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  • Search: subject_exact:"Futures contract"
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Year of publication
Subject
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Futures 725 Derivat 242 Derivative 242 Theorie 216 Theory 216 Hedging 214 Volatility 198 Volatilität 198 United States 119 USA 118 Commodity derivative 105 Rohstoffderivat 105 Estimation 84 Schätzung 84 Optionsgeschäft 82 Option trading 81 ARCH model 79 ARCH-Modell 79 Portfolio selection 78 Portfolio-Management 78 Börsenkurs 68 Share price 68 Welt 63 World 63 Commodity exchange 62 Warenbörse 62 Option pricing theory 56 Optionspreistheorie 56 Spot market 53 Spotmarkt 53 Index futures 49 Index-Futures 49 Risikomanagement 49 Deutschland 48 Germany 47 Risk management 46 Capital income 39 Kapitaleinkommen 39 futures contract 36 Speculation 35
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Online availability
All
Free 201 Undetermined 143 CC license 5
Type of publication
All
Article 390 Book / Working Paper 385 Journal 1
Subcategories
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Article in journal 351 Working paper 125 Book section 34 Textbook 25 Glossary included 14 Handbook 13 Guidebook 6 Proceedings 3 Case study 1 Introduction 1
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Language
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English 654 German 88 Undetermined 21 Spanish 8 French 3 Polish 1 Portuguese 1
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Author
All
McAleer, Michael 21 Chang, Chia-Lin 14 Lien, Da-hsiang Donald 13 Lai, Yu-Sheng 9 Hamilton, James D. 8 Pesaran, M. Hashem 8 Lee, Cheng F. 7 Levich, Richard M. 7 Pojarliev, Momtchil 7 Dew-Becker, Ian 6 Giglio, Stefano 6 Han, Bing 6 Kelly, Bryan T. 6 Lee, Hsiang-Tai 6 Mencía, Javier 6 Sentana, Enrique 6 Wang, Tracy Yue 6 Webb, Robert I. 6 Andersen, Torben 5 Benth, Fred Espen 5 Burghardt, Galen 5 Bösch, Martin 5 Frino, Alex 5 Kremens, Lukas 5 Malik, Imran Riaz 5 Martin, Ian 5 Okimoto, Tatsuyoshi 5 Shah, Attaullah 5 Shi, Weihua 5 Asai, Manabu 4 Bates, David S. 4 Burnside, Craig 4 Chen, Yu-Lun 4 Clenow, Andreas F. 4 Esposito, Elena 4 Gupta, Kapil 4 Hirshleifer, David 4 Hull, John 4 Leigh, Andrew 4 Pennings, Joost M. E. 4
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Institution
All
International Monetary Fund (IMF) 25 National Bureau of Economic Research 13 International Monetary Fund 6 European Commission / Directorate-General for Communications Networks, Content and Technology 3 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 2 University of Hong Kong / School of Economics and Finance 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Agricultural and Applied Economics Association - AAEA 1 Dearborn Financial Publishing, Inc. <Chicago, Ill.> 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Eric Cuvillier <Firma> 1 European University Institute 1 Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart> 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 FinanzBuch Verlag 1 Pearson Studium 1 Shaker Verlag 1 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 1 Stanford Institute for Economic Policy Research 1 Universidad de Alicante 1 University of East London 1 Universität Mannheim 1 Verlag Franz Vahlen 1 ibidem-Verlag 1
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Published in...
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The journal of futures markets 63 IMF Working Papers 18 NBER working paper series 13 Econometric Institute research papers 11 Journal of empirical finance 10 Working paper / National Bureau of Economic Research, Inc. 9 Finance research letters 8 International review of financial analysis 7 Journal of banking & finance 7 NBER Working Paper 7 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 7 Wiley trading series 7 Applied economics 6 Discussion paper / Tinbergen Institute 6 IMF Staff Country Reports 6 Applied financial economics 5 Handbuch Alternative Investments ; Bd. 1 5 The journal of alternative investments 5 The journal of derivatives : the official publication of the International Association of Financial Engineers 5 Vahlens Kurzlehrbücher 5 Wiley finance series 5 Wiley trading 5 Journal of financial markets 4 Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society 4 Research in finance 4 Research in international business and finance 4 The European journal of finance 4 The journal of finance : the journal of the American Finance Association 4 The review of financial studies 4 Wiley Trading Ser 4 Applied financial economics letters 3 Bloomberg financial series 3 Energy economics 3 Europäische Hochschulschriften / 5 3 Journal of international money and finance 3 Pacific-Basin finance journal 3 Review of Pacific Basin financial markets and policies 3 SSE/EFI Working Paper Series in Economics and Finance 3 SpringerLink / Bücher 3 The journal of real estate finance and economics 3
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Source
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ECONIS (ZBW) 732 RePEc 38 EconStor 2 ArchiDok 2 BASE 1 Other ZBW resources 1
Showing 1 - 50 of 675
 
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Reinforcement learning for perpetual futures market making
Cekal, Martin - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082878
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When Benchmarks Fail : The Causes and Consequences of Negative Oil Prices
Gilje, Erik P.; Ready, Robert C.; Roussanov, Nikolai; … - 2026
On April 20, 2020, the crude oil benchmark in North America, the West Texas Intermediate (WTI) futures contract for delivery in Cushing, Oklahoma, settled below zero for the first time in history. We combine new empirical evidence with a stylized theoretical model to show that a key catalyst was...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611209
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Forward contracting and the endogenous activity of heterogeneous firms
Mitraille, Sébastien; Thille, Henry - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015460422
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Volatility spillover across spot and futures markets : evidence from dual financial system
Elsayed, Ahmed; Asutay, Mehmet; Alaoui, Abdelkader O. el; … - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015062170
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Misreaction, hedging pressure, and its effect on the futures market
Chen, Chin-Ho; Yuan, Shu-Fang - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015084911
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Deconstructing the yield curve
Crump, Richard K.; Gospodinov, Nikolaj - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371020
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Does speculation increase volatility in grain futures markets? : evidence from the Interwar Chicago Board of Trade
Iorgulescu, Elissa A. M.; Pütz, Alexander - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333041
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Detecting the risk of cross-product manipulation in the EUREX fixed income futures market
Stenfors, Alexis; Dilshani, Kaveesha; Guo, Andy; Mere, Peter - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014535735
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The lead-lag relation between VIX futures and SPX futures
Bangsgaard, Christine; Kokholm, Thomas - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014491067
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The Lead-Lag Relation between VIX Futures and SPX Futures
Bangsgaard, Christine; Kokholm, Thomas - 2022
Book / Working Paper
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Inter or intra? : An analysis of pairs trading in futures contracts
Masturzo, James; Leung, Raymond C. W. - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015195227
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Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes
Rezitis, Anthony N.; Andrikopoulos, Panagiotis; Daglis, … - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014475504
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Why do HFTs use the futures market
Banerjee, Anirban; Banerjee, Ashok - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464880
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A multi-market comparison of the intraday lead-lag relations among stock index-based spot, futures and options
Ren, Fei; Cai, Mei-Ling; Li, Sai-Ping; Xiong, Xiong; … - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014327153
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Futures turnover waves
Emm, Ekaterina E.; Gay, Gerald; Ma, Han; Ren, Honglin - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015465744
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Volatility derivatives
Vatanen, Kari - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434550
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Holbrook working and the early financial economics
Delcey, Thomas - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015455733
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Do the advantages of offshore exchanges enhance hedging effectiveness? : evidence from Japanese and Indian dual-listed index futures
Sundararajan, Sivakumar; Balasubramanian, Senthil Arasu - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015442876
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Price discovery in Bitcoin spot or futures? : the jury is out
Frino, Alex; Gaudiosi, Robert; Webb, Robert I.; Zhou, Zeyang - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015376617
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Price discovery in bitcoin spot and futures markets
Robertson, Kevin; Zhang, Rene - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574364
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Hedging effectiveness and influential direction between spot and futures market of aluminium : an evidence from India
Samal, Laxmidhar; Das, Sudhansu Kumar - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060643
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Returns correspondence between bitcoin futures and bitcoin
Grover, Sean - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653462
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Volatility in Us Dairy Futures Market
Fan, Steve Z.; Jump, Jeff; Tse, Yiuman; Yu, Linda - 2022
US dairy futures markets of milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing scheme. We show dairy volatilities have a relatively low connectedness among themselves and a commodity index. Dairy futures markets respond to...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013294683
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Hedging cryptos with Bitcoin futures
Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014304363
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Hedging Cryptos with Bitcoin Futures
Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2022
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Bond Market Views of the Fed
Bocola, Luigi; Dovis, Alessandro; Jørgensen, Kasper; … - 2024
This paper uses high frequency data to detect shifts in financial markets' perception of the Federal Reserve stance on inflation. We construct daily revisions to expectations of future nominal interest rates and inflation that are priced into nominal and inflation-protected bonds, and find that...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014576649
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Futures-spot price transmission in EU corn markets
Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013332907
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Perpetual Futures Pricing
Ackerer, Damien; Hugonnier, Julien; Jermann, Urban J. - 2024
Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of various perpetual contracts, including linear, inverse,...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015072878
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ESG and derivatives
Janardanan, Rajkumar; Qiao, Xiao; Rouwenhorst, K. Geert - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015050468
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Explainable AI in Futures
Aldridge, Irene; Robinson, Dan - 2022
Using daily returns on 34 futures contracts over the 2010-2022 period, we examine the factors driving these returns. We show that all commodities can be grouped by their drivers into intuitive groups based on their factorization into 1) food, 2) metals and oil and 3) precious metals. The three...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014256376
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Cryptocurrency hacking and trader behavior in bitcoin futures
Chen, Yu-Lun; Yang, J. Jimmy - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015190966
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Is there accuracy of forward freight agreements in forecasting future freight rates? an empirical investigation
Kasimati, Evangelia; Veraros, Nikolaos - 2017
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011668107
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Is There Accuracy of Forward Freight Agreements in Forecasting Future Freight Rates? An Empirical Investigation
Kasimati, Evangelia; Veraros, Nikolaos - 2022
Book / Working Paper
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Futures replication and the law of one futures price
Bick, Avi - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015050127
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Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market
Buyukkara, Goknur; Küçüközmen, C. Coşkun; Uysal, … - 2022
The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures (USD-TRY), euro–Turkish lira (EUR-TRY)...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012818026
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To hedge or not to hedge? : cryptocurrencies, gold and oil against stock market risk
Echaust, Krzysztof; Just, Małgorzata; Kliber, Agata - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014543972
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Empirical Tests of the Green Paradox for Climate Legislation
Norman, Maya A.; Schlenker, Wolfram - 2024
The Green Paradox posits that fossil fuel markets respond to changing expectations about climate legislation, which limits future consumption, by shifting consumption to the present through lower present-day prices. We demonstrate that oil futures responded negatively to daily changes in the...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014544684
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Perpetual future pricing
Ackerer, Damien; Hugonnier, Julien; Jermann, Urban J. - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015070434
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Intraday momentum in the VIX futures market
Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Yang, … - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014248282
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Futures trading activity and the jump risk of spot market : evidence from the bitcoin market
Zhang, Chuanhai; Ma, Huan; Liao, Xiaosai - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014463770
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The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data
Schulmeister, Stephan - 2021
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013226778
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The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data
Schulmeister, Stephan - 2010
Book / Working Paper
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Economic evaluation of dynamic hedging strategies using high-frequency data
Lai, Yu-Sheng - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014517872
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Systemic risk and collateral adequacy : evidence from the futures market
Raykov, Radoslav - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013187333
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Systemic Risk and Collateral Adequacy : Evidence from the Futures Market
Raykov, Radoslav - 2021
Book / Working Paper
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013316571
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High-frequency trading and market quality : evidence from account-level futures data
Coughlan, John; Orlov, Alexei G. - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014339377
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Optimal futures hedging by using realized semicovariances : the information contained in signed high-frequency returns
Lai, Yu-Sheng - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014293180
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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013316934
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Optimizing hedging effectiveness of indian agricultural commodity futures : a simulation approach
Mansabdar, Sanjay; Yaganti, Hussain C. - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014251541
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012650655
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020
Book / Working Paper
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019
Book / Working Paper
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
Book / Working Paper
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
Book / Working Paper
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
Book / Working Paper
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Is cross-hedging effective for mitigating equity investment risks in the Indian banking sector?
Jose, Babu; Jose, Nithin - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014251558
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Hedging effectiveness of commodity futures contracts to minimize price risk : empirical evidence from the Italian field : crop sector
Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - 2021
Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012705087
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The hedging effectiveness of electricity futures in the Spanish market
Peña Sánchez de Rivera, Juan Ignacio - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014472285
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Forward- und Futuresmärkte und ihre Bedeutung für die Agrarpreisbildung
Vollmer, Teresa; Striewe, Ludwig; Cramon-Taubadel, … - 2021
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012422223
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