Journal of Futures Markets 1997 - Abstracts

Journal of Futures Markets 1997
TitleSubjectAuthors
A comparison of futures pricing models in a new market: the case of individual share futures.Business, generalBrailsford, T.J., Cusack, A.J.
An evaluation of price linkages between futures and cash markets for cheddar cheese.Business, generalZapata, Hector O., Fortenbery, T. Randall
An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets.Business, generalFujihara, Roger A., Mougoue, Mbodja
A note on the valuation of an exotic timing option.(stock options)Business, generalBellalah, Mondher, Prigent, Jean-Luc
A simple approach to bond option pricing.Business, generalWei, Jason Z.
Cash settlement when the underlying securities are thinly traded: a case study.Business, generalCornell, Bradford
Charting: chaos theory in disguise?Business, generalOsler, Carol L., Clyde, William C.
Commitment of traders, basis behavior, and the issue of risk premia in futures markets.Business, generalChatrath, Arjun, Song, Frank, Youguo Liang
Continuously traded options on discretely traded commodity futures contracts.Business, generalWebb, Robert I., Iwata, Gyoichi, Fujiwara, Koichi, Sunada, Hiroshi
Convenience yields as call options: an empirical analysis.Business, generalMilonas, Nikolaos T., Thomadakis, Stavros B.
Crop year influences and variability of the agricultural futures spreads.Business, generalWang, George H.K., Fenton, John, Dutt, Hans R., Smith, Jonathan D.
Cross hedging in currency forward markets: a note.(managing exchange rate risks)Business, generalBroll, Udo
Derivatives and the price of risk.Business, generalBollen, Nicolas P.B.
Estimating cash settlement price: the bootstrap and other estimators.Business, generalLien, Donald, Cita, John
Forwards or options: a correction.(currency options and forwards' relationship)Business, generalDa-Hsiang Donald Lien
Fractional dynamics in international commodity prices.Business, generalLabys, Walter C., Barkoulas, John, Onochie, Joseph
Futures market transaction costs.Business, generalLocke, Peter R., Venkatesh, P. C.
Hedging efficiency: a futures exchange management approach.Business, generalPennings, Joost M.E., Meulenberg, Matthew T.G.
Hedging ratios and cash/futures market linkages.Business, generalTheobald, Michael, Yallup, Peter
Implied volatility asymmetries in treasury bond futures options.Business, generalSimon, David P.
Index futures and options and stock market volatility.Business, generalKoutmos, Gregory, Pericli, Andreas
Informational content in historical CTA performance. (commodity trading advisors)Business, generalSchneeweis, Thomas, Spurgin, Richard, McCarthy, David
International currency relationship information revealed by cross-option prices.Business, generalSiegel, Andrew F.
Intraday futures volatility and theories of market behavior.Business, generalDaigler, Robert T.
Linear dependence, nonlinear dependence and petroleum futures market efficiency.Business, generalFujihara, Roger A., Mougoue, Mbodja
Liquidity without volume: the case of FINEX, Dublin.Business, generalClyman, Dana R., Allen, Christopher S., Jaycobs, Richard
Marking-to-market and the demand for interest rate futures contracts.Business, generalLioui, Abraham
Metallgesellschaft: a prudent hedger ruined, or a wildcatter on NYMEX?Business, generalPirrong, Stephen Craig
Multiple-year pricing strategies for corn and soybeans.Business, generalKenyon, David E., Beckman, Charles V.
Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies.Business, generalVeld, Chris, Jong, Abe de, Roon, Frans de
Predicting spot exchange rates in a nonlinear estimation framework using futures prices.Business, generalParhizgari, A.M., Boyrie, Maria Eugenia de
Program trading, nonprogram trading, and market volatility.(includes bibliography)Business, generalKroner, Kenneth F., Sultan, Jahangir, Hogan, Kedreth C. Jr.
Put-call parity with futures-style margining. (futures options)Business, generalEaston, Stephen A.
Risk premia in the ruble/dollar futures market.Business, generalPresetsky, Anatoly, de Roon, Frans
Searching for fractal structure in agricultural futures markets.Business, generalNardelli, Carla, Corazza, Marco, Malliaris, A. G.
Short-run deviations and volatility in spot and futures stock returns: evidence from Australia, Hong Kong, and Japan.Business, generalChoudhry, Taufiq
Stochastic interest rates, transaction costs, and immunizing foreign currency risk.Business, generalTippett, Mark, Chiang, Raymond, Okunev, John
The impact of market-specific public information on return variance in an illiquid market.Business, generalChristie-David, Rohan, Koch, Timothy W.
The impact of proprietary - public information on pork futures.Business, generalMann, Thomas L., Dowen, Richard J
The intraday pricing efficiency of Hong Kong Hang Seng index options and futures markets.Business, generalChan, Kam C., Fung, Joseph K.W., Cheng, Louis T.W.
The rolling spot futures contract: an error correction model analysis.Business, generalGhosh, Asim, Gilmore, Claire G.
Time-dependent barrier option values.Business, generalHui, Cho H.
Trading volume and transaction costs in futures market.Business, generalWang, George H.K., Yau, Jot, Baptiste, Tony
Using derivatives in major currencies for cross-hedging currency risks in Asian emerging markets.Business, generalAggarwal, Raj, Demaskey, Andrea L.
Volatility, storage and convenience: evidence from natural gas markets.Business, generalThompson, Andrew, Susmel, Raul
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