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Aktienindex
62
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22
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The journal of futures markets
Applied financial economics
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51
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49
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44
Journal of banking & finance
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ECONIS (ZBW)
62
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1
Can technical indicators based on underlying assets help to predict implied volatility index
Shi, Yafeng
;
Shi, Yanlong
;
Ying, Tingting
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 57-74
Persistent link: https://www.econbiz.de/10014475424
Saved in:
2
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:
3
An international comparison of implied, realized, and GARCH volatility forecasts
Kourtis, Apostolos
;
Markellos, Raphaēl N.
;
Symeonidis, …
- In:
The journal of futures markets
36
(
2016
)
12
,
pp. 1164-1193
Persistent link: https://www.econbiz.de/10011665609
Saved in:
4
A partially linear approach to modeling the dynamics of spot and futures prices
Gaul, Jürgen
;
Theissen, Erik
- In:
The journal of futures markets
35
(
2015
)
4
,
pp. 371-384
Persistent link: https://www.econbiz.de/10011348414
Saved in:
5
Dynamic dependence between liquidity and the S&P 500 index futures-cash basis
Lien, Da-hsiang Donald
;
Lim, Gerui
;
Li, Yang
;
Zhou, Chunyang
- In:
The journal of futures markets
33
(
2013
)
4
,
pp. 327-342
Persistent link: https://www.econbiz.de/10009725623
Saved in:
6
Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?
Chen, Wei-peng
;
Chung, Huimin
- In:
The journal of futures markets
32
(
2012
)
7
,
pp. 683-711
Persistent link: https://www.econbiz.de/10009554762
Saved in:
7
Intraday price discovery and volatility transmission in stock index and stock index futures markets : evidence from China
Yang, Jian
;
Yang, Zihui
;
Zhou, Yinggang
- In:
The journal of futures markets
32
(
2012
)
2
,
pp. 99-121
Persistent link: https://www.econbiz.de/10009426543
Saved in:
8
The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index
Chung, San-lin
;
Tsai, Wei-che
;
Wang, Yaw-huei
;
Weng, …
- In:
The journal of futures markets
31
(
2011
)
12
,
pp. 1170-1201
Persistent link: https://www.econbiz.de/10009355722
Saved in:
9
Regime-switsching in stock index and treasury futures returns and measures of stock market stress
Bansal, Naresh K.
;
Connolly, Robert A.
;
Stivers, …
- In:
The journal of futures markets
30
(
2010
)
8
,
pp. 753-779
Persistent link: https://www.econbiz.de/10003985087
Saved in:
10
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:
11
The impact of volatility derivatives on S&P500 volatility
Dawson, Paul
;
Staikouras, Sotiris K.
- In:
The journal of futures markets
29
(
2009
)
12
,
pp. 1190-1213
Persistent link: https://www.econbiz.de/10003900993
Saved in:
12
Tick sizes and relative rates of price discovery in stock, futures, and options markets : evidence from the Taiwan Stock Exchange
Chen, Yu-Lun
;
Gau, Yin-feng
- In:
The journal of futures markets
29
(
2009
)
1
,
pp. 74-93
Persistent link: https://www.econbiz.de/10003826623
Saved in:
13
Expiration-day effects : an Asian twist
Fung, Joseph K. W.
;
Yung, Haynes H. M.
- In:
The journal of futures markets
29
(
2009
)
5
,
pp. 430-450
Persistent link: https://www.econbiz.de/10003827769
Saved in:
14
Credit risk management in Greater China
Byström, Hans N. E.
- In:
The journal of futures markets
28
(
2008
)
6
,
pp. 582-597
Persistent link: https://www.econbiz.de/10003715013
Saved in:
15
Value at risk and conditional extreme value theory via Markov regime switching models
Samuel, Yau Man Ze-To
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 155-181
Persistent link: https://www.econbiz.de/10003647707
Saved in:
16
The limits to stock index arbitrage : examining S&P 500 futures and SPDRS
Richie, Nivine
;
Daigler, Robert T.
;
Gleason, Kimberly
- In:
The journal of futures markets
28
(
2008
)
12
,
pp. 1182-1205
Persistent link: https://www.econbiz.de/10003773148
Saved in:
17
Order imbalance and the pricing of index futures
Fung, Joseph K. W.
- In:
The journal of futures markets
27
(
2007
)
7
,
pp. 697-717
Persistent link: https://www.econbiz.de/10003493150
Saved in:
18
The effect of futures trading on the distribution of spot index returns : implications for CVAR int he Spanish market
Illueca, Manuel
;
Lafuente, Juan Angel
- In:
The journal of futures markets
27
(
2007
)
9
,
pp. 839-866
Persistent link: https://www.econbiz.de/10003518521
Saved in:
19
Order imbalance and the dynamics of index and futures prices
Fung, Joseph K. W.
;
Yu, Philip L. H.
- In:
The journal of futures markets
27
(
2007
)
12
,
pp. 1129-1157
Persistent link: https://www.econbiz.de/10003627158
Saved in:
20
New evidence on expiration-day effects using realized volatility : an intraday analysis for the Spanish stock exchange
Illueca, M.
;
Lafuente, J. A.
- In:
The journal of futures markets
26
(
2006
)
9
,
pp. 923-938
Persistent link: https://www.econbiz.de/10003356507
Saved in:
21
Nonlinear dynamics and competing behavioral interpretations : evidence from intra-day FTSE-100 index and futures data
McMillan, David G.
;
Speight, Alan E. H.
- In:
The journal of futures markets
26
(
2006
)
4
,
pp. 343-368
Persistent link: https://www.econbiz.de/10003304077
Saved in:
22
Testing range estimators of historical volatility
Shu, Jinghong
;
Zhang, Jin E.
- In:
The journal of futures markets
26
(
2006
)
3
,
pp. 297-313
Persistent link: https://www.econbiz.de/10003304002
Saved in:
23
Is it important to consider the jump component for pricing and hedging short-term options?
Kim, In-joon
;
Kim, Sol
- In:
The journal of futures markets
25
(
2005
)
10
,
pp. 989-1009
Persistent link: https://www.econbiz.de/10003185617
Saved in:
24
What moves the tail? : The determinants of the option-implied probability density function of the DAX index
Glatzer, Ernst
;
Scheicher, Martin
- In:
The journal of futures markets
25
(
2005
)
6
,
pp. 515-536
Persistent link: https://www.econbiz.de/10002846386
Saved in:
25
Intradaily periodicity and volatility spillovers between international stock index futures markets
Wu, Chunchi
;
Li, Jinliang
;
Zhang, Wei
- In:
The journal of futures markets
25
(
2005
)
6
,
pp. 553-585
Persistent link: https://www.econbiz.de/10002846393
Saved in:
26
The forecast quality of CBOE implied volatility indexes
Corrado, Charles Joseph
;
Miller, Thomas W.
- In:
The journal of futures markets
25
(
2005
)
4
,
pp. 339-373
Persistent link: https://www.econbiz.de/10002647798
Saved in:
27
Predicting financial volatility : high-frequency time-series forecasts vis-à-Vis implied volatility
Martens, Martin
;
Zein, Jason
- In:
The journal of futures markets
24
(
2004
)
11
,
pp. 1005-1028
Persistent link: https://www.econbiz.de/10002248611
Saved in:
28
Price discovery in the Hang Seng Index markets : index, futures, and the tracker fund
So, Raymond W.
;
Tse, Yiuman
- In:
The journal of futures markets
24
(
2004
)
9
,
pp. 887-907
Persistent link: https://www.econbiz.de/10002145997
Saved in:
29
Asymmetric covariance in spot-futures markets
Meneu Ferrer, Vicente
;
Torró, Hipòlit
- In:
The journal of futures markets
23
(
2003
)
11
,
pp. 1019-1046
Persistent link: https://www.econbiz.de/10001795034
Saved in:
30
The effect of spot and futures trading on stock index market volatility : a nonparametric approach
Illueca, M.
;
Lafuente, J. A.
- In:
The journal of futures markets
23
(
2003
)
9
,
pp. 841-858
Persistent link: https://www.econbiz.de/10001789582
Saved in:
31
Excessive variation in risk-factor correlations and volatilities
Bali, Turan G.
;
Genberg, Hans
;
Neftci, Salih N.
- In:
The journal of futures markets
22
(
2002
)
12
,
pp. 1119-1146
Persistent link: https://www.econbiz.de/10001713588
Saved in:
32
Mean reversion and basis dynamics
Theobald, Michael
;
Yallup, Peter
- In:
The journal of futures markets
21
(
2001
)
9
,
pp. 797-818
Persistent link: https://www.econbiz.de/10001595304
Saved in:
33
The introduction of derivatives on the Dow Jones Industrial Average and their impact on the volatility of component stocks
Rahman, Shafiqur
- In:
The journal of futures markets
21
(
2001
)
7
,
pp. 633-653
Persistent link: https://www.econbiz.de/10001588268
Saved in:
34
Pricing and hedging S&P 500 index options with Hermite polynomial approximation : empirical tests of Madan and Milne's model
Ané, Thierry
- In:
The journal of futures markets
19
(
1999
)
7
,
pp. 735-758
Persistent link: https://www.econbiz.de/10001443345
Saved in:
35
Contemporary and long-run correlations : a covariance component model and studies on the S&P 500 cash and futures markets
Lee, Gary G. J.
- In:
The journal of futures markets
19
(
1999
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10001443378
Saved in:
36
Price discovery and volatility spillovers in the DJIA index and futures markets
Tse, Yiuman
- In:
The journal of futures markets
19
(
1999
)
8
,
pp. 911-930
Persistent link: https://www.econbiz.de/10001443476
Saved in:
37
Price discovery in the German equity index derivatives markets
Booth, G. Geoffrey
;
So, Raymond W.
;
Tse, Yiuman
- In:
The journal of futures markets
19
(
1999
)
6
,
pp. 619-643
Persistent link: https://www.econbiz.de/10001410389
Saved in:
38
Intertemporal volatility and price interactions between Australian and Japanese spot and future stock index markets
Sim, Ah-boon
;
Zurbreugg, Ralf
- In:
The journal of futures markets
19
(
1999
)
5
,
pp. 523-540
Persistent link: https://www.econbiz.de/10001410418
Saved in:
39
Fractional cointegration and futures hedging
Lien, Donald
;
Tse, Yiu Kuen
- In:
The journal of futures markets
19
(
1999
)
4
,
pp. 457-474
Persistent link: https://www.econbiz.de/10001378245
Saved in:
40
Trading costs and price discovery across stock index futures and cash markets
Kim, Minho
;
Szakmary, Andrew C.
;
Schwarz, Thomas V.
- In:
The journal of futures markets
19
(
1999
)
4
,
pp. 475-498
Persistent link: https://www.econbiz.de/10001378256
Saved in:
41
Short selling, unwinding, and mispricing
Kempf, Alexander
- In:
The journal of futures markets
18
(
1998
)
8
,
pp. 903-923
Persistent link: https://www.econbiz.de/10001352413
Saved in:
42
The effects of stock index futures trading on stock index volatility : an analysis of the asymmetric response of volatility to news
Antoniou, Antonios
- In:
The journal of futures markets
18
(
1998
)
2
,
pp. 151-166
Persistent link: https://www.econbiz.de/10001239196
Saved in:
43
An examination of the relationship between stock index cash and futures markets : a cointegration approach
Pizzi, Michael A.
- In:
The journal of futures markets
18
(
1998
)
3
,
pp. 297-305
Persistent link: https://www.econbiz.de/10001242653
Saved in:
44
Linear and nonlinear granger causality : evidence from the UK stock index futures market
Abhyankar, Abhay
- In:
The journal of futures markets
18
(
1998
)
5
,
pp. 519-540
Persistent link: https://www.econbiz.de/10001247306
Saved in:
45
Index futures and options and stock market volatility
Pericli, Andreas Neophytou
- In:
The journal of futures markets
17
(
1997
)
8
,
pp. 957-974
Persistent link: https://www.econbiz.de/10001232832
Saved in:
46
Short-run deviations and volatility in spot and futures stock returns : evidence from Australia, Hong Kong, and Japan
Choudhry, Taufiq
- In:
The journal of futures markets
17
(
1997
)
6
,
pp. 689-705
Persistent link: https://www.econbiz.de/10001228026
Saved in:
47
Program trading, nonprogram trading, and market volatility
Hogan, Kedreth C.
- In:
The journal of futures markets
17
(
1997
)
7
,
pp. 733-756
Persistent link: https://www.econbiz.de/10001228476
Saved in:
48
Put-call parities and the value of early exercise for put options on a performance index
Roon, Frans de
- In:
The journal of futures markets
16
(
1996
)
1
,
pp. 71-80
Persistent link: https://www.econbiz.de/10001193436
Saved in:
49
Temporal relationships and dynamic interactions between spot and futures stock markets
Koutmos, Gregory
- In:
The journal of futures markets
16
(
1996
)
1
,
pp. 55-69
Persistent link: https://www.econbiz.de/10001193437
Saved in:
50
Energy shocks and financial markets
Huang, Roger D.
- In:
The journal of futures markets
16
(
1996
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10001193439
Saved in:
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