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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 34, issue 12, 2014

Monte Carlo Simulation of the CGMY Process and Option Pricing pp. 1095-1121 Downloads
Laura Ballotta and Ioannis Kyriakou
Deviations from Put–Call Parity and Volatility Prediction: Evidence from the Taiwan Index Option Market pp. 1122-1145 Downloads
Chin‐Ho Chen, Huimin Chung and Shu‐Fang Yuan
Stochastic Skew in the Interest Rate Cap Market pp. 1146-1169 Downloads
Kwai S. Leung, Hon Y. Ng and Hoi Y. Wong
Pricing Bounds on Barrier Options pp. 1170-1184 Downloads
Yukihiro Tsuzuki
A Stochastic Dynamic Program for Valuing Options on Futures pp. 1185-1201 Downloads
Mohamed A. Ayadi, Hatem Ben‐Ameur, Tymur Kirillov and Robert Welch

Volume 34, issue 11, 2014

Fixing a Leaky Fixing: Short‐Term Market Reactions to the London PM Gold Price Fixing pp. 1003-1039 Downloads
Andrew Caminschi and Richard Heaney
High Moment Variations and Their Application pp. 1040-1061 Downloads
Geon Ho Choe and Kyungsub Lee
The Pattern of Price Linkages Among Commodities pp. 1062-1076 Downloads
Jeffrey Dorfman and Berna Karali
Volatility Forecasts: Do Volatility Estimators and Evaluation Methods Matter? pp. 1077-1094 Downloads
I‐Ming Jiang, Jui‐Cheng Hung and Chuan‐San Wang

Volume 34, issue 10, 2014

Noisy Inventory Announcements and Energy Prices pp. 911-933 Downloads
Marketa W. Halova, Alexander Kurov and Oleg Kucher
Volatility Discovery Across Stock Limit Order Book and Options Markets pp. 934-956 Downloads
Qin Wang
Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes pp. 957-979 Downloads
Lihui Tian, Guanying Wang, Xingchun Wang and Yongjin Wang
S&P 500 Index‐Futures Price Jumps and Macroeconomic News pp. 980-1001 Downloads
Hong Miao, Sanjay Ramchander and J. Kenton Zumwalt

Volume 34, issue 9, 2014

Multiscale Stochastic Volatility with the Hull–White Rate of Interest pp. 819-837 Downloads
Jeong‐Hoon Kim, Ji‐Hun Yoon and Seok‐Hyon Yu
Do Option Strategy Traders Have a Disadvantage? Evidence from the Australian Options Market pp. 838-852 Downloads
Anthony Flint, Andrew Lepone and Jin Young Yang
Price Discovery in Futures and Options Markets pp. 853-867 Downloads
Naomi Boyd and Peter Locke
Expiration‐Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches pp. 868-882 Downloads
Caihong Xu
Order Splitting Behavior by Different Types of Traders in the Taiwan Index Futures Markets Under Diverse Market Conditions pp. 883-910 Downloads
Yun‐Yi Wang

Volume 34, issue 8, 2014

Editor's Note pp. 703-703 Downloads
Robert I. Webb
Hedging Industrial Metals With Stochastic Volatility Models pp. 704-730 Downloads
Qingfu Liu, Michael T. Chng and Dongxia Xu
Trading Patience, Order Flows, and Liquidity in an Index Futures Market pp. 731-756 Downloads
Caihong Xu
Causes and Implications of Shifts in Financial Participation in Commodity Markets pp. 757-787 Downloads
Bassam Fattouh and Lavan Mahadeva
The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components pp. 788-806 Downloads
Biao Guo, Qian Han and Bin Zhao
Commonality in Liquidity Across International Borders: Evidence from Futures Markets pp. 807-818 Downloads
Alex Frino, Vito Mollica and Zeyang Zhou

Volume 34, issue 7, 2014

The Predictive Content of Commodity Futures pp. 607-636 Downloads
Menzie Chinn and Olivier Coibion
Options on Troubled Stock pp. 637-657 Downloads
António Câmara, Ivilina Popova and Betty Simkins
A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio pp. 658-675 Downloads
Massimiliano Barbi and Silvia Romagnoli
Incremental Value of a Futures Hedge Using Realized Ranges pp. 676-689 Downloads
Her‐Jiun Sheu and Yu‐Sheng Lai
Static Hedging with Traffic Light Options pp. 690-702 Downloads
Michael Schmutz and Thomas Zürcher

Volume 34, issue 6, 2014

Editor's Note pp. 497-497 Downloads
Robert I. Webb
Option‐Implied Preference with Model Uncertainty pp. 498-515 Downloads
Byung Jin Kang, Tong Suk Kim and Hyo Seob Lee
How Informed Investors Take Advantage of Negative Information in Options and Stock Markets pp. 516-547 Downloads
Jangkoo Kang and Hyoung‐Jin Park
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit pp. 548-579 Downloads
José Da Fonseca and Riadh Zaatour
A Random Field LIBOR Market Model pp. 580-606 Downloads
Tao L. Wu and Shengqiang Xu

Volume 34, issue 5, 2014

Exercise to Lose Money? Irrational Exercise Behavior from the Chinese Warrants Market pp. 399-419 Downloads
Li Liao, Zhisheng Li, Weiqiang Zhang and Ning Zhu
Do Seasonal Tropical Storm Forecasts Affect Crack Spread Prices? pp. 420-433 Downloads
Jason Fink and Kristin Fink
Municipal Bonds and Monetary Policy: Evidence from the Fed Funds Futures Market pp. 434-450 Downloads
Carlo Rosa
Option Valuation Under a Double Regime‐Switching Model pp. 451-478 Downloads
Yang Shen, Kun Fan and Tak Kuen Siu
A Filtering Process to Remove the Stochastic Component from Intraday Seasonal Volatility pp. 479-495 Downloads
Jang Hyung Cho and Robert T. Daigler

Volume 34, issue 4, 2014

Closing Call Auctions at the Index Futures Market pp. 299-319 Downloads
Björn Hagströmer and Lars Nordén
Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options pp. 320-345 Downloads
Jamie Alcock and Godfrey Smith
Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations pp. 346-373 Downloads
Jukka Sihvonen and Sami Vähämaa
Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approach pp. 374-398 Downloads
Enrique Salvador and Vicent Aragó

Volume 34, issue 3, 2014

Price Discovery in Interrelated Markets pp. 203-219 Downloads
Donald Lien and Keshab Shrestha
Recursive Formula for Arithmetic Asian Option Prices pp. 220-234 Downloads
Kyungsub Lee
A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis pp. 235-260 Downloads
Adam Schmitz, Zhiguang Wang and Jung‐Han Kimn
The Return‐Implied Volatility Relation for Commodity ETFs pp. 261-281 Downloads
Chaiyuth Padungsaksawasdi and Robert T. Daigler
Index Futures Trading and Stock Market Volatility in China: A Difference‐in‐Difference Approach pp. 282-297 Downloads
Shiqing Xie and Taiping Mo

Volume 34, issue 2, 2014

The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts pp. 103-123 Downloads
David Ding, Yiuman Tse and Michael R. Williams
Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single‐Factor Stochastic Volatility Models pp. 124-144 Downloads
Jacinto Marabel Romo
Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures pp. 145-172 Downloads
Junmao Chiu, Huimin Chung and George H. K. Wang
Optimal Futures Hedging Under Multichain Markov Regime Switching pp. 173-202 Downloads
Her‐Jiun Sheu and Hsiang‐Tai Lee

Volume 34, issue 1, 2014

Pricing Multiasset Cross‐Currency Options pp. 1-19 Downloads
Kenichiro Shiraya and Akihiko Takahashi
The Impact of Co‐Location of Securities Exchanges' and Traders' Computer Servers on Market Liquidity pp. 20-33 Downloads
Alex Frino, Vito Mollica and Robert I. Webb
Aggregate Volatility and Market Jump Risk: An Option‐Based Explanation to Size and Value Premia pp. 34-55 Downloads
Yakup Arisoy
The Relation Between Market Liquidity and Anonymity in the Presence of Tick Size Constraints pp. 56-73 Downloads
Christine Brown, Astrophel Kim Choo and Sean Pinder
Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX pp. 74-92 Downloads
Robert T. Daigler, Ann Marie Hibbert and Ivelina Pavlova
The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks pp. 93-101 Downloads
Lin Gao and Lu Liu
Page updated 2020-08-10