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December 2018, Volume 38, Issue 12
- 1470-1486 An efficient and stable method for short maturity Asian options
by Rupak Chatterjee & Zhenyu Cui & Jiacheng Fan & Mingzhe Liu - 1487-1513 Excess returns to buying low options‐volume stocks and selling high options‐volume stocks: Information or characteristics?
by Li Cai & Jian Du - 1514-1532 Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model
by Donald Lien & Hsiang‐Tai Lee & Her‐Jiun Sheu - 1533-1548 The directional information content of options volumes
by Doojin Ryu & Heejin Yang - 1549-1564 Asymmetric spot‐futures price adjustments in grain markets
by Zhige Wu & Alex Maynard & Alfons Weersink & Getu Hailu
November 2018, Volume 38, Issue 11
- 1284-1312 Model specification and collateralized debt obligation (mis)pricing
by Dan Luo & Dragon Yongjun Tang & Sarah Qian Wang - 1313-1333 Equity index futures trading and stock price crash risk: Evidence from Chinese markets
by Jinyu Liu & Rui Zhong - 1334-1369 Jump risk and option liquidity in an incomplete market
by PeiLin Hsieh & QinQin Zhang & Yajun Wang - 1370-1390 Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model
by Yu‐Sheng Lai - 1391-1406 Multivariate constrained robust M‐regression for shaping forward curves in electricity markets
by Peter Leoni & Pieter Segaert & Sven Serneels & Tim Verdonck - 1407-1439 Volatility and correlation timing: The role of commodities
by Panos K. Pouliasis & Nikos C. Papapostolou
October 2018, Volume 38, Issue 10
- 1179-1188 Price discovery in short‐term interest rate markets: Futures versus swaps
by Alex Frino & Michael Garcia - 1189-1205 From funding liquidity to market liquidity: Evidence from the index options market
by Chunbo Liu & Cheng Zhang & Zhiping Zhou - 1206-1226 Information about price and volatility jumps inferred from options prices
by Stephen J. Taylor & Chi‐Feng Tzeng & Martin Widdicks - 1227-1245 Policy impact on volatility dynamics in commodity futures markets: Evidence from China
by Yongmin Zhang & Shusheng Ding & Eric Scheffel - 1246-1261 Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors
by Yang Liu & Liyan Han & Libo Yin - 1262-1281 Price discovery in the Chinese gold market
by Muzhao Jin & Youwei Li & Jianxin Wang & Yung Chiang Yang
September 2018, Volume 38, Issue 9
- 998-1023 Pairs‐trading and spread persistence in the European stock market
by Isabel Figuerola‐Ferretti & Ioannis Paraskevopoulos & Tao Tang - 1024-1042 Is stock return predictability of option‐implied skewness affected by the market state?
by Tong Suk Kim & Heewoo Park - 1043-1061 An approximation formula for normal implied volatility under general local stochastic volatility models
by Yasaman Karami & Kenichiro Shiraya - 1062-1078 A hybrid information approach to predict corporate credit risk
by Di Bu & Simone Kelly & Yin Liao & Qing Zhou - 1079-1096 What drives informed trading before public releases? Evidence from natural gas inventory announcements
by Chen Gu & Alexander Kurov - 1097-1125 Good jump, bad jump, and option valuation
by Xinglin Yang - 1126-1151 VIX futures pricing with conditional skewness
by Xinglin Yang & Peng Wang - 1152-1175 Modeling temperature behaviors: Application to weather derivative valuation
by Jr‐Wei Huang & Sharon S. Yang & Chuang‐Chang Chang
August 2018, Volume 38, Issue 8
- 841-864 The effect of settlement rules on the incentive to Bang the Close
by Esen Onur & David Reiffen - 865-880 Market uncertainty and market orders in futures markets
by Matthew C. Chang & Chih‐Ling Tsai & Rebecca Chung‐Fern Wu & Ning Zhu - 881-897 Volatility jumps and macroeconomic news announcements
by Kam F. Chan & Philip Gray - 898-924 A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process
by San‐Lin Chung & Jr‐Yan Wang - 925-942 Short‐selling and credit default swap spreads—Where do informed traders trade?
by Steven Lecce & Andrew Lepone & Michael D. McKenzie & Jin Boon Wong & Jin Y. Yang - 943-957 Call options with concave payoffs: An application to executive stock options
by Kwangil Bae & Jangkoo Kang & Hwa‐Sung Kim - 958-976 Modeling VXX
by Sebastian A. Gehricke & Jin E. Zhang - 977-995 Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing
by Hendrik Hülsbusch & Alexander Kraftschik
July 2018, Volume 38, Issue 7
- 757-757 Editor's Note
by Robert I. Webb - 758-774 Volatility discovery and volatility quoting on markets for options and warrants
by Rainer Baule & Bart Frijns & Milena E. Tieves - 775-787 Should macroeconomic information be released during trading breaks in futures markets?
by Alex Frino & Michael Garcia - 788-803 Return predictability and contrarian profits of international index futures
by Yiuman Tse - 804-821 Bank risk, financial stress, and bank derivative use
by Barbara A. Bliss & Jeffrey A. Clark & R. Jared DeLisle - 822-838 VIX futures calendar spreads
by Ai Jun Hou & Lars L. Nordén
June 2018, Volume 38, Issue 6
- 627-644 Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options
by Jaehyuk Choi - 645-672 Are there gains from using information over the surface of implied volatilities?
by Biao Guo & Qian Han & Hai Lin - 673-695 Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures
by Stuart Snaith & Neil M. Kellard & Norzalina Ahmad - 696-714 The impact of data frequency on market efficiency tests of commodity futures prices
by Xuedong Wu & Jeffrey H. Dorfman & Berna Karali - 715-730 Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan
by Ging‐Ginq Pan & Yung‐Ming Shiu & Tu‐Cheng Wu - 731-753 Central clearing and CDS market quality
by Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira
May 2018, Volume 38, Issue 5
- 513-534 Macroeconomic news announcements, systemic risk, financial market volatility, and jumps
by Xin Huang - 535-548 Determinants of intraday price discovery in VIX exchange traded notes
by Adrian Fernandez‐Perez & Bart Frijns & Ilnara Gafiatullina & Alireza Tourani‐Rad - 549-562 Price discovery dynamics in European agricultural markets
by Philipp Adämmer & Martin T. Bohl - 563-585 Asymmetric and nonlinear dynamics in sovereign credit risk markets
by Geoffrey M. Ngene & Parker Benefield & Allen K. Lynch - 586-606 On full calibration of hybrid local volatility and regime‐switching models
by Xin‐Jiang He & Song‐Ping Zhu - 607-624 Quadratic approximation of the slow factor of volatility in a multifactor stochastic volatility model
by Gifty Malhotra & R. Srivastava & H. C. Taneja
April 2018, Volume 38, Issue 4
- 424-424 Editor's Note
by Robert I. Webb - 425-445 A comprehensive look at the return predictability of variance risk premia
by Suk Joon Byun & Bart Frijns & Tai‐Yong Roh - 446-467 Currency derivatives for hedging: New evidence on determinants, firm risk, and performance
by Sung C. Bae & Hyeon Sook Kim & Taek Ho Kwon - 468-477 Investor sentiment and the Chinese index futures market: Evidence from the internet search
by Xiaolin Wang & Qiang Ye & Feng Zhao & Yi Kou - 478-492 Investor attention and stock market under‐reaction to earnings announcements: Evidence from the options market
by Xuewu Wesley Wang & Zhipeng Yan & Qunzi Zhang & Xuechen Gao - 493-510 The information content of option‐implied tail risk on the future returns of the underlying asset
by Yaw‐Huei Wang & Kuang‐Chieh Yen
March 2018, Volume 38, Issue 3
- 290-339 Structural breaks and volatility forecasting in the copper futures market
by Xu Gong & Boqiang Lin - 340-358 Benchmarking commodity investments
by Jesse Blocher & Ricky Cooper & Marat Molyboga - 359-372 The weather premium in the U.S. corn market
by Ziran Li & Dermot J. Hayes & Keri L. Jacobs - 373-389 Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures
by Jędrzej Białkowski & Jan Koeman - 390-412 Optionable Stocks and Mutual Fund Performance
by Chune Young Chung & Doojin Ryu & Kainan Wang & Blerina Bela Zykaj - 413-422 The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach
by Libing Fang & Baizhu Chen & Honghai Yu & Yichuo Qian
February 2018, Volume 38, Issue 2
- 158-174 An analysis on the intraday trading activity of VIX derivatives
by Dian‐Xuan Kao & Wei‐Che Tsai & Yaw‐Huei Wang & Kuang‐Chieh Yen - 175-198 Do investors use options and futures to trade on different types of information? Evidence from an aggregate stock index
by Kyoung‐Hun Bae & Peter Dixon - 199-218 Forecasting using alternative measures of model‐free option‐implied volatility
by Xingzhi Yao & Marwan Izzeldin - 219-242 Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
by Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu - 243-270 Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market
by Yue Zhao & Difang Wan - 271-288 Options‐based benchmark indices—A review of performance and (in)appropriate measures
by Markus Natter
January 2018, Volume 38, Issue 1
- 3-21 Need for speed: Hard information processing in a high‐frequency world
by S. Sarah Zhang - 22-37 Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market
by Michèle Breton & Ramzi Ben‐Abdallah - 38-65 The impact of crude oil inventory announcements on prices: Evidence from derivatives markets
by Hong Miao & Sanjay Ramchander & Tianyang Wang & Jian Yang - 66-82 Are single stock futures used as an alternative during a short‐selling ban?
by Bouchra Benzennou & Owain ap Gwilym & Gwion Williams - 83-103 Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices
by Rui Fan & Stephen J. Taylor & Matteo Sandri - 104-128 Catastrophe futures and reinsurance contracts: An incomplete markets approach
by Stylianos Perrakis & Ali Boloorforoosh - 129-155 Price discovery in dual‐class shares across multiple markets
by Marcelo Fernandes & Cristina M. Scherrer
December 2017, Volume 37, Issue 12
- 1155-1178 Pricing Vulnerable Options with Jump Clustering
by Yong Ma & Keshab Shrestha & Weidong Xu - 1179-1204 Oil and stock markets before and after financial crises: A local Gaussian correlation approach
by Georgios Bampinas & Theodore Panagiotidis - 1205-1225 Do futures prices help forecast the spot price?
by Xin Jin - 1226-1254 Do trend following strategies work in Chinese futures markets?
by Bin Li & Di Zhang & Yang Zhou
November 2017, Volume 37, Issue 11
- 1053-1093 Informed Trading in the Options Market and Stock Return Predictability
by JoongHo Han & Da‐Hea Kim & Suk‐Joon Byun - 1094-1123 Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market
by Junmao Chiu & Huimin Chung & George H. K. Wang - 1124-1140 A Multivariate Markov Regime‐Switching High‐Frequency‐Based Volatility Model for Optimal Futures Hedging
by Yu‐Sheng Lai & Her‐Jiun Sheu & Hsiang‐Tai Lee - 1141-1152 Forecasting the volatility of Nikkei 225 futures
by Manabu Asai & Michael McAleer
October 2017, Volume 37, Issue 10
- 963-963 Editor's Note
by Robert I. Webb - 964-988 The joint credit risk of UK global‐systemically important banks
by Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao - 989-1002 The dynamic correlations between the G7 economies and China: Evidence from both realized and implied volatilities
by Xingguo Luo & Xuyuanda Qi - 1003-1030 Index futures trading and spot volatility in China: A semiparametric approach with range‐based proxies
by Na Tan & Yulei Peng & Yanchu Liu & Zhewen Pan - 1031-1049 The effects of investor attention on commodity futures markets
by Liyan Han & Ziying Li & Libo Yin
September 2017, Volume 37, Issue 9
- 865-891 An Empirical Analysis of the Dynamic Probability of Informed Institutional Trading: Evidence from the Taiwan Futures Exchange
by Pei‐Shih Weng & Ming‐Hung Wu & Miao‐Ling Chen & Wei‐Che Tsai - 892-912 Option Introductions and the Skewness of Stock Returns
by Benjamin M. Blau & Ryan J. Whitby - 913-929 A Bivariate High‐Frequency‐Based Volatility Model for Optimal Futures Hedging
by Yu‐Sheng Lai & Donald Lien - 930-938 Trading Activity and Rate of Convergence in Commodity Futures Markets
by David Bosch & Elina Pradkhan - 939-960 Investors’ Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns
by Hsiu‐Chuan Lee & Tzu‐Hsiang Liao & Pao‐Ying Tung
August 2017, Volume 37, Issue 8
- 743-743 Editor's Note
by Robert I. Webb - 744-765 Sugar with your Coffee? Fundamentals, Financials, and Softs Price Uncertainty
by Genèvre Covindassamy & Michel A. Robe & Jonathan Wallen - 766-802 Macroeconomic Conditions and Credit Default Swap Spread Changes
by Tong Suk Kim & Jae Won Park & Yuen Jung Park - 803-835 Momentum in International Commodity Futures Markets
by Jangkoo Kang & Kyung Yoon Kwon - 836-861 The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns
by Gi H. Kim & Haitao Li & Weina Zhang
July 2017, Volume 37, Issue 7
- 641-659 Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model
by Tianyi Wang & Yiwen Shen & Yueting Jiang & Zhuo Huang - 660-688 Investor Sentiment and Credit Default Swap Spreads During the Global Financial Crisis
by Jeehye Lee & Sol Kim & Yuen Jung Park - 689-716 Expanding the Explanations for the Return–Volatility Relation
by Bakhtear Talukdar & Robert T. Daigler & A. M. Parhizgari - 717-740 Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?
by Sungbin Sohn & Xiaofeng Zhang
June 2017, Volume 37, Issue 6
- 541-541 Editor's Note
by Robert I. Webb - 542-577 VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets
by Johan Bjursell & George H. K. Wang & Hui Zheng - 578-598 The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
by Myeong‐Hyeon Kim & Changki Kim & Injun Hwang - 599-613 Equity Option Implied Probability of Default and Equity Recovery Rate
by Bo Young Chang & Greg Orosi - 614-638 Anchoring and Probability Weighting in Option Prices
by R. Jared DeLisle & Dean Diavatopoulos & Andy Fodor & Kevin Krieger
May 2017, Volume 37, Issue 5
- 431-451 Tail Wags Dog: Intraday Price Discovery in VIX Markets
by Nicolas P.B. Bollen & Michael J. O'Neill & Robert E. Whaley - 452-472 Variance Risk Premiums of Commodity ETFs
by Chyng Wen Tee & Christopher Ting - 473-498 Option Market Characteristics and Price Monotonicity Violations
by Heejin Yang & Hyung‐Suk Choi & Doojin Ryu - 499-521 The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk
by Xingchun Wang & Shiyu Song & Yongjin Wang - 522-538 Convenience Yields in Electricity Prices: Evidence from the Natural Gas Market
by Nikolaos Milonas & Nikolaos Paratsiokas
April 2017, Volume 37, Issue 4
- 315-315 Editor's Note
by Robert I. Webb - 316-327 Derivatives Valuation Based on Arbitrage: The Trade is Crucial
by Stephen Figlewski - 328-358 Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
by Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen - 359-373 Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence
by Alex Frino & Vito Mollica & Maria Grazia Romano & Zeyang Zhou - 374-410 AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism
by Zhenlong Zheng & Zhengyun Jiang & Rong Chen - 411-428 Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash
by Qian Han & Jufang Liang
March 2017, Volume 37, Issue 3
- 211-237 The Skewness Implied in the Heston Model and Its Application
by Jin E. Zhang & Fang Zhen & Xiaoxia Sun & Huimin Zhao - 238-259 Net Buying Pressure and Option Informed Trading
by Chao‐Chun Chen & Shih‐Hua Wang - 260-285 Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model
by José Da Fonseca & Riadh Zaatour - 286-312 Volatility Smile and One‐Month Foreign Currency Volatility Forecasts
by Alfred Huah‐Syn Wong & Richard A. Heaney
February 2017, Volume 37, Issue 2
- 107-131 Option Pricing with Threshold Mean Reversion
by Zeyu Chi & Fangyuan Dong & Hoi Ying Wong - 132-147 Cross‐Hedging Ambiguous Exchange Rate Risk
by Kit Pong Wong - 148-163 Differences in the Prices of Vulnerable Options with Different Counterparties
by Xingchun Wang - 164-183 VIX Exchange Traded Products: Price Discovery, Hedging, and Trading Strategy
by Christoffer Bordonado & Peter Molnár & Sven R. Samdal - 184-208 Trading the VIX Futures Roll and Volatility Premiums with VIX Options
by David P. Simon
January 2017, Volume 37, Issue 1
- 3-22 Does Option‐Implied Cross‐Sectional Return Dispersion Forecast Realized Cross‐Sectional Return Dispersion? Evidence From the G10 Currencies
by Klaus Grobys & Jari‐Pekka Heinonen - 23-51 Price Discovery and Foreign Participation in Korea's Government Bond Futures and Cash Markets
by Cyn‐Young Park & Rogelio Mercado Jr. & Jaehun Choi & Hosung Lim - 52-70 Price Discovery on the International Soybean Futures Markets: A Threshold Co‐Integration Approach
by Chao Li & Dermot J. Hayes - 71-89 Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?
by Kam Fong Chan & Philip Gray - 90-104 The Binomial CEV Model and the Greeks
by Aricson Cruz & José Carlos Dias
December 2016, Volume 36, Issue 12
- 1127-1163 Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models
by Dimos S. Kambouroudis & David G. McMillan & Katerina Tsakou - 1164-1193 An International Comparison of Implied, Realized, and GARCH Volatility Forecasts
by Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis - 1194-1209 Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion
by Sofiane Aboura & Didier Maillard - 1210-1230 Monetary Policy and Stock Prices: Does the “Fed Put” Work When It Is Most Needed?
by Alexander Kurov & Chen Gu - 1231-1255 Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures
by Huayun Jiang & Jen‐Je Su & Neda Todorova & Eduardo Roca
November 2016, Volume 36, Issue 11
- 1029-1056 Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures
by Xi Fu & Matteo Sandri & Mark B. Shackleton - 1057-1075 Empirical Properties, Information Flow, and Trading Strategies of China's Soybean Crush Spread
by Qingfeng Wilson Liu & Hui He Sono - 1076-1107 Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation
by Suk‐Joong Kim - 1108-1124 Estimation of Market Information Shares: A Comparison
by Donald Lien & Zijun Wang
October 2016, Volume 36, Issue 10
- 923-942 Futures Price Response to Crop Reports in Grain Markets
by Fabio L. Mattos & Rodrigo L. F. Silveira - 943-967 Risk‐Free Rates and Variance Futures Prices
by Leonidas S. Rompolis - 968-991 Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches
by Rui Fan & Haiqi Li & Sung Y. Park - 992-1013 An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures
by Gert Elaut & Péter Erdős & John Sjödin - 1014-1025 Fat‐Finger Trade and Market Quality: The First Evidence From China
by Ming Gao & Yu‐Jane Liu & Weili Wu
September 2016, Volume 36, Issue 9
- 819-850 Risk Analysis and Hedging of Parisian Options under a Jump‐Diffusion Model
by Kyoung‐Kuk Kim & Dong‐Young Lim - 851-869 Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
by Philipp Adämmer & Martin T. Bohl & Christian Gross - 870-886 On the Intraday Relation Between the VIX and its Futures
by Bart Frijns & Alireza Tourani‐Rad & Robert I. Webb - 887-901 A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options
by Lung‐Fu Chang & Jia‐Hau Guo & Mao‐Wei Hung - 902-919 Heston‐Type Stochastic Volatility with a Markov Switching Regime
by Robert J. Elliott & Katsumasa Nishide & Carlton‐James U. Osakwe
August 2016, Volume 36, Issue 8
- 721-721 Editor's Note
by Robert I. Webb - 722-744 Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices?
by Jangkoo Kang & Soonhee Lee - 745-757 CDS Inferred Stock Volatility
by Biao Guo - 758-792 Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets
by Marcel Prokopczuk & Lazaros Symeonidis & Chardin Wese Simen - 793-815 Pricing American Put Options Using the Mean Value Theorem
by Humphrey K.K. Tung
July 2016, Volume 36, Issue 7
- 625-646 Tests on the Monotonicity Properties of KOSPI 200 Options Prices
by Myounghwa Sim & Doojin Ryu & Heejin Yang - 647-670 To Squeeze or Not to Squeeze? That Is No Longer the Question
by Ramzi Ben‐Abdallah & Michèle Breton - 671-694 The Prevalence, Sources, and Effects of Herding
by Naomi E. Boyd & Bahattin Büyükşahin & Michael S. Haigh & Jeffrey H. Harris - 695-718 Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi
by Jiadong Tong & Zijun Wang & Jian Yang
June 2016, Volume 36, Issue 6
- 521-521 Editor's Note
by Robert I. Webb - 522-544 Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
by Annastiina Silvennoinen & Susan Thorp - 545-563 Components of the Bid–Ask Spread and Variance: A Unified Approach
by Björn Hagströmer & Richard Henricsson & Lars L. Nordén - 564-586 Who Sets the Price of Gold? London or New York
by Martin Hauptfleisch & Tālis J. Putniņš & Brian Lucey - 587-611 Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period
by Stefan Trück & Rafał Weron - 612-622 Are Hedgers Informed? An Examination of the Price Impact of Large Trades in Illiquid Agricultural Futures Markets
by Alex Frino & Andrew Lepone & Vito Mollica & Shunquan Zhang
May 2016, Volume 36, Issue 5
- 421-456 Information Content of Trading Activity in Precious Metals Futures Markets
by Elina Pradkhan - 457-487 Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?
by Gonzalo Cortazar & Simon Gutierrez & Hector Ortega - 488-505 Corridor Volatility Risk and Expected Returns
by George Dotsis & Nikolaos Vlastakis - 506-518 Production and Hedging Under Smooth Ambiguity Preferences
by Kit Pong Wong
April 2016, Volume 36, Issue 4
- 317-344 Fundamentals, Derivatives Market Information and Oil Price Volatility
by Michel A. Robe & Jonathan Wallen - 345-374 Forecasting the LIBOR‐Federal Funds Rate Spread During and After the Financial Crisis
by Wassim Dbouk & Ibrahim Jamali & Lawrence Kryzanowski - 375-396 Spot and Futures Markets Linkages: Does Contango Differ from Backwardation?
by Viviana Fernandez - 397-417 The Impact of a Premium‐Based Tick Size on Equity Option Liquidity
by Thanos Verousis & Owain ap Gwilym & Nikolaos Voukelatos
March 2016, Volume 36, Issue 3
- 217-239 Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach
by Massimo Guidolin & Erwin Hansen - 240-266 Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures
by Jing Chen & Yu‐Jane Liu & Lei Lu & Ya Tang - 267-294 Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures
by Yuting Gong & Xu Zheng - 295-314 Hedge Ratio Prediction with Noisy and Asynchronous High‐Frequency Data
by Yu‐Sheng Lai
February 2016, Volume 36, Issue 2
- 107-126 The Profitability of Volatility Spread Trading on ASX Equity Options
by Binh Huu Do & Anthony Foster & Philip Gray - 127-152 The Return–Volatility Relation in Commodity Futures Markets
by Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô - 153-173 Analyzing Oil Futures with a Dynamic Nelson‐Siegel Model
by Niels S. GrØnborg & Asger Lunde - 174-193 Stochastic Skew and Target Volatility Options
by Martino Grasselli & Jacinto Marabel Romo - 194-214 Quantile Estimation of Optimal Hedge Ratio
by Donald Lien & Keshab Shrestha & Jing Wu
January 2016, Volume 36, Issue 1
- 3-29 Foreign Central Bank Activities in US Futures Markets
by Raymond P. H. Fishe & Michel A. Robe & Aaron D. Smith - 30-45 Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
by Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling - 46-65 Concentrated Production and Conditional Heavy Tails in Commodity Returns
by Nicolas Merener - 66-87 The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime‐Shift Pricing Approach
by René Ferland & Geneviève Gauthier & Simon Lalancette - 88-104 Information Flow, Trading Activity and Commodity Futures Volatility
by Adam E. Clements & Neda Todorova
December 2015, Volume 35, Issue 12
- 1103-1116 Where Would the EUR/CHF Exchange Rate be Without the SNB's Minimum Exchange Rate Policy?
by Michael Hanke & Rolf Poulsen & Alex Weissensteiner - 1117-1132 Investor Beliefs and the Demand Pressure on Index Options in Taiwan
by Ging‐Ginq Pan & Yung‐Ming Shiu & Tu‐Cheng Wu - 1133-1153 Program Trading and the Link Between the Spot and Futures Prices
by Steven J. Jordan & Woo‐Baik Lee & Jong Won Park - 1154-1172 An Early‐Exercise‐Probability Perspective of American Put Options in the Low‐Interest‐Rate Era
by Daniel Wei‐Chung Miao & Yung‐Hsin Lee & Wan‐Ling Chao - 1173-1194 Trading Activity in Options and Stock Around Price‐Sensitive News Announcements
by Khelifa Mazouz & Yuliang Wu & Shuxing Yin - 1195-1219 The Demand for Warrants and Issuer Pricing Strategies
by Rainer Baule & Philip Blonski - 1220-1221 Comment: “On Approximating Deep in‐the‐money Asian Options Under Exponential Lévy Processes”
by Xianming Sun & Dorien Haesen & Michèle Vanmaele
November 2015, Volume 35, Issue 11
- 987-1002 Forecasting Volatility in the Presence of Limits to Arbitrage
by Lu Hong & Tom Nohel & Steven Todd - 1003-1025 Stock‐Versus‐Flow Distinctions, Information, and the Role of Inventory
by Bahram Adrangi & Arjun Chatrath & Rohan A. Christie‐David & Hong Miao & Sanjay Ramchander