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December 2008, Volume 28, Issue 12
- 1147-1181 Large trades and intraday futures price behavior
by Alex Frino & Johan Bjursell & George H. K. Wang & Andrew Lepone - 1182-1205 The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS
by Nivine Richie & Robert T. Daigler & Kimberly C. Gleason - 1206-1221 Can exchange seat prices predict financial market volatility?
by Taewoo You & Mark E. Holder
November 2008, Volume 28, Issue 11
- 1013-1039 The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets
by Dean Diavatopoulos & James S. Doran & David R. Peterson - 1040-1065 Testing the martingale hypothesis for futures prices: Implications for hedgers
by Cédric de Ville de Goyet & Geert Dhaene & Piet Sercu - 1066-1094 The economic value of volatility transmission between the stock and bond markets
by Helena Chuliá & Hipòlit Torró - 1095-1116 Dynamic hedging with futures: A copula‐based GARCH model
by Chih‐Chiang Hsu & Chih‐Ping Tseng & Yaw‐Huei Wang
October 2008, Volume 28, Issue 10
- 911-934 The specification of GARCH models with stochastic covariates
by Jeff Fleming & Chris Kirby & Barbara Ostdiek - 935-962 Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens
by Isabel Figuerola‐Ferretti & Christopher L. Gilbert - 963-992 An examination of the complementary volume–volatility information theories
by Zhiyao Chen & Robert T. Daigler - 993-1011 Realized volatility and correlation in energy futures markets
by Tao Wang & Jingtao Wu & Jian Yang
September 2008, Volume 28, Issue 9
- 815-844 Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns
by Dimitrios D. Thomakos & Tao Wang & Jingtao Wu & Russell P. Chuderewicz - 845-870 The impact of return nonnormality on exchange options
by Minqiang Li - 871-888 Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets
by Alexander Kurov - 889-910 Cross‐market efficiency in the Indian derivatives market: A test of put–call parity
by Vipul
August 2008, Volume 28, Issue 8
- 717-748 Nonparametric American option pricing
by Jamie Alcock & Trent Carmichael - 749-762 Production, liquidity, and futures price dynamics
by Kit Pong Wong - 763-789 Do tax‐exempt yields adjust slowly to substantial changes in taxable yields?
by Donna Dudney & John Geppert - 790-814 HDD and CDD option pricing with market price of weather risk for Taiwan
by Hung‐Hsi Huang & Yung‐Ming Shiu & Pei‐Syun Lin
July 2008, Volume 28, Issue 7
- 617-633 In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets
by Russell Poskitt - 634-655 The valuation of inflation‐indexed and FX convertible bonds
by Yoram Landskroner & Alon Raviv - 656-679 An analysis of the failed municipal bond and note futures contracts
by Patrick J. Cusatis - 680-696 A test of the Samuelson Hypothesis using realized range
by Petko S. Kalev & Huu Nhan Duong - 697-710 Valuation of floating range notes in a LIBOR market model
by Ting‐Pin Wu & Son‐Nan Chen - 711-716 A note on estimating the benefit of a composite hedge
by Donald Lien
June 2008, Volume 28, Issue 6
- 517-517 Editor's note
by Robert I. Webb - 518-536 Efficiency of single‐stock futures: An intraday analysis
by Joseph K.W. Fung & Yiuman Tse - 537-560 A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another
by Gonzalo Cortazar & Carlos Milla & Felipe Severino - 561-581 Estimation and forecasting of stock volatility with range‐based estimators
by Joshy Jacob & Vipul - 582-597 Credit risk management in Greater China
by Hans Byström - 598-616 Pricing European Asian options with skewness and kurtosis in the underlying distribution
by Keng‐Hsin Lo & Kehluh Wang & Ming‐Feng Hsu
May 2008, Volume 28, Issue 5
- 417-437 Does adverse selection affect bid–ask spreads for options?
by Söhnke M. Bartram & Frank Fehle & David G. Shrider - 438-463 Volatility dynamics of NYMEX natural gas futures prices
by Hiroaki Suenaga & Aaron Smith & Jeffrey Williams - 464-487 Pricing and hedging illiquid energy derivatives: An application to the JCC index
by Elisa Scarpa & Matteo Manera - 488-515 A generalization of Rubinstein's “Pay now, choose later”
by Jia‐Hau Guo & Mao‐Wei Hung
April 2008, Volume 28, Issue 4
- 313-334 Intraday volatility in the bond, foreign exchange, and stock index futures markets
by Valeria Martinez & Yiuman Tse - 335-353 Information revelation in the futures market: Evidence from single stock futures
by Kuldeep Shastri & Ramabhadran S. Thirumalai & Chad J. Zutter - 354-375 Price discovery in the options markets: An application of put‐call parity
by Wen‐Liang G. Hsieh & Chin‐Shen Lee & Shu‐Fang Yuan - 376-397 Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates
by Rainer Baule & Oliver Entrop & Marco Wilkens - 398-415 Efficiency of the IBEX spot–futures basis: The impact of the mini‐futures
by David G. McMillan & Raquel Quiroga Garcia
March 2008, Volume 28, Issue 3
- 213-230 Closed‐form option pricing formulas with extreme events
by António Câmara & Steven L. Heston - 231-247 Valuing stock options when prices are subject to a lower boundary
by Dirk Veestraeten - 248-263 Hedging under counterparty credit uncertainty
by Olivier Mahul & J. David Cummins - 264-274 Does deliverability enhance the value of U.S. Treasury bonds?
by David R. Kuipers - 275-293 Path‐dependent currency options with mean reversion
by Hoi Ying Wong & Ka Yung Lau - 294-307 Intraday behavior of market depth in a competitive dealer market: A note
by Alex Frino & Andrew Lepone & Grant Wearin - 308-311 A further note on the optimality of the OLS hedge strategy
by Donald Lien
February 2008, Volume 28, Issue 2
- 109-130 The compatibility of one‐factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance
by Yunbi An & Wulin Suo - 131-154 Interdealer inference and price discovery
by Tzu‐man Huang & Peter Locke - 155-181 Value at risk and conditional extreme value theory via markov regime switching models
by Yau Man Ze‐to Samuel - 182-207 Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement
by Viviana Fernandez - 208-211 Optimal futures heading: Quadratic versus exponential utility functions
by Donald Lien
January 2008, Volume 28, Issue 1
- 1-33 Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures
by Turan G. Bali & K. Ozgur Demirtas - 34-56 Forecasting oil price movements: Exploiting the information in the futures market
by Andrea Coppola - 57-81 Smiling less at LIFFE
by Bing‐Huei Lin & Ing‐Jye Chang & Dean A. Paxson - 82-107 Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model
by Ying Huang & Carl R. Chen & Maximo Camacho
December 2007, Volume 27, Issue 12
- 1127-1127 Editor's note
by Robert I. Webb - 1129-1157 Order imbalance and the dynamics of index and futures prices
by Joseph K.W. Fung & Philip L.H. Yu - 1159-1174 Transactions in futures markets: Informed or uninformed?
by Alex Frino & Jennifer Kruk & Andrew Lepone - 1175-1217 Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures
by Yueh‐Neng Lin - 1219-1243 Market microstructure effects on volatility at the TAIFEX
by Robert I. Webb & Jayaram Muthuswamy & Reuben Segara
November 2007, Volume 27, Issue 11
- 1021-1051 Price discovery in the treasury futures market
by Michael W. Brandt & Kenneth A. Kavajecz & Shane E. Underwood - 1053-1083 A new look at hedging with derivatives: Will firms reduce market risk exposure?
by Turan G. Bali & Susan R. Hume & Terrence F. Martell - 1085-1105 Forecasting performance of extreme‐value volatility estimators
by Vipul & Joshy Jacob - 1107-1125 One‐day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data
by Lester Hadsell & Hany A. Shawky
October 2007, Volume 27, Issue 10
- 921-959 Is there information in the volatility skew?
by James S. Doran & David R. Peterson & Brian C. Tarrant - 961-979 On estimating an asset's implicit beta
by Sven Husmann & Andreas Stephan - 981-1001 Benchmark tipping and the role of the swap market in price discovery
by Russell Poskitt - 1003-1019 The stock closing calland futures price behavior: Evidence from the Taiwan futures market
by Hsiu‐Chuan Lee & Cheng‐Yi Chien & Yen‐Sheng Huang
September 2007, Volume 27, Issue 9
- 819-837 Approximate basket option valuation for a simplified jump process
by Dimitris Flamouris & Daniel Giamouridis - 839-866 The effect of futures trading on the distribution of spot index returns: Implications for CVaR in the Spanish market
by M. Illueca & J.A. Lafuente - 867-891 Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates
by Jia‐Hau Guo & Mao‐Wei Hung - 893-920 Equity swaps in a LIBOR market model
by Ting‐Pin Wu & Son Nan Chen
August 2007, Volume 27, Issue 8
- 719-737 Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
by Andreas Röthig & Carl Chiarella - 739-770 AN examination of short QQQ option trades
by David P. Simon - 771-790 Canonical valuation and hedging of index options
by Philip Gray & Shane Edwards & Egon Kalotay - 791-817 Richardson extrapolation techniques for the pricing of American‐style options
by Chuang‐Chang Chang & San‐Lin Chung & Richard C. Stapleton
July 2007, Volume 27, Issue 7
- 617-642 Is volatility risk priced in the securities market? Evidence from S&P 500 index options
by Yakup Eser Arisoy & Aslihan Salih & Levent Akdeniz - 643-668 Long memory models for daily and high frequency commodity futures returns
by Richard T. Baillie & Young‐Wook Han & Robert J. Myers & Jeongseok Song - 669-695 The pricing of foreign currency options under jump‐diffusion processes
by Chang Mo Ahn & D. Chinhyung Cho & Keehwan Park - 697-717 Order imbalance and the pricing of index futures
by Joseph K.W. Fung
June 2007, Volume 27, Issue 6
- 517-534 The hidden martingale restriction in Gram‐Charlier option prices
by Charles Corrado - 535-554 Target redemption notes
by Chi Chiu Chu & Yue Kuen Kwok - 555-574 The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash
by Joseph K. W. Fung - 575-598 A simplified approach to modeling the co‐movement of asset returns
by Richard D. F. Harris & Evarist Stoja & Jon Tucker - 599-615 The finite sample properties of the GARCH option pricing model
by George Dotsis & Raphael N. Markellos
May 2007, Volume 27, Issue 5
- 411-437 Long memory in commodity futures volatility: A wavelet perspective
by John Elder & Hyun J. Jin - 439-469 Realized bond—stock correlation: Macroeconomic announcement effects
by Charlotte Christiansen & Angelo Ranaldo - 471-494 Hedging under the influence of transaction costs: An empirical investigation on FTSE 100 index options
by Andros Gregoriou & Jerome Healy & Christos Ioannidis - 495-516 Optimal hedging with a regime‐switching time‐varying correlation GARCH model
by Hsiang‐Tai Lee & Jonathan Yoder
April 2007, Volume 27, Issue 4
- 305-336 On inverse carrying charges and spatial arbitrage
by Donald F. Larson - 337-359 The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
by Pierre Giot & Sébastien Laurent - 361-385 The impact of execution delay on the profitability of put‐call‐futures trading strategies—Evidence from Taiwan
by Jong‐Rong Chiou & Wen‐Liang Gideon Hsieh & Yuan‐Yi Lin - 387-410 The pricing of electricity futures: Evidence from the European energy exchange
by Sascha Wilkens & Jens Wimschulte
March 2007, Volume 27, Issue 3
- 203-226 Valuing real options using implied binomial trees and commodity futures options
by Tom Arnold & Timothy Falcon Crack & Adam Schwartz - 227-256 An examination of momentum strategies in commodity futures markets
by Qian Shen & Andrew C. Szakmary & Subhash C. Sharma - 257-273 Pricing American exchange options in a jump‐diffusion model
by Snorre Lindset - 275-303 Multifactor and analytical valuation of treasury bond futures with an embedded quality option
by João Pedro Vidal Nunes & Luís Alberto Ferreira De Oliveira
February 2007, Volume 27, Issue 2
- 105-126 Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements
by Jussi Nikkinen & Petri Sahlström & Janne Äijö - 127-150 An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
by Donald Lien & Keshab Shrestha - 151-186 Trend derivatives: Pricing, hedging, and application to executive stock options
by Markus Leippold & Jürg Syz - 187-193 A comment on “A hedging deficiency in eurodollar futures”
by Ira G. Kawaller - 195-201 Reply to “A comment on 'A hedging deficiency in eurodollar futures'”
by Don M. Chance
January 2007, Volume 27, Issue 1
- 1-27 Options listings and individual equity volatility
by Daniel Jubinski & Marc Tomljanovich - 29-59 An efficient approximation method for American exotic options
by Geunhyuk Chang & Jangkoo Kang & Hwa‐Sung Kim & In Joon Kim - 61-84 Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets
by Lorne N. Switzer & Mario El‐Khoury - 85-104 Back to the future: Futures margins in a future credit default swap index futures market
by Hans N. E. Byström
December 2006, Volume 26, Issue 12
- 1145-1146 Editor's note
by Robert I. Webb - 1147-1167 Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange
by Luke Bortoli & Alex Frino & Elvis Jarnecic & David Johnstone - 1169-1194 Does an index futures split enhance trading activity and hedging effectiveness of the futures contract?
by Lars Nordén - 1195-1216 Transaction tax and market quality of the Taiwan stock index futures
by Robin K. Chou & George H. K. Wang - 1217-1234 Dynamic trading value at risk: Futures floor trading
by Jongdoo Lee & Peter Locke
November 2006, Volume 26, Issue 11
- 1039-1057 Causality in futures markets
by Henry L. Bryant & David A. Bessler & Michael S. Haigh - 1059-1088 Asymmetric hedging of the corporate terms of trade
by Roger Bowden & Jennifer Zhu - 1089-1130 Intraday price‐reversal patterns in the currency futures market: The impact of the introduction of GLOBEX and the euro
by Joel Rentzler & Kishore Tandon & Susana Yu - 1131-1143 Price discovery in the foreign exchange futures market
by Yiuman Tse & Ju Xiang & Joseph K. W. Fung
October 2006, Volume 26, Issue 10
- 939-958 Currency barrier option pricing with mean reversion
by C. H. Hui & C. F. Lo - 959-995 Central bank communications and equity ETFs
by Tao Wang & Jian Yang & Jingtao Wu - 997-1018 Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals
by Douglas J. Miller & Wei‐Han Liu - 1019-1038 Spot‐futures spread, time‐varying correlation, and hedging with currency futures
by Donald Lien & Li Yang
September 2006, Volume 26, Issue 9
- 843-867 Option bid‐ask spread and scalping risk: Evidence from a covered warrants market
by Giovanni Petrella - 869-894 Nonlinear asymmetric models of the short‐term interest rate
by K. Ozgur Demirtas - 895-922 Valuation and optimal strategies of convertible bonds
by Szu‐Lang Liao & Hsing‐Hua Huang - 923-938 New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange
by M. Illueca & J. A. LaFuente
August 2006, Volume 26, Issue 8
- 733-757 Improving lattice schemes through bias reduction
by Michel Denault & Geneviève Gauthier & Jean‐Guy Simonato - 759-788 Option pricing for the transformed‐binomial class
by António Câmara & San‐Lin Chung - 789-808 Liquidity risk and the hedging role of options
by Kit Pong Wong & Jianguo Xu - 809-833 Multifactor implied volatility functions for HJM models
by I‐Doun Kuo & Dean A. Paxson - 835-841 Estimation bias of futures hedging performance: A note
by Donald Lien
July 2006, Volume 26, Issue 7
- 627-656 New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market
by Kleopatra Nikolaou & Lucio Sarno - 657-676 Updating the estimation of the supply of storage
by Carl R. Zulauf & Haijiang Zhou & Matthew C. Roberts - 677-702 Reevaluating hedging performance
by John Cotter & Jim Hanly - 703-732 Black‐Scholes‐Merton revisited under stochastic dividend yields
by Abraham Lioui
June 2006, Volume 26, Issue 6
- 521-531 VIX futures
by Jin E. Zhang & Yingzi Zhu - 533-570 Too many options? Theory and evidence on option exchange design
by Frank Fehle - 571-594 Persistence of volatility in futures markets
by Zhiyao Chen & Robert T. Daigler & Ali M. Parhizgari - 595-625 Asymmetric information and credit quality: Evidence from synthetic fixed‐rate financing
by Betty J. Simkins & Daniel A. Rogers
May 2006, Volume 26, Issue 5
- 417-448 A non‐lattice pricing model of American options under stochastic volatility
by Zhe Zhang & Kian‐Guan Lim - 449-463 Static hedging and model risk for barrier options
by Morten Nalholm & Rolf Poulsen - 466-502 Long‐term information, short‐lived securities
by Dan Bernhardt & Ryan J. Davies & John Spicer - 503-520 The impact of skewness in the hedging decision
by Scott Gilbert & Samuel Kyle Jones & Gay Hatfield Morris
April 2006, Volume 26, Issue 4
- 315-341 Holy mad cow! Facts or (mis)perceptions: A clinical study
by Yiuman Tse & James C. Hackard - 343-368 Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data
by David G. McMillan & Alan E. H. Speight - 369-390 Hedging and value at risk
by Richard D. F. Harris & Jian Shen - 391-415 An empirical analysis of commodity pricing
by Richard Heaney
March 2006, Volume 26, Issue 3
- 209-241 Migration of price discovery in semiregulated derivatives markets
by Anthony D. Hall & Paul Kofman & Steven Manaster - 243-268 An N‐factor Gaussian model of oil futures prices
by Gonzalo Cortazar & Lorenzo Naranjo - 269-295 Price clustering in E‐mini and floor‐traded index futures
by Huimin Chung & Shumei Chiang - 297-313 Testing range estimators of historical volatility
by Jinghong Shu & Jin E. Zhang
February 2006, Volume 26, Issue 2
- 103-129 A random coefficient autoregressive Markov regime switching model for dynamic futures hedging
by Hsiang‐Tai Lee & Jonathan K. Yoder & Ron C. Mittelhammer & Jill J. McCluskey - 131-151 Decimalization, trading costs, and information transmission between ETFs and index futures
by Robin K. Chou & Huimin Chung - 153-167 The Chinese interbank repo market: An analysis of term premiums
by Longzhen Fan & Chu Zhang - 169-188 Jumping hedges: An examination of movements in copper spot and futures markets
by Wing H. Chan & Denise Young - 189-207 A hedging deficiency in eurodollar futures
by Don M. Chance
January 2006, Volume 26, Issue 1
- 1-31 Volatility options: Hedging effectiveness, pricing, and model error
by Dimitris Psychoyios & George Skiadopoulos - 33-59 Information content of cross‐sectional option prices: A comparison of alternative currency option pricing models on the Japanese yen
by Brice Dupoyet - 61-84 Dynamics of intraday serial correlation in the Italian futures market
by Simone Bianco & Roberto Renò - 85-102 The valuation of European options when asset returns are autocorrelated
by Szu‐Lang Liao & Chao‐Chun Chen
December 2005, Volume 25, Issue 12
- 1127-1127 Editor's note
by Robert I. Webb - 1129-1146 Slippage in futures markets: Evidence from the Sydney Futures Exchange
by Alex Frino & Teddy Oetomo - 1147-1172 Information flows and option bid/ask spreads
by Fredrik Berchtold & Lars Nordén - 1173-1202 Structurally sound dynamic index futures hedging
by Paul Kofman & Patrick McGlenchy - 1203-1242 Recovering market expectations of FOMC rate changes with options on federal funds futures
by John B. Carlson & Ben R. Craig & William R. Melick
November 2005, Volume 25, Issue 11
- 1025-1044 A contango‐constrained model for storable commodity prices
by Diana R. Ribeiro & Stewart D. Hodges - 1045-1065 Futures and options expiration‐day effects: The Indian evidence
by Vipul - 1067-1092 Execution quality in open‐outcry futures markets
by Alexander Kurov - 1093-1120 Consistent calibration of HJM models to cap implied volatilities
by Flavio Angelini & Stefano Herzel - 1121-1126 A note on the superiority of the OLS hedge ratio
by Donald Lien
October 2005, Volume 25, Issue 10
- 917-944 Pricing foreign equity options under Lévy processes
by Shian‐Chang Huang & Mao‐Wei Hung - 945-965 Position limits for cash‐settled derivative contracts
by Hans R. Dutt & Lawrence E. Harris - 967-988 Price discovery in the aluminum market
by Isabel Figuerola‐Ferretti & Christopher L. Gilbert - 989-1009 Is it important to consider the jump component for pricing and hedging short‐term options?
by In Joon Kim & Sol Kim - 1011-1024 Estimating the optimal hedge ratio with focus information criterion
by Donald Lien & Keshab Shrestha
September 2005, Volume 25, Issue 9
- 817-843 What moves option‐implied bond market expectations?
by Sami Vähämaa & Sebastian Watzka & Janne Äijö - 845-871 Option pricing under extended normal distribution
by Hosam Ki & Byungwook Choi & Kook‐Hyun Chang & Miyoung Lee - 873-892 A comparative study of alternative extreme‐value volatility estimators
by Turan G. Bali & David Weinbaum - 893-916 The response of volume and returns to the information shocks in China's commodity futures markets
by Gongmeng Chen & Michael Firth & Yu Xin
August 2005, Volume 25, Issue 8
- 717-752 Is investor misreaction economically significant? Evidence from short‐ and long‐term S&P 500 index options
by Charles Cao & Haitao Li & Fan Yu - 753-774 Information content of the fed funds rates
by Jahangir Sultan - 775-794 Option pricing with a non‐zero lower bound on stock price
by Ming Dong - 795-816 Survival of commodity trading advisors: 1990–2003
by Greg N. Gregoriou & Georges Hübner & Nicolas Papageorgiou & Fabrice Rouah
July 2005, Volume 25, Issue 7
- 613-641 Derivative pricing model and time‐series approaches to hedging: A comparison
by Henry L. Bryant & Michael S. Haigh - 643-660 Technical analysis and genetic programming: Constructing and testing a commodity portfolio
by Matthew C. Roberts - 661-678 The use of term structure information in the hedging of mortgage‐backed securities
by Jason Fink & Kristin E. Fink & Stephen Lange - 679-715 Information transmission in electronic versus open‐outcry trading systems: An analysis of U.S. equity index futures markets
by Aysegul Ates & George H. K. Wang
June 2005, Volume 25, Issue 6
- 515-536 What moves the tail? The determinants of the option‐implied probability density function of the DAX index
by Ernst Glatzer & Martin Scheicher - 537-552 Minimum‐variance futures hedging under alternative return specifications
by Eric Terry - 553-585 Intradaily periodicity and volatility spillovers between international stock index futures markets
by Chunchi Wu & Jinliang Li & Wei Zhang - 587-606 An empirical analysis of multi‐period hedges: Applications to commercial and investment assets
by Jimmy E. Hilliard & Pinghsun Huang - 607-612 A note on asymmetric stochastic volatility and futures hedging
by Donald Lien
May 2005, Volume 25, Issue 5
- 419-442 Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
by Owain Ap Gwilym & Ian Mcmanus & Stephen Thomas - 443-464 A realistic model of market liquidity and depth
by Vassilis Polimenis - 465-490 Forecasting volatility
by Louis H. Ederington & Wei Guan - 491-514 Price relations among hog, corn, and soybean meal futures
by Qingfeng “Wilson” Liu
April 2005, Volume 25, Issue 4
- 309-337 Price risk in the NYMEX energy complex: An extreme value approach
by Tim Krehbiel & Lee C. Adkins - 339-373 The forecast quality of CBOE implied volatility indexes
by Charles J. Corrado & Thomas W. Miller, Jr. - 375-398 How electronic trading affects bid‐ask spreads and arbitrage efficiency between index futures and options
by Kevin H. K. Cheng & Joseph K. W. Fung & Yiuman Tse - 399-418 Asymmetric volatility of basis and the theory of storage
by Andre H. Gao & George H. K. Wang