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There are 24587 results for: content related to: An N -factor Gaussian model of oil futures prices

  1. Intraday price-reversal patterns in the currency futures market: The impact of the introduction of GLOBEX and the euro

    Journal of Futures Markets

    Volume 26, Issue 11, November 2006, Pages: 1089–1130, Joel Rentzler, Kishore Tandon and Susana Yu

    Version of Record online : 22 SEP 2006, DOI: 10.1002/fut.20226

  2. The effect of net positions by type of trader on volatility in foreign currency futures markets

    Journal of Futures Markets

    Volume 22, Issue 5, May 2002, Pages: 427–450, Changyun Wang

    Version of Record online : 7 MAR 2002, DOI: 10.1002/fut.10021

  3. An analysis of the relationship between electricity and natural-gas futures prices

    Journal of Futures Markets

    Volume 22, Issue 2, February 2002, Pages: 95–122, Gary W. Emery and Qingfeng (Wilson) Liu

    Version of Record online : 11 DEC 2001, DOI: 10.1002/fut.2209

  4. Bias and backwardation in natural gas futures prices

    Journal of Futures Markets

    Volume 25, Issue 3, March 2005, Pages: 281–308, Nahid Movassagh and Bagher Modjtahedi

    Version of Record online : 11 JAN 2005, DOI: 10.1002/fut.20151

  5. Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAs

    Journal of Futures Markets

    Volume 29, Issue 11, November 2009, Pages: 1067–1099, Hossein Kazemi and Ying Li

    Version of Record online : 21 JUL 2009, DOI: 10.1002/fut.20392

  6. Price discovery in the treasury futures market

    Journal of Futures Markets

    Volume 27, Issue 11, November 2007, Pages: 1021–1051, Michael W. Brandt, Kenneth A. Kavajecz and Shane E. Underwood

    Version of Record online : 12 SEP 2007, DOI: 10.1002/fut.20275

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    An examination of momentum strategies in commodity futures markets

    Journal of Futures Markets

    Volume 27, Issue 3, March 2007, Pages: 227–256, Qian Shen, Andrew C. Szakmary and Subhash C. Sharma

    Version of Record online : 17 JAN 2007, DOI: 10.1002/fut.20252

  8. Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract

    Journal of Futures Markets

    Volume 21, Issue 12, December 2001, Pages: 1119–1149, Ira G. Kawaller, Paul D. Koch and John E. Peterson

    Version of Record online : 5 OCT 2001, DOI: 10.1002/fut.2202

  9. Time-varying market price of risk in the crude oil futures market

    Journal of Futures Markets

    Volume 31, Issue 8, August 2011, Pages: 779–807, Ramaprasad Bhar and Damien Lee

    Version of Record online : 18 OCT 2010, DOI: 10.1002/fut.20493

  10. What do we learn from the price of crude oil futures?

    Journal of Applied Econometrics

    Volume 25, Issue 4, June/July 2010, Pages: 539–573, Ron Alquist and Lutz Kilian

    Version of Record online : 24 FEB 2010, DOI: 10.1002/jae.1159

  11. Rational expectations and market efficiency in the U.S. live cattle futures market: The role of proprietary information

    Journal of Futures Markets

    Volume 24, Issue 5, May 2004, Pages: 429–451, Matthew P. Schaefer, Robert J. Myers and Stephen R. Koontz

    Version of Record online : 8 MAR 2004, DOI: 10.1002/fut.10124

  12. Options on bond futures: Isolating the risk premium

    Journal of Futures Markets

    Volume 23, Issue 2, February 2003, Pages: 169–215, Robert G. Tompkins

    Version of Record online : 19 DEC 2002, DOI: 10.1002/fut.10058

  13. Estimation and hedging effectiveness of time-varying hedge ratio: Flexible bivariate garch approaches

    Journal of Futures Markets

    Volume 30, Issue 1, January 2010, Pages: 71–99, Sung Yong Park and Sang Young Jei

    Version of Record online : 21 JUL 2009, DOI: 10.1002/fut.20401

  14. Investor Sentiment and Return Predictability in Agricultural Futures Markets

    Journal of Futures Markets

    Volume 21, Issue 10, October 2001, Pages: 929–952, Changyun Wang

    Version of Record online : 3 AUG 2001, DOI: 10.1002/fut.2003

  15. Is volatility risk priced in the KOSPI 200 index options market?

    Journal of Futures Markets

    Volume 29, Issue 9, September 2009, Pages: 797–825, Sun-Joong Yoon and Suk Joon Byun

    Version of Record online : 14 JUL 2009, DOI: 10.1002/fut.20386

  16. Decimalization, ETFs and futures pricing efficiency

    Journal of Futures Markets

    Volume 29, Issue 2, February 2009, Pages: 157–178, Wei-Peng Chen, Robin K. Chou and Huimin Chung

    Version of Record online : 8 DEC 2008, DOI: 10.1002/fut.20357

  17. Spot-futures spread, time-varying correlation, and hedging with currency futures

    Journal of Futures Markets

    Volume 26, Issue 10, October 2006, Pages: 1019–1038, Donald Lien and Li Yang

    Version of Record online : 17 AUG 2006, DOI: 10.1002/fut.20225

  18. A Markov regime switching approach for hedging stock indices

    Journal of Futures Markets

    Volume 24, Issue 7, July 2004, Pages: 649–674, Amir Alizadeh and Nikos Nomikos

    Version of Record online : 5 MAY 2004, DOI: 10.1002/fut.10130

  19. Information content of extended trading for index futures

    Journal of Futures Markets

    Volume 24, Issue 9, September 2004, Pages: 861–886, Louis T. W. Cheng, Li Jiang and Renne W. Y. Ng

    Version of Record online : 7 JUL 2004, DOI: 10.1002/fut.20110

  20. The pricing of electricity futures: Evidence from the European energy exchange

    Journal of Futures Markets

    Volume 27, Issue 4, April 2007, Pages: 387–410, Sascha Wilkens and Jens Wimschulte

    Version of Record online : 13 FEB 2007, DOI: 10.1002/fut.20246