Journal of Futures Markets 2006 - Abstracts

Journal of Futures Markets 2006
TitleSubjectAuthors
A hedging deficiency in eurodollar futures.Business, generalChance, Don M.
An empirical analysis of commodity pricing.Business, generalHeaney, Richard
An N-factor Gaussian model of oil futures prices.Business, generalCortazar, Gonzalo, Naranjo, Lorenzo
A non-lattice pricing model of American options under stochastic volatility.Business, generalLim, Kian-Guan, Zhang, Zhe
A random coefficient autoregressive Markov regime switching model for dynamic futures hedging.Business, generalMcCluskey, Jill J., Mittelhammer, Ron C., Hsiang-Tai Lee, Yoder, Jonathan K.
Asymmetric hedging of the corporate terms of trade.Business, generalBowden, Roger, Zhu, Jennifer
Asymmetric information and credit quality: evidence from synthetic fixed-rate financing.(Fortune 500 and Standard and Poor 500 non-financial firms )Business, generalSimkins, Betty J., Rogers, Daniel A.
Black-Scholes-Merton revisited under stochastic dividend yields.(options pricing)Business, generalLioui, Abraham
Causality in futures markets.Business, generalHaigh, Michael S., Bessler, David A., Bryant, Henry L.
Central Bank communications and equity ETFs.(exchange traded funds)Business, generalYang, Jian, Wang, Tao, Wu, Jingtao
Currency barrier option pricing with mean reversion.Business, generalHui, C.H., Lo, C.F.
Decimalization, trading costs, and information transmission between ETFs and index futures.(exchange-traded funds)Business, generalRobin K. Chou, Huimin Chung
Does an index futures split enhance trading activity and hedging effectiveness of the futures contract?Business, generalNorden, Lars
Dynamics of intraday serial correlation in the Italian futures market.(2000-2002)Business, generalReno, Roberto, Bianco, Simone
Dynamic trading value at risk: futures floor trading.Business, generalLee, Jongdoo, Locke, Peter
Estimation bias of futures hedging performance: a note.Business, generalLien, Donald
Hedging and value at risk.Business, generalShen, Jian, Harris, Richard D. F.
Holy mad cow or (mis) perceptions: A clinical study.(implications of madcow disease ob cattle prices )Business, generalTSE, Yiuman, Hackard, James C.
Improved estimation of portfolio value-at-risk under copula models with mixed marginals.Business, generalMiller, Douglas J., Liu, Wei-Han
Improving lattice schemes through bias reduction.(option pricing)Business, generalSimonato, Jean-Guy, Gauthier, Genevieve, Denault, Michael
Information content of cross-sectional option prices: a comparison of alternative currency option pricing models on the Japanese Yen.Business, generalDupoyet, Brice
Intraday price-reversal patterns in the currency futures market: the impact of the introduction of GLOBEX and the euro.(Chicago Mercantile Exchange)Business, generalRentzler, Joel, Tandon, Kishore, Yu, Susana
Jumping hedges: an examination of movements in copper spot and futures markets.Business, generalWing H. Chan, Young, Denise
Limit order book transparency, execution risk, and market liquidity: evidence from the Sydney Futures Exchange.Business, generalFrino, Alex, Jarnecic, Elvis, Bortoli, Luke, Johnstone, David
Liquidity risk and the hedging role of options.Business, generalWong, Kit Pong, Xu, Jianguo
Long-term information, short-lived securities.Business, generalBernhardt, Dan, Davies, Ryan J., Spicer, John
Migration of price discovery in semi regulated derivatives markets.(New York Board of Trade)Business, generalKofman, Paul, Hall, Anthony D., Manaster, Steven
Migration of price discovery in semi regulated derivatives markets.(New York Board of Trade)Business, generalKofman, Paul, Hall, Anthony D., Manaster, Steven
Multifactor implied volatility functions for HJM models.(Heath, Jarrow, Morton)Business, generalPaxson, Dean A., Kuo, I-Doun
New evidence on expiration-day effects using realized volatility: an intraday analysis for the Spanish Stock Exchange.Business, generalIllueca, M., Lafuente, J.A.
New evidence on the forward unbiasedness hypothesis in the foreign-exchange market.Business, generalSarno, Lucio, Nikolaou, Kleopatra
Nonlinear asymmetric models of the short-term interest rate.Business, generalDemirtas, K. Ozgur
Non linear dynamics and competing behavioral interpretations: evidence from intra-day FTSE-100 Index and futures data.(competing behavior of stock traders )Business, generalMcMillan, David G., Speight, Alan E.M.
Option bid-ask spread and scalping risk: evidence from a covered warrants market.Business, generalPetrella, Giovanni
Option pricing for the transformed-binomial class.Business, generalCamara, Antonio, Chung, San-Lin
Persistence of volatility in futures markets.Business, generalParhizgari, Ali M., Zhiyao Chen, Dalgler, Robert T.
Price clustering in E-Mini and floor traded index futures.(Dow Jones Industrial Average, Standard and Poors 500 index, National Association of Securities Dealers Automated Quotation )Business, generalHuimin Chung, Shumei Chiang
Price clustering in E-Mini and floor traded index futures.(Dow Jones Industrial Average, Standard and Poors (500 stock Index), National Association of Securities Dealers Automated Quotation)Business, generalChung, Huimin, Chiang, Shumei
Price discovery in the foreign exchange futures market.Business, generalFung, Joseph K. W., Tse, Yiuman, Xiang, Ju
Reevaluating hedging performance.Business, generalCotter, John, Hanly, Jim
Spot-futures spread, time-varying correlation, and hedging with currency futures.Business, generalLien, Donald, Yang, Li
Static hedging and model risk for barrier options.Business, generalPoulsen, Rolf, Nalholm, Morten
Testing range estimators of historical volatility.Business, general 
The Chinese interbank repo market: an analysis of term premiums.Business, generalLongzhen Fan, Chu Zhang
The impact of skewness in the hedging decision.Business, generalGilbert, Scott, Jones, Samuel Kyle, Morris, Gay Hatfield
The valuation of European options when asset returns are autocorrelated.Business, generalLiao, Szu-Lang, Chen, Chao-Chun
Too many options? Theory and evidence on option exchange design.(new model of option exchange design )Business, generalFehle, Frank
Transaction tax and market quality of the Taiwan stock index futures.Business, generalChou, Robin K., Wang, George H. K.
Updating the estimation of the supply of storage.(soybean stocks)Business, generalRoberts, Matthew C., Zulauf, Carl R., Zhou, Haijiang
Valuation and optimal strategies of convertible bonds.Business, generalLiao, Szu-Lang, Huang, Hsing-Hua
Vix futures.(futures expression for future volatility index analysis)Business, generalJie E. Zhang, Yingi Zhu
Volatility options: hedging effectiveness, pricing, and model error.Business, generalSkiadopoulos, George, Psychoyios, Dimitris
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