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June 2025, Volume 45, Issue 6
- 497-520 Closed‐Form Approximation of Stock‐Based Awards With Moving‐Average Vesting Conditions
by Ioannis Michopoulos & Alexandros Bougias & Andrianos E. Tsekrekos - 521-546 Forecasting the Market Returns And Portfolio Enhancement With Frequency‐Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market
by Yi‐Hsien Wang & Shu‐Lien Chang & Hsiu‐Chuan Lee & Donald Lien - 547-568 Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration
by Bing Dong & Wei Xu & Zhenyu Cui - 569-599 Real‐Time Tracking of Public Announcements in the Limit Order Book
by Mehdi Arzandeh & Julieta Frank & Justin Daniels - 600-611 Hedging Multiple Price Uncertainty in Soybean Export
by Siun Lee & Dmitry Vedenov - 612-636 Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?
by Yifan Ye & Zheqi Fan & Xinfeng Ruan - 637-658 The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns
by Hao Zhang & Yukun Shi & Dun Han & Pei Liu & Yaofei Xu - 659-682 Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets
by Hongjun Zeng & Mohammad Zoynul Abedin & Abdullahi D. Ahmed & Brian Lucey
May 2025, Volume 45, Issue 5
- 395-406 Drilling and DUCs in the Permian Basin
by Asad Dossani & John Elder - 407-428 Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets
by Jianmin Liu & Zeguang Li & Bluford Putnam & Arthur Yu - 429-440 A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity
by Xin‐Jiang He & Hang Chen & Sha Lin - 441-454 Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models
by Dingding Dong & Xianda Qian & Xingchun Wang - 455-472 Appraising Model Complexity in Option Pricing
by Mark Cummins & Francesco Esposito - 473-493 Price Discovery in China's Crude Oil Derivatives Market
by Zhini Yang & Andrew Lepone
April 2025, Volume 45, Issue 4
- 269-288 Price Discovery in Bitcoin Spot or Futures? The Jury Is Out
by Alex Frino & Robert Gaudiosi & Robert I. Webb & Z. Ivy Zhou - 289-307 The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets
by Theodora Bermpei & Athanasios Triantafyllou - 308-325 Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors
by Xiaoqing Wang & Wenxin Jin & Baochang Xu & Kaihua Wang - 326-342 Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?
by Xueer Zhang & Jui‐Cheng Hung & Chien‐Liang Chiu - 343-378 Commodity Price Crash Risk and Crash Risk Contagion
by Prachi Jain & Debasish Maitra - 379-392 Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks
by Min Liu & Chien‐Chiang Lee
March 2025, Volume 45, Issue 3
- 161-175 ChatGPT and Commodity Return
by Shen Gao & Shijie Wang & Yuanzhi Wang & Qunzi Zhang - 176-207 Commodity Futures Characteristics and Asset Pricing Models
by Qin Yiyi & Jun Cai & Jie Zhu & Robert Webb - 208-223 USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras
by Hiroaki Shirokawa & Kohei Yamaguchi & Takahiro Obata & Ryuta Sakemoto - 224-246 Commodity Dependence and Optimal Asset Allocation
by Vianney Dequiedt & Mathieu Gomes & Kuntara Pukthuanthong & Benjamin Williams‐Rambaud - 247-265 Asymmetric Commodity Tails and Index Futures Returns
by Yuanzhi Wang & Xinbei Wei & Qunzi Zhang
February 2025, Volume 45, Issue 2
- 79-90 Which Way Does the Wind Blow Between SPX Futures and VIX Futures?
by Ekow A. Aikins & Alexander Kurov - 91-117 The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery
by Stefan Scharnowski & Hossein Jahanshahloo - 118-142 Term Structure and Risk Premiums of Commodity Futures With Linear Regressions
by Daejin Kim - 143-157 From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?
by Lu Yang
January 2025, Volume 45, Issue 1
- 3-22 Optimal Versus Naive Diversification in Commodity Futures Markets
by Max Heide & Benjamin R. Auer & Frank Schuhmacher - 23-46 Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility
by Gaoxiu Qiao & Wanmei Cui & Yijie Zhou & Chao Liang - 47-76 Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion
by Fenglong Guo
September 2024, Volume 44, Issue 9
- 1465-1473 The Pay‐for‐Success Contract: A Valuation Note
by Andreas Andrikopoulos & Andrianos E. Tsekrekos - 1474-1486 The Effect of Anti‐Procyclical Central Counterparty Margins On Trading
by Aniket Bhanu - 1487-1507 Feedback Trading: The Intraday Case of Retail Derivatives
by Rainer Baule & Bart Frijns & Sebastian Schlie - 1508-1542 Cross‐Asset Tandem Trading and Extraordinary Volatility
by Robert Garrison & Pankaj K. Jain & Mark Paddrik - 1543-1555 A New Index of Option Implied Absolute Deviation
by George Dotsis - 1556-1577 Option‐Implied Ambiguity and Equity Return Predictability
by Yanchu Liu & Chen Liu & Yiyao Chen & Xianming Sun
August 2024, Volume 44, Issue 8
- 1295-1319 High–low volatility spillover network between economic policy uncertainty and commodity futures markets
by Youtao Xiang & Sumuya Borjigin - 1320-1337 The asymmetry in day and night option returns: Evidence from an emerging market
by Aparna Bhat & Piyush Pandey & S. V. D. Nageswara Rao - 1338-1356 Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets
by Mohammad Enamul Hoque & M. Kabir Hassan & Luca Pezzo - 1357-1382 Financialization of commodity markets: New evidence from temporal and spatial domains
by Libo Yin & Hong Cao - 1383-1403 Modeling and forecasting stock return volatility using the HARGARCH model with VIX information
by Zhiyuan Pan & Jun Zhang & Yudong Wang & Juan Huang - 1404-1428 Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options
by Jeechul Woo & Chenru Liu & Jaehyuk Choi - 1429-1446 Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors
by Ke Yang & Nan Hu & Fengping Tian - 1447-1461 Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks
by Sha Lin & Xin‐Jiang He
July 2024, Volume 44, Issue 7
- 1097-1116 Commodity premia and risk management
by John Hua Fan & Tingxi Zhang - 1117-1153 An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options
by Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn - 1154-1188 Option pricing with dynamic conditional skewness
by Fang Liang & Lingshan Du - 1189-1223 VIX option pricing through nonaffine GARCH dynamics and semianalytical formula
by Junting Liu & Qi Wang & Yuanyuan Zhang - 1224-1256 Corporate credit default swap systematic factors
by Ka Kei Chan & Ming‐Tsung Lin & Qinye Lu - 1257-1276 Trading commodity ETFs: Price behavior, investment insights, and performance analysis
by Elroi Hadad & Davinder Malhotra & Srinivas Nippani - 1277-1292 Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States
by Chia‐Hsien Tang & Yen‐Hsien Lee & Hung‐Chun Liu & Guan‐Gzhe Zeng
June 2024, Volume 44, Issue 6
- 879-900 A deep learning‐based financial hedging approach for the effective management of commodity risks
by Yan Hu & Jian Ni - 901-922 Futures trading costs and market microstructure invariance: Identifying bet activity
by Ai Jun Hou & Lars L. Nordén & Caihong Xu - 923-935 A model‐free approximation for barrier options in a general stochastic volatility framework
by Frido Rolloos & Kenichiro Shiraya - 936-985 SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates
by Alan Brace & Karol Gellert & Erik Schlögl - 986-1002 Lever up! An analysis of options trading in leveraged ETFs
by Collin Gilstrap & Alex Petkevich & Pavel Teterin & Kainan Wang - 1003-1054 Riemannian‐geometric regime‐switching covariance hedging
by Hsiang‐Tai Lee - 1055-1068 The impact of air pollution on crude oil futures market
by Ting Yao & Yue‐Jun Zhang - 1069-1094 Considering momentum spillover effects via graph neural network in option pricing
by Yao Wang & Jingmei Zhao & Qing Li & Xiangyu Wei
May 2024, Volume 44, Issue 5
- 699-719 The time‐varying volatility spillover effects between China's coal and metal market
by Boqiang Lin & Tianxu Lan - 720-743 Early exercise, implied volatility spread and future stock return: Jumps bind them all
by Ian Garrett & Adnan Gazi - 744-766 Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market
by Bo Yan & Mengru Liang & Yinxin Zhao - 767-783 Risky times: Seasonality and event risk of commodities
by Dominik Boos - 784-802 Connectedness and risk spillover in China's commodity futures sectors
by Jun Long & Xianghui Yuan & Liwei Jin & Chencheng Zhao - 803-825 Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets
by Kun Peng & Zhepeng Hu & Michel A. Robe - 826-853 Financial regulatory arbitrage and the financialization of commodities
by Zunxin Zheng & Gaiyan Zhang & Yingzhao Ni - 854-875 Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database
by Martin Wallmeier
April 2024, Volume 44, Issue 4
- 557-584 The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns
by Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang - 585-604 Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets
by Weiyi Xia & Tao Xiong & Miao Li - 605-618 Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market
by Ke Xu & Yu‐Lun Chen & Bo Liu & Jian Chen - 619-630 Short‐term market impact of Black Sea Grain Initiative on four grain markets
by António Miguel Martins - 631-652 The convenience yield under commodity financialization
by Nikolaos T. Milonas & Evangelia K. Photina - 653-672 Hedging securities and Silicon Valley Bank idiosyncrasies
by Raymond Kim - 673-695 The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility
by Nezir Köse & Hakan Yildirim & Emre Ünal & Boqiang Lin
March 2024, Volume 44, Issue 3
- 343-383 Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features
by Mário Correia Fernandes & José Carlos Dias & João Pedro Vidal Nunes - 384-419 Derivative disclosures and managerial opportunism
by Guanming He & Helen Mengbing Ren - 420-431 The information content of wheat derivatives regarding the Ukrainian war
by Nicole Branger & Michael Hanke & Alex Weissensteiner - 432-450 Hedging performance analysis of energy markets: Evidence from copula quantile regression
by Xianling Ren & Xinping Yu - 451-483 Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes
by Anthony N. Rezitis & Panagiotis Andrikopoulos & Theodoros Daglis - 484-517 Role of derivatives market in attenuating underreaction to left‐tail risk
by Sumit Saurav & Sobhesh Kumar Agarwalla & Jayanth R. Varma - 518-532 Left‐digit biases: Individual and institutional investors
by Jinyoung Yu & Young‐Chul Kim & Doojin Ryu - 533-554 Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market
by Xingguo Luo & Doojin Ryu & Libin Tao & Chuxin Ye
February 2024, Volume 44, Issue 2
- 151-217 Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures
by Jiawen Luo & Qun Zhang - 218-251 Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity
by Hui Qu & Tianyang Wang & Peng Shangguan & Mengying He - 252-280 Hedging pressure and oil volatility: Insurance versus liquidity demands
by Christina Sklibosios Nikitopoulos & Alice Carole Thomas & Jianxin Wang - 281-301 A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?
by Tao Xiong & Miao Li - 302-322 Predictability of commodity futures returns with machine learning models
by Shirui Wang & Tianyang Zhang - 323-340 Uncertainty and investment: Evidence from domestic oil rigs
by Asad Dossani & John Elder
January 2024, Volume 44, Issue 1
- 3-26 Market‐wide overconfidence and stock returns
by Qiang Chen & Yu Han & Ying Huang - 27-56 Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19
by Rafael Baptista Palazzi & Ata Assaf & Marcelo Cabus Klotzle - 57-74 Can technical indicators based on underlying assets help to predict implied volatility index
by Shi Yafeng & Yanlong Shi & Ying Tingting - 75-102 Calibration in the “real world” of a partially specified stochastic volatility model
by Lorella Fatone & Francesca Mariani & Francesco Zirilli - 103-121 Time‐varying price discovery in regular and microbitcoin futures
by Yu‐Lun Chen & J. Jimmy Yang - 122-147 Leveraging prices from credit and equity option markets for portfolio risk management
by Jean‐François Bégin & Mathieu Boudreault & Mathieu Thériault
December 2023, Volume 43, Issue 12
- 1695-1726 Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers
by Sasan Barak & Navid Parvini - 1727-1749 Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective
by Merve Coskun - 1750-1769 Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models
by Kailin Ding & Zhenyu Cui & Yanchu Liu - 1770-1806 EPU spillovers and sovereign CDS spreads: A cross‐country study
by Yuting Gong & Zhongzhi He & Wenjun Xue - 1807-1835 Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach
by Pascal Albert & Michael Herold & Matthias Muck - 1836-1852 Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures
by Sisi Qin & Wee‐Yeap Lau - 1853-1871 The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches
by Juan Meng & Bin Mo & He Nie
November 2023, Volume 43, Issue 11
- 1499-1530 The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases
by Adrian Fernandez‐Perez & Raquel López - 1531-1558 Belief distortion near 52W high and low: Evidence from Indian equity options market
by Sumit Saurav & Sobhesh Kumar Agarwalla & Jayanth R. Varma - 1559-1575 The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century
by You‐How Go & Jia‐Jun Teo & Kam Fong Chan - 1576-1614 Option pricing with overnight and intraday volatility
by Fang Liang & Lingshan Du & Zhuo Huang - 1615-1644 Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach
by Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani - 1645-1667 A monetary policy–based explanation of swap spreads in China
by Longzhen Fan & Xin Hou & Qian Sun - 1668-1692 Credit default swaps and firm risk
by Hai Lin & Binh Hoang Nguyen & Junbo Wang & Cheng Zhang
October 2023, Volume 43, Issue 10
- 1332-1372 Less disagreement, better forecasts: Adjusted risk measures in the energy futures market
by Ning Zhang & Yujing Gong & Xiaohan Xue - 1373-1392 Herd behaviors in index futures trading: Driving factors and impact on market volatility
by Ming‐Hung Wu & Wan‐Ting Hu & Pei‐Shih Weng - 1393-1422 Global climate change and commodity markets: A hedging perspective
by Shanghui Jia & Xinhui Chen & Liyan Han & Jiayu Jin - 1423-1449 Commodity network and predictable returns
by Qi Xu & Yang Ye - 1450-1468 Impact of crude oil volatility jumps on sustainable investments: Evidence from India
by Anupam Dutta & Kakali Kanjilal & Sajal Ghosh & Donghyun Park & Gazi Salah Uddin - 1469-1496 Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach
by Yangyang Zhuang & Pan Tang
September 2023, Volume 43, Issue 9
- 1183-1203 Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?
by Wei Jiang & Yanyu Zhang - 1204-1237 Commodity momentum and reversal: Do they exist, and if so, why?
by Meng Han - 1238-1260 VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models
by Gaoxiu Qiao & Gongyue Jiang - 1261-1288 Climate change attention and carbon futures return prediction
by Xu Gong & Mengjie Li & Keqin Guan & Chuanwang Sun - 1289-1304 The predictability of iron ore futures prices: A product‐material lead–lag effect
by Mengxi He & Yudong Wang & Yaojie Zhang - 1305-1328 Unspanned macro risks in VIX futures
by Xinglin Yang
August 2023, Volume 43, Issue 8
- 1040-1068 Wisdom of crowds and commodity pricing
by John Hua Fan & Sebastian Binnewies & Sanuri De Silva - 1069-1090 The geopolitical risk premium in the commodity futures market
by Daxuan Cheng & Yin Liao & Zheyao Pan - 1091-1125 The role of option‐based information on StockTwits, options trading volume, and stock returns
by Zin Yau Heng & Henry Leung - 1126-1160 High‐frequency trading and market quality: Evidence from account‐level futures data
by John Coughlan & Alexei G. Orlov - 1161-1180 An empirical investigation on risk factors in cryptocurrency futures
by Yeguang Chi & Wenyan Hao & Jiangdong Hu & Zhenkai Ran
July 2023, Volume 43, Issue 7
- 829-857 Term spreads of implied volatility smirk and variance risk premium
by Wei Guo & Xinfeng Ruan & Sebastian A. Gehricke & Jin E. Zhang - 858-879 The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?
by Arunava Bandyopadhyay & Prabina Rajib - 880-903 American strangle options with arbitrary strikes
by Tsvetelin S. Zaevski - 904-924 Who pays the liquidity cost? Central bank announcements and adverse selection
by Doojin Ryu & Robert I. Webb & Jinyoung Yu - 925-950 Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method
by Robert J. Elliott & Tak Kuen Siu - 951-967 Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
by Xin‐Jiang He & Sha Lin - 968-1035 A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions
by Huilian Huang & Tao Xiong
June 2023, Volume 43, Issue 6
- 705-733 Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach
by Xu Zhang & Xian Yang & Jianping Li & Jun Hao - 734-770 Modeling skewness in portfolio choice
by Trung H. Le & Apostolos Kourtis & Raphael Markellos - 771-791 Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions
by Jing Hao & Feng He & Feng Ma & Tong Fu - 792-806 A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China
by Miao Li & Tao Xiong & Ziran Li - 807-825 Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis
by Michail Filippidis & George Filis & Georgios Magkonis & Panagiotis Tzouvanas
May 2023, Volume 43, Issue 5
- 580-614 A tale of two premiums revisited
by Loïc Maréchal - 615-634 Strategic trading and manipulation in trade at settlement contracts
by Craig Pirrong - 635-661 The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze
by Jimmy E. Hilliard & Jitka Hilliard - 662-676 Analytically pricing exchange options with stochastic liquidity and regime switching
by Xin‐Jiang He & Sha Lin - 677-701 Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns
by Yu‐Sheng Lai
April 2023, Volume 43, Issue 4
- 437-454 Anger in predicting the index futures returns
by Zhen Cao & Jiancheng Shen & Xinbei Wei & Qunzi Zhang - 455-479 Forecasting swap rate volatility with information from swaptions
by Xiaoxi Liu & Jinming Xie - 480-515 Securitization of assets with payment delay risk: A financial innovation in the real estate market
by Chao Ma & Hao Zhang & Hongbiao Zhao - 516-548 Probability weighting in commodity futures markets
by Jun Yuan & Qi Xu & Ying Wang - 549-575 Temperature, storage, and natural gas futures prices
by Yanting Chen & Peter R. Hartley & Yihui Lan
March 2023, Volume 43, Issue 3
- 297-324 Price discovery in China's crude oil futures markets: An emerging Asian benchmark?
by Ziliang Yu & Jian Yang & Robert I. Webb - 325-348 Who has an edge in trading index derivatives?
by Jeewon Jang & Jangkoo Kang & Jaeram Lee - 349-383 Predictive power of the implied volatility term structure in the fixed‐income market
by Ren‐Raw Chen & Pei‐Lin Hsieh & Jeffrey Huang & Xiaowei Li - 384-403 Option features and price discovery in convertible bonds
by Liwei Jin & Xianghui Yuan & Li Peiran & Hailun Xu & Feng Lian - 404-434 Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters
by Yuh‐Dauh Lyuu & Yu‐Quan Zhang
February 2023, Volume 43, Issue 2
- 141-167 The influence of oil price uncertainty on stock liquidity
by Qin Zhang & Jin Boon Wong - 168-197 Commodity tail risks
by Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig - 198-216 Commodity momentum decomposition
by Yasuhiro Iwanaga & Ryuta Sakemoto - 217-241 Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach
by Kailin Ding & Zhenyu Cui & Xiaoguang Yang - 242-272 COVID‐19 and tail risk contagion across commodity futures markets
by Tongshuai Qiao & Liyan Han - 273-293 A new option for mortality–interest rates
by Tzuling Lin & Cary Chi‐Liang Tsai
January 2023, Volume 43, Issue 1
- 3-32 Industry variance risk premium, cross‐industry correlation, and expected returns
by Yabei Zhu & Xingguo Luo & Qi Xu - 33-68 Effects of nondiscretionary trading on futures prices
by Michael J. O'Neill & Robert E. Whaley - 69-89 Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula
by Yuting Gong & Xueqin Wang & Mo Zhu & Ying‐En Ge & Wenming Shi - 90-121 Pricing risky corporate bonds: An empirical study
by Belal Ehsan Baaquie & Muhammad Mahmudul Karim - 122-137 Changes in the options contract size and arbitrage opportunities
by Joonhyuk Song & Doojin Ryu & Jinyoung Yu
December 2022, Volume 42, Issue 12
- 2103-2134 A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model
by Tian‐Shyr Dai & Chen‐Chiang Fan & Liang‐Chih Liu & Chuan‐Ju Wang & Jr‐Yan Wang - 2135-2164 Forecasting variance swap payoffs
by Jonathan Dark & Xin Gao & Thijs van der Heijden & Federico Nardari - 2165-2189 Forecasting realized volatility: New evidence from time‐varying jumps in VIX
by Anupam Dutta & Debojyoti Das - 2190-2217 Bitcoin futures risk premia
by Shimeng Shi - 2218-2234 Understanding intraday momentum strategies
by Carlo Rosa - 2235-2247 Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets
by Liwei Jin & Xianghui Yuan & Shihao Wang & Peiran Li & Feng Lian - 2248-2272 Piecewise linear boundary crossing probabilities, barrier options, and variable annuities
by Hangsuck Lee & Hongjun Ha & Minha Lee
November 2022, Volume 42, Issue 11
- 2022-2040 Petroleum market volatility tracker in China
by Huabin Bian & Renhai Hua & Qingfu Liu & Ping Zhang - 2041-2052 The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets
by Yongmin Zhang & Shusheng Ding & Haili Shi - 2053-2067 Reporting delays and the information content of off‐market trades
by Alex Frino & Luca Galati & Dionigi Gerace - 2068-2083 Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets
by Yang Liu & Tongshuai Qiao & Liyan Han - 2084-2100 Analyst rating matters for index futures
by Liyan Han & Xinbei Wei & Sen Yan & Qunzi Zhang
October 2022, Volume 42, Issue 10
- 1797-1820 Margin requirements based on a stochastic correlation model
by Dávid Zoltán Szabó & Kata Váradi - 1821-1836 Option pricing with maximum entropy densities: The inclusion of higher‐order moments
by Omid M. Ardakani - 1837-1855 Algorithmic trading and market quality: Evidence from the Taiwan index futures market
by Ya‐Kai Chang & Robin K. Chou - 1856-1911 Pricing callable–puttable convertible bonds with an integral equation approach
by Sha Lin & Song‐Ping Zhu - 1912-1940 Venturing into uncharted territory: An extensible implied volatility surface model
by Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin - 1941-1959 Hedging commodities in times of distress: The case of COVID‐19
by Luiz Augusto Magalhães & Thiago Christiano Silva & Benjamin Miranda Tabak - 1960-1986 Time‐varying pure contagion effect between energy and nonenergy commodity markets
by Xu Gong & Yujing Jin & Chuanwang Sun - 1987-2017 The role of textual analysis in oil futures price forecasting based on machine learning approach
by Xu Gong & Keqin Guan & Qiyang Chen
September 2022, Volume 42, Issue 9
- 1644-1664 Do VIX futures contribute to the valuation of VIX options?
by Chen Tong & Zhuo Huang & Tianyi Wang - 1665-1687 Dynamics in the VIX complex
by Anders Merrild Posselt - 1688-1703 Financially constrained index futures arbitrage
by Kristoffer Glover & Hardy Hulley - 1704-1720 Volatility model applications in China's SSE50 options market
by Yeguang Chi & Wenyan Hao & Yifei Zhang - 1721-1737 The information content of the volatility index options trading volume
by Chen Gu & Xu Guo & Alexander Kurov & Raluca Stan - 1738-1754 A systemic change of measure from central clearing
by Injun Hwang & Baeho Kim - 1755-1771 Are option traders more informed than Twitter users? A PVAR analysis
by Alex Frino & Caihong Xu & Z. Ivy Zhou - 1772-1793 Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?
by Xuejun Jin & Jingyu Zhao & Xingguo Luo
August 2022, Volume 42, Issue 8
- 1409-1433 Option pricing with state‐dependent pricing kernel
by Chen Tong & Peter Reinhard Hansen & Zhuo Huang - 1434-1465 The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets
by Jing Nie & Juliana Malagon & Julian Williams - 1466-1490 Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?
by William J. Procasky & Anwen Yin - 1491-1517 Beta and size equity premia following a high‐VIX threshold
by Naresh Bansal & Robert A. Connolly & Chris Stivers - 1518-1548 Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX
by Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang - 1549-1572 The information effect of order flows in foreign currency futures and spot markets
by Yu‐Lun Chen & Yin‐Feng Gau