Journal of Futures Markets 2006 |
Title | Subject | Authors |
A hedging deficiency in eurodollar futures. | Business, general | Chance, Don M. |
An empirical analysis of commodity pricing. | Business, general | Heaney, Richard |
An N-factor Gaussian model of oil futures prices. | Business, general | Cortazar, Gonzalo, Naranjo, Lorenzo |
A non-lattice pricing model of American options under stochastic volatility. | Business, general | Lim, Kian-Guan, Zhang, Zhe |
A random coefficient autoregressive Markov regime switching model for dynamic futures hedging. | Business, general | McCluskey, Jill J., Mittelhammer, Ron C., Hsiang-Tai Lee, Yoder, Jonathan K. |
Asymmetric hedging of the corporate terms of trade. | Business, general | Bowden, 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, general | Simkins, Betty J., Rogers, Daniel A. |
Black-Scholes-Merton revisited under stochastic dividend yields.(options pricing) | Business, general | Lioui, Abraham |
Causality in futures markets. | Business, general | Haigh, Michael S., Bessler, David A., Bryant, Henry L. |
Central Bank communications and equity ETFs.(exchange traded funds) | Business, general | Yang, Jian, Wang, Tao, Wu, Jingtao |
Currency barrier option pricing with mean reversion. | Business, general | Hui, C.H., Lo, C.F. |
Decimalization, trading costs, and information transmission between ETFs and index futures.(exchange-traded funds) | Business, general | Robin K. Chou, Huimin Chung |
Does an index futures split enhance trading activity and hedging effectiveness of the futures contract? | Business, general | Norden, Lars |
Dynamics of intraday serial correlation in the Italian futures market.(2000-2002) | Business, general | Reno, Roberto, Bianco, Simone |
Dynamic trading value at risk: futures floor trading. | Business, general | Lee, Jongdoo, Locke, Peter |
Estimation bias of futures hedging performance: a note. | Business, general | Lien, Donald |
Hedging and value at risk. | Business, general | Shen, Jian, Harris, Richard D. F. |
Holy mad cow or (mis) perceptions: A clinical study.(implications of madcow disease ob cattle prices ) | Business, general | TSE, Yiuman, Hackard, James C. |
Improved estimation of portfolio value-at-risk under copula models with mixed marginals. | Business, general | Miller, Douglas J., Liu, Wei-Han |
Improving lattice schemes through bias reduction.(option pricing) | Business, general | Simonato, 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, general | Dupoyet, Brice |
Intraday price-reversal patterns in the currency futures market: the impact of the introduction of GLOBEX and the euro.(Chicago Mercantile Exchange) | Business, general | Rentzler, Joel, Tandon, Kishore, Yu, Susana |
Jumping hedges: an examination of movements in copper spot and futures markets. | Business, general | Wing H. Chan, Young, Denise |
Limit order book transparency, execution risk, and market liquidity: evidence from the Sydney Futures Exchange. | Business, general | Frino, Alex, Jarnecic, Elvis, Bortoli, Luke, Johnstone, David |
Liquidity risk and the hedging role of options. | Business, general | Wong, Kit Pong, Xu, Jianguo |
Long-term information, short-lived securities. | Business, general | Bernhardt, Dan, Davies, Ryan J., Spicer, John |
Migration of price discovery in semi regulated derivatives markets.(New York Board of Trade) | Business, general | Kofman, Paul, Hall, Anthony D., Manaster, Steven |
Migration of price discovery in semi regulated derivatives markets.(New York Board of Trade) | Business, general | Kofman, Paul, Hall, Anthony D., Manaster, Steven |
Multifactor implied volatility functions for HJM models.(Heath, Jarrow, Morton) | Business, general | Paxson, Dean A., Kuo, I-Doun |
New evidence on expiration-day effects using realized volatility: an intraday analysis for the Spanish Stock Exchange. | Business, general | Illueca, M., Lafuente, J.A. |
New evidence on the forward unbiasedness hypothesis in the foreign-exchange market. | Business, general | Sarno, Lucio, Nikolaou, Kleopatra |
Nonlinear asymmetric models of the short-term interest rate. | Business, general | Demirtas, 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, general | McMillan, David G., Speight, Alan E.M. |
Option bid-ask spread and scalping risk: evidence from a covered warrants market. | Business, general | Petrella, Giovanni |
Option pricing for the transformed-binomial class. | Business, general | Camara, Antonio, Chung, San-Lin |
Persistence of volatility in futures markets. | Business, general | Parhizgari, 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, general | Huimin 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, general | Chung, Huimin, Chiang, Shumei |
Price discovery in the foreign exchange futures market. | Business, general | Fung, Joseph K. W., Tse, Yiuman, Xiang, Ju |
Reevaluating hedging performance. | Business, general | Cotter, John, Hanly, Jim |
Spot-futures spread, time-varying correlation, and hedging with currency futures. | Business, general | Lien, Donald, Yang, Li |
Static hedging and model risk for barrier options. | Business, general | Poulsen, Rolf, Nalholm, Morten |
Testing range estimators of historical volatility. | Business, general | |
The Chinese interbank repo market: an analysis of term premiums. | Business, general | Longzhen Fan, Chu Zhang |
The impact of skewness in the hedging decision. | Business, general | Gilbert, Scott, Jones, Samuel Kyle, Morris, Gay Hatfield |
The valuation of European options when asset returns are autocorrelated. | Business, general | Liao, Szu-Lang, Chen, Chao-Chun |
Too many options? Theory and evidence on option exchange design.(new model of option exchange design ) | Business, general | Fehle, Frank |
Transaction tax and market quality of the Taiwan stock index futures. | Business, general | Chou, Robin K., Wang, George H. K. |
Updating the estimation of the supply of storage.(soybean stocks) | Business, general | Roberts, Matthew C., Zulauf, Carl R., Zhou, Haijiang |
Valuation and optimal strategies of convertible bonds. | Business, general | Liao, Szu-Lang, Huang, Hsing-Hua |
Vix futures.(futures expression for future volatility index analysis) | Business, general | Jie E. Zhang, Yingi Zhu |
Volatility options: hedging effectiveness, pricing, and model error. | Business, general | Skiadopoulos, George, Psychoyios, Dimitris |
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