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Journal of Futures Markets

1981 - 2020

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 25, issue 12, 2005

Editor's note pp. 1127-1127 Downloads
Robert I. Webb
Slippage in futures markets: Evidence from the Sydney Futures Exchange pp. 1129-1146 Downloads
Alex Frino and Teddy Oetomo
Information flows and option bid/ask spreads pp. 1147-1172 Downloads
Fredrik Berchtold and Lars Nordén
Structurally sound dynamic index futures hedging pp. 1173-1202 Downloads
Paul Kofman and Patrick McGlenchy
Recovering market expectations of FOMC rate changes with options on federal funds futures pp. 1203-1242 Downloads
John Carlson, Ben R. Craig and Will Melick

Volume 25, issue 11, 2005

A contango‐constrained model for storable commodity prices pp. 1025-1044 Downloads
Diana R. Ribeiro and Stewart D. Hodges
Futures and options expiration‐day effects: The Indian evidence pp. 1045-1065 Downloads
Execution quality in open‐outcry futures markets pp. 1067-1092 Downloads
Alexander Kurov
Consistent calibration of HJM models to cap implied volatilities pp. 1093-1120 Downloads
Flavio Angelini and Stefano Herzel
A note on the superiority of the OLS hedge ratio pp. 1121-1126 Downloads
Donald Lien

Volume 25, issue 10, 2005

Pricing foreign equity options under Lévy processes pp. 917-944 Downloads
Shian‐Chang Huang and Mao‐Wei Hung
Position limits for cash‐settled derivative contracts pp. 945-965 Downloads
Hans R. Dutt and Lawrence E. Harris
Price discovery in the aluminum market pp. 967-988 Downloads
Isabel Figuerola‐Ferretti and Christopher L. Gilbert
Is it important to consider the jump component for pricing and hedging short‐term options? pp. 989-1009 Downloads
In Joon Kim and Sol Kim
Estimating the optimal hedge ratio with focus information criterion pp. 1011-1024 Downloads
Donald Lien and Keshab Shrestha

Volume 25, issue 9, 2005

What moves option‐implied bond market expectations? pp. 817-843 Downloads
Sami Vähämaa, Sebastian Watzka and Janne Äijö
Option pricing under extended normal distribution pp. 845-871 Downloads
Hosam Ki, Byungwook Choi, Kook‐Hyun Chang and Miyoung Lee
A comparative study of alternative extreme‐value volatility estimators pp. 873-892 Downloads
Turan G. Bali and David Weinbaum
The response of volume and returns to the information shocks in China's commodity futures markets pp. 893-916 Downloads
Gongmeng Chen, Michael Firth and Yu Xin

Volume 25, issue 8, 2005

Is investor misreaction economically significant? Evidence from short‐ and long‐term S&P 500 index options pp. 717-752 Downloads
Charles Cao, Haitao Li and Fan Yu
Information content of the fed funds rates pp. 753-774 Downloads
Jahangir Sultan
Option pricing with a non‐zero lower bound on stock price pp. 775-794 Downloads
Ming Dong
Survival of commodity trading advisors: 1990–2003 pp. 795-816 Downloads
Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou and Fabrice Rouah

Volume 25, issue 7, 2005

Derivative pricing model and time‐series approaches to hedging: A comparison pp. 613-641 Downloads
Henry L. Bryant and Michael S. Haigh
Technical analysis and genetic programming: Constructing and testing a commodity portfolio pp. 643-660 Downloads
Matthew C. Roberts
The use of term structure information in the hedging of mortgage‐backed securities pp. 661-678 Downloads
Jason Fink, Kristin E. Fink and Stephen Lange
Information transmission in electronic versus open‐outcry trading systems: An analysis of U.S. equity index futures markets pp. 679-715 Downloads
Aysegul Ates and George H. K. Wang

Volume 25, issue 6, 2005

What moves the tail? The determinants of the option‐implied probability density function of the DAX index pp. 515-536 Downloads
Ernst Glatzer and Martin Scheicher
Minimum‐variance futures hedging under alternative return specifications pp. 537-552 Downloads
Eric Terry
Intradaily periodicity and volatility spillovers between international stock index futures markets pp. 553-585 Downloads
Chunchi Wu, Jinliang Li and Wei Zhang
An empirical analysis of multi‐period hedges: Applications to commercial and investment assets pp. 587-606 Downloads
Jimmy E. Hilliard and Pinghsun Huang
A note on asymmetric stochastic volatility and futures hedging pp. 607-612 Downloads
Donald Lien

Volume 25, issue 5, 2005

Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market pp. 419-442 Downloads
Owain ap Gwilym, Ian Mcmanus and Stephen Thomas
A realistic model of market liquidity and depth pp. 443-464 Downloads
Vassilis Polimenis
Forecasting volatility pp. 465-490 Downloads
Louis H. Ederington and Wei Guan
Price relations among hog, corn, and soybean meal futures pp. 491-514 Downloads
Qingfeng “Wilson” Liu

Volume 25, issue 4, 2005

Price risk in the NYMEX energy complex: An extreme value approach pp. 309-337 Downloads
Tim Krehbiel and Lee Adkins
The forecast quality of CBOE implied volatility indexes pp. 339-373 Downloads
Charles Corrado and Thomas W. Miller, Jr.
How electronic trading affects bid‐ask spreads and arbitrage efficiency between index futures and options pp. 375-398 Downloads
Kevin H. K. Cheng, Joseph K. W. Fung and Yiuman Tse
Asymmetric volatility of basis and the theory of storage pp. 399-418 Downloads
Andre H. Gao and George H. K. Wang

Volume 25, issue 3, 2005

Drift matters: An analysis of commodity derivatives pp. 211-241 Downloads
Olaf Korn
Volatility trade design pp. 243-279 Downloads
J. Scott Chaput and Louis H. Ederington
Bias and backwardation in natural gas futures prices pp. 281-308 Downloads
Nahid Movassagh and Bagher Modjtahedi

Volume 25, issue 2, 2005

Traders' strategic behavior in an index options market pp. 105-133 Downloads
Kyong Shik Eom and Sang Buhm Hahn
Pricing vulnerable options in incomplete markets pp. 135-170 Downloads
Mao‐Wei Hung and Yu‐Hong Liu
Implied correlation index: A new measure of diversification pp. 171-197 Downloads
Vasiliki Skintzi and Apostolos‐Paul N. Refenes
Forecasting futures returns in the presence of price limits pp. 199-210 Downloads
Arie Harel, Giora Harpaz and Joseph Yagil

Volume 25, issue 1, 2005

Canonical valuation of options in the presence of stochastic volatility pp. 1-19 Downloads
Philip Gray and Scott Newman
On the errors and comparison of Vega estimation methods pp. 21-38 Downloads
San‐Lin Chung and Mark Shackleton
The global market for OTC derivatives: An analysis of dealer holdings pp. 39-77 Downloads
Ekaterina E. Emm and Gerald D. Gay
Is it time to reduce the minimum tick sizes of the E‐mini futures? pp. 79-104 Downloads
Alexander Kurov and Tatyana Zabotina
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