Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 36, issue 12, 2016

Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models pp. 1127-1163

Dimos S. Kambouroudis, David G. McMillan and Katerina Tsakou

An International Comparison of Implied, Realized, and GARCH Volatility Forecasts pp. 1164-1193

Apostolos Kourtis, Raphael Markellos and Lazaros Symeonidis

Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion pp. 1194-1209

Sofiane Aboura and Didier Maillard

Monetary Policy and Stock Prices: Does the “Fed Put” Work When It Is Most Needed? pp. 1210-1230

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

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

Xi Fu, Matteo Sandri and Mark Shackleton

Empirical Properties, Information Flow, and Trading Strategies of China's Soybean Crush Spread pp. 1057-1075

Qingfeng Wilson Liu and Hui He Sono

Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation pp. 1076-1107

Suk-Joong Kim

Estimation of Market Information Shares: A Comparison pp. 1108-1124

Donald Lien and Zijun Wang

Volume 36, issue 10, 2016

Futures Price Response to Crop Reports in Grain Markets pp. 923-942

Fabio Mattos and Rodrigo Silveira

Risk‐Free Rates and Variance Futures Prices pp. 943-967

Leonidas Rompolis

Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches pp. 968-991

Rui Fan, Haiqi Li and Sung Y. Park

An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures pp. 992-1013

Gert Elaut, Péter Erdős and John Sjödin

Fat‐Finger Trade and Market Quality: The First Evidence From China pp. 1014-1025

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

Kyoung‐Kuk Kim and Dong‐Young Lim

Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin? pp. 851-869

Philipp Adämmer, Martin T. Bohl and Christian Gross

On the Intraday Relation Between the VIX and its Futures pp. 870-886

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

Lung‐Fu Chang, Jia‐Hau Guo and Mao‐Wei Hung

Heston‐Type Stochastic Volatility with a Markov Switching Regime pp. 902-919

Robert J. Elliott, Katsumasa Nishide and Carlton‐James U. Osakwe

Volume 36, issue 8, 2016

Editor's Note pp. 721-721

Robert I. Webb

Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices? pp. 722-744

Jangkoo Kang and Soonhee Lee

CDS Inferred Stock Volatility pp. 745-757

Biao Guo

Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets pp. 758-792

Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen

Pricing American Put Options Using the Mean Value Theorem pp. 793-815

Humphrey K.K. Tung

Volume 36, issue 7, 2016

Tests on the Monotonicity Properties of KOSPI 200 Options Prices pp. 625-646

Myounghwa Sim, Doojin Ryu and Heejin Yang

To Squeeze or Not to Squeeze? That Is No Longer the Question pp. 647-670

Ramzi Ben‐Abdallah and Michèle Breton

The Prevalence, Sources, and Effects of Herding pp. 671-694

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

Jiadong Tong, Zijun Wang and Jian Yang

Volume 36, issue 6, 2016

Editor's Note pp. 521-521

Robert I. Webb

Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics pp. 522-544

Annastiina Silvennoinen and Susan Thorp

Components of the Bid–Ask Spread and Variance: A Unified Approach pp. 545-563

Björn Hagströmer, Richard Henricsson and Lars L. Nordén

Who Sets the Price of Gold? London or New York pp. 564-586

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

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

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

Elina Pradkhan

Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification? pp. 457-487

Gonzalo Cortazar, Simon Gutierrez and Hector Ortega

Corridor Volatility Risk and Expected Returns pp. 488-505

George Dotsis and Nikolaos Vlastakis

Production and Hedging Under Smooth Ambiguity Preferences pp. 506-518

Kit Pong Wong

Volume 36, issue 4, 2016

Fundamentals, Derivatives Market Information and Oil Price Volatility pp. 317-344

Michel Robe and Jonathan Wallen

Forecasting the LIBOR‐Federal Funds Rate Spread During and After the Financial Crisis pp. 345-374

Wassim Dbouk, Ibrahim Jamali and Lawrence Kryzanowski

Spot and Futures Markets Linkages: Does Contango Differ from Backwardation? pp. 375-396

Viviana Fernandez

The Impact of a Premium‐Based Tick Size on Equity Option Liquidity pp. 397-417

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

Massimo Guidolin and Erwin Hansen

Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures pp. 240-266

Jing Chen, Yu‐Jane Liu, Lei Lu and Ya Tang

Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures pp. 267-294

Yuting Gong and Xu Zheng

Hedge Ratio Prediction with Noisy and Asynchronous High‐Frequency Data pp. 295-314

Yu‐Sheng Lai

Volume 36, issue 2, 2016

The Profitability of Volatility Spread Trading on ASX Equity Options pp. 107-126

Binh Huu Do, Anthony Foster and Philip Gray

The Return–Volatility Relation in Commodity Futures Markets pp. 127-152

Carl Chiarella, Boda Kang, Christina Nikitopoulos-Sklibosios and Thuy‐Duong Tô

Analyzing Oil Futures with a Dynamic Nelson‐Siegel Model pp. 153-173

Niels S. GrØnborg and Asger Lunde

Stochastic Skew and Target Volatility Options pp. 174-193

Martino Grasselli and Jacinto Marabel Romo

Quantile Estimation of Optimal Hedge Ratio pp. 194-214

Donald Lien, Keshab Shrestha and Jing Wu

Volume 36, issue 1, 2016

Foreign Central Bank Activities in US Futures Markets pp. 3-29

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

Martin T. Bohl, Jeanne Diesteldorf, Christian A. Salm and Bernd Wilfling

Concentrated Production and Conditional Heavy Tails in Commodity Returns pp. 46-65

Nicolas Merener

The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime‐Shift Pricing Approach pp. 66-87

René Ferland, Geneviève Gauthier and Simon Lalancette

Information Flow, Trading Activity and Commodity Futures Volatility pp. 88-104

Adam Clements and Neda Todorova