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There are 4461 results for: content related to: The impact of a pro-rata algorithm on liquidity: Evidence from the NYSE LIFFE

  1. The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated

    Journal of Futures Markets

    Volume 32, Issue 9, September 2012, Pages: 837–876, Ted Juhl, Ira G. Kawaller and Paul D. Koch

    Article first published online : 16 SEP 2011, DOI: 10.1002/fut.20544

  2. A cointegrated commodity pricing model

    Journal of Futures Markets

    Volume 32, Issue 11, November 2012, Pages: 995–1033, Katsushi Nakajima and Kazuhiko Ohashi

    Article first published online : 11 NOV 2011, DOI: 10.1002/fut.20553

  3. Variance risk premiums and predictive power of alternative forward variances in the corn market

    Journal of Futures Markets

    Volume 32, Issue 6, June 2012, Pages: 587–608, Zhiguang Wang, Scott W. Fausti and Bashir A. Qasmi

    Article first published online : 15 APR 2011, DOI: 10.1002/fut.20527

  4. Does model fit matter for hedging? Evidence from FTSE 100 options

    Journal of Futures Markets

    Volume 32, Issue 7, July 2012, Pages: 609–638, Carol Alexander and Andreas Kaeck

    Article first published online : 22 JUN 2011, DOI: 10.1002/fut.20537

  5. Hedging under model misspecification: All risk factors are equal, but some are more equal than others …

    Journal of Futures Markets

    Volume 32, Issue 5, May 2012, Pages: 397–430, Nicole Branger, Eva Krautheim, Christian Schlag and Norman Seeger

    Article first published online : 10 MAY 2011, DOI: 10.1002/fut.20530

  6. What risks do corporate bond put features insure against?

    Journal of Futures Markets

    Volume 32, Issue 11, November 2012, Pages: 1060–1090, Redouane Elkamhi, Jan Ericsson and Hao Wang

    Article first published online : 6 SEP 2011, DOI: 10.1002/fut.20546

  7. Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?

    Journal of Futures Markets

    Volume 32, Issue 7, July 2012, Pages: 683–711, Wei-Peng Chen and Huimin Chung

    Article first published online : 5 JUL 2011, DOI: 10.1002/fut.20538

  8. Types of liquidity and limits to arbitrage—the case of credit default swaps

    Journal of Futures Markets

    Volume 32, Issue 4, April 2012, Pages: 301–329, Karan Bhanot and Liang Guo

    Article first published online : 11 MAR 2011, DOI: 10.1002/fut.20518

  9. The role of the temporary component in spot prices in the revision of expected future spot prices: Evidence from index futures quotes

    Journal of Futures Markets

    Volume 32, Issue 3, March 2012, Pages: 230–251, Hyung Cheol Kang, Dong Wook Lee, Eun Jung Lee and Kyung Suh Park

    Article first published online : 11 MAR 2011, DOI: 10.1002/fut.20513

  10. Production and Anticipatory Hedging under Time-Inconsistent Preferences

    Journal of Futures Markets

    Donald Lien and Chia-Feng (Jeffrey) Yu

    Article first published online : 24 OCT 2014, DOI: 10.1002/fut.21697

  11. Depth Characteristics for the Electronic Futures Limit Order Book

    Journal of Futures Markets

    Alexandre Aidov and Robert T. Daigler

    Article first published online : 6 JAN 2015, DOI: 10.1002/fut.21706

  12. Conditional Volatility and the GARCH Option Pricing Model with Non-Normal Innovations

    Journal of Futures Markets

    Volume 33, Issue 1, January 2013, Pages: 1–28, Suk Joon Byun and Byungsun Min

    Article first published online : 21 OCT 2011, DOI: 10.1002/fut.20551

  13. Does the price of crude oil respond to macroeconomic news?

    Journal of Futures Markets

    Volume 32, Issue 6, June 2012, Pages: 536–559, Arjun Chatrath, Hong Miao and Sanjay Ramchander

    Article first published online : 1 JUN 2011, DOI: 10.1002/fut.20525

  14. Optimal hedging with higher moments

    Journal of Futures Markets

    Volume 32, Issue 10, October 2012, Pages: 909–944, Chris Brooks, Alešs Černý and Joëlle Miffre

    Article first published online : 15 JUL 2011, DOI: 10.1002/fut.20542

  15. The Quanto Adjustment and the Smile

    Journal of Futures Markets

    Volume 32, Issue 9, September 2012, Pages: 877–908, Jacinto Marabel Romo

    Article first published online : 6 SEP 2011, DOI: 10.1002/fut.20545

  16. Regime-dependent smile-adjusted delta hedging

    Journal of Futures Markets

    Volume 32, Issue 3, March 2012, Pages: 203–229, Carol Alexander, Alexander Rubinov, Markus Kalepky and Stamatis Leontsinis

    Article first published online : 9 MAR 2011, DOI: 10.1002/fut.20517

  17. Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market

    Journal of Futures Markets

    Volume 32, Issue 4, April 2012, Pages: 360–388, Youngsoo Choi and SoonChan Ok

    Article first published online : 10 MAY 2011, DOI: 10.1002/fut.20522

  18. Commonality in trading activity and futures-cash basis: Evidence from the Taiwan futures and stock markets

    Journal of Futures Markets

    Volume 32, Issue 10, October 2012, Pages: 964–994, Hsiu-Chuan Lee, Cheng-Yi Chien and Tzu-Hsiang Liao

    Article first published online : 8 JUL 2011, DOI: 10.1002/fut.20541

  19. A comparative study of range-based stock return volatility estimators for the German market

    Journal of Futures Markets

    Volume 32, Issue 6, June 2012, Pages: 560–586, Neda Todorova and Sven Husmann

    Article first published online : 14 JUN 2011, DOI: 10.1002/fut.20534

  20. Fitting and testing for the implied volatility curve using parametric models

    Journal of Futures Markets

    Volume 32, Issue 12, December 2012, Pages: 1171–1191, Chuang-Chang Chang, Pin-Huang Chou and Tzu-Hsiang Liao

    Article first published online : 16 SEP 2011, DOI: 10.1002/fut.20549