Journal of Futures Markets 1996 |
Title | Subject | Authors |
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, general | Shyy, Gang, Vijayraghavan, Vasumathi, Scott-Quinn, Brian |
A graphical note on European put thetas. | Business, general | Alexander, Gordon J., Stutzer, Michael |
An empirical analysis of the alleged manipulation attempt and forced liquidation of the July 1989 soybean futures contract. | Business, general | Barnhart, Scott W., Kahl, Kandice H., Barnhart, Cora Moore |
An empirical test of the effect of basis risk on cash market positions. | Business, general | Netz, Janet S. |
Announcement versus nonannouncement: a study of intraday transaction price paths of deutsche mark and Japanese yen futures. | Business, general | Leng, Hsiaohua |
An optimal price index for stock index futures contracts. | Business, general | Rougier, Jonathan |
A note on modified lattice approaches to option pricing. | Business, general | Easton, Stephen A. |
A reexamination of portfolio insurance: the use of index put options. | Business, general | Tian, Yisong |
Are hog and pig reports informative? | Business, general | Dowen, Richard J., Mann, Thomas L. |
Derivatives usage and interest rate risk of large banking firms. | Business, general | Shanker, Latha |
Detective volatility changes across the oil sector. | Business, general | Aggarwal, Reena, Wilson, Berry, Inclan, Carla |
Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons. | Business, general | Gemmill, Gordon |
Do managed futures make good investments? | Business, general | Edwards, Franklin R., Park, James M. |
Do systematic risk premiums persist in Eurodollar futures prices? | Business, general | Krehbiel, Tim, Adkins, Lee C. |
Efficient option-implied volatility estimators. | Business, general | Miller, Thomas W., Jr., Corrado, Charles J. |
Energy shocks and financial markets. | Business, general | Huang, Roger D., Stoll, Hans R., Ronald W. Masulis |
Ex ante basis risk in the live job futures contract: has hedgers' risk increased? | Business, general | Sanders, Dwight R., Garcia, Philip |
Futures prices and the maturity effect. | Business, general | Kolb, Robert W., Galloway, Tina M. |
Interest-rate option pricing revisited. | Business, general | Merrill, Craig, Babbel, David |
Intraday return dynamics between the cash and the futures markets in Japan. | Business, general | Kato, Kiyoshi, Iihara, Yoshio, Tokunaga, Toshifumi |
Linkages between agricultural commodity futures contracts. | Business, general | Malliaris, A.G., Urrutia, Jorge L. |
Macroeconomic news and the efficiency of international bond futures markets. | Business, general | Kopecky, 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, general | Pirrong, Craig |
Market making with price limits. | Business, general | Locke, Peter R., Kuserk, Gregory J. |
Mean reversion of interest-rate term premiums and profits from trading strategies with treasury futures spreads. | Business, general | Switzer, Lorne N., Park, Tae H. |
Normal backwardation in short-term interest rate futures markets. | Business, general | Krehbiel, Tim, Collier, Roger |
On the conventional definition of currency hedge ratio. | Business, general | Lien, Da-Hsiang Donald |
Optimum futures hedges with jump risk and stochastic basis. | Business, general | Chang, Carolyn W., Chang, Jack S.K., Fang, Hsing |
Price volatility and futures margins. | Business, general | Hardouvelis, Gikas A., Kim, Dongcheol |
Put-call parities and the value of early exercise for put options on a performance index. | Business, general | Veld, Chris, Roon, Frans de |
Recovering probabilistic information from option markets: tests of distributional assumptions. | Business, general | Sherrick, Bruce J., Garcia, Philip, Tirupattur, Viswanath |
Regulatory competition and the efficiency of alternative derivative product margining systems. | Business, general | White, Patricia A., Kupiec, Paul H. |
Simple risk measures when hedging commodities using foreign markets: a note. | Business, general | Novak, 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, general | Corrado, Charles J., Su, Tie |
Storage profitability and hedge ratio estimation. | Business, general | Hayenga, Marvin L., Lence, Sergio H., Patterson, Michael D. |
Survivor bias in commodity trading advisor performance. | Business, general | Schneeweis, Thomas, Spurgin, Richard, McCarthy, David |
Temporal relationships and dynamic interactions between spot and futures stock markets. | Business, general | Tucker, Michael, Koutmos, Gregory |
The demise of the high fructose corn syrup futures contract: a case study. | Business, general | Thompson, Sarahelen, Garcia, Philip, Wildman, Lynne Dallafior |
The dual listing of stock index futures: arbitrage, spread arbitrage and currency risk. | Business, general | Board, John, Sutcliffe, Charles |
The effect of the cointegration relationship on futures hedging: a note. | Business, general | Lien, Da-Hsiang Donald |
The Fed funds futures rate as a predictor of Federal Reserve policy. | Business, general | Kuttner, Kenneth N., Krueger, Joel T. |
The predictive power of implied stochastic variance from currency options. | Business, general | Guo, Dajiang |
The role of futures trading activity in exchange rate volatility. | Business, general | Chatrath, Arjun, Ramchander, Sanjay, Song, Frank |
The systematic risk of futures contracts. | Business, general | Kolb, Robert W. |
The value of information in the presence of futures markets. | Business, general | Zilcha, Itzhak, Sulganik, Eyal |
Time-varying risk premia in the foreign currency futures basis. | Business, general | Baum, Christopher F., Barkoulas, John |
Trading costs and the relative rates of price discovery in stocks, futures, and option markets. | Business, general | Whaley, Robert E., Fleming, Jeff, Ostdiek, Barbara |
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