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There are 17366 results for: content related to: Conditional Volatility and the GARCH Option Pricing Model with Non-Normal Innovations

  1. Quantile Regression Analysis of the Asymmetric Return-Volatility Relation

    Journal of Futures Markets

    Volume 33, Issue 3, March 2013, Pages: 235–265, Ihsan Ullah Badshah

    Article first published online : 27 MAR 2012, DOI: 10.1002/fut.21551

  2. 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

  3. 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

  4. A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges

    Journal of Futures Markets

    Volume 33, Issue 1, January 2013, Pages: 77–102, Eduardo Rossi and Paolo Santucci de Magistris

    Article first published online : 30 NOV 2011, DOI: 10.1002/fut.20556

  5. 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

  6. 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

  7. 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

  8. A Closer Look at Barrier Exchange Options

    Journal of Futures Markets

    Volume 33, Issue 1, January 2013, Pages: 29–43, Christine A. Brown, John C. Handley and Ken Palmer

    Article first published online : 23 OCT 2011, DOI: 10.1002/fut.20554

  9. Time-varying jump risk premia in stock index futures returns

    Journal of Futures Markets

    Volume 32, Issue 7, July 2012, Pages: 639–659, Wing Hong Chan and Liling Feng

    Article first published online : 8 JUL 2011, DOI: 10.1002/fut.20540

  10. Canonical Distribution, Implied Binomial Tree, and the Pricing of American Options

    Journal of Futures Markets

    Volume 33, Issue 2, February 2013, Pages: 183–198, Qiang Liu and Shuxin Guo

    Article first published online : 24 OCT 2011, DOI: 10.1002/fut.20555

  11. Options on federal funds futures and interest rate volatility

    Journal of Futures Markets

    Volume 32, Issue 4, April 2012, Pages: 330–359, Jahangir Sultan

    Article first published online : 14 APR 2011, DOI: 10.1002/fut.20524

  12. 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

  13. A random walk down the options market

    Journal of Futures Markets

    Volume 32, Issue 6, June 2012, Pages: 505–535, George J. Jiang and Yisong S. Tian

    Article first published online : 27 APR 2011, DOI: 10.1002/fut.20528

  14. An empirical analysis of dynamic multiscale hedging using wavelet decomposition

    Journal of Futures Markets

    Volume 32, Issue 3, March 2012, Pages: 272–299, Thomas Conlon and John Cotter

    Article first published online : 7 MAR 2011, DOI: 10.1002/fut.20519

  15. Multivariate downside risk: Normal versus Variance Gamma

    Journal of Futures Markets

    Volume 32, Issue 5, May 2012, Pages: 431–458, Martin Wallmeier and Martin Diethelm

    Article first published online : 3 AUG 2011, DOI: 10.1002/fut.20539

  16. 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

  17. The relationship between currency carry trades and U.S. stocks

    Journal of Futures Markets

    Volume 32, Issue 3, March 2012, Pages: 252–271, Yiuman Tse and Lin Zhao

    Article first published online : 2 MAR 2011, DOI: 10.1002/fut.20516

  18. 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

  19. Equity volatility, bond yields, and yield spreads

    Journal of Futures Markets

    Volume 32, Issue 5, May 2012, Pages: 480–503, Daniel Jubinski and Amy F. Lipton

    Article first published online : 26 MAY 2011, DOI: 10.1002/fut.20521

  20. 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