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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 - 1573-1596 Exploring the dynamics of the equity–commodity nexus: A study of base metal futures
by Ipsita Saishree & Puja Padhi - 1597-1638 Analyzing interactive call, default, and conversion policies for corporate bonds
by Liang‐Chih Liu & Tian‐Shyr Dai & Lei Zhou & Hao‐Han Chang
July 2022, Volume 42, Issue 7
- 1189-1211 Intraday liquidity in soybean complex futures markets
by Thomas A. P. de Boer & Cornelis Gardebroek & Joost M. E. Pennings & Andres Trujillo‐Barrera - 1212-1233 Hedging pressure and liquidity provision in commodity options markets
by Tianyang Zhang - 1234-1263 Recovering subjective probability distributions
by Akira Yamazaki - 1264-1283 Overnight volatility, realized volatility, and option pricing
by Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu - 1284-1303 Pricing cancellable American put options on the finite time horizon
by Tsvetelin S. Zaevski - 1304-1323 Trading behavior in bitcoin futures: Following the “smart money”
by Dirk G. Baur & Lee A. Smales - 1324-1351 How do firms hedge in financial distress?
by Evan Dudley & Niclas Andrén & Håkan Jankensgård - 1352-1368 Price discovery in the CSI 300 Index derivatives markets
by Liwei Jin & Xianghui Yuan & Jun Long & Xiang Li & Feng Lian - 1369-1406 Power‐type derivatives for rough volatility with jumps
by Liang Wang & Weixuan Xia
June 2022, Volume 42, Issue 6
- 983-1001 Approximate pricing of American exchange options with jumps
by Guanghua Lian & Robert J. Elliott & Petko Kalev & Zhaojun Yang - 1002-1038 VIX option‐implied volatility slope and VIX futures returns
by Jungah Yoon & Xinfeng Ruan & Jin E. Zhang - 1039-1066 GARCH pricing and hedging of VIX options
by Qiang Liu & Yuhan Jiao & Shuxin Guo - 1067-1083 Resale options and heterogeneous beliefs
by Kai‐Min Huang & I‐Doun Kuo & Rong‐Tsorng Wang - 1084-1113 Nonlinear limits to arbitrage
by Jingzhi Chen & Charlie X. Cai & Robert Faff & Yongcheol Shin - 1114-1134 Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns
by Yun‐Huan Lee & Tzu‐Hsiang Liao & Hsiu‐Chuan Lee - 1135-1166 The information in global interest rate futures contracts
by Robert Brooks & Brandon N. Cline & Pavel Teterin & Yu You - 1167-1185 Does offshore NDF market influence onshore forex market? Evidence from India
by Harendra Behera & Rajiv Ranjan & Sajjid Chinoy
May 2022, Volume 42, Issue 5
- 790-802 Sheep in wolves' clothing: Using false signals of demand to execute a market power manipulation
by Craig Pirrong - 803-822 A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?
by Yufeng Han & Lingfei Kong - 823-851 Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges
by Ekaterina E. Emm & Gerald D. Gay & Han Ma & Honglin Ren - 852-867 Pricing vulnerable options under correlated skew Brownian motions
by Che Guo & Xingchun Wang - 868-887 Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets
by Geert Dhaene & Piet Sercu & Jianbin Wu - 888-922 Pricing VXX options by modeling VIX directly
by Wei Lin & Jin E. Zhang - 923-958 Investment horizon and option market activity
by Da‐Hea Kim - 959-980 A Black–Scholes user's guide to the Bachelier model
by Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang
April 2022, Volume 42, Issue 4
- 555-579 Robust information share measures with an application on the international crude oil markets
by Hong Li & Yanlin Shi - 580-604 Information contents of intraday SSE 50 ETF options trades
by Xingguo Luo & Wenye Cai & Doojin Ryu - 605-644 Information and the arrival rate of option trading volume
by Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou - 645-667 Multistep forecast of the implied volatility surface using deep learning
by Nikita Medvedev & Zhiguang Wang - 668-691 Option‐implied moments and the cross‐section of stock returns
by Lykourgos Alexiou & Leonidas S. Rompolis - 692-721 Multi‐step reflection principle and barrier options
by Hangsuck Lee & Gaeun Lee & Seongjoo Song - 722-750 Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach
by Lei Ming & Yao Shen & Shenggang Yang & Minyi Dong - 751-785 Risk‐neutral skewness and commodity futures pricing
by Ana‐Maria Fuertes & Zhenya Liu & Weiqing Tang
March 2022, Volume 42, Issue 3
- 313-337 Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?
by Tianyang Zhang & Ziran Li - 338-364 Who and what drives informed options trading after the market opens?
by Jongho Kang & Jangkoo Kang & Jaeram Lee - 365-388 Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach
by Pakorn Aschakulporn & Jin E. Zhang - 389-412 A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
by Hsiang‐Tai Lee - 413-427 US experience with futures transaction taxes
by Scott Mixon - 428-445 The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread
by Ziran Li & Dermot J. Hayes - 446-471 The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach
by Gregor Helmut Schoenemann - 472-491 Do oil shocks impact stock liquidity?
by Qin Zhang & Jin Boon Wong - 492-524 Arbitrage, contract design, and market structure in Bitcoin futures markets
by Riccardo De Blasis & Alexander Webb - 525-551 A Skellam market model for loan prime rate options
by Zhanyu Chen & Kai Zhang & Hongbiao Zhao
February 2022, Volume 42, Issue 2
- 191-191 Editor's note
by Robert I. Webb - 192-211 One session options: Playing the announcement lottery?
by Lee A. Smales & Zhangxin (Frank) Liu & Cameron D. Robertson - 212-230 Speculation or hedging?—Options trading prior to FOMC announcements
by George J. Jiang & Guanzhong Pan - 231-249 Lottery and bubble stocks and the cross‐section of option‐implied tail risks
by Sobhesh Kumar Agarwalla & Sumit Saurav & Jayanth R. Varma - 250-275 Market uncertainty and sentiment around USDA announcements
by An N. Q. Cao & Michel A. Robe - 276-295 Warrants in the financial management decisions of innovative firms
by Hyuna Park - 296-309 Connectivity costs and price efficiency: An event study
by Alex Frino & Ognjen Kovacevic & Vito Mollica & Robert I. Webb
January 2022, Volume 42, Issue 1
- 3-3 Editor's Note
by Bart Frijns - 4-4 Editor's Note
by Robert I. Webb - 5-23 Resiliency in the E‐mini futures market
by Raymond P. H. Fishe & Richard Haynes & Esen Onur - 24-60 Do enhanced derivative disclosures work? An informational perspective
by Guanming He & Helen Mengbing Ren & Richard Taffler - 61-76 Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity
by Doojin Ryu & Jinyoung Yu - 77-103 Revisiting the valuation of deposit insurance
by Chuang‐Chang Chang & San‐Lin Chung & Ruey‐Jenn Ho & Yu‐Jen Hsiao - 104-124 Use of high‐frequency data to evaluate the performance of dynamic hedging strategies
by Yu‐Sheng Lai - 125-151 Piecewise linear double barrier options
by Hangsuck Lee & Hongjun Ha & Minha Lee - 152-171 Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems
by Ana M. Monteiro & António A. F. Santos