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Do volatility determinants vary across futures contracts? : insights from a smoothed bayesian estimator
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - In: The journal of futures markets 30 (2010) 3, pp. 257-277
Persistent link: https://www.econbiz.de/10003962516
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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
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Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures
Luo, Jiawen; Zhang, Qun - In: The journal of futures markets 44 (2024) 2, pp. 151-217
Persistent link: https://www.econbiz.de/10014475455
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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
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Foreign exchange futures volatility : day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements
Han, Li-ming; Kling, John L.; Sell, Clifford W. - In: The journal of futures markets 19 (1999) 6, pp. 665-693
Persistent link: https://www.econbiz.de/10001410397
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Harvest contract price volatility for cotton
Hudson, Darren; Coble, Keith - In: The journal of futures markets 19 (1999) 6, pp. 717-733
Persistent link: https://www.econbiz.de/10001410406
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Do S&P 500 index options violate the martingale restriction?
Strong, Norman; Xu, Xinzhong - In: The journal of futures markets 19 (1999) 5, pp. 499-521
Persistent link: https://www.econbiz.de/10001410411
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A reappraisal of the performance of corn and soybean new crop futures
Zulauf, Carl R. (contributor) - In: The journal of futures markets 19 (1999) 5, pp. 603-618
Persistent link: https://www.econbiz.de/10001410437
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Regime switching and cointegration tests of the efficiency of futures markets
Chow, Ying-Foon - In: The journal of futures markets 18 (1998) 8, pp. 871-901
Persistent link: https://www.econbiz.de/10001352412
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Dynamic hedging of commercial paper with T-bill futures
Koutmos, Gregory; Pericli, Andreas - In: The journal of futures markets 18 (1998) 8, pp. 925-938
Persistent link: https://www.econbiz.de/10001352416