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The journal of futures markets
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ECONIS (ZBW)
82
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1
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:
2
The role of option-based information on StockTwits, options trading volume, and stock returns
Heng, Zin Yau
;
Leung, Henry
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1091-1125
Persistent link: https://www.econbiz.de/10014339375
Saved in:
3
VIX option-implied volatility slope and VIX futures returns
Yoon, Jungah
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1002-1038
Persistent link: https://www.econbiz.de/10013287910
Saved in:
4
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
5
Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian
;
Gazi, Adnan
- In:
The journal of futures markets
44
(
2024
)
5
,
pp. 720-743
Persistent link: https://www.econbiz.de/10014536677
Saved in:
6
Option pricing with dynamic conditional skewness
Liang, Fang
;
Du, Lingshan
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1154-1188
Persistent link: https://www.econbiz.de/10014553957
Saved in:
7
Exploring the unpredictable nature of climate policy uncertainty : an empirical analysis of its impact on commodity futures returns in the United States
Tang, Chia-Hsien
;
Lee, Yen-Hsien
;
Liu, Hung-Chun
;
Zeng, …
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1277-1292
Persistent link: https://www.econbiz.de/10014553986
Saved in:
8
Market-wide overconfidence and stock returns
Chen, Qiang
;
Han, Yu
;
Huang, Ying
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 3-26
Persistent link: https://www.econbiz.de/10014475421
Saved in:
9
Predictability of commodity futures returns with machine learning models
Wang, Shirui
;
Zhang, Tianyang
- In:
The journal of futures markets
44
(
2024
)
2
,
pp. 302-322
Persistent link: https://www.econbiz.de/10014475477
Saved in:
10
Hedging performance analysis of energy markets : evidence from copula quantile regression
Ren, Xianling
;
Yu, Xinping
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 432-450
Persistent link: https://www.econbiz.de/10014475503
Saved in:
11
Role of derivatives market in attenuating underreaction to left-tail risk
Saurav, Sumit
;
Agarwalla, Sobhesh Kumar
;
Varma, Jayanth Rama
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 484-517
Persistent link: https://www.econbiz.de/10014475505
Saved in:
12
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:
13
Commodity momentum and reversal : do they exist, and if so, why?
Han, Meng
- In:
The journal of futures markets
43
(
2023
)
9
,
pp. 1204-1237
Persistent link: https://www.econbiz.de/10014339398
Saved in:
14
The predictability of iron ore futures prices : a product-material lead-lag effect
He, Mengxi
;
Wang, Yudong
;
Zhang, Yaojie
- In:
The journal of futures markets
43
(
2023
)
9
,
pp. 1289-1304
Persistent link: https://www.econbiz.de/10014339412
Saved in:
15
Commodity network and predictable returns
Xu, Qi
;
Ye, Yang
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1423-1449
Persistent link: https://www.econbiz.de/10014339453
Saved in:
16
Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
17
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:
18
Commodity momentum decomposition
Iwanaga, Yasuhiro
;
Sakemoto, Ryuta
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 198-216
Persistent link: https://www.econbiz.de/10014292998
Saved in:
19
Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw
;
Hsieh, Pei-Lin
;
Huang, Jeffrey
;
Li, Xiaowei
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
Saved in:
20
Anger in predicting the index futures returns
Cao, Zhen
;
Shen, Jiancheng
;
Wei, Xinbei
;
Zhang, Qunzi
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 437-454
Persistent link: https://www.econbiz.de/10014293110
Saved in:
21
Probability weighting in commodity futures markets
Yuan, Jun
;
Xu, Qi
;
Wang, Ying
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 516-548
Persistent link: https://www.econbiz.de/10014293131
Saved in:
22
Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar
;
Saurav, Sumit
;
Varma, Jayanth Rama
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
Saved in:
23
Who and what drives informed options trading after the market opens?
Kang, Jongho
;
Kang, Jangkoo
;
Lee, Jaeram
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 338-364
Persistent link: https://www.econbiz.de/10012817917
Saved in:
24
Use of high-frequency data to evaluate the performance of dynamic hedging strategies
Lai, Yu-Sheng
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 104-124
Persistent link: https://www.econbiz.de/10012796298
Saved in:
25
Overnight returns of industry exchange-traded funds, investor sentiment, and futures market returns
Lee, Yun-Huan
;
Liao, Tzu-Hsiang
;
Lee, Hsiu-chuan
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1114-1134
Persistent link: https://www.econbiz.de/10013287919
Saved in:
26
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:
27
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:
28
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:
29
A trend factor in commodity futures markets : any economic gains from using information over investment horizons?
Han, Yufeng
;
Kong, Lingfei
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 803-822
Persistent link: https://www.econbiz.de/10013187602
Saved in:
30
Understanding intraday momentum strategies
Rosa, Carlo
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2218-2234
Persistent link: https://www.econbiz.de/10013465878
Saved in:
31
The return-implied volatility relation for commodity ETFs
Padungsaksawasdi, Chaiyuth
;
Daigler, Robert T.
- In:
The journal of futures markets
34
(
2014
)
3
,
pp. 261-281
Persistent link: https://www.econbiz.de/10010355434
Saved in:
32
Quantile regression analysis of the asymmetric return-volatility relation
Badshah, Ihsan Ullah
- In:
The journal of futures markets
33
(
2013
)
3
,
pp. 235-265
Persistent link: https://www.econbiz.de/10009699437
Saved in:
33
The relationship between currency carry trades and US stocks
Tse, Yiuman
;
Zhao, Lin
- In:
The journal of futures markets
32
(
2012
)
3
,
pp. 252-271
Persistent link: https://www.econbiz.de/10010218772
Saved in:
34
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:
35
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:
36
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:
37
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:
38
Asymmetric pricing of implied systematic volatility in the cross-section of expected returns
Delisle, R. Jared
;
Doran, James S.
;
Peterson, David R.
- In:
The journal of futures markets
31
(
2011
)
1
,
pp. 34-54
Persistent link: https://www.econbiz.de/10008908412
Saved in:
39
Derivatives do affect mutual fund returns : evidence from the financial crisis of 1998
Cao, Charles Q.
;
Ghysels, Eric
;
Hatheway, Frank
- In:
The journal of futures markets
31
(
2011
)
7
,
pp. 629-658
Persistent link: https://www.econbiz.de/10009009214
Saved in:
40
The performance of alternative futures buy-write strategies
Che, Sanry Y. S.
;
Fung, Joseph K. W.
- In:
The journal of futures markets
31
(
2011
)
12
,
pp. 1202-1227
Persistent link: https://www.econbiz.de/10009355715
Saved in:
41
Empirical evidence on the dependence of credit default swaps and equity prices
Dupuis, Debbie
;
Jacquier, Eric
;
Papageorgiou, Nicolas
; …
- In:
The journal of futures markets
29
(
2009
)
8
,
pp. 695-712
Persistent link: https://www.econbiz.de/10003899237
Saved in:
42
Option implied cost of equity and its properties
Câmara, António
;
Chung, San-lin
;
Wang, Yaw-huei
- In:
The journal of futures markets
29
(
2009
)
7
,
pp. 599-629
Persistent link: https://www.econbiz.de/10003842906
Saved in:
43
Multi-period hedge ratios for a multi-asset portfolio when accounting for returns co-movement
Fernández, Viviana
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 182-207
Persistent link: https://www.econbiz.de/10003647712
Saved in:
44
The information content in implied idiosyncratic volatility and the cross-section of stock returns : evidence from the option markets
Diavatopoulos, Dean
;
Doran, James S.
;
Peterson, David R.
- In:
The journal of futures markets
28
(
2008
)
11
,
pp. 1013-1039
Persistent link: https://www.econbiz.de/10003769957
Saved in:
45
Testing the martingale hypothesis for futures prices : implications for hedgers
De Ville de Goyet, Cédric
;
Dhaene, Geert
;
Sercu, Piet
- In:
The journal of futures markets
28
(
2008
)
11
,
pp. 1040-1065
Persistent link: https://www.econbiz.de/10003769967
Saved in:
46
Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns
Thomakos, Dimitrios D.
;
Wang, T'ao
;
Wu, Jingtao
; …
- In:
The journal of futures markets
28
(
2008
)
9
,
pp. 815-844
Persistent link: https://www.econbiz.de/10003746355
Saved in:
47
Realized bond-stock correlation : macroeconomic announcement effects
Christiansen, Charlotte
;
Ranaldo, Angelo
- In:
The journal of futures markets
27
(
2007
)
5
,
pp. 439-469
Persistent link: https://www.econbiz.de/10003493097
Saved in:
48
A simplified approach to modeling the co-movement of asset returns
Harris, Richard D. F.
;
Stoja, Evarist
;
Tucker, Jon
- In:
The journal of futures markets
27
(
2007
)
6
,
pp. 575-598
Persistent link: https://www.econbiz.de/10003493113
Saved in:
49
Long memory models for daily and high frequency commodity futures returns
Baillie, Richard
;
Han, Young Wook
;
Myers, Robert J.
; …
- In:
The journal of futures markets
27
(
2007
)
7
,
pp. 643-668
Persistent link: https://www.econbiz.de/10003493148
Saved in:
50
Reevaluating hedging performance
Cotter, John
;
Hanly, Jim
- In:
The journal of futures markets
26
(
2006
)
7
,
pp. 677-702
Persistent link: https://www.econbiz.de/10003331429
Saved in:
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