Working Papers

From Columbia - Center for Futures Markets
COLUMBIA UNIVERSITY, CENTER FOR THE STUDY OF FUTURE MARKETS, BUSINESS SCHOOL, MORNING SIDE HEIGHTS NY NEW YORK 10027 U.S.A...
Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

1991: Time Varying Distributions and Dynamic Hedging with Foreign Currency Futures

K.F. Kroner

1991: The Electronic Order Book and Automated Trade Execution in the Furure Market

J. Wang and Ian Domowitz

1991: Is Normal Backwardation Normal?

R.W. Kolb

1991: Trading Performance in Forward Markets: A Micro-Data Test of Normal Backwardation

Gordon Phillips and R. Weiner

1991: The Price Adjustment Process and Efficiency of Grain Futures Markets Implied by return Series of Various Time Intervals

Sarahelen Thompson and S.M. Liu

1991: Taxing Transactions in Futures Markets: Objectives and Effects

F.R. Edwards

1991: Equally Open and Competitive: Regulatory Approval of Automated Trade Execution in the Future Markets

Ian Domowitz

1991: A NOTE ON THE EFFECT OF ALTERNATIVE RETURN MEASURES IN FINANCIAL FUTURES RESEARCH

T. Schneeweis and U. Savanayana

1991: DEFAULT RISK AND THE DIFFERENCE BETWEEN FORWARD AND FUTURES MARKETS: AN EMPIRICAL CASE-STUDY

R.J. Weiner

1990: MODELLING FINANCIAL FUTURES MISPRICING USING SELF-EXCITING THRESOLD AUTOREGRESSIVE PROCESSES

P.F. Pope and P.K. Yadav

1990: FUTURES MARKETS AS HEDGING MARKETS AND THE RELATIVE EFFECTS OF SPECULATION ON HEDGING EFFECTIVENESS

T.O. Meyer

1990: ON UNIVERSAL CURRENCY HEDGES

M. Adler and B. Prasad

1990: PORTFOLIO ANALYSIS OF STOCKS, BONDS AND MANAGED FUTURES USING COMPROMISE STOCHASTICDOMINANCE

D. Fishmar and C. Peters

1990: FORECASTING THE EFFECTS OF NEWS ON CME LIVE HOG FUTURES PRICES

Colin Carter and C. Galopin

1990: ON THE USE OF THE PORTOFOLIO THEORY TO HEDGE OPTIMALLY USING FUTURES

K-C. Chee

1990: RISK PREMIA AND PRICE VOLATILITY IN FUTURES MARKETS

G.S. Maddala and J. Yoo

1990: "CHAOS" IN FUTURES MARKETS? A NONLINEAR DYNAMICAL ANALYSIS

S.C. Blanck

1990: THE INTRADAY ANALYSIS OF LIQUIDITY AND PRICE VOLATILITY IN THE S&P 500 INDEX FUTURES MARKET

G.H.K. Wang, R.J. Michalski, E.J. Mariarty and J.V. Jourdan

1990: THE STOCHASTIC BEHAVIOR OF FORWARD CONTARCT PREMIUMS FOR CORN AND SOYBEANS

D.D. Johnson

1989: COMMENTARY: VOLATILITY, PRICE RESOLUTION, AND THE EFFECTIVENESS OF PRICE LIMITS

B.N. Lehmann

1989: COMMENTARY: VOLATILITY, PRICES RESOLUTION, AND EFFECTIVENESS OF PRICE LIMITS

Merton Miller

1989: VOLATILITY, PRICE RESOLUTION, AND THE EFFECTIVENESS OF PRICE LIMITS

C.K. Ma, Ramesh Rao and R.S. Sears

1989: MARGIN REQUIREMENTS AND STOCK VOLATILITY

G. Schwert

1989: COMMENTARY: STOCK MARKET MARGIN REQUIREMENTS AND VOLATILITY

Gikas Hardouvelis

1989: STOCK MARKET MARGIN REQUIREMENTS AND VOLATILITY: IMPLICATIONS FOR REGULATION OF STOCK INDEX FUTURES

Michael Salinger

1989: COMMENTARY: USING TAX POLICY TO CURB SPECULATIVE SHORT-TERM TRADING

Stephen Ross

1989: USING TAX POLICY TO CURB SPECULATIVE SHORT-TERM TRADING

Joseph Stiglitz

1989: WHEN FINANCIAL MARKETS WORK TOO WELL: A CAUTIOUS CASE FOR A SECURITIES TRANSACTIONS TAX

L.H. Summers and V.P. Summers

1989: COMMENTARY: PRICE VOLATILITY, INTERNATIONAL MARKET LINK, AND THEIR IMPLICATIONS FOR REGULATORY POLICY

D.N. Nelson

1989: PRICE VOLATILITY, INTERNATIONAL MARKET LINKS, AND THEIR IMPLICATIONS FOR REGULATORY POLICIES

Richard Roll

1989: PROLOGUE TO CONFERENCE ON REGULATORY REFORME OF STOCK AND FUTURES MARKETS

F.R. Edwards

1989: MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE

Richard Baillie and Robert Myers

1989: THE OPTIMAL DYNAMIC HEDGING POSITIONS FOR GRAIN PRODUCERS BEFORE HARVEST: A CASE STUDY

Steve Martinez and Kelly Zering

1989: COSTOMER RISK AND THE REGULATION OF FUTURES COMMISSION MARCHANTS

J.V. Jordan and J.E. Morgan

1989: TRADING MECHANISM, SPECULATIVE BEHAVIOR OF INVESTORS, AND THE VOLATILITY OF PRICES: SPOT VERSUS FUTURES

H.Y. Park

1989: REGULATORY REFORM OF SECURITIES AND FUTURE MARKETS: TWO YEARS AFTER THE CRASH

F.R. Edwards

1989: FUTURES TRADING, TRANSACTION COSTS, AND STOCK MARKET VOLATILITY

B Brorsen

1989: AN EXAMINATION OF DELIVERIES IN THE TREASURY BOND FUTURES CONTRACT

K.P. Labarge

1989: DOES THE WILD CARD OPTION REALLY HAVE VALUE?

K.P. Labarge

1989: RISK PREMIA IN FUTURES AND ASSET MARKETS

Hendrik Bessembinder

1989: NONLINEARITIES AND CHAOTIC EFFECTS IN OPTIONS PRICES

R. Savit

1989: VALUATION OF SWAPS

S. Sundaresan

1988: A FURTHER EXAMINATION OF THE RISK/RETURN CHARACTERISTICS OF PORTFOLIOS COMBINING COMMODITY FUTURES CONTRACTS WITH COMMON STOCKS

A.F. Herbst and J.P. McCormack

1988: COMMODITY POOL PERFORMANCE:IS THE INFORMATION CONTAINED IN POOL PROSPECTUSES USEFUL?

F.R. Edwards and C. Ma

1988: REQUIEM FOR A MARKET: AN ANALYSIS OF THE RISE AND FALL OF A FINANCIAL FUTURES CONTRACT

E.T. Johnston and J.J. McConnell

1988: MARGIN REQUIREMENTS AND THE DEMAND FOR FUTURES CONTRACTS

L. Shanker

1988: SPECULATION AND PRICE VOLATILITY

B.G. Hong

1988: SHORT-SALE RESTRICTIONS, ASSET PRICE VOLATILITY AND SOCIAL WELFARE

A. Kamara and A.F. Siegel

1988: FORECASTING SFFICIENCY OF ENERGY FUTURES PRICES

C.W. Ma

1988: INTEGRATION AMONG CASH AND FUTURES PRICES IN THE COPPER MARKET

C. Budge

1988: LIMIT MOVES AND PRICE RESOLUTION: THE CASE OF THE TREASURY BOND FUTURES MARKETS

C.K. Ma, Ramesh Rao and R.S. Sears

1988: POLICIES TO CURB STOCK MARKET VOLATILITY

F.R. Edwards

1988: EXPLORING THE SHARE OF PROBABILITY DENSITIES FOR FUTURES PRICE CHANGES

R.D. Nelson

1988: THE TERM STRUCTURE OF INTEREST RATES: EMPIRICAL EVIDENCE

M.R. Gibbons and Krishna Ramaswamy

1988: THE SIMPLE PRICE DYNAMICS OF PORTFOLIO INSURANCE AND PROGRAM TRADING

R.W. Anderson and M. Tutuncu

1988: DETERMINANTS OF LIQUIDITY COSTS IN COMMODITY FURURES MARKETS

Sarahelen Thompson and Mark Waller

1988: BASIS EXEPECTATIONS AND SOYBEAN HEDGING EFFECTIVENESS

R.J. Hauser, Philip Garcia and A.D. Tumblin

1988: THE ORGANIZATION AND OBJECTIVES OF U.S. FUTURES EXCHANGES

S. Chambers and Colin Carter

1988: TRADING STRUCTURES AND ASSET PRICING: EVIDENCE FROM THE TREASURY BILL MARKETS

A. Kamara