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A filtering process to remove the stochastic component from intraday seasonal volatility
Cho, Jang Hyung; Daigler, Robert T. - In: The journal of futures markets 34 (2014) 5, pp. 479-495
Persistent link: https://www.econbiz.de/10010370879
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Volatility smile and one-month foreign currency volatility forecasts
Wong, Alfred Huah-Syn; Heaney, Richard A. - In: The journal of futures markets 37 (2017) 3, pp. 286-312
Persistent link: https://www.econbiz.de/10011669812
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Implied risk neutral densities from option prices : hypergeometric, spline, lognormal, and edgeworth functions
Santos, André; Guerra, João - In: The journal of futures markets 35 (2015) 7, pp. 655-678
Persistent link: https://www.econbiz.de/10011405462
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The bias in time series volatility forecasts
Ederington, Louis H.; Guan, Wei - In: The journal of futures markets 30 (2010) 4, pp. 305-323
Persistent link: https://www.econbiz.de/10003962585
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Memory in returns and volatilities of futures' contracts
Crato, Nuno; Ray, Bonnie K. - In: The journal of futures markets 20 (2000) 6, pp. 525-543
Persistent link: https://www.econbiz.de/10001509972
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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
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Stock index futures markets : stochastic volatility models and smiles
Tompkins, Robert G. - In: The journal of futures markets 21 (2001) 1, pp. 43-78
Persistent link: https://www.econbiz.de/10001537233
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Currency carry trades : the role of macroeconomic news and futures market speculation
Kim, Suk-Joong - In: The journal of futures markets 36 (2016) 11, pp. 1076-1107
Persistent link: https://www.econbiz.de/10011569016
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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
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Examining the return-volatility relation for foreign exchange : evidence from the euro VIX
Daigler, Robert T.; Hibbert, Ann Marie; Pavlova, Ivelina - In: The journal of futures markets 34 (2014) 1, pp. 74-92
Persistent link: https://www.econbiz.de/10010254956