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The journal of futures markets
European journal of operational research : EJOR
214
Journal of econometrics
116
Operations research letters
85
Economic modelling
80
Discussion paper / Tinbergen Institute
75
Mathematics of operations research
75
Mathematical methods of operations research
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71
International journal of production research
70
Economics letters
67
International journal of theoretical and applied finance
66
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62
Operations research
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57
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56
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55
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54
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52
International journal of production economics
51
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46
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45
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
45
Journal of economic theory
45
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43
Discussion paper / Centre for Economic Policy Research
41
International journal of forecasting
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Applied economics letters
39
Série des documents de travail / Centre de Recherche en Économie et Statistique
39
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Finance research letters
37
Risks : open access journal
36
Dynamic games and applications : DGA
35
Working paper / National Bureau of Economic Research, Inc.
35
Journal of empirical finance
34
International review of financial analysis
33
Macroeconomic dynamics
33
Finance and stochastics
32
Journal of banking & finance
30
Management science : journal of the Institute for Operations Research and the Management Sciences
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Working paper / Department of Econometrics and Business Statistics, Monash University
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Nonlinear limits to arbitrage
Chen, Jingzhi
;
Cai, Charlie X.
;
Faff, Robert W.
;
Shin, …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1084-1113
Persistent link: https://www.econbiz.de/10013287917
Saved in:
3
Riemannian-geometric regime-switching covariance hedging
Lee, Hsiang-Tai
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 1003-1054
Persistent link: https://www.econbiz.de/10014536714
Saved in:
4
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
5
Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
Saved in:
6
A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
Lee, Hsiang-Tai
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 389-412
Persistent link: https://www.econbiz.de/10012817925
Saved in:
7
Spot market volatility and futures trading : the pitfalls of using a dummy variable approach
Bohl, Martin T.
;
Diesteldorf, Jeanne
;
Salm, Christian
; …
- In:
The journal of futures markets
36
(
2016
)
1
,
pp. 30-45
Persistent link: https://www.econbiz.de/10011567524
Saved in:
8
Information content of trading activity in precious metals futures markets
Pradkhan, Elina
- In:
The journal of futures markets
36
(
2016
)
5
,
pp. 421-456
Persistent link: https://www.econbiz.de/10011568440
Saved in:
9
Heston-type stochastic volatility with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
;
Osakwe, …
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 902-919
Persistent link: https://www.econbiz.de/10011568671
Saved in:
10
Hoarding the herd : the convenience of productive stocks
Asche, Frank
;
Oglend, Atle
;
Zhang, Dengjun
- In:
The journal of futures markets
35
(
2015
)
7
,
pp. 679-694
Persistent link: https://www.econbiz.de/10011405465
Saved in:
11
A jump diffusion model for agricultural commodities with Bayesian analysis
Schmitz, Adam
;
Wang, Zhiguang
;
Kimn, Jung-han
- In:
The journal of futures markets
34
(
2014
)
3
,
pp. 235-260
Persistent link: https://www.econbiz.de/10010355435
Saved in:
12
Option valuation under a double regime-switching model
Shen, Yang
;
Fan, Kun
;
Siu, Tak Kuen
- In:
The journal of futures markets
34
(
2014
)
5
,
pp. 451-478
Persistent link: https://www.econbiz.de/10010370881
Saved in:
13
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:
14
A random coefficient autoregressive Markov regime switching model for dynamic futures hedging
Lee, Hsiang-tai
;
Yoder, Jonathan K.
;
Mittelhammer, Ron C.
; …
- In:
The journal of futures markets
26
(
2006
)
2
,
pp. 103-129
Persistent link: https://www.econbiz.de/10003303873
Saved in:
15
Pricing credit spread options under a Markov chain model with stochastic default rate
Kang, Jangkoo
;
Kim, Hwa-sung
- In:
The journal of futures markets
24
(
2004
)
7
,
pp. 631-648
Persistent link: https://www.econbiz.de/10002108793
Saved in:
16
A Markov Regime Switching approach for hedging stock indices
Alizadeh-Masoodian, Amir H.
;
Nomikos, Nikos
- In:
The journal of futures markets
24
(
2004
)
7
,
pp. 649-674
Persistent link: https://www.econbiz.de/10002108802
Saved in:
17
Regime switching in the yield curve
Chritiansen, Charlotte
- In:
The journal of futures markets
24
(
2004
)
4
,
pp. 315-336
Persistent link: https://www.econbiz.de/10002005349
Saved in:
18
The cost of carry model and regime shifts in stock index futures markets : an empirical investigation
Sarno, Lucio
;
Valente, Giorgio
- In:
The journal of futures markets
20
(
2000
)
7
,
pp. 603-624
Persistent link: https://www.econbiz.de/10001523738
Saved in:
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