Search Results

There are 5221 results for: content related to: Futures Market Volatility: What Has Changed?

  1. Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect

    International Review of Finance

    Volume 14, Issue 3, September 2014, Pages: 345–392, Ke Yang and Langnan Chen

    Version of Record online : 10 APR 2014, DOI: 10.1111/irfi.12030

  2. 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

    Version of Record online : 14 JUN 2011, DOI: 10.1002/fut.20534

  3. The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market

    Journal of Futures Markets

    Volume 35, Issue 5, May 2015, Pages: 399–425, Robin K. Chou, George H. K. Wang and Yun-Yi Wang

    Version of Record online : 6 APR 2014, DOI: 10.1002/fut.21665

  4. An International Comparison of Implied, Realized, and GARCH Volatility Forecasts

    Journal of Futures Markets

    Volume 36, Issue 12, December 2016, Pages: 1164–1193, Apostolos Kourtis, Raphael N. Markellos and Lazaros Symeonidis

    Version of Record online : 20 MAY 2016, DOI: 10.1002/fut.21792

  5. The Term Structure of VIX

    Journal of Futures Markets

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

    Version of Record online : 16 AUG 2012, DOI: 10.1002/fut.21572

  6. Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures

    OPEC Energy Review

    Volume 38, Issue 4, December 2014, Pages: 373–397, Erik Haugom, Steinar Veka, Gudbrand Lien and Sjur Westgaard

    Version of Record online : 30 DEC 2014, DOI: 10.1111/opec.12024

  7. Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach

    Journal of Futures Markets

    Zhuo Huang, Tianyi Wang and Peter Reinhard Hansen

    Version of Record online : 18 NOV 2016, DOI: 10.1002/fut.21821

  8. Time Pro-rata Matching: Evidence of a Change in LIFFE STIR Futures

    Journal of Futures Markets

    Volume 35, Issue 6, June 2015, Pages: 522–541, Angelo Aspris, Sean Foley, Drew Harris and Peter O'Neill

    Version of Record online : 12 JAN 2015, DOI: 10.1002/fut.21708

  9. Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

    Journal of Futures Markets

    Volume 36, Issue 8, August 2016, Pages: 758–792, Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen

    Version of Record online : 21 OCT 2015, DOI: 10.1002/fut.21759

  10. Forecasting Volatility in the Presence of Limits to Arbitrage

    Journal of Futures Markets

    Volume 35, Issue 11, November 2015, Pages: 987–1002, Lu Hong, Tom Nohel and Steven Todd

    Version of Record online : 6 OCT 2014, DOI: 10.1002/fut.21696

  11. Realized Volatility Forecast of Stock Index Under Structural Breaks

    Journal of Forecasting

    Volume 34, Issue 1, January 2015, Pages: 57–82, Ke Yang, Langnan Chen and Fengping Tian

    Version of Record online : 28 NOV 2014, DOI: 10.1002/for.2318

  12. AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism

    Journal of Futures Markets

    Zhenlong Zheng, Zhengyun Jiang and Rong Chen

    Version of Record online : 9 DEC 2016, DOI: 10.1002/fut.21824

  13. Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

    Journal of Futures Markets

    Volume 36, Issue 12, December 2016, Pages: 1127–1163, Dimos S. Kambouroudis, David G. McMillan and Katerina Tsakou

    Version of Record online : 29 APR 2016, DOI: 10.1002/fut.21783

  14. The Distribution of Uncertainty: Evidence from the VIX Options Market

    Journal of Futures Markets

    Volume 35, Issue 7, July 2015, Pages: 597–624, Clemens Völkert

    Version of Record online : 15 MAY 2014, DOI: 10.1002/fut.21673

  15. Pricing Nikkei 225 Options Using Realized Volatility

    The Japanese Economic Review

    Volume 65, Issue 4, December 2014, Pages: 431–467, Masato Ubukata and Toshiaki Watanabe

    Version of Record online : 15 NOV 2013, DOI: 10.1111/jere.12024

  16. Stochastic Skew and Target Volatility Options

    Journal of Futures Markets

    Volume 36, Issue 2, February 2016, Pages: 174–193, Martino Grasselli and Jacinto Marabel Romo

    Version of Record online : 23 MAR 2015, DOI: 10.1002/fut.21720

  17. Information Flow, Trading Activity and Commodity Futures Volatility

    Journal of Futures Markets

    Volume 36, Issue 1, January 2016, Pages: 88–104, Adam E. Clements and Neda Todorova

    Version of Record online : 13 APR 2015, DOI: 10.1002/fut.21724

  18. 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

    Version of Record online : 15 APR 2011, DOI: 10.1002/fut.20527

  19. Clustering and Mean Reversion in a Hawkes Microstructure Model

    Journal of Futures Markets

    Volume 35, Issue 9, September 2015, Pages: 813–838, José Da Fonseca and Riadh Zaatour

    Version of Record online : 22 APR 2014, DOI: 10.1002/fut.21676

  20. The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece

    Economic Notes

    Volume 41, Issue 3, November 2012, Pages: 173–182, Vassilios G. Papavassiliou

    Version of Record online : 17 OCT 2012, DOI: 10.1111/j.1468-0300.2012.00244.x