| Journal of Futures Markets 2004 |
| Title | Subject | Authors |
|---|
| A Markov Regime Switching approach for hedging stock indices. | Business, general | Alizadeh, Amir, Nomikos, Nikos |
| A model of price discovery and market design: Theory and empirical evidence. | Business, general | |
| Anatomy of option features in convertible Bonds. | Business, general | Lau, Ka Wo, Kwok, Yue Kuen |
| An empirical analysis of the relationship between the hedge ratio and hedging horizon: a simultaneous estimation of the short- and long-run hedge ratios. | Business, general | Sheng-Syan Chen, Shrestha, Keshab, Cheng-Few Lee |
| An empirical examination of the pricing of exchange -- traded barrier options. | Business, general | Easton, Steve, Gerlach, Richard, Graham, Melissa, Tuyl, Frank |
| An examination of the impact of macroeconomic news on the spot and futures treasuries markets. | Business, general | Ramchander, Sanjay, Simpson, Marc W. |
| A note on price futures versus revenue futures contracts. | Business, general | Lien, Donald, Hennessy, David A. |
| A theoretical framework to evaluate different margin-setting methodologies. | Business, general | Kin Lam, Chor-Yiu Sin, Rico Leung |
| Clustering in the futures market: evidence from S&P 500 futures contracts. | Business, general | Schwartz, Adam L., Van Ness, Bonnie F., Van Ness, Robert A. |
| Common risk factors in the U.S. and UK interest rate swap markets: evidence from a nonlinear vector autoregression approach. | Business, general | Lekkos, Ilias, Milas, Costas |
| Contract modifications and the basis behaviour of live cattle futures. | Business, general | Wang, George H.K., Newsome, James E., Fuller, Marty J., Boyd, M.E. |
| Copula sensitivity in collateralized debt obligations and basket default swaps. | Business, general | Meneguzzo, Davide, Vecchiato, Walter |
| Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases. | Business, general | Hess, Dieter |
| Distributions implied by American currency futures options: a ghost's smile? | Business, general | Cincibuch, Martin |
| Do designated market makers improve liquidity in open-outcry futures markets?. | Business, general | Tse, Yiuman, Zabotina, Tatyana |
| Do futures-based strategies enhance dynamic portfolio insurance?. | Business, general | Faff, Robert W., Do, Binh Huu |
| Explaining credit default swap premia. | Business, general | Benkert, Christoph |
| Extracting the expected path of monetary policy from futures rates. | Business, general | Sack, Brian |
| Futures trading, spot market volatility and market efficiency: The case of the Korean index futures markets. | Business, general | Bae, Sung C., Taek Ho Kwon, Jong Won Park |
| Hedging, liquidity, and the competitive firm under price uncertainty. | Business, general | Kit Pong Wong |
| Information and noise in U.K. futures markets. | Business, general | Holmes, Phil, Tomsett, Mark |
| Information content of extended trading for index futures. | Business, general | Louis T.W. Cheng, Li Jiang, Renne W.Y. Ng |
| Knock-in American options.(Currency options) | Business, general | Min Dai, Yue Kuen Kwok |
| Minimum capital requirement calculations for UK futures. | Business, general | Cotter, John |
| Modeling Discontinuous periodic conditional volatility: Evidence from the commodity futures market. | Business, general | Taylor, Nicholas |
| Natural gas prices and the gas storage report: public news and volatility in energy futures markets. | Business, general | Linn, Scott C., Zhen Zhu |
| Net Buying Pressure, volatility smile, and abnormal profit of Hang Seng Index options. | Business, general | Chan, Kam C., Cheng, Louis T.W., Lung, Peter P. |
| Predicting financial volatility: high-frequency time-series forecasts vis-a-vis implied volatility.(options pricing, risk management) | Business, general | Martens, Martin, Zein, Jason |
| Price discovery in the Hang Seng Index Markets: index, futures, and the tracker fund. | Business, general | Raymond W. So, Yiuman Tse |
| Price discovery in the pits: the role of market makers on the CBOT and the Sydney Futures Exchange.(Chicago Board of Trade) | Business, general | Frino, Alex, Tomas, Michael J., III, McInish, Thomas H., Harris, Frederick H. deB. |
| Pricing credit-spread options under a Markov chain model with Stochastic default rate. | Business, general | Kang, Jangkoo, Kim, Hwa-Sung |
| Rational expectations and market efficiency in the U.S. live cattle futures market: the role of proprietary information. | Business, general | Myers, Robert J., Schaefer, Matthew P., Koontz, Stephen R. |
| Regime switching in the yield curve. | Business, general | Christiansen, Charlotte |
| Regulatory changes and information competition: the case of Taiwan index futures. | Business, general | Wen-Liang Gideon Hsieh |
| Splitting the S&P 500 futures. | Business, general | Locke, Peter R., Chen, Jianli |
| Switching asymmetric GARCH and options on a volatility index. | Business, general | Daouk, Hazem, Jie Qun Guo |
| The components of bid-ask spread and their determinants: TAIFEX versus SGX-DT.(Taiwan Futures Exchange and Singapore Exchange Derivatives Trading Limited ) | Business, general | Yu Chuan Huang |
| The credit risk components of a swap portfolio. | Business, general | Hubner, Georges |
| The disappearing January/turn of the year effect: evidence from the stock index futures and cash markets. | Business, general | Szakmary, Andrew C., Kiefer, Dean B. |
| The impact of electronic trading on bid-ask spreads: evidence from futures markets in Hong Kong, London, and Sydney. | Business, general | Frino, Alex, Aitken, Michael J., Hill, Amelia M., Jarnecic, Elvis |
| The index futures markets: is screen trading more efficient?. | Business, general | Kin Lam, Copeland, Laurence, Jones, Sally-Ann |
| The Performance of Event Study Approaches using Daily Commodity Futures Returns. | Business, general | Mckenzie, Andrew M., Thomsen, Michael R., Dixon, Bruce L. |
| Time variation in the tail behavior of Bund future returns. | Business, general | Werner, Thomas, Upper, Christian |
| Valuing credit derivatives using gaussian quadrature: a stochastic volatility framework. | Business, general | Tahani, Nabil |
| Volatility and commodity price dynamics.(commodity prices, economic volatility) | Business, general | Pindyck, Robert S. |
| Weather derivatives valuation and market price of weather risk. | Business, general | Cao, Melanie, Wei, Jason |
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.
