| Journal of Futures Markets 2005 |
| Title | Subject | Authors |
|---|
| A comparative study of alternative extreme- value volatility estimators. | Business, general | G.Bali, Turan, Weinbaum, David |
| A Contango-Constrained model for storable commodity prices. | Business, general | Hodges, Stewart D., Ribeiro, Diana R. |
| An empirical analysis of multi period hedges: applications to commercial and investment assets. | Business, general | Hilliard, Jimmy E., Huang, Pinghsun |
| A note on asymmetric stochastic volatility and futures hedging. | Business, general | Lien, Donald |
| A note on the superiority of the OLS Hedge Ratio.(ordinary least squares) | Business, general | Lien, Donald |
| A realistic model of market liquidity and depth. | Business, general | Polimenis, Vassilis |
| Asymmetric volatility of basis and the theory of storage.(inventory management) | Business, general | Wang, George H.K., Gao, Andre H. |
| Bias and backwardation in natural gas futures prices. | Business, general | Movassagh, Nahid, Modjtahedi, Bagher |
| Canonical valuation of options in the presence of stochastic volatility. | Business, general | Gray, Philip, Newman, Scott |
| Consistent calibration of HJM models to cap implied volatilities.(Heath, Jarrow and Morton) | Business, general | Angelini, Flavio, Herzel, Stefano |
| Derivatives pricing model and time-series approaches to hedging: a comparison. | Business, general | Haigh, Michael S., Bryant, Henry L. |
| Drift matters: an analysis of commodity derivatives. | Business, general | Korn, Olaf |
| Estimating the optimal hedge ratio with focus information criterion. | Business, general | Lien, Donald, Shrestha, Keshab |
| Execution quality in open-outcry futures markets. | Business, general | Kurov, Alexandra |
| Forecasting futures returns in the presence of price limits. | Business, general | |
| Forecasting volatility. | Business, general | Ederington, Louis H., Guan, Wei |
| Fractional versus decimal pricing: evidence from the UK long gilt futures market. | Business, general | Gwilym, Owain Ap, Thomas, Stephen, McManus, Ian |
| Futures and options expiration-day effects: The Indian evidence. | Business, general | |
| How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options. | Business, general | Tse, Yiuman, Fung, Joseph K.W., Cheng, Kevin H.K. |
| Implied correlation index: a new measure of diversification. | Business, general | Skintzi, Valsilki D., Refenes, Apostolos-Paul N. |
| Information content of the fed funds rates. | Business, general | Sultan, Jahangir |
| Information flows and option bid/ ask spreads.(financial markets) | Business, general | Norden, Lars, Berchtold, Fredrik |
| Information transmission in electronic versus open-outcry trading systems: an analysis of U.S. equity index futures markets. | Business, general | Wang, George H.K., Ates, Aysegul |
| Intradaily periodicity and volatility spillovers between international stock index futures markets. | Business, general | Wu, Chunchi, Zhang, Wei, Li, Jinliang |
| Is investor misreaction economically significant? Evidence from short- and long-term S&P 500 index options. | Business, general | Cao, Charles, Li, Haitao, Yu, Fan |
| Is it important to consider the jump component for pricing and hedging shot-term options. | Business, general | Kim, In Joon, Kim, Sol |
| Is it time to reduce the minimum tic sizes of the E-mini futures? | Business, general | Zabotina, Tatyana, Kurov, Alexander |
| Minimum-variance futures hedging under alternative return specifications. | Business, general | Terry, Eric |
| On the errors and comparison of Vega estimation methods.(options sensitivity to volatility) | Business, general | Shackleton, Mark, Chung, San-Lin |
| Option pricing under extended normal distribution. | Business, general | Hosam Ki, Byungwook Choi, Kook-Hyun Chang, Miyoung Lee |
| Option pricing with a non-zero lower bound on stock price. | Business, general | Dong, Ming |
| Position limits for cash-settled derivative contracts. | Business, general | Dutt, Hans R., Harris, Lawrence E. |
| Price discovery in the aluminum market.(foreign exchange rates examination) | Business, general | Figuerola-Ferretti, Isabel, Gilbert, Christopher L. |
| Price relations among hog, corn and soyabean meal futures. | Business, general | Liu, Qingfeng "Wilson" |
| Price risk in the NYMEX energy complex: an extreme value approach.(New York Mercantile Exchange) | Business, general | Krehbiel, Tim, Adkins, Lee C. |
| Pricing foreign equity options under Levy process. | Business, general | Hung, Mao-Wei, Huang, Shian-Chang |
| Pricing vulnerable options in incomplete markets. | Business, general | Hung, Mao-Wei |
| Recovering market expectations of FOMC rate changes with options on federal funds futures.(Federal Open Market Committee) | Business, general | Carlson, John B., Melick, William R., Craig, Ben R. |
| Slippage in futures markets: Evidence from the Sydney Futures Exchange.(market impact) | Business, general | Frino, Alex |
| Structurally sound dynamic index futures hedging.(futures markets ) | Business, general | Kofman, Paul, McGlenchy, Patrick |
| Survival of commodity trading advisors: 1990-2003. | Business, general | Hubner, Georges, Gregoriou, Greg N., Papageorgiou, Nicolas, Rouah, Fabrice |
| Technical analysis and genetic programming: constructing and testing a commodity portfolio. | Business, general | Roberts, Matthew C. |
| The forecast quality of CBOE implied volatility indexes.(Chicago Board Options Exchange) | Business, general | Corrado, Charles J., Miller, Thomas W. |
| The global market for OTC derivatives: an analysis of dealer holdings.(Over The Counter) | Business, general | Emm, Ekaterina E., Gay, Gerald D. |
| The response of volume and returns of the information shocks in chinaEs commodity futures markets. | Business, general | Chen, Gongmeng, Firth, Michale, Yu Xin |
| The use of term structure information in the hedging of mortgage-backed securities. | Business, general | Fink, Jason, Fink, Kristin E., Lange, Stephen |
| Traders' strategic behavior in an index options market. | Business, general | Eom, Kyong Shik, Hahn, Sang Buhm |
| Volatility trade design. | Business, general | Ederington, Louis H., Chaput, J. Scott |
| What moves option- implied bond market expectations?(macroeconomics news) | Business, general | Vahamaa, Sami, Watzka, Sebastian, Aijo, Janne |
| What moves the tail? the determinants of the option-implied probability density function of the DAX index. | Business, general | Glatzer, Ernst |
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.
