IDEAS home Printed from https://ideas.repec.org/r/wly/jfutmk/v12y1992i2p203-217.html
   My bibliography  Save this item

Rolling over futures contracts: A note

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. repec:eco:journ1:2014-03-21 is not listed on IDEAS
  2. AROSKAR, Rajarshi (Raj) & OGDEN, A. William, 2018. "A Comparative Study Of The Volatility And Efficiency Of Commodity Futures Index Roll Methods," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(3), pages 27-40, September.
  3. Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
  4. Grant, C. & Mann, J., 2018. "Futures Rollovers and Accounting for Profitability," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 276961, International Association of Agricultural Economists.
  5. Joshua G. Maples & B. Wade Brorsen, 2022. "Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 139-152, June.
  6. Narjiss Araba & Alain François-Heude, 2019. "Price discovery and volatility spillovers in the French wheat market," Post-Print hal-03088859, HAL.
  7. Go, You-How & Lau, Wee-Yeap, 2017. "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, vol. 53(C), pages 135-146.
  8. Anderson, John A. & Faff, Robert W., 2008. "Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 198-217.
  9. Apostolos Serletis & Asghar Shahmoradi, 2007. "Returns and Volatility in the NYMEX Henry Hub Natural Gas Futures Market," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 15, pages 193-204, World Scientific Publishing Co. Pte. Ltd..
  10. Elton Daal & Joseph Farhat & Peihwang P. Wei, 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 113-128.
  11. Hou, Yang & Nartea, Gilbert, 2017. "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper 81995, University Library of Munich, Germany.
  12. Hou, Yang (Greg) & Li, Steven, 2020. "Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 166-188.
  13. Georg Lehecka, 2015. "Do hedging and speculative pressures drive commodity prices, or the other way round?," Empirical Economics, Springer, vol. 49(2), pages 575-603, September.
  14. Taylor, Nick, 2016. "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 14-34.
  15. Oscar Carchano & Vicente Medina Martínez & Ángel Pardo Tornero, 2012. "Rolling over EUAs and CERs," Working Papers. Serie AD 2012-15, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  16. Kleppe, Tore Selland & Liesenfeld, Roman & Moura, Guilherme Valle & Oglend, Atle, 2022. "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Econometrics and Statistics, Elsevier, vol. 23(C), pages 105-127.
  17. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
  18. Karanasos, Menelaos & Menla Ali, Faek & Margaronis, Zannis & Nath, Rajat, 2018. "Modelling time varying volatility spillovers and conditional correlations across commodity metal futures," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 246-256.
  19. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
  20. Teresa Vollmer & Helmut Herwartz & Stephan von Cramon-Taubadel, 2020. "Measuring price discovery in the European wheat market using the partial cointegration approach," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 47(3), pages 1173-1200.
  21. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
  22. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Quantile information share under Markov regime‐switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 493-513, April.
  23. Bendik P. Andersen & Petter E. de Lange, 2021. "Efficiency in the Atlantic salmon futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 949-984, June.
  24. Paweł Jakubowski & Robert Ślepaczuk & Franciszek Windorbski, 2023. "REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market," Working Papers 2023-20, Faculty of Economic Sciences, University of Warsaw.
  25. Clements, Sherwood & Tidwell, Alan & Jin, Changha, 2017. "Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs," Journal of Forest Economics, Elsevier, vol. 28(C), pages 70-79.
  26. Carol Alexander & Dimitris Korovilas, 2012. "Diversification of Equity with VIX Futures: Personal Views and Skewness Preference," ICMA Centre Discussion Papers in Finance icma-dp2012-07, Henley Business School, University of Reading.
  27. You-How Go & Wee-Yeap Lau, 2017. "The Relationship of Crude Palm Oil Spot-Futures under Inflationary Expectation in Gold Market," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 43-62.
  28. A. Mazaheri, 1999. "Convenience yield, mean reverting prices, and long memory in the petroleum market," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 31-50.
  29. Bernhard Zwergel, 2010. "On the exploitability of the turn-of-the-month effect-an international perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 20(11), pages 911-922.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.