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Content
July 2021, Volume 41, Issue 7
- 1055-1073 Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market
by Bin Wu & Pengzhan Chen & Wuyi Ye - 1074-1091 Pricing and calibration of the futures options market: A unified approximation
by Xiaotong Lian & Yingda Song - 1092-1123 Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?
by Sanjay Sehgal & Neharika Sobti & Florent Diesting - 1124-1153 Effects of structural changes on the prediction of downside volatility in futures markets
by Xu Gong & Boqiang Lin - 1154-1176 Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options
by Sol Kim
June 2021, Volume 41, Issue 6
- 785-810 VIX term structure: The role of jump propagation risks
by Xinglin Yang & Ji Chen - 811-874 New evidence on commodity stocks
by Charoula Daskalaki - 875-894 When it pays to follow the crowd: Strategy conformity and CTA performance
by Nicolas P. B. Bollen & Mark C. Hutchinson & John O'Brien - 895-925 Time‐varying dynamics of expected shortfall in commodity futures markets
by Julia S. Mehlitz & Benjamin R. Auer - 926-948 Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures
by Yu‐Lun Chen & Yen‐Hsien Lee & Robin K. Chou & Ya‐Kai Chang - 949-984 Efficiency in the Atlantic salmon futures market
by Bendik P. Andersen & Petter E. de Lange
May 2021, Volume 41, Issue 5
- 559-576 Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility
by Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh - 577-640 Intermediary capital risk and commodity futures volatility
by Libo Yin & Jing Nie & Liyan Han - 641-657 Credit risk in derivative securities: A simplified approach
by Rainer Baule - 658-685 Informed options trading around holidays
by Doojin Ryu & Jinyoung Yu - 686-709 Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank
by Raymond Kim - 710-735 On the computation of hedging strategies in affine GARCH models
by Maciej Augustyniak & Alexandru Badescu - 736-757 Determinants of the WTI‐Brent price spread revisited
by Jerome Geyer‐Klingeberg & Andreas W. Rathgeber - 758-782 Managing volatility in commodity momentum
by Qi Xu & Ying Wang
April 2021, Volume 41, Issue 4
- 439-457 The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps
by Xiaoyu Tan & Chengxiang Wang & Wei Lin & Jin E. Zhang & Shenghong Li & Xuejun Zhao & Zili Zhang - 458-477 A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps
by Fangsheng Yin & Yang Bian & Tianyi Wang - 478-492 Off‐market block trades: New evidence on transparency and information efficiency
by Alex Frino - 493-513 Quantile information share under Markov regime‐switching
by Donald Lien & Ziling Wang & Xiaojian Yu - 514-535 American option pricing: Optimal Lattice models and multidimensional efficiency tests
by Qianru Shang & Brian Byrne - 536-555 Price discovery in chinese agricultural futures markets: A comprehensive look
by Jian Yang & Zheng Li & Tao Wang - 556-556 Erratum to “An analytical perturbative solution to the Merton Garman model using symmetries”
by Xavier Calmet & Nathaniel Wiesendanger Shaw
March 2021, Volume 41, Issue 3
- 289-289 Editor's Note
by Robert I. Webb - 290-324 Semivariance and semiskew risk premiums in currency markets
by José Da Fonseca & Edem Dawui - 325-348 Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange
by Yi‐Wei Chuang & Wei‐Che Tsai & Pei‐Shih Weng & Chi Yin - 349-360 Estimation of stochastic volatility and option prices
by Suk Joon Byun & Jung‐Soon Hyun & Woon Jun Sung - 361-383 Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry
by Sanghak Choi & Hyeonung Jang & Daejin Kim & Byoung Ki Seo - 384-405 Hedging operating and financing risk with financial derivatives during the global financial crisis
by Sung C. Bae & Taek Ho Kwon - 406-436 The traders' rule and long‐term options
by Sol Kim & In Jung Song
February 2021, Volume 41, Issue 2
- 159-178 Volatility‐managed commodity futures portfolios
by Jangkoo Kang & Kyung Yoon Kwon - 179-193 Stock market reactions to different types of oil shocks: Evidence from China
by Jin Boon Wong - 194-225 Bitcoin spot and futures market microstructure
by Saketh Aleti & Bruce Mizrach - 226-244 Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896
by Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski - 245-265 Volatility‐of‐volatility risk in the crude oil market
by Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao - 266-285 Optimal portfolio allocation using option‐implied information
by Maria Kyriacou & Jose Olmo & Marius Strittmatter
January 2021, Volume 41, Issue 1
- 3-26 The Chinese warrant bubble: A fundamental analysis
by Yintian Wang & Guofu Zhou & Yingzi Zhu - 27-45 The impact of net buying pressure on index options prices
by Doojin Ryu & Doowon Ryu & Heejin Yang - 46-71 Forecasting equity returns: The role of commodity futures along the supply chain
by Chenchen Li & Chongfeng Wu & Chunyang Zhou - 72-104 The implied volatility smirk of commodity options
by Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang - 105-114 The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets
by Takahiro Hattori & Ryo Ishida - 115-134 Impact of bitcoin futures on the informational efficiency of bitcoin spot market
by Andrei Shynkevich - 135-156 VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
by Qi Wang & Zerong Wang
December 2020, Volume 40, Issue 12
- 1809-1824 Is the synthetic stock price really lower than actual price?
by Jianfeng Hu - 1825-1860 Can commodity futures risk factors predict economic growth?
by Jangkoo Kang & Kyung Yoon Kwon - 1861-1879 Bitcoin and sentiment
by Hoje Jo & Haehean Park & Hersh Shefrin - 1880-1917 Valuation of VIX and target volatility options with affine GARCH models
by Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman - 1918-1934 Stochastic multifactor models in risk management of energy futures
by Zi‐Yi Guo
November 2020, Volume 40, Issue 11
- 1647-1647 Editor's Note
by Robert I. Webb - 1648-1664 Skewness and index futures return
by Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang - 1665-1690 Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares
by Xingguo Luo & Xiaoli Yu & Shihua Qin & Qi Xu - 1691-1710 Benchmarks in the spotlight: The impact on exchange traded markets
by Angelo Aspris & Sean Foley & Peter O'Neill - 1711-1730 Intermediary asset pricing in commodity futures returns
by Libo Yin & Jing Nie & Liyan Han - 1731-1750 Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong
by Adrian C. H. Lei & Xiaorong Ma & Martin H. Y. Yick - 1751-1766 The market quality of commodity futures markets
by Qingfu Liu & Qian Luo & Yiuman Tse & Yuchi Xie - 1767-1792 Volatility and jump risk in option returns
by Biao Guo & Hai Lin - 1793-1806 Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures
by Edward Curran & Jack Hunt & Vito Mollica
October 2020, Volume 40, Issue 10
- 1459-1485 When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests
by Scott Fung & Robert Loveland - 1486-1507 Night trading and market quality: Evidence from Chinese and US precious metal futures markets
by Ying Jiang & Neil Kellard & Xiaoquan Liu - 1508-1534 Modeling VXX under jump diffusion with stochastic long‐term mean
by Sebastian A. Gehricke & Jin E. Zhang - 1535-1547 A simple method for extracting the probability of default from American put option prices
by Bo Young Chang & Greg Orosi - 1548-1561 Dynamic programming for valuing American options under a variance‐gamma process
by Hatem Ben‐Ameur & Rim Chérif & Bruno Rémillard - 1562-1583 Enhancing managerial equity incentives with moving average payoffs
by Yisong S. Tian - 1584-1602 Forecasting bitcoin volatility: Evidence from the options market
by Lai T. Hoang & Dirk G. Baur - 1603-1630 Earnings announcement timing, uncertainty, and volatility risk premiums
by Tom Adams & Thaddeus Neururer - 1631-1644 The sensitivity of trading to the cost of information
by Alex Frino & Ognjen Kovačević & Vito Mollica & Robert I. Webb
September 2020, Volume 40, Issue 9
- 1315-1336 Liquidity shocks, commodity financialization, and market comovements
by Conghui Hu & Zhibing Li & Xiaoyu Liu - 1337-1353 Bid and ask prices of index put options: Which predicts the underlying stock returns?
by Jian Chen & Yangshu Liu - 1354-1374 Metal prices made in China? A network analysis of industrial metal futures
by Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther - 1375-1397 The role of financial investors in determining the commodity futures risk premium
by Mohammad Isleimeyyeh - 1398-1419 When trading options is not the only option: The effects of single‐stock futures trading on options market quality
by George J. Jiang & Yoshiki Shimizu & Cuyler Strong - 1420-1441 Samuelson hypothesis, arbitrage activity, and futures term premiums
by Robert Brooks & Pavel Teterin - 1442-1456 A revisit to the hedge and safe haven properties of gold: New evidence from China
by Lei Ming & Xinran Zhang & Qianqiu Liu & Shenggang Yang
August 2020, Volume 40, Issue 8
- 1211-1211 Editor's Note
by Robert I. Webb - 1212-1230 The effect of oil price shocks on asset markets: Evidence from oil inventory news
by Ron Alquist & Reinhard Ellwanger & Jianjian Jin - 1231-1263 Trading and information in futures markets
by Guillermo Llorente & Jiang Wang - 1264-1281 Characterizing the hedging policies of commodity price‐sensitive corporations
by Raphaël H. Boroumand & Stéphane Goutte & Ehud I. Ronn - 1282-1311 Oil jump risk
by Nima Ebrahimi & Craig Pirrong
July 2020, Volume 40, Issue 7
- 1031-1048 Trader networks and options risk management
by Naomi Boyd & Peter Locke & Li Sun - 1049-1071 Hedging costs and joint determinants of premiums and spreads in structured financial products
by Oliver Entrop & Georg Fischer - 1072-1089 Return predictability of variance differences: A fractionally cointegrated approach
by Zhenxiong Li & Marwan Izzeldin & Xingzhi Yao - 1090-1108 Optimal futures hedging for energy commodities: An application of the GAS model
by Yingying Xu & Donald Lien - 1109-1126 Uncertainty and the volatility forecasting power of option‐implied volatility
by Byounghyun Jeon & Sung Won Seo & Jun Sik Kim - 1127-1159 Volatility forecasts embedded in the prices of crude‐oil options
by Dudley Gilder & Leonidas Tsiaras - 1160-1175 The theory of storage in the crude oil futures market, the role of financial conditions
by Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera - 1176-1191 The impact of trading restrictions and margin requirements on stock index futures
by Jianqiang Hu & Tianxiang Wang & Wenwei Hu & Jun Tong - 1192-1208 Old crop versus new crop prices: Explaining the correlation
by Francisco Arroyo Marioli
June 2020, Volume 40, Issue 6
- 841-859 Volatility as an asset class: Holding VIX in a portfolio
by James S. Doran - 860-884 Return and volatility transmission between China's and international crude oil futures markets: A first look
by Jian Yang & Yinggang Zhou - 885-894 Bank risk‐taking and market discipline: Evidence from CoCo bonds in Korea
by Younghwan Lee & Haerang Park - 895-927 Does corporate hedging affect firm valuation? Evidence from the IPO market
by Zheng Qiao & Chongwu Xia & Lei Zhang - 928-944 Pricing VIX options with volatility clustering
by Bo Jing & Shenghong Li & Yong Ma - 945-973 Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices
by Jiling Cao & Xinfeng Ruan & Wenjun Zhang - 974-988 Repeated Richardson extrapolation and static hedging of barrier options under the CEV model
by Jia‐Hau Guo & Lung‐Fu Chang - 989-1010 Index options open interest and stock market returns
by Sung Won Seo & Suk Joon Byun & Jun Sik Kim - 1011-1029 When is informed trading more prevalent?—An examination of options trading around Indian M&A announcements
by Soniya Mohil & Reena Nayyar & Archana Patro
May 2020, Volume 40, Issue 5
- 709-709 Editor's Note
by Robert I. Webb - 710-721 The risk of betting on risk: Conditional variance and correlation of bank credit default swaps
by Xin Huang - 722-748 Impact of international energy prices on China's industries
by Jin Boon Wong & Qin Zhang - 749-760 Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives
by Alex Frino & Michael Garcia & Zeyang Zhou - 761-775 Show me the money: Option moneyness concentration and future stock returns
by Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor - 776-803 Informed options trading on the implied volatility surface: A cross‐sectional approach
by Baeho Kim & Da‐Hea Kim & Haehean Park - 804-815 Predictive abilities of speculators in energy markets
by Yulia Merkoulova - 816-837 The determinants of price discovery on bitcoin markets
by Oliver Entrop & Bart Frijns & Marco Seruset
April 2020, Volume 40, Issue 4
- 503-526 Pricing and integration of credit default swap index tranches
by Andrew Carverhill & Dan Luo - 527-555 Volatility term structures in commodity markets
by Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig - 556-574 Efficient trinomial trees for local‐volatility models in pricing double‐barrier options
by U Hou Lok & Yuh‐Dauh Lyuu - 575-597 Speculative pressure
by John Hua Fan & Adrian Fernandez‐Perez & Ana‐Maria Fuertes & Joëlle Miffre - 598-616 Estimating the connectedness of commodity futures using a network approach
by Binqing Xiao & Honghai Yu & Libing Fang & Sifang Ding - 617-631 Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification
by Atle Oglend & Hans‐Martin Straume - 632-650 Intraday time‐series momentum: Evidence from China
by Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang - 651-670 Yield curve risks in currency carry forwards
by Seungho Baek & Jeong Wan Lee & Kyong Joo Oh & Myoungji Lee - 671-706 The untold story of commodity futures in China
by John Hua Fan & Tingxi Zhang
March 2020, Volume 40, Issue 3
- 279-307 Arbitrage opportunities, liquidity provision, and trader types in an index option market
by Chin‐Ho Chen & Junmao Chiu & Huimin Chung - 308-328 A rare move: The effects of switching from a closing call auction to a continuous trading
by Ya‐Kai Chang & Robin K. Chou & J. Jimmy Yang - 329-354 Pricing VIX derivatives with infinite‐activity jumps
by Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang - 355-373 Does trade size restriction affect trading behavior? Evidence from Indian single stock futures market
by Anirban Banerjee & Ashok Banerjee - 374-391 The impact of soft intervention on the Chinese financial futures market
by Jimmy E. Hilliard & Haoran Zhang - 392-409 Systemic risk in global volatility spillover networks: Evidence from option‐implied volatility indices
by Zihui Yang & Yinggang Zhou & Xin Cheng - 410-429 Analytical valuation of Asian options with counterparty risk under stochastic volatility models
by Xingchun Wang - 430-459 A novel risk management framework for natural gas markets
by Panos K. Pouliasis & Ilias D. Visvikis & Nikos C. Papapostolou & Alexander A. Kryukov - 460-478 Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions
by Chunyang Zhou & Chongfeng Wu & Weidong Xu - 479-500 Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets
by Vijay Singal & Jitendra Tayal
February 2020, Volume 40, Issue 2
- 163-163 Editor's Note
by Robert I. Webb - 164-191 Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market
by Jangkoo Kang & Kyung Yoon Kwon & Wooyeon Kim - 192-208 Heterogeneity and netting efficiency under central clearing: A stochastic network analysis
by Injun Hwang & Baeho Kim - 209-227 The impact of net buying pressure on VIX option prices
by Yi‐Wei Chuang & Wei‐Che Tsai & Ming‐Hung Wu - 228-246 Are disposition effect and skew preference correlated? Evidence from account‐level ELW transactions
by Youngsoo Choi & Woojin Kim & Eunji Kwon - 247-275 Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
by Hyun Jin Jang & Kiseop Lee & Kyungsub Lee
January 2020, Volume 40, Issue 1
- 3-22 An analytical perturbative solution to the Merton–Garman model using symmetries
by Xavier Calmet & Nathaniel Wiesendanger Shaw - 23-43 BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
by Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn - 44-66 Programs trades and trade regulation: An evidence of the Korean securities market
by Cheoljun Eom & Steven J. Jordan & Woo‐Baik Lee & Jong Won Park - 67-91 What do we know about individual equity options?
by Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang - 92-125 The externalities of credit default swaps on stock return synchronicity
by Ran Zhao & Lu Zhu - 126-144 The time‐to‐maturity pattern of futures price sensitivity to news
by Hoang‐Long Phan & Ralf Zurbruegg - 145-159 Return dynamics during periods of high speculation in a thinly traded commodity market
by Martin T. Bohl & Martin Stefan
December 2019, Volume 39, Issue 12
- 1489-1514 How about selling commodity futures losers?
by Jangkoo Kang & Kyung Yoon Kwon - 1515-1528 Time‐series momentum in China's commodity futures market
by Hyuna Ham & Hoon Cho & Hyeongjun Kim & Doojin Ryu - 1529-1548 Flexible covariance dynamics, high‐frequency data, and optimal futures hedging
by Yu‐Sheng Lai - 1549-1564 Oil price volatility and real options: 35 years of evidence
by John Elder - 1565-1586 Multivariate realized volatility forecasts of agricultural commodity futures
by Jiawen Luo & Langnan Chen - 1587-1612 Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
by Shan Lu - 1613-1632 Hedging performance of multiscale hedge ratios
by Jahangir Sultan & Antonios K. Alexandridis & Mohammad Hasan & Xuxi Guo
November 2019, Volume 39, Issue 11
- 1347-1347 Editor's Note
by Robert I. Webb - 1348-1359 Volatility index and the return–volatility relation: Intraday evidence from Chinese options market
by Jupeng Li & Xiaoli Yu & Xingguo Luo - 1360-1382 A smiling bear in the equity options market and the cross‐section of stock returns
by Haehean Park & Baeho Kim & Hyeongsop Shim - 1383-1393 Market quality and the connectedness of steel rebar and other industrial metal futures in China
by Ivan Indriawan & Qingfu Liu & Yiuman Tse - 1394-1434 High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures
by Jing Nie - 1435-1449 Can skewness of the futures‐spot basis predict currency spot returns?
by Xue Jiang & Liyan Han & Libo Yin - 1450-1470 How do US options traders “smirk” on China? Evidence from FXI options
by Jianhui Li & Sebastian A. Gehricke & Jin E. Zhang - 1471-1485 Derivatives pricing with liquidity risk
by Yongmin Zhang & Shusheng Ding & Meryem Duygun
October 2019, Volume 39, Issue 10
- 1193-1213 Instantaneous squared VIX and VIX derivatives
by Xingguo Luo & Jin E. Zhang & Wenjun Zhang - 1214-1227 A dimension‐invariant cascade model for VIX futures
by Zhiguang Wang & Brice Dupoyet - 1228-1249 Illiquidity transmission from spot to futures markets
by Olaf Korn & Paolo Krischak & Erik Theissen - 1250-1268 Options pricing and short‐selling in the underlying: Evidence from India
by Alok Dixit & Vipul & Shivam Singh - 1269-1300 Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs
by Jieye Qin & Christopher J. Green & Kavita Sirichand - 1301-1321 Does maturity matter? The case of treasury futures volume
by Doina Chichernea & Kershen Huang & Alex Petkevich - 1322-1343 Information share and its predictability in the Indian stock market
by Madhusudan Karmakar & Sarveshwar Inani
September 2019, Volume 39, Issue 9
- 1035-1055 Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures
by Scott Mixon & Esen Onur - 1056-1084 Pricing executive stock options with averaging features under the Heston–Nandi GARCH model
by Zhiwei Su & Xingchun Wang - 1085-1106 Is options trading informed? Evidence from credit rating change announcements
by Jun Zhang - 1107-1121 Price discovery in commodity derivatives: Speculation or hedging?
by Marc J. M. Bohmann & David Michayluk & Vinay Patel - 1122-1136 The evolution of price discovery in us equity and derivatives markets
by Damien Wallace & Petko S. Kalev & Guanhua Lian - 1137-1166 Robust estimation of risk‐neutral moments
by Manuel Ammann & Alexander Feser - 1167-1189 Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
by František Čech & Jozef Baruník
August 2019, Volume 39, Issue 8
- 919-919 Editor's Note
by Robert I. Webb - 921-945 Economic uncertainty, trading activity, and commodity futures volatility
by Sumudu W. Watugala - 946-961 On commodity price limits
by Rajkumar Janardanan & Xiao Qiao & K. Geert Rouwenhorst - 962-984 An analysis of illiquidity in commodity markets
by Sungjun Cho & Chanaka N. Ganepola & Ian Garrett - 985-1007 Block trades in options markets
by Eleni Gousgounis & Sayee Srinivasan - 1008-1031 The formation of forward freight agreement rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations
by Ioannis C. Moutzouris & Nikos K. Nomikos
July 2019, Volume 39, Issue 7
- 779-802 The impact of the US stock market opening on price discovery of government bond futures
by Ivan Indriawan & Feng Jiao & Yiuman Tse - 803-817 Price discovery in bitcoin spot or futures?
by Dirk G. Baur & Thomas Dimpfl - 818-837 The quantile dependence of commodity futures markets on news sentiment
by Akihiro Omura & Neda Todorova - 838-864 Corporate risk exposures, disclosure, and derivatives use: A longitudinal study
by Ekaterina E. Emm & Gerald D. Gay & Honglin Ren - 865-889 Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?
by Tore S. Kleppe & Atle Oglend - 890-915 Jump variance risk: Evidence from option valuation and stock returns
by Hsuan‐Ling Chang & Yen‐Cheng Chang & Hung‐Wen Cheng & Po‐Hsiang Peng & Kevin Tseng
June 2019, Volume 39, Issue 6
- 635-655 Pricing variance swaps under the Hawkes jump‐diffusion process
by Weiyi Liu & Song‐Ping Zhu - 656-685 The impacts of public news announcements on intraday implied volatility dynamics
by Jieun Lee & Doojin Ryu - 686-703 Institutional quality and sovereign credit default swap spreads
by Wei Huang & Shu Lin & Jian Yang - 704-720 Valuation and applications of compound basket options
by Kwangil Bae - 721-743 Losers and prospectors in the short‐term options market
by Arjun Chatrath & Rohan A. Christie‐David & Hong Miao & Sanjay Ramchander - 744-776 Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model
by Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang
May 2019, Volume 39, Issue 5
- 537-537 Editor's Note
by Robert I. Webb - 538-552 Regime switching rough Heston model
by Mesias Alfeus & Ludger Overbeck & Erik Schlögl - 553-578 Contrarians or momentum chasers? Individual investors’ behavior when trading exchange‐traded funds
by Carlo Da Dalt & David Feldman & Gerald Garvey & Peter Joakim Westerholm - 579-589 Informed trading around earnings announcements—Spot, futures, or options?
by Sonali Jain & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Ajay Pandey - 590-599 Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation
by Alex Frino & Ognjen Kovačević & Vito Mollica - 600-611 Volatility of volatility is (also) rough
by José Da Fonseca & Wenjun Zhang - 612-631 Properties and the predictive power of implied volatility in the New Zealand dairy market
by Adrian Fernandez‐Perez & Bart Frijns & Ilnara Gafiatullina & Alireza Tourani‐Rad
April 2019, Volume 39, Issue 4
- 405-417 Speculation and volatility—A time‐varying approach applied on Chinese commodity futures markets
by Claudia Wellenreuther & Jan Voelzke - 418-434 Semistatic hedging and pricing American floating strike lookback options
by San‐Lin Chung & Yi‐Ta Huang & Pai‐Ta Shih & Jr‐Yan Wang - 435-460 The term structure of systematic and idiosyncratic risk
by Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen - 461-480 Economic policy uncertainty, CDS spreads, and CDS liquidity provision
by Xinjie Wang & Weike Xu & Zhaodong (Ken) Zhong - 481-498 How to hedge if the payment date is uncertain?
by Olaf Korn & Alexander Merz