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Journal of empirical finance
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ECONIS (ZBW)
71
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1
Price discovery in equity markets : a state-dependent analysis of spot and futures markets
Kuck, Konstantin
;
Schweikert, Karsten
- In:
Journal of banking & finance
149
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462550
Saved in:
2
Higher-order Omega : a performance index with a decision-theoretic foundation
Bi, Hongwei
;
Huang, Rachel J.
;
Tzeng, Larry Y.
;
Zhu, Wei
- In:
Journal of banking & finance
100
(
2019
),
pp. 43-57
Persistent link: https://www.econbiz.de/10012162443
Saved in:
3
Determinants of price discovery in the VIX futures market
Chen, Yu-Lun
;
Tsai, Wei-Che
- In:
Journal of empirical finance
43
(
2017
),
pp. 59-73
Persistent link: https://www.econbiz.de/10011817906
Saved in:
4
Informed trading in S&P index options? : evidence from the 2008 financial crisis
Li, Wei-Xuan
;
French, Joseph J.
;
Chen, Clara Chia-Sheng
- In:
Journal of empirical finance
42
(
2017
),
pp. 40-65
Persistent link: https://www.econbiz.de/10011808543
Saved in:
5
Market uncertainty, expected volatility and the mispricing of S&P 500 index futures
Tu, Anthony H.
;
Hsieh, Wen-Liang G.
;
Wu, Wei-Shao
- In:
Journal of empirical finance
35
(
2016
),
pp. 78-98
Persistent link: https://www.econbiz.de/10011662722
Saved in:
6
The relative pricing of European dividend futures and their predictive abilities for index returns
Stotz, Olaf
- In:
The European journal of finance
22
(
2016
)
13/15
,
pp. 1484-1506
Persistent link: https://www.econbiz.de/10011715480
Saved in:
7
A test of efficiency for the S&P 500 index option market using the generalized spectrum method
Huang, Henry H.
;
Wang, Kent
;
Wang, Zhanglong
- In:
Journal of banking & finance
64
(
2016
),
pp. 52-70
Persistent link: https://www.econbiz.de/10011634259
Saved in:
8
The LIX : a model-independent liquidity index
Guillaume, Florence
- In:
Journal of banking & finance
58
(
2015
),
pp. 214-231
Persistent link: https://www.econbiz.de/10011543981
Saved in:
9
The role of the variance premium in Jump-GARCH option pricing models
Byun, Suk Joon
;
Jeon, Byoung Hyun
;
Min, Byungsun
;
Yoon, …
- In:
Journal of banking & finance
59
(
2015
),
pp. 38-56
Persistent link: https://www.econbiz.de/10011544288
Saved in:
10
The calm after the storm : implied volatility and future stock index returns
Lubnau, Thorben Manfred
;
Todorova, Neda
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1282-1296
Persistent link: https://www.econbiz.de/10011419879
Saved in:
11
Quote inefficiency in options markets
Rodríguez Longarela, Iñaki
;
Mayoral, Silvia
- In:
Journal of banking & finance
55
(
2015
),
pp. 23-36
Persistent link: https://www.econbiz.de/10011378081
Saved in:
12
Volatility co-movements : a time-scale decomposition analysis
Cipollini, Andrea
;
Lo Cascio, Iolanda
;
Muzzioli, Silvia
- In:
Journal of empirical finance
34
(
2015
),
pp. 34-44
Persistent link: https://www.econbiz.de/10011556988
Saved in:
13
Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Wu, Feng
;
Myers, Robert J.
;
Guan, Zhengfei
;
Wang, Zhiguang
- In:
Journal of empirical finance
34
(
2015
),
pp. 260-274
Persistent link: https://www.econbiz.de/10011557143
Saved in:
14
Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities
Zhou, Yinggang
- In:
Journal of banking & finance
38
(
2014
),
pp. 216-228
Persistent link: https://www.econbiz.de/10010340777
Saved in:
15
Trading activity in the equity market and its contingent claims : an empirical investigation
Roll, Richard
;
Schwartz, Eduardo S.
;
Subrahmanyam, Avanidhar
- In:
Journal of empirical finance
28
(
2014
),
pp. 13-35
Persistent link: https://www.econbiz.de/10011284514
Saved in:
16
Investor sentiment and value and growth stock index options
Coakley, Jerry
;
Dotsis, George
;
Liu, Xiaoquan
;
Zhai, Jia
- In:
The European journal of finance
20
(
2014
)
10/12
,
pp. 1211-1229
Persistent link: https://www.econbiz.de/10010465894
Saved in:
17
Riskiness-minimizing spot-futures hedge ratio
Chen, Yi-ting
;
Ho, Keng-yu
;
Tzeng, Larry Y.
- In:
Journal of banking & finance
40
(
2014
),
pp. 154-164
Persistent link: https://www.econbiz.de/10010402247
Saved in:
18
Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro
;
Guidolin, Massimo
- In:
Journal of banking & finance
46
(
2014
),
pp. 326-342
Persistent link: https://www.econbiz.de/10010468417
Saved in:
19
Overconfident individual day traders : evidence from the Taiwan futures market
Kuo, Wei-yu
;
Lin, Tse-chun
- In:
Journal of banking & finance
37
(
2013
)
9
,
pp. 3548-3561
Persistent link: https://www.econbiz.de/10010126322
Saved in:
20
No-arbitrage implied volatility functions : empirical evidence from KOSPI 200 index options
Kim, Namhyoung
;
Lee, Jaewook
- In:
Journal of empirical finance
21
(
2013
),
pp. 36-53
Persistent link: https://www.econbiz.de/10009745311
Saved in:
21
The world price of jumo and volatility risk
Driessen, Joost
;
Maenhout, Pascal J.
- In:
Journal of banking & finance
37
(
2013
)
2
,
pp. 518-536
Persistent link: https://www.econbiz.de/10009705629
Saved in:
22
Ironing out the kinks in executive compensation : linking incentive pay to average stock prices
Tian, Yisong Sam
- In:
Journal of banking & finance
37
(
2013
)
2
,
pp. 415-432
Persistent link: https://www.econbiz.de/10009705644
Saved in:
23
The index premium and its hidden cost for index funds
Petajisto, Antti
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 271-288
Persistent link: https://www.econbiz.de/10009301120
Saved in:
24
Threshold non-linear dynamics between Hang Seng stock index and futures returns
Chung, Hon-lun
;
Chan, Wai-Sum
;
Batten, Jonathan A.
- In:
The European journal of finance
17
(
2011
)
7/8
,
pp. 471-486
Persistent link: https://www.econbiz.de/10009509864
Saved in:
25
The role of time-varying jump risk premia in pricing stock index options
Yun, Jaeho
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 833-846
Persistent link: https://www.econbiz.de/10009492529
Saved in:
26
The pricing of temperature futures at the Chicago Mercantile Exchange
Dorfleitner, Gregor
;
Wimmer, Maximilian
- In:
Journal of banking & finance
34
(
2010
)
6
,
pp. 1360-1370
Persistent link: https://www.econbiz.de/10003978408
Saved in:
27
The informational impact of electronic trading systems on the FTSE 100 stock index and its futures contracts
Sebastião, Helder Miguel Correia Virtuoso
- In:
The European journal of finance
16
(
2010
)
7
,
pp. 611-640
Persistent link: https://www.econbiz.de/10008759424
Saved in:
28
Does information drive trading in option strategies?
Fahlenbrach, Rüdiger
;
Sandås, Patrik
- In:
Journal of banking & finance
34
(
2010
)
10
,
pp. 2370-2385
Persistent link: https://www.econbiz.de/10008857746
Saved in:
29
A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices
Shackleton, Mark B.
;
Taylor, Stephen
;
Yu, Peng
- In:
Journal of banking & finance
34
(
2010
)
11
,
pp. 2678-2693
Persistent link: https://www.econbiz.de/10008858849
Saved in:
30
Do the prices of stock index futures in Asia overreact to US market returns?
Fung, Alexander Kwok-wah
;
Lam, Kin
;
Lam, Ka-ming
- In:
Journal of empirical finance
17
(
2010
)
3
,
pp. 428-440
Persistent link: https://www.econbiz.de/10009267290
Saved in:
31
Co-movements of index options and futures quotes
Fahlenbrach, Rüdiger
;
Sandås, Patrik
- In:
Journal of empirical finance
16
(
2009
)
1
,
pp. 151-163
Persistent link: https://www.econbiz.de/10003800565
Saved in:
32
The jump component of S&P 500 volatility and the VIX index
Becker, Ralf
;
Clements, Adam
;
McClelland, Andrew
- In:
Journal of banking & finance
33
(
2009
)
6
,
pp. 1033-1038
Persistent link: https://www.econbiz.de/10003841865
Saved in:
33
Derivative use, fund flows and investment manager performance
Frino, Alex
;
Lepone, Andrew
;
Wong, Brad
- In:
Journal of banking & finance
33
(
2009
)
5
,
pp. 925-933
Persistent link: https://www.econbiz.de/10003836457
Saved in:
34
Can the evolution of implied volatility be forecasted? : evidence from European and US implied volatility indices
Konstantinidi, Eirini
;
Skiadopoulos, George
; …
- In:
Journal of banking & finance
32
(
2008
)
11
,
pp. 2401-2411
Persistent link: https://www.econbiz.de/10003787217
Saved in:
35
The effectiveness of dynamic hedging : evidence from selected European stock index futures
Sultan, Jahangir
;
Hasan, Mohammad S.
- In:
The European journal of finance
14
(
2008
)
5/6
,
pp. 469-488
Persistent link: https://www.econbiz.de/10003772109
Saved in:
36
The pricing of leverage products : an empirical investigation of the German market for "long" and "short" stock index certificates
Wilkens, Sascha
;
Stoimenov, Pavel A.
- In:
Journal of banking & finance
31
(
2007
)
3
,
pp. 735-750
Persistent link: https://www.econbiz.de/10003429769
Saved in:
37
Implied volatility and future portfolio returns
Banerjee, Prithviraj S.
;
Doran, James S.
;
Peterson, David R.
- In:
Journal of banking & finance
31
(
2007
)
10
,
pp. 3183-3199
Persistent link: https://www.econbiz.de/10003574850
Saved in:
38
An empirical comparison of continuous-time models of implied volatility indices
Dotsis, George
;
Psychoyios, Dimitris
;
Skiadopoulos, George
- In:
Journal of banking & finance
31
(
2007
)
12
,
pp. 3584-3603
Persistent link: https://www.econbiz.de/10003604337
Saved in:
39
The implied volatility term structure of stock index options
Mixon, Scott
- In:
Journal of empirical finance
14
(
2007
)
3
,
pp. 333-354
Persistent link: https://www.econbiz.de/10003609837
Saved in:
40
Volatility as an asset class : European evidence
Hafner, Reinhold
;
Wallmeier, Martin
- In:
The European journal of finance
13
(
2007
)
7/8
,
pp. 621-644
Persistent link: https://www.econbiz.de/10003609936
Saved in:
41
Intraday price reversals in the US stock index futures market : A 15-year study
Grant, James L.
;
Wolf, Avner S.
;
Yu, Susana
- In:
Journal of banking & finance
29
(
2005
)
5
,
pp. 1311-1327
Persistent link: https://www.econbiz.de/10002629003
Saved in:
42
Index futures and positive feedback trading : evidence from major stock exchanges
Antoniou, Antonios
;
Koutmos, Gregory
;
Pericli, Andreas …
- In:
Journal of empirical finance
12
(
2005
)
2
,
pp. 219-238
Persistent link: https://www.econbiz.de/10002685067
Saved in:
43
A note on execution costs for stock index futures : information versus liquidity effects
Berkman, Henk
;
Brailsford, Timothy J.
;
Frino, Alex
- In:
Journal of banking & finance
29
(
2005
)
3
,
pp. 565-577
Persistent link: https://www.econbiz.de/10002516846
Saved in:
44
Index futures arbitrage before and after the introduction of sixteenths on the NYSE
Henker, Thomas
;
Martens, Martin
- In:
Journal of empirical finance
12
(
2005
)
3
,
pp. 353-373
Persistent link: https://www.econbiz.de/10002900505
Saved in:
45
Price discovery and volatility spillovers in index futures markets : some evidence from Mexico
Zhong, Maosen
;
Darrat, Ali F.
;
Otero, Rafael
- In:
Journal of banking & finance
28
(
2004
)
12
,
pp. 3037-3054
Persistent link: https://www.econbiz.de/10002410740
Saved in:
46
How much do locals contribute to the price discovery process?
Fong, Kingsley
;
Zurbruegg, Ralf
- In:
Journal of empirical finance
10
(
2003
)
3
,
pp. 305-320
Persistent link: https://www.econbiz.de/10001752106
Saved in:
47
Optimal hedging under departures from the cost-of-carry valuation : evidence from the Spanish stock index futures market
Lafuente, Juan Angel
;
Novales, Alfonso
- In:
Journal of banking & finance
27
(
2003
)
6
,
pp. 1053-1078
Persistent link: https://www.econbiz.de/10001757808
Saved in:
48
The predictive power of implied volatility : evidence from 35 futures markets
Szakmary, Andrew
;
Örs, Evren
;
Kim, Jin Kyoung
; …
- In:
Journal of banking & finance
27
(
2003
)
11
,
pp. 2151-2175
Persistent link: https://www.econbiz.de/10001798814
Saved in:
49
Estimation and empirical performance of Heston's stochastic volatility model : the case of a thinly traded market
Fiorentini, Gabriele
;
León Valle, Ángel Manuel
; …
- In:
Journal of empirical finance
9
(
2002
)
2
,
pp. 225-255
Persistent link: https://www.econbiz.de/10001655810
Saved in:
50
Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger
;
Mittnik, Stefan
- In:
The European journal of finance
8
(
2002
)
3
,
pp. 302-321
Persistent link: https://www.econbiz.de/10001704471
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