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The journal of futures markets
NBER working paper series
269
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211
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140
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1
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
Saved in:
2
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
3
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
4
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:
5
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen
;
Hou, Xin
;
Sun, Qian
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Saved in:
6
EPU spillovers and sovereign CDS spreads : a cross-country study
Gong, Yuting
;
He, Zhongzhi
;
Xue, Wenjun
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1770-1806
Persistent link: https://www.econbiz.de/10014433010
Saved in:
7
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:
8
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
9
The information in global interest rate futures contracts
Brooks, Robert
;
Cline, Brandon N.
;
Teterin, Pavel
;
You, Yu
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1135-1166
Persistent link: https://www.econbiz.de/10013287935
Saved in:
10
A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
11
Analyzing oil futures with a dynamic Nelson-Siegel model
Grønborg, Niels S.
;
Lunde, Asger
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 153-173
Persistent link: https://www.econbiz.de/10011568059
Saved in:
12
Fundamentals, derivatives market information and oil price volatility
Robe, Michel A.
;
Wallen, Jonathan
- In:
The journal of futures markets
36
(
2016
)
4
,
pp. 317-344
Persistent link: https://www.econbiz.de/10011568424
Saved in:
13
Forecasting the LIBOR-federal funds rate spread during and after the financial crisis
Dbouk, Wassim
;
Jamali, Ibrahim
;
Kryzanowski, Lawrence
- In:
The journal of futures markets
36
(
2016
)
4
,
pp. 345-374
Persistent link: https://www.econbiz.de/10011568425
Saved in:
14
Information flow between forward and spot markets : evidence from the Chinese Renminbi
Tong, Jiadong
;
Wang, Zijun
;
Yang, Jian
- In:
The journal of futures markets
36
(
2016
)
7
,
pp. 695-718
Persistent link: https://www.econbiz.de/10011568547
Saved in:
15
Risk-free rates and variance futures prices
Rompolis, Leonidas S.
- In:
The journal of futures markets
36
(
2016
)
10
,
pp. 943-967
Persistent link: https://www.econbiz.de/10011568814
Saved in:
16
Maximal Gaussian affine models for multiple commodities : a note
Casassus, Jaime
;
Liu, Peng
;
Tang, Ke
- In:
The journal of futures markets
35
(
2015
)
1
,
pp. 75-86
Persistent link: https://www.econbiz.de/10011346168
Saved in:
17
Commodity, strategies based on momentum, term structure, and idiosyncratic volatility
Fuertes, Ana María
;
Miffre, Joëlle
;
Fernandez-Perez, …
- In:
The journal of futures markets
35
(
2015
)
3
,
pp. 274-297
Persistent link: https://www.econbiz.de/10011348423
Saved in:
18
Petroleum term structure dynamics and the role of regimes
Nomikos, Nikos K.
;
Pouliasis, Panos K.
- In:
The journal of futures markets
35
(
2015
)
2
,
pp. 163-185
Persistent link: https://www.econbiz.de/10011348456
Saved in:
19
Carry trades and sovereign CDS spreads : evidence from Asia-Pacific markets
Pavlova, Ivelina
;
DeBoyrie, Maria Eugenia
- In:
The journal of futures markets
35
(
2015
)
11
,
pp. 1067-1087
Persistent link: https://www.econbiz.de/10011546216
Saved in:
20
A random field LIBOR market model
Wu, Tao L.
;
Xu, Shengqiang
- In:
The journal of futures markets
34
(
2014
)
6
,
pp. 580-606
Persistent link: https://www.econbiz.de/10010371410
Saved in:
21
The Nelson-Siegel model of the term structure of option implied volatility and volatility components
Guo, Biao
;
Han, Qian
;
Zhao, Bin
- In:
The journal of futures markets
34
(
2014
)
8
,
pp. 788-806
Persistent link: https://www.econbiz.de/10010507936
Saved in:
22
Stochastic skew in the interest rate cap market
Leung, Kwai S.
;
Ng, Hon Y.
;
Wong, Hoi Ying
- In:
The journal of futures markets
34
(
2014
)
12
,
pp. 1146-1169
Persistent link: https://www.econbiz.de/10010508673
Saved in:
23
A term structure model for VIX futures
Huskaj, Bujar
;
Nossman, Marcus
- In:
The journal of futures markets
33
(
2013
)
5
,
pp. 421-442
Persistent link: https://www.econbiz.de/10009726369
Saved in:
24
Credit spread changes and monetary policy surprises : the evidence from the fed funds futures market
Zhu, Xiaoneng
- In:
The journal of futures markets
33
(
2013
)
2
,
pp. 103-128
Persistent link: https://www.econbiz.de/10009699453
Saved in:
25
A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
Fonseca, José da
;
Gottschalk, Katrin
- In:
The journal of futures markets
33
(
2013
)
6
,
pp. 494-517
Persistent link: https://www.econbiz.de/10009756569
Saved in:
26
Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane
;
Chen, Son-nan
;
Wu, Ting-pin
- In:
The journal of futures markets
33
(
2013
)
9
,
pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
Saved in:
27
Pricing and hedging the smile with SABR : evidence from the interest rate caps market
Wu, Tao L.
- In:
The journal of futures markets
32
(
2012
)
8
,
pp. 773-791
Persistent link: https://www.econbiz.de/10009554750
Saved in:
28
The term structure of VIX
Luo, Xingguo
;
Zhang, Jin E.
- In:
The journal of futures markets
32
(
2012
)
12
,
pp. 1092-1123
Persistent link: https://www.econbiz.de/10009697787
Saved in:
29
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:
30
Maturity effects in the Mexican interest rate futures market
Gurrola, Pedro
;
Herrerías, Renata
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10008908357
Saved in:
31
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:
32
The new market for volatility trading
Zhang, Jin E.
;
Shu, Jinghong
;
Brenner, Menachem
- In:
The journal of futures markets
30
(
2010
)
9
,
pp. 809-833
Persistent link: https://www.econbiz.de/10008900929
Saved in:
33
The dynamics of long forward rate term structures
Luo, Xingguo
;
Zhang, Jin E.
- In:
The journal of futures markets
30
(
2010
)
10
,
pp. 957-982
Persistent link: https://www.econbiz.de/10008900931
Saved in:
34
Volatility components : the term structure dynamics of VIX futures
Lu, Zhongjin
;
Zhu, Yingzi
- In:
The journal of futures markets
30
(
2010
)
3
,
pp. 230-256
Persistent link: https://www.econbiz.de/10003962468
Saved in:
35
International evidence on alternative models of the term structure of volatilities
Díaz Pérez, Antonio
;
Meneu Ferrer, Vicente
;
Navarro …
- In:
The journal of futures markets
29
(
2009
)
7
,
pp. 653-683
Persistent link: https://www.econbiz.de/10003843421
Saved in:
36
Valuation of floating range notes in a LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of futures markets
28
(
2008
)
7
,
pp. 697-710
Persistent link: https://www.econbiz.de/10003715122
Saved in:
37
A generalization of Rubinstein's "pay now, choose later"
Guo, Jia-hau
;
Hung, Mao-Wei
- In:
The journal of futures markets
28
(
2008
)
5
,
pp. 488-515
Persistent link: https://www.econbiz.de/10003699777
Saved in:
38
Equity swaps in a LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of futures markets
27
(
2007
)
9
,
pp. 893-920
Persistent link: https://www.econbiz.de/10003518527
Saved in:
39
Benchmark tipping and the role of the swap market in price discovery
Poskitt, Russell
- In:
The journal of futures markets
27
(
2007
)
10
,
pp. 981-1001
Persistent link: https://www.econbiz.de/10003531008
Saved in:
40
The Chinese interbank repo market : an analysis of term premiums
Fan, Longzhen
;
Zhang, Chu
- In:
The journal of futures markets
26
(
2006
)
2
,
pp. 153-167
Persistent link: https://www.econbiz.de/10003303875
Saved in:
41
The use of term structure information in the hedging of mortgage-backed securities
Finkle, Jason L.
;
Fink, Kristin E.
;
Lange, Stephen
- In:
The journal of futures markets
25
(
2005
)
7
,
pp. 661-678
Persistent link: https://www.econbiz.de/10002983476
Saved in:
42
Comparing alternative assumptions on the term structure of futures prices : reply
Roon, Frans de
;
Veld- Merkoulova, Yulia
- In:
The journal of futures markets
24
(
2004
)
11
,
pp. 1101-1104
Persistent link: https://www.econbiz.de/10002248581
Saved in:
43
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:
44
Common risk factors in the U.S. and UK interest rate swap markets : evidence from a nonlinear vector autoregression approach
Lekkos, Ilias
;
Milas, Costas
- In:
The journal of futures markets
24
(
2004
)
3
,
pp. 221-250
Persistent link: https://www.econbiz.de/10001968617
Saved in:
45
The components of interest rate swap spreads : theory and international evidence
Fehle, Frank
- In:
The journal of futures markets
23
(
2002
)
4
,
pp. 347-387
Persistent link: https://www.econbiz.de/10001765135
Saved in:
46
A two-mean reverting-factor model of the term structure of interest rates
Moreno, Manuel
- In:
The journal of futures markets
23
(
2003
)
11
,
pp. 1075-1105
Persistent link: https://www.econbiz.de/10001795040
Saved in:
47
Pricing and hedging American fixed-income derivatives with implied volatility structures in the two-factor Heath-Jarrow-Morton model
Zeto, Samuel Yau Man
- In:
The journal of futures markets
22
(
2002
)
9
,
pp. 839-875
Persistent link: https://www.econbiz.de/10001696688
Saved in:
48
Principal components analysis for correlated curves and seasonal commodities : the case of the petroleum market
Tolmasky, Carlos
;
Hindanov, Dmitry
- In:
The journal of futures markets
22
(
2002
)
11
,
pp. 1019-1035
Persistent link: https://www.econbiz.de/10001713573
Saved in:
49
Modeling seasonality in agricultural commodity futures
Sørensen, Carsten
- In:
The journal of futures markets
22
(
2002
)
5
,
pp. 393-426
Persistent link: https://www.econbiz.de/10001678504
Saved in:
50
Identifying the factors that affect interest-rate swap spreads : some evidence from the United States and the United Kingdom
Lekkos, Ilias
;
Milas, Costas
- In:
The journal of futures markets
21
(
2001
)
8
,
pp. 737-768
Persistent link: https://www.econbiz.de/10001591750
Saved in:
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