| Journal of Futures Markets 1999 |
| Title | Subject | Authors |
|---|
| A comprehensive examination of the compass rose pattern in futures markets. | Business, general | Lee, Chun I., Gleason, Kimberly C., Mathur, Ike |
| A flexible binominal option pricing model. | Business, general | Tian, Yisong "Siam" |
| A further investigation of the lead-lag relationship between the spot market and stock index futures: early evidence from Korea. | Business, general | Najand, Mohammad, Min, Jae H. |
| A further look at transaction costs, short sale restrictions, and futures market efficiency: the case of Korean stock index futures. | Business, general | Gay, Gerald D., Jung, Dae Y. |
| An empirical comparison of continuous time models of the short term interest rate. | Business, general | Bali, Turan, G. |
| An empirical examination of the SIMEX Nikkei 225 futures contract around the Kobe earthquake and the Barings Bank collapse.(Singapore International Monetary Exchange) | Business, general | Walsh, David M., Quek, Jinwei |
| A note in pricing Asian derivatives with continuous geometric averaging. | Business, general | Angus, John E. |
| A note on estimating the minimum extended Gini hedge ratio. | Business, general | Lien, Donald, Shaffer, David R. |
| A note: the CSCE cheddar cheese cash and futures price long-term equilibrium relationship revisited.(Coffee, Sugar and Cocoa Exchange) | Business, general | Thraen, Cameron S. |
| Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions. | Business, general | Muthuswamy, Jayaram, Webb, Robert I., Low, Aaron H.W. |
| A reappraisal of the forecasting performance of corn and soybean new crop futures. | Business, general | Irwin, Scott H., Zulauf, Carl R., Ropp, Jason E., Sberna, Anthony J. |
| Contemporary and long-run correlations: a covariance component model and studies on the S&P 500 cash and futures market.(Statistical Data Included) | Business, general | Lee, Gary G.J. |
| Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: comment.(response to Dilip Ghosh, The Journal of Futures Markets, p. 115, February 1998) | Business, general | Batlin, Carl A. |
| Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: reply.(response to Carl A. Batlin in this issue, p. 115) | Business, general | Ghosh, Dilip K. |
| Detecting and modeling changing volatility in the copper futures market. | Business, general | Smith, Kenneth L., Bracker, Kevin |
| Do S&P 500 index options violate the martingale restriction?(Standard and Poor's 500-Stock Price Index) | Business, general | Strong, Norman, Xinzhong Xu |
| Efficiency tests in the Spanish futures markets. | Business, general | Lee, Chun I., Mathur, Ike |
| Foreign exchange futures volatility: day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements. | Business, general | Kling, John L., Han, Li-Ming, Sell, Clifford W. |
| Fractional cointegration and futures hedging. | Business, general | Lien, Donald, Tse, Yiu Kuen |
| Harvest contract price volatility for cotton. | Business, general | Hudson, Darren, Coble, Keith |
| Hedging performance of shrimp futures contracts with multiuple deliverable grades.(Statistical Data Included) | Business, general | Anderson, James L., Martinez-Garmendia, Josue |
| Hedging with mismatched currencies.(multinational corporations)(Statistical Data Included) | Business, general | Broll, Udo, Wong, Kit Pong |
| Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets. | Business, general | Sim, Ah-boon, Zurbreugg, Ralf |
| Is the Australian wool futures market efficient as a predictor of spot prices? | Business, general | Graham-Higgs, Jeremy, Rambaldi, Alicia, Davidson, Brian |
| Managed commodity funds. | Business, general | Liew, Jimmy, Edwards, Franklin R. |
| Managed futures, positive feedback trading, and futures price volatility. | Business, general | Irwin, Scott H., Yoshimaru, Satoko |
| Margin requirements and futures activity: evidence from the soybean and corn markets. | Business, general | Chatrath, Arjun, Adrangi, Bahram |
| Market microstructure of FT-SE 100 Index futures: an intraday empirical analysis.(Financial Times Stock Exchange) | Business, general | Tse, Yiuman |
| Mid-day volatility spikes in U.S. futures markets. | Business, general | Kawaller, Ira G., Koch, Paul D., Docking, Diane Scott |
| Mispricing of index futures contracts and short sales constraints. | Business, general | Draper, Paul, Fung, Joseph K.W. |
| Modeling nonlinear dynamics of daily futures price changes. | Business, general | Wang, George H.K., Gao, Andre H. |
| Optimal margin level in futures markets: extreme price movements. | Business, general | Longin, Francois M. |
| Price discovery and volatility spillovers in the DJIA index and futures market.(Dow Jones Industrial Average)(Statistical Data Included) | Business, general | Tse, Yiuman |
| Price discovery in the German equity index derivatives markets. | Business, general | Tse, Yiuman, Booth, G. Geoffrey, So, Raymond W. |
| Pricing and hedging S&P 500 index options with Hermite polynominal approximation: empirical tests of Madan and Milne's model. | Business, general | Ane, Thierry |
| Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: an empirical comparison. | Business, general | Bierwag, Gerald O., Mathis, Roswwell E., III |
| Risk arbitrage opportunities in petroleum futures spreads.(Statistical Data Included) | Business, general | Paulson, Albert S., Girman, Paul Berhanu |
| The determinants of bid-ask spreads in the foreign exchange futures market: a microstructure analysis. | Business, general | Ding, David K. |
| The forward pricing function of the shipping freight futures market. | Business, general | Kavussanos, Manolis G., Nomikos, Nikos K. |
| The relationship between spot and futures prices: evidence from the crude oil market. | Business, general | Moosa, Imad A., Silvapulle, Param |
| The relative efficiency of commodity futures markets. | Business, general | Newbold, Paul, Ennew, Christine, Rayner, Tony, Kellard, Neil |
| The soybean crush spread: empirical evidence and trading strategies. | Business, general | Simon, David P. |
| The temporal relationship between derivatives trading and spot market volatility in the U.K.: empirical analysis and Monte Carlo evidence. | Business, general | Sarno, Lucio, Kyriacou, Kyriacos |
| Trading costs and price discovery across stock index futures and cash markets. | Business, general | Szakmary, Andrew C., Schwarz, Thomas V., Kim, Minho |
| Valuation of futures and commodity options with information costs. | Business, general | Bellalah, Mondher |
| VaR without correlations for portfolios of derivative securities.(Value at Risk) | Business, general | Barone-Adesi, Giovanni, Giannopoulos, Kostas, Vosper, Les |
| Volatility and maturity effects in the Nikkei index futures.(Statistical Data Included) | Business, general | Duan, Jin-Chuan, Hung, Mao-Wei, Chen, Yen-Ju |
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