Printed from https://ideas.repec.org/s/wly/jfutmk7.html
Content
February 2006, Volume 26, Issue 2
- 131-151 Decimalization, trading costs, and information transmission between ETFs and index futures
by Robin K. Chou & Huimin Chung - 153-167 The Chinese interbank repo market: An analysis of term premiums
by Longzhen Fan & Chu Zhang - 169-188 Jumping hedges: An examination of movements in copper spot and futures markets
by Wing H. Chan & Denise Young - 189-207 A hedging deficiency in eurodollar futures
by Don M. Chance
January 2006, Volume 26, Issue 1
- 1-31 Volatility options: Hedging effectiveness, pricing, and model error
by Dimitris Psychoyios & George Skiadopoulos - 33-59 Information content of cross‐sectional option prices: A comparison of alternative currency option pricing models on the Japanese yen
by Brice Dupoyet - 61-84 Dynamics of intraday serial correlation in the Italian futures market
by Simone Bianco & Roberto Renò - 85-102 The valuation of European options when asset returns are autocorrelated
by Szu‐Lang Liao & Chao‐Chun Chen
December 2005, Volume 25, Issue 12
- 1127-1127 Editor's note
by Robert I. Webb - 1129-1146 Slippage in futures markets: Evidence from the Sydney Futures Exchange
by Alex Frino & Teddy Oetomo - 1147-1172 Information flows and option bid/ask spreads
by Fredrik Berchtold & Lars Nordén - 1173-1202 Structurally sound dynamic index futures hedging
by Paul Kofman & Patrick McGlenchy - 1203-1242 Recovering market expectations of FOMC rate changes with options on federal funds futures
by John B. Carlson & Ben R. Craig & William R. Melick
November 2005, Volume 25, Issue 11
- 1025-1044 A contango‐constrained model for storable commodity prices
by Diana R. Ribeiro & Stewart D. Hodges - 1045-1065 Futures and options expiration‐day effects: The Indian evidence
by Vipul - 1067-1092 Execution quality in open‐outcry futures markets
by Alexander Kurov - 1093-1120 Consistent calibration of HJM models to cap implied volatilities
by Flavio Angelini & Stefano Herzel - 1121-1126 A note on the superiority of the OLS hedge ratio
by Donald Lien
October 2005, Volume 25, Issue 10
- 917-944 Pricing foreign equity options under Lévy processes
by Shian‐Chang Huang & Mao‐Wei Hung - 945-965 Position limits for cash‐settled derivative contracts
by Hans R. Dutt & Lawrence E. Harris - 967-988 Price discovery in the aluminum market
by Isabel Figuerola‐Ferretti & Christopher L. Gilbert - 989-1009 Is it important to consider the jump component for pricing and hedging short‐term options?
by In Joon Kim & Sol Kim - 1011-1024 Estimating the optimal hedge ratio with focus information criterion
by Donald Lien & Keshab Shrestha
September 2005, Volume 25, Issue 9
- 817-843 What moves option‐implied bond market expectations?
by Sami Vähämaa & Sebastian Watzka & Janne Äijö - 845-871 Option pricing under extended normal distribution
by Hosam Ki & Byungwook Choi & Kook‐Hyun Chang & Miyoung Lee - 873-892 A comparative study of alternative extreme‐value volatility estimators
by Turan G. Bali & David Weinbaum - 893-916 The response of volume and returns to the information shocks in China's commodity futures markets
by Gongmeng Chen & Michael Firth & Yu Xin
August 2005, Volume 25, Issue 8
- 717-752 Is investor misreaction economically significant? Evidence from short‐ and long‐term S&P 500 index options
by Charles Cao & Haitao Li & Fan Yu - 753-774 Information content of the fed funds rates
by Jahangir Sultan - 775-794 Option pricing with a non‐zero lower bound on stock price
by Ming Dong - 795-816 Survival of commodity trading advisors: 1990–2003
by Greg N. Gregoriou & Georges Hübner & Nicolas Papageorgiou & Fabrice Rouah
July 2005, Volume 25, Issue 7
- 613-641 Derivative pricing model and time‐series approaches to hedging: A comparison
by Henry L. Bryant & Michael S. Haigh - 643-660 Technical analysis and genetic programming: Constructing and testing a commodity portfolio
by Matthew C. Roberts - 661-678 The use of term structure information in the hedging of mortgage‐backed securities
by Jason Fink & Kristin E. Fink & Stephen Lange - 679-715 Information transmission in electronic versus open‐outcry trading systems: An analysis of U.S. equity index futures markets
by Aysegul Ates & George H. K. Wang
June 2005, Volume 25, Issue 6
- 515-536 What moves the tail? The determinants of the option‐implied probability density function of the DAX index
by Ernst Glatzer & Martin Scheicher - 537-552 Minimum‐variance futures hedging under alternative return specifications
by Eric Terry - 553-585 Intradaily periodicity and volatility spillovers between international stock index futures markets
by Chunchi Wu & Jinliang Li & Wei Zhang - 587-606 An empirical analysis of multi‐period hedges: Applications to commercial and investment assets
by Jimmy E. Hilliard & Pinghsun Huang - 607-612 A note on asymmetric stochastic volatility and futures hedging
by Donald Lien
May 2005, Volume 25, Issue 5
- 419-442 Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
by Owain Ap Gwilym & Ian Mcmanus & Stephen Thomas - 443-464 A realistic model of market liquidity and depth
by Vassilis Polimenis - 465-490 Forecasting volatility
by Louis H. Ederington & Wei Guan - 491-514 Price relations among hog, corn, and soybean meal futures
by Qingfeng “Wilson” Liu
April 2005, Volume 25, Issue 4
- 309-337 Price risk in the NYMEX energy complex: An extreme value approach
by Tim Krehbiel & Lee C. Adkins - 339-373 The forecast quality of CBOE implied volatility indexes
by Charles J. Corrado & Thomas W. Miller, Jr. - 375-398 How electronic trading affects bid‐ask spreads and arbitrage efficiency between index futures and options
by Kevin H. K. Cheng & Joseph K. W. Fung & Yiuman Tse - 399-418 Asymmetric volatility of basis and the theory of storage
by Andre H. Gao & George H. K. Wang
March 2005, Volume 25, Issue 3
- 211-241 Drift matters: An analysis of commodity derivatives
by Olaf Korn - 243-279 Volatility trade design
by J. Scott Chaput & Louis H. Ederington - 281-308 Bias and backwardation in natural gas futures prices
by Nahid Movassagh & Bagher Modjtahedi
February 2005, Volume 25, Issue 2
- 105-133 Traders' strategic behavior in an index options market
by Kyong Shik Eom & Sang Buhm Hahn - 135-170 Pricing vulnerable options in incomplete markets
by Mao‐Wei Hung & Yu‐Hong Liu - 171-197 Implied correlation index: A new measure of diversification
by Vasiliki D. Skintzi & Apostolos‐Paul N. Refenes - 199-210 Forecasting futures returns in the presence of price limits
by Arie Harel & Giora Harpaz & Joseph Yagil
January 2005, Volume 25, Issue 1
- 1-19 Canonical valuation of options in the presence of stochastic volatility
by Philip Gray & Scott Newman - 21-38 On the errors and comparison of Vega estimation methods
by San‐Lin Chung & Mark Shackleton - 39-77 The global market for OTC derivatives: An analysis of dealer holdings
by Ekaterina E. Emm & Gerald D. Gay - 79-104 Is it time to reduce the minimum tick sizes of the E‐mini futures?
by Alexander Kurov & Tatyana Zabotina
December 2004, Volume 24, Issue 12
- 1105-1105 Editor's note
by Robert I. Webb - 1107-1146 A model of price discovery and market design: Theory and empirical evidence
by Michael T. Chng - 1147-1163 Splitting the S&P 500 futures
by Jianli Chen & Peter R. Locke - 1165-1194 Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options
by Kam C. Chan & Louis T. W. Cheng & Peter P. Lung - 1195-1228 Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets
by Sung C. Bae & Taek Ho Kwon & Jong Won Park
November 2004, Volume 24, Issue 11
- 1005-1028 Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility
by Martin Martens & Jason Zein - 1029-1047 Volatility and commodity price dynamics
by Robert S. Pindyck - 1049-1064 An empirical examination of the pricing of exchange‐traded barrier options
by Steve Easton & Richard Gerlach & Melissa Graham & Frank Tuyl - 1065-1089 Weather derivatives valuation and market price of weather risk
by Melanie Cao & Jason Wei - 1091-1091 Editor's note
by Robert I. Webb - 1093-1099 Hedging long‐term commodity risk: A comment
by Donald Lien & Yan Wang - 1101-1104 Comparing alternative assumptions on the term structure of futures prices: Reply
by Frans A. De Roon & Yulia V. Veld‐Merkoulova
October 2004, Volume 24, Issue 10
- 909-921 Liquidity constraints and the hedging role of futures spreads
by Kit Pong Wong - 923-944 Interdealer trading in futures markets
by Peter R. Locke & Pattarake Sarajoti - 945-964 Conditional OLS minimum variance hedge ratios
by Joëlle Miffre - 965-980 The impact of time duration between trades on the price of treasury note futures contracts
by Mark E. Holder & Min Qi & Amit K. Sinha - 981-1004 The contribution of a satellite market to price discovery: Evidence from the Singapore exchange
by Vicentiu Covrig & David K. Ding & Buen Sin Low
September 2004, Volume 24, Issue 9
- 805-834 Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market
by Nicholas Taylor - 835-860 The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT
by Yu Chuan Huang - 861-886 Information content of extended trading for index futures
by Louis T. W. Cheng & Li Jiang & Renne W. Y. Ng - 887-907 Price discovery in the hang seng index markets: Index, futures, and the tracker fund
by Raymond W. So & Yiuman Tse
August 2004, Volume 24, Issue 8
- 707-707 Editor's Note
by Robert I. Webb - 711-731 Information and Noise in U.K. Futures Markets
by Phil Holmes & Mark Tomsett - 733-754 Extracting the Expected Path of Monetary Policy From Futures Rates
by Brian Sack - 755-784 The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets
by Andrew C. Szakmary & Dean B. Kiefer - 785-804 Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange
by Alex Frino & Frederick H. deB. Harris & Thomas H. McInish & Michael J. Tomas III
July 2004, Volume 24, Issue 7
- 609-629 Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases
by Dieter Hess - 631-648 Pricing credit spread options under a Markov chain model with stochastic default rate
by Jangkoo Kang & Hwa‐Sung Kim - 649-674 A Markov regime switching approach for hedging stock indices
by Amir Alizadeh & Nikos Nomikos - 675-696 The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney
by Michael J. Aitken & Alex Frino & Amelia M. Hill & Elvis Jarnecic - 697-706 Hedging, liquidity, and the competitive firm under price uncertainty
by Kit Pong Wong
June 2004, Volume 24, Issue 6
- 513-532 Anatomy of option features in convertible bonds
by Ka Wo Lau & Yue Kuen Kwok - 533-555 The performance of event study approaches using daily commodity futures returns
by Andrew M. Mckenzie & Michael R. Thomsen & Bruce L. Dixon - 557-590 Contract modifications and the basis behavior of live cattle futures
by James E. Newsome & George H. K. Wang & M. E. Boyd & Marty J. Fuller - 591-608 Do futures‐based strategies enhance dynamic portfolio insurance?
by Binh Huu Do & Robert W. Faff
May 2004, Volume 24, Issue 5
- 413-428 Clustering in the futures market: Evidence from S&P 500 futures contracts
by Adam L. Schwartz & Bonnie F. Van Ness & Robert A. Van Ness - 429-451 Rational expectations and market efficiency in the U.S. live cattle futures market: The role of proprietary information
by Matthew P. Schaefer & Robert J. Myers & Stephen R. Koontz - 453-478 An examination of the impact of macroeconomic news on the spot and futures treasuries markets
by Marc W. Simpson & Sanjay Ramchander - 479-502 Do designated market makers improve liquidity in open‐outcry futures markets?
by Yiuman Tse & Tatyana Zabotina - 503-512 A note on price futures versus revenue futures contracts
by Donald Lien & David A. Hennessy
April 2004, Volume 24, Issue 4
- 315-336 Regime switching in the yield curve
by Charlotte Christiansen - 337-357 The index futures markets: Is screen trading more efficient?
by Laurence Copeland & Kin Lam & Sally‐Ann Jones - 359-386 An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios
by Sheng‐Syan Chen & Cheng‐Few Lee & Keshab Shrestha - 387-398 Time variation in the tail behavior of Bund future returns
by Thomas Werner & Christian Upper - 399-412 Regulatory changes and information competition: The case of Taiwan index futures
by Wen‐liang Gideon Hsieh
March 2004, Volume 24, Issue 3
- 221-250 Common risk factors in the U.S. and UK interest rate swap markets: Evidence from a nonlinear vector autoregression approach
by Ilias Lekkos & Costas Milas - 251-282 Switching asymmetric GARCH and options on a volatility index
by Hazem Daouk & Jie Qun Guo - 283-313 Natural gas prices and the gas storage report: Public news and volatility in energy futures markets
by Scott C. Linn & Zhen Zhu
February 2004, Volume 24, Issue 2
- 117-145 A theoretical framework to evaluate different margin‐setting methodologies
by Kin Lam & Chor‐Yiu Sin & Rico Leung - 147-178 Distributions implied by American currency futures options: A ghost's smile?
by Martin Cincibuch - 179-192 Knock‐in American options
by Min Dai & Yue Kuen Kwok - 193-220 Minimum capital requirement calculations for UK futures
by John Cotter
January 2004, Volume 24, Issue 1
- 1-1 Editor's note
by Robert I. Webb - 3-35 Valuing credit derivatives using Gaussian quadrature: A stochastic volatility framework
by Nabil Tahani - 37-70 Copula sensitivity in collateralized debt obligations and basket default swaps
by Davide Meneguzzo & Walter Vecchiato - 71-92 Explaining credit default swap premia
by Christoph Benkert - 93-115 The credit risk components of a swap portfolio
by Georges Hübner
December 2003, Volume 23, Issue 12
- 1123-1124 Editor's note
by Robert I. Webb - 1125-1158 The jump component of the volatility structure of interest rate futures markets: An international comparison
by Carl Chiarella & Thuy‐Duong Tô - 1159-1189 Discretionary government intervention and the mispricing of index futures
by Paul Draper & Joseph K. W. Fung - 1191-1207 An empirical investigation of the GARCH option pricing model: Hedging performance
by Haynes H. M. Yung & Hua Zhang - 1209-1237 Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging
by Carolyn W. Chang & Jack S. K. Chang
November 2003, Volume 23, Issue 11
- 1019-1046 Asymmetric covariance in spot‐futures markets
by Vicente Meneu & Hipòlit Torró - 1047-1073 The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector
by Renyuan Shao & Brian Roe - 1075-1105 A two‐mean reverting‐factor model of the term structure of interest rates
by Manuel Moreno - 1107-1118 Options expiration effects and the role of individual share futures contracts
by Donald Lien & Li Yang - 1119-1122 A note on the derivation of Black‐Scholes hedge ratios
by Tie Su
October 2003, Volume 23, Issue 10
- 915-929 Approximating American option prices in the GARCH framework
by Jin‐Chuan Duan & Geneviève Gauthier & Caroline Sasseville & Jean‐Guy Simonato - 931-955 A first look at the empirical relation between spot and futures electricity prices in the United States
by Hany A. Shawky & Achla Marathe & Christopher L. Barrett - 957-988 Looking for contagion in currency futures markets
by Chu‐Sheng Tai - 989-1002 On the adequacy of single‐stock futures margining requirements
by Hans R. Dutt & Ira L. Wein - 1003-1017 Commodity trading advisors' leverage and reported margin‐to‐equity ratios
by Fernando Diz
September 2003, Volume 23, Issue 9
- 817-840 General equilibrium pricing of nonredundant forward contracts
by Abraham Lioui & Patrice Poncet - 841-858 The effect of spot and futures trading on stock index market volatility: A nonparametric approach
by M. Illueca & J. A. Lafuente - 859-890 An examination of the effectiveness of static hedging in the presence of stochastic volatility
by Jason Fink - 891-913 Transitory real‐time property rights and exchange intellectual property
by Robert I. Webb
August 2003, Volume 23, Issue 8
- 719-750 Optimal contract design: For whom?
by Nicolas P. B. Bollen & Tom Smith & Robert E. Whaley - 751-772 Pricing models of equity swaps
by Ming‐Chieh Wang & Szu‐Lang Liao - 773-797 Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options
by Peng Sun & Charles Sutcliffe - 799-816 Robust estimation of the optimal hedge ratio
by Richard D. F. Harris & Jian Shen
July 2003, Volume 23, Issue 7
- 615-646 Stock return dynamics, option volume, and the information content of implied volatility
by Stewart Mayhew & Chris Stivers - 647-659 Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading
by Owain ap Gwilym & Evamena Alibo - 661-679 Testing the mixture‐of‐distributions hypothesis using “realized” volatility
by James C. Luu & Martin Martens - 681-700 The interrelation of price volatility and trading volume of currency options
by Ghulam Sarwar - 701-718 Futures market equilibrium under Knightian uncertainty
by Donald Lien & Yaqin Wang
June 2003, Volume 23, Issue 6
- 517-534 The valuation of multiple stock warrants
by Kian‐Guan Lim & Eric Terry - 535-560 Pricing continuously sampled Asian options with perturbation method
by Jin E. Zhang - 561-576 Revisiting the empirical estimation of the effect of margin changes on futures trading volume
by Hans R. Dutt & Ira L. Wein - 577-602 The effectiveness of coordinating price limits across futures and spot markets
by Pin‐Huang Chou & Mei‐Chen Lin & Min‐Teh Yu - 603-613 The effect of liquidity constraints on futures hedging
by Donald Lien
May 2003, Volume 23, Issue 5
- 415-440 Pricing of moving‐average‐type options with applications
by Chih‐Hao Kao & Yuh‐Dauh Lyuu - 441-454 The information content of implied volatility in agricultural commodity markets
by Pierre Giot - 455-486 Bid‐ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts
by David K. Ding & Charlie Charoenwong - 487-516 Analytic approximation formulae for pricing forward‐starting Asian options
by Chueh‐Yung Tsao & Chuang‐Chang Chang & Chung‐Gee Lin
April 2003, Volume 23, Issue 4
- 315-345 Option volume and volatility response to scheduled economic news releases
by John R. Nofsinger & Brian Prucyk - 347-387 The components of interest rate swap spreads: Theory and international evidence
by Frank Fehle - 389-398 Futures hedging under mark‐to‐market risk
by Donald Lien & Anlong Li - 399-414 Volatility and trading demands in stock index futures
by Ming‐Shiun Pan & Y. Angela Liu & Herbert J. Roth
March 2003, Volume 23, Issue 3
- 217-239 On the optimal mix of corporate hedging instruments: Linear versus nonlinear derivatives
by Gerald D. Gay & Jouahn Nam & Marian Turac - 241-260 Futures hedging using dynamic models of the variance/covariance structure
by Ponladesh Poomimars & John Cadle & Michael Theobald - 261-285 The quality of volatility traded on the over‐the‐counter currency market: A multiple horizons study
by Vicentiu Covrig & Buen Sin Low - 287-313 Directly measuring early exercise premiums using American and European S&P 500 Index options
by Michael Dueker & Thomas W. Miller Jr.
February 2003, Volume 23, Issue 2
- 109-133 Hedging long‐term commodity risk
by Yulia V. Veld‐Merkoulova & Frans A. de Roon - 135-150 Disappointment aversion equilibrium in a futures market
by Donald Lien & Yaqin Wang - 151-167 The economic advantage of learners in a spot/futures market
by Scott C. Linn & Bryan E. Stanhouse - 169-215 Options on bond futures: Isolating the risk premium
by Robert G. Tompkins
January 2003, Volume 23, Issue 1
- 1-31 The behavior and performance of major types of futures traders
by Changyun Wang - 33-47 Stochastic volatility and the mean reverting process
by Sotirios Sabanis - 49-66 Does tick size influence price discovery? Evidence from the Toronto Stock Exchange
by Marie‐Claude Beaulieu & Shafiq K. Ebrahim & Ieuan G. Morgan - 67-86 Expiration day effects: The case of Hong Kong
by Ying‐Foon Chow & Haynes H. M. Yung & Hua Zhang - 87-107 The valuation of reset options with multiple strike resets and reset dates
by Szu‐Lang Liao & Chou‐Wen Wang
December 2002, Volume 22, Issue 12
- 1117-1117 Editor's note
by Robert I. Webb - 1119-1146 Excessive variation in risk‐factor correlations and volatilities
by Turan G. Bali & Hans Genberg & Salih N. Neftci - 1147-1178 Economic significance of risk premiums in the S&P 500 option market
by R. Brian Balyeat - 1179-1203 Multiperiod hedging with futures contracts
by Aaron Low & Jayaram Muthuswamy & Sudipto Sakar & Eric Terry - 1205-1221 Hedging foreign currency, freight, and commodity futures portfolios—A note
by Michael S. Haigh & Matthew T. Holt
November 2002, Volume 22, Issue 11
- 1019-1035 Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market
by Carlos Tolmasky & Dmitry Hindanov - 1037-1057 Nonlinear dynamics in high‐frequency intraday financial data: Evidence for the UK long gilt futures market
by David G. McMillan & Alan E. H. Speight - 1059-1082 Cross‐market correlations and transmission of information
by Salim M. Darbar & Partha Deb - 1083-1102 An empirical examination of the relation between futures spreads volatility, volume, and open interest
by Paul Berhanu Girma & Mbodja Mougoué - 1103-1115 A note on the valuation of compound options
by Fatma Lajeri‐Chaherli
October 2002, Volume 22, Issue 10
- 915-937 Factors explaining movements in the implied volatility surface
by Scott Mixon - 939-957 The effect of multiple listings on the bid–ask spread in option markets: The case of Montreal Exchange
by Nabil Khoury & Klaus P. Fischer - 959-981 Implied volatility forecasts in the grains complex
by David P. Simon - 983-1003 Trading activity in stock index futures markets: The evidence of emerging markets
by Yu Chuan Huang - 1005-1017 Approximation for convenience yield in commodity futures pricing
by Richard Heaney
September 2002, Volume 22, Issue 9
- 811-837 Measuring implied volatility: Is an average better? Which average?
by Louis H. Ederington & Wei Guan - 839-875 Pricing and hedging American fixed‐income derivatives with implied volatility structures in the two‐factor Heath–Jarrow–Morton model
by Samuel Yau Man Zeto - 877-900 Pricing efficiency of the S&P 500 index market: Evidence from the Standard & Poor's Depositary Receipts
by Quentin C. Chu & Wen‐Liang Gideon Hsieh - 901-913 Futures price limit moves as options
by Mark E. Holder & Christopher K. Ma & James E. Mallett
August 2002, Volume 22, Issue 8
- 697-727 Fragmentation and complementarity: The case of EFPs
by Sharon Brown‐Hruska & Paul A. Laux - 729-764 Risk–return relationships in foreign‐currency futures following macroeconomic announcements
by Li‐Ming Han & Onem Ozocak - 765-782 On the valuation of warrants
by John C. Handley - 783-809 Role of delivery options in basis convergence
by Jana Hranaiova & William G. Tomek
July 2002, Volume 22, Issue 7
- 601-626 Pricing options using implied trees: Evidence from FTSE‐100 options
by Kian Guan Lim & Da Zhi - 627-648 The realized volatility of FTSE‐100 futures prices
by Nelson M. P. C. Areal & Stephen J. Taylor - 649-677 Index futures leadership, basis behavior, and trader selectivity
by Arjun Chatrath & Rohan Christie‐David & Kanwalroop K. Dhanda & Timothy W. Koch - 679-696 What moves German Bund futures contracts on the Eurex?
by Hee‐Joon Ahn & Jun Cai & Yan‐Leung Cheung
June 2002, Volume 22, Issue 6
- 497-518 Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data
by Martin Martens