tropical storm forecasts affect crack spread prices?
Fink, Jason
;
Fink, Kristin
- In:
The journal of futures markets
34
(
2014
)
5
,
pp. 420-433
Persistent link: https://www.econbiz.de/10010370883
Saved in:
11
An analytical formula for VIX futures and its applications
Zhu, Song-ping
;
Lian, Guang-hua
- In:
The journal of futures markets
32
(
2012
)
2
,
pp. 166-190
Persistent link: https://www.econbiz.de/10009487022
Saved in:
12
Sources of variation in holding returns for fed funds futures contracts
Hamilton, James D.
;
Okimoto, Tatsuyoshi
- In:
The journal of futures markets
31
(
2011
)
3
,
pp. 205-229
Persistent link: https://www.econbiz.de/10008908404
Saved in:
13
The incremental value of a futures hedge using realized volatility
Lai, Yu-sheng
;
Sheu, Her-jiun
- In:
The journal of futures markets
30
(
2010
)
9
,
pp. 874-896
Persistent link: https://www.econbiz.de/10008900926
Saved in:
14
After-hours trading in equity futures markets
Dungey, Mardi H.
;
Fakhrutdinova, Luba
;
Goodhart, …
- In:
The journal of futures markets
29
(
2009
)
2
,
pp. 114-136
Persistent link: https://www.econbiz.de/10003831059
Saved in:
15
Market timing of CTAs : an examination of systematic CTAs vs. discretionary CTAs
Kazemi, Hossein
;
Li, Ying
- In:
The journal of futures markets
29
(
2009
)
11
,
pp. 1067-1099
Persistent link: https://www.econbiz.de/10003900972
Saved in:
16
Dynamic hedging with futures : a copula-based GARCH model
Hsu, Chih-chiang
;
Tseng, Chih-Ping
;
Wang, Yaw-Huei
- In:
The journal of futures markets
28
(
2008
)
11
,
pp. 1095-1116
Persistent link: https://www.econbiz.de/10003770071
Saved in:
17
Interdealer inference and price discovery
Huang, Tzu-man
;
Locke, Peter R.
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 131-154
Persistent link: https://www.econbiz.de/10003647689
Saved in:
18
Intraday volatility in the bond, foreign exchange, and stock index futures markets
Martinez, Valeria
;
Tse, Yiuman
- In:
The journal of futures markets
28
(
2008
)
4
,
pp. 313-334
Persistent link: https://www.econbiz.de/10003699405
Saved in:
19
Information revelation in the futures market : evidence from single stock futures
Shastri, Kuldeep
;
Thirumalai, Ramabhadran S.
;
Zutter, …
- In:
The journal of futures markets
28
(
2008
)
4
,
pp. 335-353
Persistent link: https://www.econbiz.de/10003699407
Saved in:
20
A test of the Samuelson hypothesis using realized range
Kalev, Petko S.
;
Huu Nhan Duong
- In:
The journal of futures markets
28
(
2008
)
7
,
pp. 680-696
Persistent link: https://www.econbiz.de/10003715120
Saved in:
21
Price discovery in the treasury futures market
Brandt, Michael W.
;
Kavajecz, Kenneth A.
;
Underwood, …
- In:
The journal of futures markets
27
(
2007
)
11
,
pp. 1021-1051
Persistent link: https://www.econbiz.de/10003627040
Saved in:
22
Interdependencies between agricultural commodity futures prices on the LIFFE
Dawson, Philip J.
;
White, Ben
- In:
The journal of futures markets
22
(
2002
)
3
,
pp. 269-280
Persistent link: https://www.econbiz.de/10001646623
Saved in:
23
Managed futures, positive feedback trading, and futures price volatility
Irwin, Scott H.
;
Yoshimaru, Satoko
- In:
The journal of futures markets
19
(
1999
)
7
,
pp. 759-776
Persistent link: https://www.econbiz.de/10001443346
Saved in:
24
Volume relationships among types of traders in the financial futures markets
Wiley, Marilyn K.
- In:
The journal of futures markets
18
(
1998
)
1
,
pp. 91-113
Persistent link: https://www.econbiz.de/10001234358
Saved in:
25
Assessing inefficiency in the futures markets
Olszewski, Edward A.
- In:
The journal of futures markets
18
(
1998
)
6
,
pp. 671-704
Persistent link: https://www.econbiz.de/10001249192
Saved in:
26
Return-volume dynamics in futures markets
Kocagil, Ahmet Enis
- In:
The journal of futures markets
18
(
1998
)
4
,
pp. 399-426
Persistent link: https://www.econbiz.de/10001242640
Saved in:
27
Price limits, overreaction, and price resolution in futures markets
Chen, Haiwei
- In:
The journal of futures markets
18
(
1998
)
3
,
pp. 243-263
Persistent link: https://www.econbiz.de/10001242655
Saved in:
28
Cash settlement when the underlying securities are thinly traded : a case study
Cornell, Bradford
- In:
The journal of futures markets
17
(
1997
)
8
,
pp. 855-871
Persistent link: https://www.econbiz.de/10001232842
Saved in:
29
Informational content in historical CTA performance
McCarthy, David J.
- In:
The journal of futures markets
17
(
1997
)
3
,
pp. 317-339
Persistent link: https://www.econbiz.de/10001221314
Saved in:
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