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There are 6317 results for: content related to: Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia

  1. The Return-Implied Volatility Relation for Commodity ETFs

    Journal of Futures Markets

    Volume 34, Issue 3, March 2014, Pages: 261–281, Chaiyuth Padungsaksawasdi and Robert T. Daigler

    Article first published online : 2 JAN 2013, DOI: 10.1002/fut.21592

  2. Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market

    Journal of Futures Markets

    Volume 33, Issue 2, February 2013, Pages: 103–128, Xiaoneng Zhu

    Article first published online : 10 FEB 2012, DOI: 10.1002/fut.21544

  3. Who Makes Markets? Liquidity Providers Versus Algorithmic Traders

    Journal of Futures Markets

    Volume 33, Issue 5, May 2013, Pages: 397–420, Joon Chae, Jaeuk Khil and Eun Jung Lee

    Article first published online : 20 MAR 2012, DOI: 10.1002/fut.21555

  4. The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio

    Journal of Futures Markets

    Volume 33, Issue 9, September 2013, Pages: 868–888, Jean-Francois Carpantier and Besik Samkharadze

    Article first published online : 21 JUN 2012, DOI: 10.1002/fut.21566

  5. A Markowitz Optimization of Commodity Futures Portfolios

    Journal of Futures Markets

    Volume 33, Issue 4, April 2013, Pages: 343–368, Leyuan You and Robert T. Daigler

    Article first published online : 27 MAR 2012, DOI: 10.1002/fut.21553

  6. Are Derivative Warrants Overpriced?

    Journal of Futures Markets

    Volume 32, Issue 12, December 2012, Pages: 1144–1170, Joseph K. W. Fung and Ted Z. X. Zeng

    Article first published online : 16 AUG 2012, DOI: 10.1002/fut.21578

  7. The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks

    Journal of Futures Markets

    Volume 34, Issue 1, January 2014, Pages: 93–101, Lin Gao and Lu Liu

    Article first published online : 7 NOV 2012, DOI: 10.1002/fut.21587

  8. Price and Volume Effects of Exchange-Traded Barrier Options: Evidence from Callable Bull/Bear Contracts

    Journal of Futures Markets

    Adrian C. H. Lei

    Article first published online : 18 AUG 2014, DOI: 10.1002/fut.21689

  9. The Term Structure of VIX

    Journal of Futures Markets

    Volume 32, Issue 12, December 2012, Pages: 1092–1123, Xingguo Luo and Jin E. Zhang

    Article first published online : 16 AUG 2012, DOI: 10.1002/fut.21572

  10. Investigating the Information Content of the Model-Free Volatility Expectation by Monte Carlo Methods

    Journal of Futures Markets

    Volume 33, Issue 11, November 2013, Pages: 1071–1095, Yuanyuan Zhang, Stephen J. Taylor and Lili Wang

    Article first published online : 25 JUN 2012, DOI: 10.1002/fut.21570

  11. Can the Indicative Price System Mitigate Expiration-Day Effects?

    Journal of Futures Markets

    Volume 33, Issue 10, October 2013, Pages: 891–910, J.B. Chay, Sol Kim and Hyeuk-Sun Ryu

    Article first published online : 13 JUL 2012, DOI: 10.1002/fut.21574

  12. Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes

    Journal of Futures Markets

    Volume 34, Issue 10, October 2014, Pages: 957–979, Lihui Tian, Guanying Wang, Xingchun Wang and Yongjin Wang

    Article first published online : 7 JUN 2013, DOI: 10.1002/fut.21629

  13. Option Valuation Under a Double Regime-Switching Model

    Journal of Futures Markets

    Volume 34, Issue 5, May 2014, Pages: 451–478, Yang Shen, Kun Fan and Tak Kuen Siu

    Article first published online : 28 MAR 2013, DOI: 10.1002/fut.21613

  14. The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components

    Journal of Futures Markets

    Volume 34, Issue 8, August 2014, Pages: 788–806, Biao Guo, Qian Han and Bin Zhao

    Article first published online : 19 FEB 2014, DOI: 10.1002/fut.21653

  15. Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets

    Journal of Futures Markets

    Volume 33, Issue 11, November 2013, Pages: 1024–1045, Joakim Westerlund and Paresh Narayan

    Article first published online : 10 JUN 2013, DOI: 10.1002/fut.21624

  16. A Term Structure Model for VIX Futures

    Journal of Futures Markets

    Volume 33, Issue 5, May 2013, Pages: 421–442, Bujar Huskaj and Marcus Nossman

    Article first published online : 15 MAR 2012, DOI: 10.1002/fut.21550

  17. Pricing Multiasset Cross-Currency Options

    Journal of Futures Markets

    Volume 34, Issue 1, January 2014, Pages: 1–19, Kenichiro Shiraya and Akihiko Takahashi

    Article first published online : 21 DEC 2012, DOI: 10.1002/fut.21590

  18. Stock-Versus-Flow Distinctions, Information, and the Role of Inventory

    Journal of Futures Markets

    Bahram Adrangi, Arjun Chatrath, Rohan A. Christie-David, Hong Miao and Sanjay Ramchander

    Article first published online : 27 JUN 2014, DOI: 10.1002/fut.21686

  19. A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio

    Journal of Futures Markets

    Volume 34, Issue 7, July 2014, Pages: 658–675, Massimiliano Barbi and Silvia Romagnoli

    Article first published online : 4 APR 2013, DOI: 10.1002/fut.21617

  20. Liquidity Considerations in Estimating Implied Volatility

    Journal of Futures Markets

    Volume 32, Issue 8, August 2012, Pages: 714–741, Rohini Grover and Susan Thomas

    Article first published online : 10 FEB 2012, DOI: 10.1002/fut.21543