Journal of Futures Markets 1996 - Abstracts

Journal of Futures Markets 1996
TitleSubjectAuthors
A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: the case of France.Business, generalShyy, Gang, Vijayraghavan, Vasumathi, Scott-Quinn, Brian
A graphical note on European put thetas.Business, generalAlexander, Gordon J., Stutzer, Michael
An empirical analysis of the alleged manipulation attempt and forced liquidation of the July 1989 soybean futures contract.Business, generalBarnhart, Scott W., Kahl, Kandice H., Barnhart, Cora Moore
An empirical test of the effect of basis risk on cash market positions.Business, generalNetz, Janet S.
Announcement versus nonannouncement: a study of intraday transaction price paths of deutsche mark and Japanese yen futures.Business, generalLeng, Hsiaohua
An optimal price index for stock index futures contracts.Business, generalRougier, Jonathan
A note on modified lattice approaches to option pricing.Business, generalEaston, Stephen A.
A reexamination of portfolio insurance: the use of index put options.Business, generalTian, Yisong
Are hog and pig reports informative?Business, generalDowen, Richard J., Mann, Thomas L.
Derivatives usage and interest rate risk of large banking firms.Business, generalShanker, Latha
Detective volatility changes across the oil sector.Business, generalAggarwal, Reena, Wilson, Berry, Inclan, Carla
Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons.Business, generalGemmill, Gordon
Do managed futures make good investments?Business, generalEdwards, Franklin R., Park, James M.
Do systematic risk premiums persist in Eurodollar futures prices?Business, generalKrehbiel, Tim, Adkins, Lee C.
Efficient option-implied volatility estimators.Business, generalMiller, Thomas W., Jr., Corrado, Charles J.
Energy shocks and financial markets.Business, generalHuang, Roger D., Stoll, Hans R., Ronald W. Masulis
Ex ante basis risk in the live job futures contract: has hedgers' risk increased?Business, generalSanders, Dwight R., Garcia, Philip
Futures prices and the maturity effect.Business, generalKolb, Robert W., Galloway, Tina M.
Interest-rate option pricing revisited.Business, generalMerrill, Craig, Babbel, David
Intraday return dynamics between the cash and the futures markets in Japan.Business, generalKato, Kiyoshi, Iihara, Yoshio, Tokunaga, Toshifumi
Linkages between agricultural commodity futures contracts.Business, generalMalliaris, A.G., Urrutia, Jorge L.
Macroeconomic news and the efficiency of international bond futures markets.Business, generalKopecky, Kenneth J., Becker, Kent G., Finnerty, Joseph E.
Market liquidity and depth on computerized and open outcry trading systems: a comparison of DTB and LIFFE bund contracts. (Deutsche Terminborse; London International Financial Futures Exchange)Business, generalPirrong, Craig
Market making with price limits.Business, generalLocke, Peter R., Kuserk, Gregory J.
Mean reversion of interest-rate term premiums and profits from trading strategies with treasury futures spreads.Business, generalSwitzer, Lorne N., Park, Tae H.
Normal backwardation in short-term interest rate futures markets.Business, generalKrehbiel, Tim, Collier, Roger
On the conventional definition of currency hedge ratio.Business, generalLien, Da-Hsiang Donald
Optimum futures hedges with jump risk and stochastic basis.Business, generalChang, Carolyn W., Chang, Jack S.K., Fang, Hsing
Price volatility and futures margins.Business, generalHardouvelis, Gikas A., Kim, Dongcheol
Put-call parities and the value of early exercise for put options on a performance index.Business, generalVeld, Chris, Roon, Frans de
Recovering probabilistic information from option markets: tests of distributional assumptions.Business, generalSherrick, Bruce J., Garcia, Philip, Tirupattur, Viswanath
Regulatory competition and the efficiency of alternative derivative product margining systems.Business, generalWhite, Patricia A., Kupiec, Paul H.
Simple risk measures when hedging commodities using foreign markets: a note.Business, generalNovak, Frank S., Unterschultz, James R.
S&P 500 Index option tests of Jarrow and Rudd's approximate option valuation formula. (Standard and Poor's 500 Index)Business, generalCorrado, Charles J., Su, Tie
Storage profitability and hedge ratio estimation.Business, generalHayenga, Marvin L., Lence, Sergio H., Patterson, Michael D.
Survivor bias in commodity trading advisor performance.Business, generalSchneeweis, Thomas, Spurgin, Richard, McCarthy, David
Temporal relationships and dynamic interactions between spot and futures stock markets.Business, generalTucker, Michael, Koutmos, Gregory
The demise of the high fructose corn syrup futures contract: a case study.Business, generalThompson, Sarahelen, Garcia, Philip, Wildman, Lynne Dallafior
The dual listing of stock index futures: arbitrage, spread arbitrage and currency risk.Business, generalBoard, John, Sutcliffe, Charles
The effect of the cointegration relationship on futures hedging: a note.Business, generalLien, Da-Hsiang Donald
The Fed funds futures rate as a predictor of Federal Reserve policy.Business, generalKuttner, Kenneth N., Krueger, Joel T.
The predictive power of implied stochastic variance from currency options.Business, generalGuo, Dajiang
The role of futures trading activity in exchange rate volatility.Business, generalChatrath, Arjun, Ramchander, Sanjay, Song, Frank
The systematic risk of futures contracts.Business, generalKolb, Robert W.
The value of information in the presence of futures markets.Business, generalZilcha, Itzhak, Sulganik, Eyal
Time-varying risk premia in the foreign currency futures basis.Business, generalBaum, Christopher F., Barkoulas, John
Trading costs and the relative rates of price discovery in stocks, futures, and option markets.Business, generalWhaley, Robert E., Fleming, Jeff, Ostdiek, Barbara
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.