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The journal of futures markets
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7
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ECONIS (ZBW)
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1
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:
2
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:
3
Sugar with your coffee? : fundamentals, financials, and softs price uncertainty
Covindassamy, Genèvre
;
Robe, Michel A.
;
Wallen, Jonathan
- In:
The journal of futures markets
37
(
2017
)
8
,
pp. 744-765
Persistent link: https://www.econbiz.de/10011950876
Saved in:
4
A bivariate high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng
;
Lien, Da-hsiang Donald
- In:
The journal of futures markets
37
(
2017
)
9
,
pp. 913-929
Persistent link: https://www.econbiz.de/10011950909
Saved in:
5
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:
6
Forecasting the volatility of Nikkei 225 futures
Asai, Manabu
;
McAleer, Michael
- In:
The journal of futures markets
37
(
2017
)
11
,
pp. 1141-1152
Persistent link: https://www.econbiz.de/10011951006
Saved in:
7
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:
8
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:
9
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:
10
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:
11
An analysis of the risk-return characteristics of serially correlated managed futures
Elaut, Gert
;
Erdős, Péter
;
Sjödin, John
- In:
The journal of futures markets
36
(
2016
)
10
,
pp. 992-1013
Persistent link: https://www.econbiz.de/10011568847
Saved in:
12
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:
13
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:
14
Program trading and the link between the spot and futures prices
Jordan, Steven J.
;
Lee, Woo-Baik
;
Park, Jong Won
- In:
The journal of futures markets
35
(
2015
)
12
,
pp. 1133-1153
Persistent link: https://www.econbiz.de/10011546237
Saved in:
15
A factor analytical approach to the efficient futures market hypothesis
Westerlund, Joakim
;
Norkute, Milda
;
Narayan, Paresh Kumar
- In:
The journal of futures markets
35
(
2015
)
4
,
pp. 357-370
Persistent link: https://www.econbiz.de/10011348416
Saved in:
16
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:
17
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:
18
Incremental value of futures hedge using realized ranges
Sheu, Her-jiun
;
Lai, Yu-Sheng
- In:
The journal of futures markets
34
(
2014
)
7
,
pp. 676-689
Persistent link: https://www.econbiz.de/10010507941
Saved in:
19
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:
20
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:
21
Estimation and hedging effectiveness of time-varying hedge ratio : flexible bivariate GARCH approaches
Park, Sung Y.
;
Jei, Sang Young
- In:
The journal of futures markets
30
(
2010
)
1
,
pp. 71-99
Persistent link: https://www.econbiz.de/10003962426
Saved in:
22
The effects skewness on optimal production and hedging decisions : an application of the skew-normal distribution
Lien, Da-hsiang Donald
- In:
The journal of futures markets
30
(
2010
)
3
,
pp. 278-289
Persistent link: https://www.econbiz.de/10003962522
Saved in:
23
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:
24
How potent are news reversals? : evidence from the futures markets
Chatrath, Arjun
;
Christie-David, Rohan
;
Lee, Kiseop
- In:
The journal of futures markets
29
(
2009
)
1
,
pp. 42-73
Persistent link: https://www.econbiz.de/10003826616
Saved in:
25
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:
26
Liquidity and hedging effectiveness under futures mispricing : international evidence
Andani, A.
;
Lafuente, J. A.
;
Novales, Alfonso
- In:
The journal of futures markets
29
(
2009
)
11
,
pp. 1050-1066
Persistent link: https://www.econbiz.de/10003900969
Saved in:
27
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:
28
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:
29
Production, liquidity, and futures price dynamics
Kit, Pong Wong
- In:
The journal of futures markets
28
(
2008
)
8
,
pp. 749-762
Persistent link: https://www.econbiz.de/10003746343
Saved in:
30
Cross-market efficiency in the Indian derivatives market : a test of put-call parity
Vipul
- In:
The journal of futures markets
28
(
2008
)
9
,
pp. 889-910
Persistent link: https://www.econbiz.de/10003746363
Saved in:
31
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:
32
Optimal futures heading: quadratic versus exponential utility functions
Lien, Da-hsiang Donald
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 208-211
Persistent link: https://www.econbiz.de/10003647714
Saved in:
33
A further note on the optimality of the OLS hedge strategy
Lien, Da-hsiang Donald
- In:
The journal of futures markets
28
(
2008
)
3
,
pp. 308-311
Persistent link: https://www.econbiz.de/10003699396
Saved in:
34
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:
35
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:
36
Efficiency of the IBEX spot-futures basis : the impact of the mini-futures
McMillan, David G.
;
Quiroga Garcia, Raquel
- In:
The journal of futures markets
28
(
2008
)
4
,
pp. 398-415
Persistent link: https://www.econbiz.de/10003699415
Saved in:
37
Efficiency of single-stock futures : an intraday analysis
Fung, Joseph K. W.
;
Tse, Yiuman
- In:
The journal of futures markets
28
(
2008
)
6
,
pp. 518-536
Persistent link: https://www.econbiz.de/10003714981
Saved in:
38
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:
39
Multifactor and analytical valuation of treasury bond futures with an embedded quality option
Nunes, Joaõ Pedro Vidal
;
Oliveira, Luís Alberto …
- In:
The journal of futures markets
27
(
2007
)
3
,
pp. 275-303
Persistent link: https://www.econbiz.de/10003493051
Saved in:
40
The impact of execution delay on the profitability of put-call-futures trading strategies : evidence from Taiwan
Chiou, Jong-rong
;
Hsieh, Wen-liang Gideon
;
Lin, Yuan-yi
- In:
The journal of futures markets
27
(
2007
)
4
,
pp. 361-385
Persistent link: https://www.econbiz.de/10003493071
Saved in:
41
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:
42
Transactions in futures markets : informed or uninformed?
Frino, Alex
;
Kruk, Jennifer
;
Lepone, Andrew
- In:
The journal of futures markets
27
(
2007
)
12
,
pp. 1159-1174
Persistent link: https://www.econbiz.de/10003627175
Saved in:
43
Market microstructure effects on volatility at the TAIFEX
Webb, Robert I.
;
Muthuswamy, Jayaram
;
Segara, Reuben
- In:
The journal of futures markets
27
(
2007
)
12
,
pp. 1219-1243
Persistent link: https://www.econbiz.de/10003627207
Saved in:
44
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:
45
Fragmentation and complementarity: the case of EFPs
Brown-Hruska, Sharon
;
Laux, Paul A.
- In:
The journal of futures markets
22
(
2002
)
8
,
pp. 697-727
Persistent link: https://www.econbiz.de/10001696664
Saved in:
46
Valuation of futures and commodity options with information costs
Bellalah, Mondher
- In:
The journal of futures markets
19
(
1999
)
6
,
pp. 645-664
Persistent link: https://www.econbiz.de/10001410394
Saved in:
47
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:
48
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:
49
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:
50
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:
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