EconPapers    
Economics at your fingertips  
 

Journal of Futures Markets

1981 - 2020

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 36, issue 12, 2016

Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models pp. 1127-1163 Downloads
Dimos S. Kambouroudis, David G. McMillan and Katerina Tsakou
An International Comparison of Implied, Realized, and GARCH Volatility Forecasts pp. 1164-1193 Downloads
Apostolos Kourtis, Raphael Markellos and Lazaros Symeonidis
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion pp. 1194-1209 Downloads
Sofiane Aboura and Didier Maillard
Monetary Policy and Stock Prices: Does the “Fed Put” Work When It Is Most Needed? pp. 1210-1230 Downloads
Alexander Kurov and Chen Gu
Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures pp. 1231-1255 Downloads
Huayun Jiang, Jen‐Je Su, Neda Todorova and Eduardo Roca

Volume 36, issue 11, 2016

Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures pp. 1029-1056 Downloads
Xi Fu, Matteo Sandri and Mark Shackleton
Empirical Properties, Information Flow, and Trading Strategies of China's Soybean Crush Spread pp. 1057-1075 Downloads
Qingfeng Wilson Liu and Hui He Sono
Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation pp. 1076-1107 Downloads
Suk-Joong Kim
Estimation of Market Information Shares: A Comparison pp. 1108-1124 Downloads
Donald Lien and Zijun Wang

Volume 36, issue 10, 2016

Futures Price Response to Crop Reports in Grain Markets pp. 923-942 Downloads
Fabio Mattos and Rodrigo L. F. Silveira
Risk‐Free Rates and Variance Futures Prices pp. 943-967 Downloads
Leonidas Rompolis
Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches pp. 968-991 Downloads
Rui Fan, Haiqi Li and Sung Y. Park
An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures pp. 992-1013 Downloads
Gert Elaut, Péter Erdős and John Sjödin
Fat‐Finger Trade and Market Quality: The First Evidence From China pp. 1014-1025 Downloads
Ming Gao, Yu‐Jane Liu and Weili Wu

Volume 36, issue 9, 2016

Risk Analysis and Hedging of Parisian Options under a Jump‐Diffusion Model pp. 819-850 Downloads
Kyoung‐Kuk Kim and Dong‐Young Lim
Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin? pp. 851-869 Downloads
Philipp Adämmer, Martin T. Bohl and Christian Gross
On the Intraday Relation Between the VIX and its Futures pp. 870-886 Downloads
Bart Frijns, Alireza Tourani‐Rad and Robert I. Webb
A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options pp. 887-901 Downloads
Lung‐Fu Chang, Jia‐Hau Guo and Mao‐Wei Hung
Heston‐Type Stochastic Volatility with a Markov Switching Regime pp. 902-919 Downloads
Robert J. Elliott, Katsumasa Nishide and Carlton‐James U. Osakwe

Volume 36, issue 8, 2016

Editor's Note pp. 721-721 Downloads
Robert I. Webb
Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices? pp. 722-744 Downloads
Jangkoo Kang and Soonhee Lee
CDS Inferred Stock Volatility pp. 745-757 Downloads
Biao Guo
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets pp. 758-792 Downloads
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
Pricing American Put Options Using the Mean Value Theorem pp. 793-815 Downloads
Humphrey K.K. Tung

Volume 36, issue 7, 2016

Tests on the Monotonicity Properties of KOSPI 200 Options Prices pp. 625-646 Downloads
Myounghwa Sim, Doojin Ryu and Heejin Yang
To Squeeze or Not to Squeeze? That Is No Longer the Question pp. 647-670 Downloads
Ramzi Ben‐Abdallah and Michèle Breton
The Prevalence, Sources, and Effects of Herding pp. 671-694 Downloads
Naomi E. Boyd, Bahattin Buyuksahin, Michael S. Haigh and Jeffrey Harris
Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi pp. 695-718 Downloads
Jiadong Tong, Zijun Wang and Jian Yang

Volume 36, issue 6, 2016

Editor's Note pp. 521-521 Downloads
Robert I. Webb
Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics pp. 522-544 Downloads
Annastiina Silvennoinen and Susan Thorp
Components of the Bid–Ask Spread and Variance: A Unified Approach pp. 545-563 Downloads
Björn Hagströmer, Richard Henricsson and Lars L. Nordén
Who Sets the Price of Gold? London or New York pp. 564-586 Downloads
Martin Hauptfleisch, Talis Putnins and Brian Lucey
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period pp. 587-611 Downloads
Stefan Trück and Rafał Weron
Are Hedgers Informed? An Examination of the Price Impact of Large Trades in Illiquid Agricultural Futures Markets pp. 612-622 Downloads
Alex Frino, Andrew Lepone, Vito Mollica and Shunquan Zhang

Volume 36, issue 5, 2016

Information Content of Trading Activity in Precious Metals Futures Markets pp. 421-456 Downloads
Elina Pradkhan
Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification? pp. 457-487 Downloads
Gonzalo Cortazar, Simon Gutierrez and Hector Ortega
Corridor Volatility Risk and Expected Returns pp. 488-505 Downloads
George Dotsis and Nikolaos Vlastakis
Production and Hedging Under Smooth Ambiguity Preferences pp. 506-518 Downloads
Kit Pong Wong

Volume 36, issue 4, 2016

Fundamentals, Derivatives Market Information and Oil Price Volatility pp. 317-344 Downloads
Michel Robe and Jonathan Wallen
Forecasting the LIBOR‐Federal Funds Rate Spread During and After the Financial Crisis pp. 345-374 Downloads
Wassim Dbouk, Ibrahim Jamali and Lawrence Kryzanowski
Spot and Futures Markets Linkages: Does Contango Differ from Backwardation? pp. 375-396 Downloads
Viviana Fernandez
The Impact of a Premium‐Based Tick Size on Equity Option Liquidity pp. 397-417 Downloads
Thanos Verousis, Owain ap Gwilym and Nikolaos Voukelatos

Volume 36, issue 3, 2016

Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach pp. 217-239 Downloads
Massimo Guidolin and Erwin Hansen
Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures pp. 240-266 Downloads
Jing Chen, Yu‐Jane Liu, Lei Lu and Ya Tang
Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures pp. 267-294 Downloads
Yuting Gong and Xu Zheng
Hedge Ratio Prediction with Noisy and Asynchronous High‐Frequency Data pp. 295-314 Downloads
Yu‐Sheng Lai

Volume 36, issue 2, 2016

The Profitability of Volatility Spread Trading on ASX Equity Options pp. 107-126 Downloads
Binh Huu Do, Anthony Foster and Philip Gray
The Return–Volatility Relation in Commodity Futures Markets pp. 127-152 Downloads
Carl Chiarella, Boda Kang, Christina Nikitopoulos-Sklibosios and Thuy‐Duong Tô
Analyzing Oil Futures with a Dynamic Nelson‐Siegel Model pp. 153-173 Downloads
Niels S. GrØnborg and Asger Lunde
Stochastic Skew and Target Volatility Options pp. 174-193 Downloads
Martino Grasselli and Jacinto Marabel Romo
Quantile Estimation of Optimal Hedge Ratio pp. 194-214 Downloads
Donald Lien, Keshab Shrestha and Jing Wu

Volume 36, issue 1, 2016

Foreign Central Bank Activities in US Futures Markets pp. 3-29 Downloads
Raymond P. H. Fishe, Michel Robe and Aaron D. Smith
Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach pp. 30-45 Downloads
Martin T. Bohl, Jeanne Diesteldorf, Christian A. Salm and Bernd Wilfling
Concentrated Production and Conditional Heavy Tails in Commodity Returns pp. 46-65 Downloads
Nicolas Merener
The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime‐Shift Pricing Approach pp. 66-87 Downloads
René Ferland, Geneviève Gauthier and Simon Lalancette
Information Flow, Trading Activity and Commodity Futures Volatility pp. 88-104 Downloads
Adam Clements and Neda Todorova
Page updated 2020-08-10