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The journal of futures markets
Journal of banking & finance
570
NBER working paper series
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470
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460
European journal of operational research : EJOR
397
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ECONIS (ZBW)
83
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1
Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François
;
Boudreault, Mathieu
; …
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
Saved in:
2
Modeling skewness in portfolio choice
Trung Hai Le
;
Kourtis, Apostolos
;
Markellos, Raphaēl N.
- In:
The journal of futures markets
43
(
2023
)
6
,
pp. 734-770
Persistent link: https://www.econbiz.de/10014293220
Saved in:
3
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
4
A deep learning-based financial hedging approach for the effective management of commodity risks
Hu, Yan
;
Ni, Jian
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 879-900
Persistent link: https://www.econbiz.de/10014536702
Saved in:
5
Commodity premia and risk management
Fan, John Hua
;
Zhang, Tingxi
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1097-1116
Persistent link: https://www.econbiz.de/10014553950
Saved in:
6
Trading commodity ETFs : price behavior, investment insights, and performance analysis
Hadad, Elroi
;
Malhotra, Davinder Kumar
;
Nippani, Srinivas
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1257-1276
Persistent link: https://www.econbiz.de/10014553985
Saved in:
7
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:
8
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:
9
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:
10
Maximum utility portfolio construction in the forward freight agreement markets : evidence from a multivariate skewed t copula
Gong, Yuting
;
Wang, Xueqin
;
Zhu, Mo
;
Ge, Ying-En
;
Shi, …
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 69-89
Persistent link: https://www.econbiz.de/10013465893
Saved in:
11
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:
12
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:
13
Investment horizon and option market activity
Kim, Da-Hea
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 923-958
Persistent link: https://www.econbiz.de/10013187613
Saved in:
14
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:
15
Is the information on the higher moments of underlying returns correctly reflected in option prices?
Kang, Jangkoo
;
Lee, Soonhee
- In:
The journal of futures markets
36
(
2016
)
8
,
pp. 722-744
Persistent link: https://www.econbiz.de/10011568552
Saved in:
16
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:
17
Valuing retail credit tranches with structural, double mixture models
Bae, Taehan
;
Iscoe, Ian
;
Kim, Changki
- In:
The journal of futures markets
35
(
2015
)
9
,
pp. 849-867
Persistent link: https://www.econbiz.de/10011392664
Saved in:
18
Do momentum-based trading strategies work in the commodity futures markets?
Narayan, Paresh Kumar
;
Ali Ahmed, Huson Joher
;
Narayan, …
- In:
The journal of futures markets
35
(
2015
)
9
,
pp. 868-891
Persistent link: https://www.econbiz.de/10011392696
Saved in:
19
Currency overlay for global equity portfolios : cross-hedging and base currency
Opie, Wei
;
Dark, Jonathan
- In:
The journal of futures markets
35
(
2015
)
2
,
pp. 186-200
Persistent link: https://www.econbiz.de/10011348453
Saved in:
20
A copula-based quantile risk measure approach to estimate the optimal hedge ratio
Barbi, Massimiliano
;
Romagnoli, Silvia
- In:
The journal of futures markets
34
(
2014
)
7
,
pp. 658-675
Persistent link: https://www.econbiz.de/10010507942
Saved in:
21
A Markowitz optimization of commodity futures portfolios
You, Leyuan
;
Daigler, Robert T.
- In:
The journal of futures markets
33
(
2013
)
4
,
pp. 343-368
Persistent link: https://www.econbiz.de/10009725617
Saved in:
22
Dynamic implied correlation modeling and forecasting in structured finance
Löhr, Sebastian
;
Mursajew, Olga
;
Rösch, Daniel
; …
- In:
The journal of futures markets
33
(
2013
)
11
,
pp. 994-1023
Persistent link: https://www.econbiz.de/10010255106
Saved in:
23
Lévy betas : static hedging with index futures
Wong, Hoi Ying
;
Cheung, Edwin Kwan Hung
;
Wong, Shiu Fung
- In:
The journal of futures markets
32
(
2012
)
11
,
pp. 1034-1059
Persistent link: https://www.econbiz.de/10009697814
Saved in:
24
Regime-dependent smile-adjusted delta hedging
Alexander, Carol
;
Rubinov, Alexander
;
Kalepky, Markus
; …
- In:
The journal of futures markets
32
(
2012
)
3
,
pp. 203-229
Persistent link: https://www.econbiz.de/10009620587
Saved in:
25
Optimal hedging with higher moments
Brooks, Chris
;
Černý, Alešs
;
Miffre, Joëlle
- In:
The journal of futures markets
32
(
2012
)
10
,
pp. 909-944
Persistent link: https://www.econbiz.de/10009612628
Saved in:
26
A note on the performance of regime switching hedge strategy
Lien, Da-hsiang Donald
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 389-396
Persistent link: https://www.econbiz.de/10010218779
Saved in:
27
Multivariate downside risk : normal versus variance Gamma
Wallmeier, Martin
;
Diethelm, Martin
- In:
The journal of futures markets
32
(
2012
)
5
,
pp. 431-458
Persistent link: https://www.econbiz.de/10010218781
Saved in:
28
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:
29
Optimal partial hedging of options with small transaction costs
Whalley, A. Elizabeth
- In:
The journal of futures markets
31
(
2011
)
9
,
pp. 855-897
Persistent link: https://www.econbiz.de/10009355792
Saved in:
30
Estimation and testing of portfolio Value-at-Risk based on L-comoment matrices
Liu, Wei-han
- In:
The journal of futures markets
30
(
2010
)
9
,
pp. 897-908
Persistent link: https://www.econbiz.de/10008900925
Saved in:
31
Narrow framing : professions, sophistication, and experience
Liu, Yu-jane
;
Wang, Ming-chun
;
Longkai, Zhao
- In:
The journal of futures markets
30
(
2010
)
3
,
pp. 203-229
Persistent link: https://www.econbiz.de/10003962463
Saved in:
32
Dealing with downside risk in a multi-commodity setting : a case for a "Texas hedge"?
Power, Gabriel J.
;
Vedenov, Dmitrij V.
- In:
The journal of futures markets
30
(
2010
)
3
,
pp. 290-304
Persistent link: https://www.econbiz.de/10003962524
Saved in:
33
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:
34
Cross-commodity analysis and applications to risk management
Börger, Reik H.
;
Cartea, Álvaro
;
Kiesel, Rüdiger
; …
- In:
The journal of futures markets
29
(
2009
)
3
,
pp. 197-217
Persistent link: https://www.econbiz.de/10003831083
Saved in:
35
The disposition effect and investment performance in the futures market
Cho̕e, Hyuk
;
Eom, Yunsung
- In:
The journal of futures markets
29
(
2009
)
6
,
pp. 496-522
Persistent link: https://www.econbiz.de/10003842856
Saved in:
36
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:
37
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:
38
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:
39
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:
40
Do tax-exempt yields adjust slowly to substantial changes in taxable yields?
Dudney, Donna
;
Geppert, John M.
- In:
The journal of futures markets
28
(
2008
)
8
,
pp. 763-789
Persistent link: https://www.econbiz.de/10003746346
Saved in:
41
Improved estimation of portfolio value-at-risk under Copula models with mixed marginals
Miller, Douglas J.
;
Liu, Wei-han
- In:
The journal of futures markets
26
(
2006
)
10
,
pp. 997-1018
Persistent link: https://www.econbiz.de/10003391974
Saved in:
42
Technical analysis and genetic programming : constructing and testing a commodity portfolio
Roberts, Matthew C.
- In:
The journal of futures markets
25
(
2005
)
7
,
pp. 643-660
Persistent link: https://www.econbiz.de/10002983398
Saved in:
43
Implied correlation index : a new measure of diversification
Skintzi, Vasiliki D.
;
Refenes, Apostolos-Paul
- In:
The journal of futures markets
25
(
2005
)
2
,
pp. 171-197
Persistent link: https://www.econbiz.de/10002535466
Saved in:
44
The credit risk components of a swap portfolio
Hübner, Georges
- In:
The journal of futures markets
24
(
2004
)
1
,
pp. 93-115
Persistent link: https://www.econbiz.de/10001850816
Saved in:
45
Do futures-based strategies enhance dynamic portfolio insurance?
Do, Binh
;
Faff, Robert W.
- In:
The journal of futures markets
24
(
2004
)
6
,
pp. 591-608
Persistent link: https://www.econbiz.de/10002059400
Saved in:
46
Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging
Chang, Carolyn C. W.
;
Chang, Jack S. K.
- In:
The journal of futures markets
23
(
2003
)
12
,
pp. 1209-1237
Persistent link: https://www.econbiz.de/10001828531
Saved in:
47
A note on finding the optimal allocation between a risky stock and a risky bond
Angus, John E.
- In:
The journal of futures markets
21
(
2001
)
12
,
pp. 1181-1196
Persistent link: https://www.econbiz.de/10001620300
Saved in:
48
Hedging multiple price and quantity exposures
Giaccotto, Carmelo
;
Hegde, Shantaram P.
;
McDermott, John B.
- In:
The journal of futures markets
21
(
2001
)
2
,
pp. 145-172
Persistent link: https://www.econbiz.de/10001542994
Saved in:
49
Mean-variance efficiency of the market portfolio and futures trading
Lioui, Abraham
;
Poncet, Patrice
- In:
The journal of futures markets
21
(
2001
)
4
,
pp. 329-346
Persistent link: https://www.econbiz.de/10001567419
Saved in:
50
Efficient use of commodity futures in diversified portfolios
Jensen, Gerald R.
;
Johnson, Robert R.
;
Mercer, Jeffrey M.
- In:
The journal of futures markets
20
(
2000
)
5
,
pp. 489-506
Persistent link: https://www.econbiz.de/10001500123
Saved in:
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