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August 1997, Volume 17, Issue 5
- 599-615 Hedging efficiency: A futures exchange management approach
by Joost M.E. Pennings & Matthew T.G. Meulenberg
June 1997, Volume 17, Issue 4
- 369-384 International currency relationship information revealed by cross‐option prices
by Andrew F. Siegel - 385-416 An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets
by Roger A. Fujihara & Mbodja Mougoué - 417-432 The impact of proprietary--public information on pork futures
by Thomas L. Mann & Richard J. Dowen - 433-473 Searching for fractal structure in agricultural futures markets
by Marco Corazza & A.G. Malliaris & Carla Nardelli - 475-482 Cross hedging in currency forward markets: A note
by Udo Broll - 483-487 A note on the valuation of an exotic timing option
by Mondher Bellalah & Jean‐Luc Prigent
May 1997, Volume 17, Issue 3
- 247-277 Liquidity without volume: The case of FINEX, Dublin
by Dana R. Clyman & Christopher S. Allen & Richard Jaycobs - 279-301 An evaluation of price linkages between futures and cash markets for cheddar cheese
by T. Randall Fortenbery & Hector O. Zapata - 303-316 Marking‐to‐market and the demand for interest rate futures contracts
by Abraham Lioui - 317-339 Informational content in historical CTA performance
by David McCarthy & Thomas Schneeweis & Richard Spurgin - 341-367 Crop year influences and variability of the agricultural futures spreads
by Hans R. Dutt & John Fenton & Jonathan D. Smith & George H. K. Wang
April 1997, Volume 17, Issue 2
- 131-160 A simple approach to bond option pricing
by Jason Z. Wei - 161-189 Fractional dynamics in international commodity prices
by John Barkoulas & Walter C. Labys & Joseph Onochie - 191-214 Risk premia in the ruble/dollar futures market
by Anatoly Peresetsky & Frans de Roon - 215-227 Put‐call parity with futures‐style margining
by Stephen A. Easton - 229-245 Futures market transaction costs
by Peter R. Locke & P. C. Venkatesh
February 1997, Volume 17, Issue 1
- 1-15 Convenience yields as call options: An empirical analysis
by Nikolaos T. Milonas & Stavros B. Thomadakis - 17-43 Volatility, storage and convenience: Evidence from natural gas markets
by Raul Susmel & Andrew Thompson - 45-74 Intraday futures volatility and theories of market behavior
by Robert T. Daigler - 75-99 Linear dependence, nonlinear dependence and petroleum futures market efficiency
by Roger A. Fujihara & Mbodja Mougoué - 101-115 Hedging ratios and cash/futures market linkages
by Michael Theobald & Peter Yallup - 117-128 The rolling spot futures contract: An error correction model analysis
by Asim Ghosh & Claire G. Gilmore
December 1996, Volume 16, Issue 8
- 859-863 Interest‐rate option pricing revisited
by Craig Merrill & David Babbel - 865-879 The Fed funds futures rate as a predictor of federal reserve policy
by Joel T. Krueger & Kenneth N. Kuttner - 881-897 Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons
by Gordon Gemmill - 899-913 Normal backwardation in short‐term interest rate futures markets
by Tim Krehbiel & Roger Collier - 915-942 The predictive power of implied stochastic variance from currency options
by Dajiang Guo - 943-968 Regulatory competition and the efficiency of alternative derivative product margining systems
by Paul H. Kupiec & A. Patricia White
October 1996, Volume 16, Issue 7
- 735-755 Time‐varying risk premia in the foreign currency futures basis
by Christopher F. Baum & John Barkoulas - 757-772 Survivor bias in commodity trading advisor performance
by Thomas Schneeweis & Richard Spurgin & David McCarthy - 773-780 The effect of the cointegration relationship on futures hedging: A note
by Da‐Hsiang Donald Lien - 781-808 An empirical analysis of the alleged manipulation attempt and forced liquidation of the July 1989 soybean futures contract
by Scott W. Barnhart & Kandice H. Kahl & Cora Moore Barnhart - 809-828 Futures prices and the maturity effect
by Tina M. Galloway & Robert W. Kolb - 829-857 Announcement versus nonannouncement: A study of intraday transaction price paths of Deutsche mark and Japanese yen futures
by Hsiaohua Leng
September 1996, Volume 16, Issue 6
- 611-629 S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
by Charles J. Corrado & Tie Su - 631-654 The systematic risk of futures contracts
by Robert W. Kolb - 655-676 Storage profitability and hedge ratio estimation
by Sergio H. Lence & Marvin L. Hayenga & Michael D. Patterson - 677-696 Market making with price limits
by Gregory J. Kuserk & Peter R. Locke - 697-724 The demise of the high fructose corn syrup futures contract: A case study
by Sarahelen Thompson & Philip Garcia & Lynne Dallafior Wildman - 725-733 Derivatives and futures bibliography
by Robert T. Daigler
August 1996, Volume 16, Issue 5
- 475-517 Do managed futures make good investments?
by Franklin R. Edwards & James M. Park - 519-543 Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts
by Craig Pirrong - 545-560 Recovering probabilistic information from option markets: Tests of distributional assumptions
by Bruce J. Sherrick & Philip Garcia & Viswanath Tirupattur - 561-584 The role of futures trading activity in exchange rate volatility
by Arjun Chatrath & Sanjay Ramchander & Frank Song - 585-594 A note on modified lattice approaches to option pricing
by Stephen A. Easton - 595-609 Linkages between agricultural commodity futures contracts
by A. G. Malliaris & Jorge L. Urrutia
June 1996, Volume 16, Issue 4
- 353-387 Trading costs and the relative rates of price discovery in stock, futures, and option markets
by Jeff Fleming & Barbara Ostdiek & Robert E. Whaley - 389-403 Do systematic risk premiums persist in eurodollar futures prices?
by Tim Krehbiel & Lee C. Adkins - 405-420 A further investigation of the lead‐lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France
by Gang Shyy & Vasumathi Vijayraghavan & Brian Scott‐Quinn - 421-440 Ex ante basis risk in the live hog futures contract: Has hedgers' risk increased?
by Philip Garcia & Dwight R. Sanders - 441-458 Optimum futures hedges with jump risk and stochastic basis
by Carolyn W. Chang & Jack S.K. Chang & Hsing Fang - 459-474 Derivatives usage and interest rate risk of large banking firms
by Latha Shanker
May 1996, Volume 16, Issue 3
- 247-272 Efficient option‐implied volatility estimators
by Charles J. Corrado & Thomas W. Miller Jr. - 273-287 Are hog and pig reports informative?
by Thomas L. Mann & Richard J. Dowen - 289-311 An empirical test of the effect of basis risk on cash market positions
by Janet S. Netz - 313-330 Detecting volatility changes across the oil sector
by Berry Wilson & Reena Aggarwal & Carla Inclan - 331-352 Mean reversion of interest‐rate term premiums and profits from trading strategies with treasury futures spreads
by Tae H. Park & Lorne N. Switzer
April 1996, Volume 16, Issue 2
- 131-145 Macroeconomic news and the efficiency of international bond futures markets
by Kent G. Becker & Joseph E. Finnerty & Kenneth J. Kopecky - 147-162 Intraday return dynamics between the cash and the futures markets in Japan
by Yoshio Iihara & Kiyoshi Kato & Toshifumi Tokunaga - 163-188 A reexamination of portfolio insurance: The use of index put options
by Yisong Tian - 189-199 An optimal price index for stock index futures contracts
by Jonathan Rougier - 201-209 A graphical note on European put thetas
by Gordon J. Alexander & Michael Stutzer - 211-217 Simple risk measures when hedging commodities using foreign markets: A note
by Frank S. Novak & James R. Unterschultz - 219-226 On the conventional definition of currency hedge ratio
by Da‐Hsiang Donald Lien - 227-240 The value of information in the presence of futures markets
by Eyal Sulganik & Itzhak Zilcha - 241-245 Options bibliography
by Robert T. Daigler
February 1996, Volume 16, Issue 1
- 1-27 Energy shocks and financial markets
by Roger D. Huang & Ronald W. Masulis & Hans R. Stoll - 29-54 The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk
by John Board & Charles Sutcliffe - 55-69 Temporal relationships and dynamic interactions between spot and futures stock markets
by Gregory Koutmos & Michael Tucker - 71-80 Put‐call parities and the value of early exercise for put options on a performance index
by Frans De Roon & Chris Veld - 81-111 Price volatility and futures margins
by Gikas A. Hardouvelis & Dongcheol Kim - 113-127 Options bibliography
by Robert T. Daigler
December 1995, Volume 15, Issue 8
- 861-879 The mispricing of U.S. treasury callable bonds
by Peter Carayannopoulos - 881-899 Option initiation and underlying market behavior: Evidence from Norway
by Øystein Gjerde & Frode Sættem - 901-928 Conditional heteroskedasticity, asymmetry, and option pricing
by Taehoon Kang & B. Wade Brorsen - 929-951 Volume‐volatility relationships for crude oil futures markets
by Andrew J. Foster - 953-970 Forecasting futures trading volume using neural networks
by Iebeling Kaastra & Milton S. Boyd
October 1995, Volume 15, Issue 7
- 731-765 New trading practices and short‐run market efficiency
by Kenneth A. Froot & André F. Perold - 767-783 Hedging short‐term interest risk under time‐varying distributions
by Louis Gagnon & Greg Lypny - 785-803 Does options trading lead to greater cash market volatility?
by Arjun Chatrath & Sanjay Ramchander & Frank Song - 805-831 Distortion‐free futures price series
by Charles G. Geiss - 833-859 Dax index futures: Mispricing and arbitrage in German markets
by Wolfgang Bühler & Alexander Kempf
September 1995, Volume 15, Issue 6
- 605-615 Finnish turn‐of‐the‐month effects: Returns, volume, and implied volatiliy
by Teppo Martikainen & Jukka Perttunen & Vesa Puttonen - 617-635 Mean‐Gini hedging in futures markets
by Haim Shalit - 637-648 Do futures prices for commodities embody risk premiums?
by Richard Deaves & Itzhak Krinsky - 649-675 A trading simulation test for weak‐form efficiency in live cattle futures
by Terry L. Kastens & Ted C. Schroeder - 677-689 Volatility, volume, and the notion of balance in the S&P 500 cash and futures markets
by Sharon Brown‐Hruska & Gregory Kuserk - 691-717 Hedge performance of SPX index options and S&P 500 futures
by Bruce A. Benet & Carl F. Luft - 719-730 Futures bibliography
by Robert T. Daigler
August 1995, Volume 15, Issue 5
- 507-536 A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length
by John M. Geppert - 537-557 Has futures trading activity caused stock price volatility?
by Ali F. Darrat & Shafiqur Rahman - 559-571 Solving for optimal futures and options positions using a simulation‐optimization technique
by Li‐Fen Lei & Donald Liu & Arne Hallam - 573-584 Long memory in interest rate futures markets: A fractional cointegration analysis
by G. Geoffrey Booth & Yiuman Tse - 585-603 The failure of the mortgage‐backed futures contract
by Frank E. Nothaft & Vassilis Lekkas & George H. K. Wang
June 1995, Volume 15, Issue 4
- 373-394 Implications of trader mix to price discovery and market effectiveness in live cattle futures
by Won‐Cheol Yun & Wayne Purcell & Anya McGuirk & David Kenyon - 395-421 Intraday volatility in interest rate and foreign exchange spot and futures markets
by Susan J. Craln & Jae Ha Lee - 423-455 Index arbitrage as cross‐sectional market making
by Craig W. Holden - 457-488 Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets
by Abhay H. Abhyankar - 489-506 Price movements and price discovery in the municipal bond index and the index futures markets
by Mao‐Wei Hung & Hua Zhang
May 1995, Volume 15, Issue 3
- 211-264 The collapse of Metallgesellschaft: Unhedgeable risks, poor hedging strategy, or just bad luck?
by Franklin R. Edwards & Michael S. Canter - 265-302 Predicting stock market volatility: A new measure
by Jeff Fleming & Barbara Ostdiek & Robert E. Whaley - 303-344 Some easy‐to‐implement methods of calculating American futures option prices
by M. M. Chaudhury - 345-372 A two‐factor, preference‐free model for interest rate sensitive claims
by Ren‐Raw Chen
April 1995, Volume 15, Issue 2
- 101-110 Import and hedging uncertainty in international trade
by Avner Wolf - 111-129 The welfare costs of Arkansas Best: The inefficiency of asymmetric taxation of hedging gains and losses
by Craig Pirrong - 131-166 Conditional dynamics and optimal spreading in the precious metals futures markets
by Mahmoud Wahab - 167-186 The effectiveness of arbitrage and speculation in the crude oil futures market
by Imad A. Moosa & Nabeel E. Al‐Loughani - 187-200 Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market
by Tae H. Park & Lorne N. Switzer - 201-209 Futures bibliography
by Robert T. Daigler
February 1995, Volume 15, Issue 1
- 1-11 Exporting and hedging decisions with a foward currency market: The multiperiod case
by Guillermo Donoso - 13-38 Mixed manipulation strategies in commodity futures markets
by Stephen Craig Pirrong - 39-44 A risk‐return measure of hedging effectiveness: A simplification
by Cheng‐Kun Kuo & Keng‐Wang Chen - 45-59 Price limits as an explanation of thin‐tailedness in pork bellies futures prices
by Seung‐Ryong Yang & B. Wade Brorsen - 61-67 Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note
by Tae H. Park & Lorne N. Switzer - 69-86 Analysis of spreads in agricultural futures
by W. Brian Barrett & Robert W. Kolb - 87-99 Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB
by Gang Shyy & Jie‐Haun Lee
December 1994, Volume 14, Issue 8
- 877-890 Price equilibrium and transmission in a controlled economy: A case study of the metal exchange in China
by Gang Shyy & Bob Butcher - 891-913 Forwards or options? Nesting procedures for “fire and forget” commodity hedging
by Roger J. Bowden - 915-925 Common volatility in S&P 500 stock index and S&P 500 index futures prices during October 1987
by Bala Arshanapalli & John Doukas - 927-955 Multiperiod hedging in the presence of conditional heteroskedasticity
by Donald Lien & Xiangdong Luo - 957-962 On the arbitrage‐free pricing relationship between index futures and index options: A note
by Joseph K. W. Fung & Kam C. Chan
October 1994, Volume 14, Issue 7
- 773-787 Systematic risk and returns to stock index futures contracts: International evidence
by Antonios Antoniou & Phil Holmes - 789-811 The performance of S&P 500 futures product margins under the SPAN margining system
by Paul H. Kupiec - 813-836 Futures pricing and the cost of carry under price limits
by Don M. Chance - 837-859 An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market
by George H. K. Wang & Raphael J. Michalski & James V. Jordan & Eugene J. Moriarty - 861-875 The forecasting performance of livestock futures prices: A comparison to USDA expert predictions
by Scott H. Irwin & Mary E. Gerlow & Te‐Ru Liu
September 1994, Volume 14, Issue 6
- 637-659 (Micro) fads in asset prices: Evidence from the futures market
by Gerald D. Gay & Jayant R. Kale & Robert W. Kolb & Thomas H. Noe - 661-684 Should actively traded futures contracts come under the dual‐trading ban?
by Sugato Chakravarty - 685-707 A new measure to compare the hedging effectiveness of foreign currency futures versus options
by Chin‐Wen Hsln & Jerry Kuo & Cheng‐Few Lee - 709-756 The gold‐silver spread: Integration, cointegration, predictability, and ex‐ante arbitrage
by Mahmoud Wahab & Richard Cohn & Malek Lashgari - 757-771 Further evidence on parity relationships in options on S&P 500 index futures
by Patrick H. Marchand & James T. Lindley & Richard A. Followill
August 1994, Volume 14, Issue 5
- 511-529 A time series test of calendar seasonalities in the S&P 500 index since the introduction of index derivative securities
by Don Cyr & Tanya Llewellyn - 531-543 Interest rate futures: Evidence on forecast power, expected premiums, and the unbiased expectations hypothesis
by Tim Krehbiel & Lee C. Adkins - 545-573 Multiple delivery points, pricing dynamics, and hedging effectiveness in futures markets for spatial commodities
by Stephen Craig Pirrong & Roger Kormendi & Philip Meguire - 575-596 The pricing of municipal bond index futures
by Thomas R. Hamilton & Scott E. Hein & Timothy W. Koch - 597-617 A nonstationary trinomial model for the valuation of options on treasury bond futures contracts
by Ehud I. Ronn & Robert R. Bliss Jr. - 619-635 Nonconstant optimal hedge ratio estimation and nested hypotheses tests
by Kevin P. McNew & Paul L. Fackler
June 1994, Volume 14, Issue 4
- 379-404 Trade deficit announcements and exchange rate volatility: Evidence from the spot and futures markets
by Jahangir Sultan - 405-419 Examining the dependency in intra‐day stock index futures
by Hung‐Gay Fung & Wai‐Chung Lo & John E. Peterson - 421-436 Competing derivative equity instruments: Empirical evidence on hedged portfolio performance
by G. D. Hancock & P. D. Weise - 437-455 Estimating the effective BID/ASK spread from time and sales data
by Tom Smith & Robert E. Whaley - 457-474 A time series approach to testing for market linkage: Unit root and cointegration tests
by George H. K. Wang & Jot Yau - 475-492 The informational content of USDA crop reports: Impacts on uncertainty and expectations in grain futures markets
by Kevin P. McNew & Juan Andres Espinosa - 493-510 The effect of CME rule 552 on dual traders
by Eric C. Chang & Peter R. Locke & Steven C. Mann
May 1994, Volume 14, Issue 3
- 259-273 Forecasting the nearby basis of live cattle
by Shi‐Miin Liu & B. Wade Brorsen & Charles M. Oellermann & Apul L. Farris - 275-292 Triple‐witching hour, the change in expiration timing, and stock market reaction
by Chao Chen & James Williams - 293-322 Using intraday data to test for effects of index futures on the underlying stock markets
by Hong Chol & Avanidhar Subrahmanyam - 323-346 Assessing the intraday relationship between implied and historical volatility
by Ira G. Kawaller & Paul D. Koch & John E. Peterson - 347-361 Cash settlement as an alternative settlement mechanism for the live hog futures contract
by Kevin L. Kimle & Marvin L. Hayenga - 363-378 Comparative pricing of American and European index options: An empirical analysis
by Paul Dawson
April 1994, Volume 14, Issue 2
- 121-146 Preliminary evidence on a new market: The futures on the Italian treasury bonds
by Marcello Esposito & Claudio Giraldi - 147-167 Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis
by Thomas V. Schwarz & Andrew C. Szakmary - 169-181 Fractal structure in currency futures price dynamics
by Hsing Fang & Kon S. Lai & Michael Lai - 183-213 Options on futures spreads: Hedging, speculation, and valuation
by David C. Shimko - 215-235 Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples
by Stephen J. Taylor - 237-258 The cost of hedging and the optimal hedge ratio
by Charles T. Howard & Louis J. D'Antonio
February 1994, Volume 14, Issue 1
- 1-24 Analytic approximation of the optimal exercise boundaries for american future options
by Joon Kim - 25-36 Prediction of future currency exchange rates from current currency futures prices: The case of GM and JY
by George Y. Jabbour - 37-50 Forecasting interest rates with eurodollar futures rates
by C. Steven Cole & William Reichenstein - 51-78 The effect of market opening and closing on the volatility of eurodollar futures prices
by Robert I. Webb & David G. Smith - 79-101 A reexamination of put‐call parity on index futures
by Joel S. Sternberg - 103-109 Dependence in commodity prices: A comment
by William O. Tomek - 111-116 Upper bounds for american futures options: A note
by Mohammed M. Chaudhury & Jason Wei - 117-119 A note on the crash and participation in stock index futures
by James T. Moser
December 1993, Volume 13, Issue 8
- 837-847 Hedge ratios and basis behavior: An intuitive insight?
by Carl E. Shafer - 849-864 Robust live hog pricing strategies under uncertain prices and risk preferences
by Brian D. Adam & Philip Garcia & Robert J. Hauser - 865-872 Memory in interest rate futures
by Hung‐Gay Fung & Wai‐Chung Lo - 873-887 Impacts of shifts in uncertainty on spot and futures price change serial correlation and standardized covariation measures
by Dean Leistikow - 889-902 A transactions data analysis of arbitrage between index options and index futures
by Jae Ha Lee & Nandkumar Nayar - 903-907 An alternative formulation on the pricing of foreign currency options
by Raymond Chiang & John Okunev - 909-920 Estimating multiperiod hedge ratios in cointegrated markets
by Donald Lien & Xiangdong Luo - 921-932 An examination of cointegration relations between futures and local grain markets
by T. Randall Fortenbery & Hector O. Zapata - 933-941 A cointegration test for oil futures market efficiency
by William J. Crowder & Anas Hamed - 943-945 Futures bibliography
by Robert T. Daigler
October 1993, Volume 13, Issue 7
- 711-742 Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach
by Mahmoud Wahab & Malek Lashgari - 743-752 Hedging with stock index futures: Estimation and forecasting with error correction model
by Asim Ghosh - 753-763 Cointegration tests of the unbiased expectations hypothesis in metals markets
by Tim Krehbiel & Lee C. Adkins - 765-779 Reliability of soybean and corn option‐based probability assessments
by Elvira Maria de Sousa Silva & Kandice H. Kahl - 781-797 An empirical examination of interest‐rate futures prices
by Andrew H. Chen & Marcia Millon Cornett & Prafulla G. Nabar - 799-820 Investment performance of public commodity pools: 1979‐1990
by Scott H. Irwin & Terry R. Krukemyer & Carl R. Zulauf - 821-836 A theoretical comparison of composite index futures contracts
by Donald Lien & Xiangdong Luo
September 1993, Volume 13, Issue 6
- 579-595 Export/Import risks at alternative stages of U.S. grain export trade
by Robert J. Hauser & David Neff - 597-609 Utility maximizing hedge ratios in the extended mean gini framework
by Robert W. Kolb & John Okunev - 611-630 An empirical analysis of risk premia in futures markets
by Hendrik Bessembinder - 631-643 Forecasting S&P and gold futures prices: An application of neural networks
by Gary Grudnitski & Larry Osburn - 645-664 Short sales restrictions and the temporal relationship between stock index cash and derivatives markets
by Vesa Puttonen - 665-676 Estimating the extended mean‐gini coefficient for futures hedging
by Donald Lien & Xiangdong Luo - 677-691 Futures margins and stock price volatility: Is there any link?
by Paul H. Kupiec - 693-702 Delivery and manipulation in futures markets
by Paul L. Fackler - 703-709 Futures bibliography
by Robert T. Daigler
August 1993, Volume 13, Issue 5
- 441-451 Optimal hedging when preferences are state dependent
by Eric Briys & Harris Schlesinger - 453-467 Seasonal effects in S&P 100 index option returns
by John S. Cotner & Nandkumar Nayar - 469-496 How price discovery by futures impacts the cash market
by James T. Witherspoon - 497-514 Feeder cattle cash settlement: Hedging risk reduction or illusion?
by Don R. Rich & Raymond M. Leuthold - 515-526 Managing non‐parallel shift risk of yield curve with interest rate futures
by Sang Bin Lee & Seung Hyun Oh - 527-543 Reducing the bias in empirical studies due to limit moves
by Kenneth H. Sutrick - 545-562 Boundary conditions for index options: Evidence from the finnish market
by Vesa Puttonen