Journal of Futures Markets 2005 - Abstracts

Journal of Futures Markets 2005
TitleSubjectAuthors
A comparative study of alternative extreme- value volatility estimators.Business, generalG.Bali, Turan, Weinbaum, David
A Contango-Constrained model for storable commodity prices.Business, generalHodges, Stewart D., Ribeiro, Diana R.
An empirical analysis of multi period hedges: applications to commercial and investment assets.Business, generalHilliard, Jimmy E., Huang, Pinghsun
A note on asymmetric stochastic volatility and futures hedging.Business, generalLien, Donald
A note on the superiority of the OLS Hedge Ratio.(ordinary least squares)Business, generalLien, Donald
A realistic model of market liquidity and depth.Business, generalPolimenis, Vassilis
Asymmetric volatility of basis and the theory of storage.(inventory management)Business, generalWang, George H.K., Gao, Andre H.
Bias and backwardation in natural gas futures prices.Business, generalMovassagh, Nahid, Modjtahedi, Bagher
Canonical valuation of options in the presence of stochastic volatility.Business, generalGray, Philip, Newman, Scott
Consistent calibration of HJM models to cap implied volatilities.(Heath, Jarrow and Morton)Business, generalAngelini, Flavio, Herzel, Stefano
Derivatives pricing model and time-series approaches to hedging: a comparison.Business, generalHaigh, Michael S., Bryant, Henry L.
Drift matters: an analysis of commodity derivatives.Business, generalKorn, Olaf
Estimating the optimal hedge ratio with focus information criterion.Business, generalLien, Donald, Shrestha, Keshab
Execution quality in open-outcry futures markets.Business, generalKurov, Alexandra
Forecasting futures returns in the presence of price limits.Business, general 
Forecasting volatility.Business, generalEderington, Louis H., Guan, Wei
Fractional versus decimal pricing: evidence from the UK long gilt futures market.Business, generalGwilym, Owain Ap, Thomas, Stephen, McManus, Ian
Futures and options expiration-day effects: The Indian evidence.Business, general 
How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options.Business, generalTse, Yiuman, Fung, Joseph K.W., Cheng, Kevin H.K.
Implied correlation index: a new measure of diversification.Business, generalSkintzi, Valsilki D., Refenes, Apostolos-Paul N.
Information content of the fed funds rates.Business, generalSultan, Jahangir
Information flows and option bid/ ask spreads.(financial markets)Business, generalNorden, Lars, Berchtold, Fredrik
Information transmission in electronic versus open-outcry trading systems: an analysis of U.S. equity index futures markets.Business, generalWang, George H.K., Ates, Aysegul
Intradaily periodicity and volatility spillovers between international stock index futures markets.Business, generalWu, Chunchi, Zhang, Wei, Li, Jinliang
Is investor misreaction economically significant? Evidence from short- and long-term S&P 500 index options.Business, generalCao, Charles, Li, Haitao, Yu, Fan
Is it important to consider the jump component for pricing and hedging shot-term options.Business, generalKim, In Joon, Kim, Sol
Is it time to reduce the minimum tic sizes of the E-mini futures?Business, generalZabotina, Tatyana, Kurov, Alexander
Minimum-variance futures hedging under alternative return specifications.Business, generalTerry, Eric
On the errors and comparison of Vega estimation methods.(options sensitivity to volatility)Business, generalShackleton, Mark, Chung, San-Lin
Option pricing under extended normal distribution.Business, generalHosam Ki, Byungwook Choi, Kook-Hyun Chang, Miyoung Lee
Option pricing with a non-zero lower bound on stock price.Business, generalDong, Ming
Position limits for cash-settled derivative contracts.Business, generalDutt, Hans R., Harris, Lawrence E.
Price discovery in the aluminum market.(foreign exchange rates examination)Business, generalFiguerola-Ferretti, Isabel, Gilbert, Christopher L.
Price relations among hog, corn and soyabean meal futures.Business, generalLiu, Qingfeng "Wilson"
Price risk in the NYMEX energy complex: an extreme value approach.(New York Mercantile Exchange)Business, generalKrehbiel, Tim, Adkins, Lee C.
Pricing foreign equity options under Levy process.Business, generalHung, Mao-Wei, Huang, Shian-Chang
Pricing vulnerable options in incomplete markets.Business, generalHung, Mao-Wei
Recovering market expectations of FOMC rate changes with options on federal funds futures.(Federal Open Market Committee)Business, generalCarlson, John B., Melick, William R., Craig, Ben R.
Slippage in futures markets: Evidence from the Sydney Futures Exchange.(market impact)Business, generalFrino, Alex
Structurally sound dynamic index futures hedging.(futures markets )Business, generalKofman, Paul, McGlenchy, Patrick
Survival of commodity trading advisors: 1990-2003.Business, generalHubner, Georges, Gregoriou, Greg N., Papageorgiou, Nicolas, Rouah, Fabrice
Technical analysis and genetic programming: constructing and testing a commodity portfolio.Business, generalRoberts, Matthew C.
The forecast quality of CBOE implied volatility indexes.(Chicago Board Options Exchange)Business, generalCorrado, Charles J., Miller, Thomas W.
The global market for OTC derivatives: an analysis of dealer holdings.(Over The Counter)Business, generalEmm, Ekaterina E., Gay, Gerald D.
The response of volume and returns of the information shocks in chinaEs commodity futures markets.Business, generalChen, Gongmeng, Firth, Michale, Yu Xin
The use of term structure information in the hedging of mortgage-backed securities.Business, generalFink, Jason, Fink, Kristin E., Lange, Stephen
Traders' strategic behavior in an index options market.Business, generalEom, Kyong Shik, Hahn, Sang Buhm
Volatility trade design.Business, generalEderington, Louis H., Chaput, J. Scott
What moves option- implied bond market expectations?(macroeconomics news)Business, generalVahamaa, Sami, Watzka, Sebastian, Aijo, Janne
What moves the tail? the determinants of the option-implied probability density function of the DAX index.Business, generalGlatzer, Ernst
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