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Journal of Futures Markets / John Wiley & Sons, Ltd.


0.83

Impact Factor

0.76

5-Years IF

27

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.030.10.075555220.41231013265183 (2.4%)10.020.04
19910.030.10.0357112110.1231106326686 (2.6%)0.04
19920.020.10.0653165350.211761122270174 (2.3%)0.04
19930.020.110.0163228150.07291110226629 (3.1%)0.05
19940.050.110.0648276240.091641166279162 (1.2%)10.020.04
19950.050.190.0544320440.142951115276149 (3.1%)20.050.07
19960.120.230.150370550.155459211265266 (1.1%)0.09
19970.10.270.1445415720.17167949258351 (%)10.020.09
19980.150.280.17484631080.231769514250432 (1.1%)0.1
19990.060.320.1247510850.17299936235296 (2%)0.13
20000.030.390.0950560620.11181953234225 (2.8%)10.020.15
20010.090.390.152612910.15330979240237 (2.1%)10.020.14
20020.070.410.1155667970.151911027242268 (4.2%)20.040.17
20030.060.430.0954721850.121721076252223 (1.7%)10.020.18
20040.090.480.11577781320.1729010910258287 (2.4%)20.040.2
20050.090.520.12518291190.1417311110268336 (3.5%)30.060.21
20060.110.510.15518802220.2523010812269407 (3%)20.040.2
20070.040.440.09519311150.122311024268256 (2.6%)10.020.18
20080.110.480.13589891710.1725710211264335 (1.9%)20.030.2
20090.240.490.225310422280.2221110926268584 (1.9%)0.19
20100.120.460.195610982290.2117611113264494 (2.3%)40.070.17
20110.160.50.214711452360.2122710917269572 (%)10.020.19
20120.170.530.155011952120.1820010317265406 (3%)60.120.19
20130.430.590.35112463890.311429742264796 (4.2%)90.180.21
20140.480.610.375813044450.3419310148257965 (2.6%)230.40.2
20150.650.630.7365136910080.74164109712621913 (1.8%)260.40.2
20160.940.70.8856142511630.82921231162712391 (1.1%)160.290.2
20170.830.780.7657148210770.7321121100280213 (%)60.110.23
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
11996Energy shocks and financial markets. (1996). masulis, ronald ; Stoll, Hans R. ; Huang, Roger D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

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234
21996The Fed funds futures rate as a predictor of federal reserve policy. (1996). Kuttner, Kenneth ; Krueger, Joel T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:865-879.

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77
31995Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

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67
42001What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

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60
52004Volatility and commodity price dynamics. (2004). Pindyck, Robert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047.

Full description at Econpapers || Download paper

58
61995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. (1995). Switzer, Lorne ; Park, Tae H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:1:p:61-67.

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57
71993Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?. (1993). Brorsen, B ; Yang, SeungRyong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:175-191.

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53
81999Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643.

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45
91996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

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42
101999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Moosa, Imad A. ; Silvapulle, Param. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

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40
112012Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. (2012). Yang, Jian ; Zhou, Yinggang . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:99-121.

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36
121984Memory in commodity futures contracts. (1984). Rosenman, Robert ; Helms, Billy P. ; Kaen, Fred R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:4:y:1984:i:4:p:559-567.

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33
131999Risk arbitrage opportunities in petroleum futures spreads. (1999). Paulson, Albert S. ; Girma, Paul Berhanu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:931-955.

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33
142001Hedge Fund Performance and Manager Skill. (2001). Edwards, Franklin R. ; Caglayan, Mustafa Onur . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1003-1028.

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33
151997Futures market transaction costs. (1997). Venkatesh, P. C. ; Locke, Peter R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:2:p:229-245.

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32
161985The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian ; Torous, Walter N. ; Ball, Clifford A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43.

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32
171994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Szakmary, Andrew C. ; Schwarz, Thomas V.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167.

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32
182008Informed trading in the index option market: The case of KOSPI 200 options. (2008). Ryu, Doojin ; Kang, Jangkoo ; Ahn, HeeJoon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146.

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32
191986Price variability and the maturity effect in futures markets. (1986). Milonas, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:6:y:1986:i:3:p:443-460.

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31
202002Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data. (2002). Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:22:y:2002:i:6:p:497-518.

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31
212001Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Leatham, David ; Bessler, David. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300.

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30
221999Price discovery and volatility spillovers in the DJIA index and futures markets. (1999). Tse, Yiuman. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:911-930.

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29
232007Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, Young Wook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668.

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29
242001Risk premiums on inventory assets: the case of crude oil and natural gas. (2001). Larson, Donald ; Considine, Timothy J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:2:p:109-126.

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28
251990South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Melvin, Michael ; Sultan, Jahangir . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111.

Full description at Econpapers || Download paper

28
262000Efficient use of commodity futures in diversified portfolios. (2000). Jensen, Gerald R. ; Johnson, Robert R. ; Mercer, Jeffrey M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-506.

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27
271997Searching for fractal structure in agricultural futures markets. (1997). Malliaris, Anastasios ; Corazza, Marco ; Nardelli, Carla. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:4:p:433-473.

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27
282008Realized volatility and correlation in energy futures markets. (2008). Yang, Jian ; Wang, Tao ; Wu, Jingtao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:10:p:993-1011.

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26
291996Linkages between agricultural commodity futures contracts. (1996). Malliaris, Anastasios ; Urrutia, Jorge L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:5:p:595-609.

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26
302015Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Seema ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891.

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26
312009The information content of an open limit‐order book. (2009). Cao, Charles ; Wang, Xiaoxin ; Hansch, Oliver . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41.

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26
321996Detecting volatility changes across the oil sector. (1996). Inclan, Carla ; Wilson, Berry ; Aggarwal, Reena . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:3:p:313-330.

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26
332006Jumping hedges: An examination of movements in copper spot and futures markets. (2006). Young, Denise ; Chan, Wing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:2:p:169-188.

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25
342014The Predictive Content of Commodity Futures. (2014). Coibion, Olivier ; Chinn, Menzie ; MenzieD. Chinn, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636.

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25
352004Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility. (2004). Zein, Jason ; Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028.

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24
362004Explaining credit default swap premia. (2004). Benkert, Christoph . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:1:p:71-92.

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24
372001Investor Sentiment and Return Predictability in Agricultural Futures Markets. (2001). Wang, Changyun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:10:p:929-952.

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23
382005Implied correlation index: A new measure of diversification. (2005). Skintzi, Vasiliki ; Refenes, ApostolosPaul N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:2:p:171-197.

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23
391991“Chaos” in futures markets? A nonlinear dynamical analysis. (1991). Blank, Steven. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:6:p:711-728.

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23
401993An examination of cointegration relations between futures and local grain markets. (1993). Fortenbery, T. Randall ; Zapata, Hector O.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:8:p:921-932.

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23
412009A new information share measure. (2009). Lien, Donald ; Shrestha, Keshab. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

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22
421993Cointegration tests of the unbiased expectations hypothesis in metals markets. (1993). Krehbiel, Tim ; Adkins, Lee. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:753-763.

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22
432007Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets. (2007). Switzer, Lorne ; ElKhoury, Mario . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:1:p:61-84.

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22
441989Limit moves and price resolution: The case of the treasury bond futures market. (1989). Rao, Ramesh ; Ma, Christopher K. ; Sears, Stephen R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:4:p:321-335.

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22
452011The performance of VIX option pricing models: Empirical evidence beyond simulation. (2011). Wang, Zhiguang ; Daigler, Robert T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:251-281.

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21
461997An evaluation of price linkages between futures and cash markets for cheddar cheese. (1997). Fortenbery, T. Randall ; Zapata, Hector O.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:3:p:279-301.

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21
471993The effects of USDA reports in futures and options markets. (1993). Sumner, Daniel ; Fortenbery, T. Randall. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:157-173.

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21
481991Futures market efficiency: Evidence from cointegration tests. (1991). Chowdhury, Abdur R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:5:p:577-589.

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21
491985Some determinants of the volatility of futures prices. (1985). Anderson, Ronald W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:3:p:331-348.

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21
501991Cointegration: Some results on U.S. cattle prices. (1991). Bessler, David ; Covey, Ted . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:4:p:461-474.

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21

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
11996Energy shocks and financial markets. (1996). masulis, ronald ; Stoll, Hans R. ; Huang, Roger D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

Full description at Econpapers || Download paper

102
22004Volatility and commodity price dynamics. (2004). Pindyck, Robert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047.

Full description at Econpapers || Download paper

38
31995Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

Full description at Econpapers || Download paper

26
41996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

Full description at Econpapers || Download paper

22
52015Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Seema ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891.

Full description at Econpapers || Download paper

22
62012Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. (2012). Yang, Jian ; Zhou, Yinggang . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:99-121.

Full description at Econpapers || Download paper

22
72001What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

Full description at Econpapers || Download paper

20
82008Informed trading in the index option market: The case of KOSPI 200 options. (2008). Ryu, Doojin ; Kang, Jangkoo ; Ahn, HeeJoon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146.

Full description at Econpapers || Download paper

20
91999Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643.

Full description at Econpapers || Download paper

20
102014The Predictive Content of Commodity Futures. (2014). Coibion, Olivier ; Chinn, Menzie ; MenzieD. Chinn, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636.

Full description at Econpapers || Download paper

19
112000Efficient use of commodity futures in diversified portfolios. (2000). Jensen, Gerald R. ; Johnson, Robert R. ; Mercer, Jeffrey M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-506.

Full description at Econpapers || Download paper

19
121990South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Melvin, Michael ; Sultan, Jahangir . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111.

Full description at Econpapers || Download paper

18
132007Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, Young Wook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668.

Full description at Econpapers || Download paper

18
141999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Moosa, Imad A. ; Silvapulle, Param. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

Full description at Econpapers || Download paper

18
152009The information content of an open limit‐order book. (2009). Cao, Charles ; Wang, Xiaoxin ; Hansch, Oliver . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41.

Full description at Econpapers || Download paper

16
162009A new information share measure. (2009). Lien, Donald ; Shrestha, Keshab. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

Full description at Econpapers || Download paper

15
172001Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Leatham, David ; Bessler, David. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300.

Full description at Econpapers || Download paper

15
181999Price discovery and volatility spillovers in the DJIA index and futures markets. (1999). Tse, Yiuman. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:911-930.

Full description at Econpapers || Download paper

14
192011Price discovery and investor structure in stock index futures. (2011). Salm, Christian A. ; Schuppli, Michael ; Bohl, Martin T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:282-306.

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14
202004Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility. (2004). Zein, Jason ; Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028.

Full description at Econpapers || Download paper

14
212009Rolling over stock index futures contracts. (2009). Pardo, Angel ; Carchano, Oscar . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:7:p:684-694.

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14
222004Explaining credit default swap premia. (2004). Benkert, Christoph . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:1:p:71-92.

Full description at Econpapers || Download paper

14
231994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Szakmary, Andrew C. ; Schwarz, Thomas V.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167.

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13
242015Does Futures Speculation Destabilize Commodity Markets?. (2015). Kim, Abby . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:8:p:696-714.

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13
252006An N‐factor Gaussian model of oil futures prices. (2006). Cortazar, Gonzalo ; Naranjo, Lorenzo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:3:p:243-268.

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13
262015The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives. (2015). Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:3:p:201-221.

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13
272004Natural gas prices and the gas storage report: Public news and volatility in energy futures markets. (2004). Zhu, Zhen ; Linn, Scott. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:3:p:283-313.

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13
282001Investor Sentiment and Return Predictability in Agricultural Futures Markets. (2001). Wang, Changyun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:10:p:929-952.

Full description at Econpapers || Download paper

12
292011Intraday price formation and bid–ask spread components: A new approach using a cross‐market model. (2011). Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:12:p:1142-1169.

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12
302008Realized volatility and correlation in energy futures markets. (2008). Yang, Jian ; Wang, Tao ; Wu, Jingtao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:10:p:993-1011.

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12
312012An empirical analysis of dynamic multiscale hedging using wavelet decomposition. (2012). cotter, john ; Conlon, Thomas. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:3:p:272-299.

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322011Oil volatility and the option value of waiting: An analysis of the G‐7. (2011). Fountas, Stilianos ; Elder, John ; Bredin, Don. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:7:p:679-702.

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11
332014Noisy Inventory Announcements and Energy Prices. (2014). Kurov, Alexander ; Wolfe, Marketa ; Kucher, Oleg . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:10:p:911-933.

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342013Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation. (2013). Badshah, Ihsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:3:p:235-265.

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352006VIX futures. (2006). Zhang, Jin E. ; Zhu, Yingzi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:6:p:521-531.

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362012Does the price of crude oil respond to macroeconomic news?. (2012). Miao, Hong ; Chatrath, Arjun ; Ramchander, Sanjay. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:6:p:536-559.

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372015The Impact of Monetary Policy Surprises on Energy Prices. (2015). Kurov, Alexander ; Basistha, Arabinda. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:1:p:87-103.

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382016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets. (2016). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:8:p:758-792.

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392016Who Sets the Price of Gold? London or New York. (2016). Putnins, Talis ; Hauptfleisch, Martin ; Lucey, Brian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:6:p:564-586.

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402004Price discovery in the hang seng index markets: Index, futures, and the tracker fund. (2004). So, Raymond W. ; Tse, Yiuman. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:9:p:887-907.

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411999VaR without correlations for portfolios of derivative securities. (1999). BaroneAdesi, Giovanni ; Vosper, Les ; Giannopoulos, Kostas . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:5:p:583-602.

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422011Volatility spillover effects and cross hedging in corn and crude oil futures. (2011). Wu, Feng ; Guan, Zhengfei ; Myers, Robert J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-1075.

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431996The Fed funds futures rate as a predictor of federal reserve policy. (1996). Kuttner, Kenneth ; Krueger, Joel T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:865-879.

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442005Information transmission in electronic versus open‐outcry trading systems: An analysis of U.S. equity index futures markets. (2005). Ates, Aysegul ; George H. K. Wang, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:7:p:679-715.

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452015Implied Pricing Kernels: An Alternative Approach for Option Valuation. (2015). Suh, Sangwon ; Ryu, Doojin ; Kang, Jangkoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:2:p:127-147.

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9
462009Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange. (2009). Chou, Robin K. ; Wang, Yunyi . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:12:p:1102-1129.

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472013Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach. (2013). Chen, Haiqiang ; Li, Yingxing ; Han, Qian ; Wu, Kai . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:12:p:1167-1190.

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9
482013Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets. (2013). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:11:p:1024-1045.

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492014The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts. (2014). Ding, David ; Tse, Yiuman ; Williams, Michael R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:2:p:103-123.

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9
501996Temporal relationships and dynamic interactions between spot and futures stock markets. (1996). Koutmos, Gregory ; Tucker, Michael . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:55-69.

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Citing documents used to compute impact factor 100:


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2017Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York. (2017). Iwatsubo, Kentaro ; Xu, Tao ; Watkins, Clinton . In: Discussion Papers. RePEc:koe:wpaper:1715.

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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37.

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2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis. (2017). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan. In: MPRA Paper. RePEc:pra:mprapa:76915.

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2017Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51.

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2017Jumps in Commodity Markets. (2017). Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-615.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2017Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios. (2017). Clark, Iain J ; Amen, Saeed. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:35-:d:103608.

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2017The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures. (2017). GUPTA, RANGAN ; Bahloul, Walid. In: Working Papers. RePEc:pre:wpaper:201715.

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2017When no news is good news – The decrease in investor fear after the FOMC announcement. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Fernandez-Perez, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199.

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2017Informed Trading in Oil-Futures Market. (2017). Sévi, Benoît ; Rousse, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01460186.

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2017Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?. (2017). Chan, Kam Fong ; Gray, Philip. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:1:p:71-89.

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2017Forecasting the volatility of Nikkei 225 futures. (2017). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1707.

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2017Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Li, Wei-Xuan ; Chen, Clara Chia-Sheng . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2017Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017What drives performance in the speculative market of short-term exchange-traded retail products?. (2017). Baller, Stefanie ; Wilkens, Marco ; Schober, Alexander ; Entrop, Oliver . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:b2617.

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2017Setting the futures margin with price limits: the case for single-stock futures. (2017). Fung, Hung-Gay ; Tse, Yiuman ; Chou, Jian-Hsin ; Chen, Chen-Yu . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0548-7.

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2017Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study. (2017). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Borradores de Economia. RePEc:bdr:borrec:1009.

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2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:208-218.

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2017Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong. In: MPRA Paper. RePEc:pra:mprapa:76282.

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2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?. (2017). Shahzad, Syed Jawad Hussain ; Jareño, Francisco ; Hussain, Syed Jawad ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:453-483.

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2017Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil. (2017). Lau, Wee-Yeap ; Go, You-How. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:135-146.

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2017Financialization of metal markets: Does futures trading influence spot prices and volatility?. (2017). Mayer, Herbert ; Wanner, Markus ; Rathgeber, Andreas. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:300-316.

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2017Mispricing and trader positions in the S&P 500 index futures market. (2017). Lai, Ya-Wen ; Tang, Mei-Ling ; Lin, Chiou-Fa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:250-265.

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2017Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets. (2017). Sanders, Dwight R ; Irwin, Scott H. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:2:p:345-365.

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2017Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier . In: The Energy Journal. RePEc:aen:journl:ej38-2-bunn.

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2017What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Wallen, Jonathan ; Bruno, Valentina ; Adjemian, Michael K. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452.

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2017Intertemporal abatement decisions under ambiguity aversion in a cap and trade.. (2017). Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1703.

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2017Intertemporal Abatement Decisions under Ambiguity Aversion in a Cap and Trade. (2017). Quemin, Simon. In: Working Papers. RePEc:fae:wpaper:2017.06.

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2017Price convergence within and between the Italian electricity day-ahead and dispatching services markets. (2017). Fontini, Fulvio ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0215.

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2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274663.

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2017A historical perspective of the informational content of commodity futures. (2017). Fernandez, Viviana. In: Resources Policy. RePEc:eee:jrpoli:v:51:y:2017:i:c:p:135-150.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2017Oil price shocks and Chinas stock market. (2017). Wei, Yanfeng ; Guo, Xiaoying . In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:185-197.

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2017Marginal speculation and hedging in commodity markets. (2017). Ulusoy, Veysel ; Onbirler, Ozgur Unal. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:269-282.

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2017Cost reduction and peak shaving through domestic load shifting and DERs. (2017). Shirazi, Elham ; Jadid, Shahram. In: Energy. RePEc:eee:energy:v:124:y:2017:i:c:p:146-159.

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2017Threshold convergence between the Federal fund rate and South African equity returns around the colocation period. (2017). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1710.

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2017INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS. (2017). Cui, Zhenyu ; Nguyen, Duy ; Lian, Guanghua ; Kirkby, Lars J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500558.

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2017A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Lejay, Antoine ; Pigato, Paolo. In: Working Papers. RePEc:hal:wpaper:hal-01669082.

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2017Pricing double barrier options under a volatility regime-switching model with psychological barriers. (2017). Song, Shiyu ; Wang, Yongjin. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9130-x.

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2017Price disagreements and adjustments in index derivatives markets. (2017). Ryu, Doojin ; Yang, Heejin. In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:104-106.

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2017Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework. (2017). Ryu, Doojin ; Shim, Hyein. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:2:p:45-61.

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2017The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y. ; Song, Jeongseok ; Ryu, Doojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648.

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2017Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51.

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2017Do institutions behave rationally in distressed markets?. (2017). Cho, Hoon ; Sung, Sangwook ; Ryu, Doojin. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017103.

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2017Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market. (2017). Chung, Chune Young ; Ryu, Doojin ; Lee, Yunjae. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:4:d:10.1007_s10690-017-9235-0.

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2017On the behavior of commodity prices when speculative storage is bounded. (2017). Kleppe, Tore ; Oglend, Atle. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:52-69.

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2017Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market. (2017). Kim, Don H ; Ho, Young ; Choi, Hanbok ; Jang, Woon Wook . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:47-63.

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2017Comprehensive market microstructure model: considering the inventory holding costs. (2017). Ryu, Doojin. In: Journal of Business Economics and Management. RePEc:taf:jbemgt:v:18:y:2017:i:2:p:183-201.

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2017The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Jlassi, Mouna. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174.

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2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Wallen, Jonathan ; Bruno, Valentina ; Adjemian, Michael K. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452.

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2017No arbitrage and lead-lag relationships. (2017). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1712.09854.

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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763.

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2017Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market. (2017). Chung, Chune Young ; Ryu, Doojin ; Lee, Yunjae. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:4:d:10.1007_s10690-017-9235-0.

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2017Effects of intraday weather changes on asset returns and volatilities. (2017). Shim, Hyein ; Ryu, Doojin ; Kim, Maria H. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:35:y:2017:i:2:p:301-330.

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2017Do institutions behave rationally in distressed markets?. (2017). Cho, Hoon ; Sung, Sangwook ; Ryu, Doojin. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017103.

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Recent citations received in 2016

YearCiting document
2016BTP futures and cash relationships: a high frequency data analysis. (2016). Puorro, Alfonso ; Potente, Francesco ; Panzarino, Onofrio . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1083_16.

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2016Intertemporal abatement decisions under ambiguity aversion in a cap and trade. (2016). Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1604.

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2016Short selling constraints and stock returns volatility: empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:4516.

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2016Forecasting volatility of wind power production. (2016). Shen, Zhiwei ; Ritter, Matthias. In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

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2016Gold and silver manipulation: What can be empirically verified?. (2016). Batten, Jonathan ; Lucey, Brian M ; Peat, Maurice. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:168-176.

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2016Short selling constraints and stock returns volatility: Empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:159-166.

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2016Considering all microstructure effects: The extension of a trade indicator model. (2016). Ryu, Doojin. In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:107-110.

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2016Optimal conditional hedge ratio: A simple shrinkage estimation approach. (2016). Park, Sung Y. ; Kim, Myeong Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:139-156.

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2016The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market. (2016). Luo, Xingguo ; Ye, Zinan ; Qin, Shihua . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:105-111.

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2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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2016Further evidence on the relationship between spot and futures prices. (2016). Fernandez, Viviana. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:368-371.

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2016Extreme risk spillover effects in world gold markets and the global financial crisis. (2016). Wang, Gang-Jin ; Stanley, Eugene H ; Jiang, Zhi-Qiang ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:46:y:2016:i:c:p:55-77.

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2016Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty. (2016). Robe, Michel ; Wallen, Jonathan ; Covindassamy, Genevre. In: IDB Publications (Working Papers). RePEc:idb:brikps:8588.

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2016Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105.

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2016Price Discovery in the Chinese Gold Market. (2016). Wang, Jianxin ; Li, Youwei ; Jin, Muzhao ; Yang, Yung Chiang . In: MPRA Paper. RePEc:pra:mprapa:71135.

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2016The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:80163.

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Recent citations received in 2015

YearCiting document
2015Forecasting the term structure of crude oil futures prices with neural networks. (2015). Baruník, Jozef ; Malinska, Barbora . In: Papers. RePEc:arx:papers:1504.04819.

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2015A SMOOTH AMBIGUITY MODEL OF THE COMPETITIVE FIRM. (2015). Wong, Kit Pong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:67:y:2015:i:s1:p:s97-s110.

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2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; HOANG, Thi Hong Van ; Zhu, Zhenzhen . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211.

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2015Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period?. (2015). Huang, Zhuo ; Yi, Yanping ; Chen, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:64-71.

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2015The role of financial speculation in the energy future markets: A new time-varying coefficient approach. (2015). Park, Sung Y. ; Kim, Hyung-Gun ; Li, Haiqi. In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:112-122.

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2015Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector. (2015). Tong, Bin ; Wu, Chongfeng ; Diao, Xundi. In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:366-382.

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2015Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets. (2015). Changqing, Luo ; Yan, Xu ; Cong, YU ; Chi, Xie . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:657-671.

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2015Are the KOSPI 200 implied volatilities useful in value-at-risk models?. (2015). Ryu, Doojin ; Kim, Jun Sik. In: Emerging Markets Review. RePEc:eee:ememar:v:22:y:2015:i:c:p:43-64.

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2015FX funding risks and exchange rate volatility. (2015). Joo, Jack ; Park, Hail ; Yoon, Kyoungsoo. In: Emerging Markets Review. RePEc:eee:ememar:v:25:y:2015:i:c:p:163-175.

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2015Interactions between oil and financial markets — Do conditions of financial stress matter?. (2015). Kao, Chung-Wei ; Wan, Jer-Yuh . In: Energy Economics. RePEc:eee:eneeco:v:52:y:2015:i:pa:p:160-175.

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2015A cost-benefit analysis of alternatively fueled buses with special considerations for V2G technology. (2015). Shirazi, Yosef ; Knapp, Lauren ; Carr, Edward . In: Energy Policy. RePEc:eee:enepol:v:87:y:2015:i:c:p:591-603.

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2015The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema. In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

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2015Combining momentum with reversal in commodity futures. (2015). Drew, Michael ; Bianchi, Robert ; Fan, John Hua . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:423-444.

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2015.

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2015Common deviation and regime-dependent dynamics in the index derivatives markets. (2015). Lee, Jaeram ; Ryu, Doojin ; Kang, Jangkoo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:33:y:2015:i:c:p:1-22.

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2015Phase transition phenomenon: A compound measure analysis. (2015). Song, Wonho ; Kang, Bo Soo ; Ryu, Doojin ; Park, Chanhi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:428:y:2015:i:c:p:383-395.

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2015Production Risk and the Futures Price Risk Premium?. (2015). Misund, BÃ¥rd ; Asche, Frank ; Oglend, Atle. In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2015_013.

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2015The Spot-Forward Relationship in the Atlantic Salmon Market. (2015). Misund, BÃ¥rd ; Asche, Frank ; Oglend, Atle. In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2015_016.

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2015The Financial Econometrics of Price Discovery and Predictability. (2015). Smyth, Russell ; Narayan, Seema. In: Monash Economics Working Papers. RePEc:mos:moswps:2015-06.

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2015Exchange rate fluctuations and the margins of exports. (2015). Sanderson, Lynda ; Fabling, Richard. In: Working Papers. RePEc:mtu:wpaper:15_05.

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2015Exchange rate fluctuations and the margins of exports. (2015). Sanderson, Lynda ; Fabling, Richard. In: Treasury Working Paper Series. RePEc:nzt:nztwps:15/08.

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2015Information content of inter-transaction time: A structural approach. (2015). Ryu, Doojin. In: Journal of Business Economics and Management. RePEc:taf:jbemgt:v:16:y:2015:i:4:p:697-711.

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2015FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS. (2015). Zeng, Pingping ; Zheng, Wendong ; Kwok, Yue Kuen. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500466.

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2015Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market. (2015). Hossfeld, Oliver ; Rothig, Andreas . In: Discussion Papers. RePEc:zbw:bubdps:412015.

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2015Modeling and predicting the market volatility index: The case of VKOSPI. (2015). Kutan, Ali ; Han, Heejoon ; Ryu, Doojin. In: Economics Discussion Papers. RePEc:zbw:ifwedp:20157.

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2015Effects of the US stock market return and volatility on the VKOSPI. (2015). Kutan, Ali ; Han, Heejoon ; Ryu, Doojin. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201535.

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Recent citations received in 2014

YearCiting document
2014Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets. (2014). Heckelei, Thomas ; Grosche, Stephanie . In: Discussion Papers. RePEc:ags:ubfred:166079.

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2014Price dynamics and financialization effects in corn futures markets with heterogeneous traders. (2014). Heckelei, Thomas ; Grosche, Stephanie . In: Discussion Papers. RePEc:ags:ubfred:172077.

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2014Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers. (2014). Kalkuhl, Matthias ; Algieri, Bernardina. In: Discussion Papers. RePEc:ags:ubzefd:187159.

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2014Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data. (2014). Panayi, Efstathios ; Kosmidis, Ioannis ; Peters, Gareth . In: Papers. RePEc:arx:papers:1406.5486.

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2014A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities. (2014). Casarin, Roberto ; Horst, Enrique Ter ; Molina, German ; Leisen, Fabrizio. In: Papers. RePEc:arx:papers:1409.1956.

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2014What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets. (2014). Grosche, Stephanie-Carolin . In: Journal of Agricultural Economics. RePEc:bla:jageco:v:65:y:2014:i:2:p:279-302.

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2014Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro. In: CARF F-Series. RePEc:cfi:fseres:cf336.

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2014An optimal stochastic control framework for determining the cost of hedging of variable annuities. (2014). Vetzal, Kenneth ; Forsyth, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:44:y:2014:i:c:p:29-53.

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2014Insider trading and information revelation with the introduction of futures markets. (2014). Hsu, Chih-Hsiang ; Lee, Hsiu-Chuan. In: Economic Modelling. RePEc:eee:ecmode:v:43:y:2014:i:c:p:173-182.

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2014The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence. (2014). Rosa, Carlo. In: Energy Economics. RePEc:eee:eneeco:v:45:y:2014:i:c:p:295-303.

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2014Understanding recent oil price dynamics: A novel empirical approach. (2014). Montalbano, Pierluigi ; Magrini, Emiliano ; Triulzi, Umberto ; D'Ecclesia, Rita L.. In: Energy Economics. RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s11-s17.

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2014Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps. (2014). Wong, Hoi Ying ; Chung, Shing Fung . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:44:y:2014:i:c:p:130-140.

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2014The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production. (2014). Zhu, Zhen ; Linn, Scott ; Chiou-Wei, Song-Zan . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:42:y:2014:i:c:p:156-173.

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2014Generating Historically-Based Stress Scenarios Using Parsimonious Factorization. (2014). Doerner, William ; Bogin, Alexander. In: FHFA Staff Working Papers. RePEc:hfa:wpaper:13-02.

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2014Intermarket Technical Research of the U.S. Capital Markets and the Czech Stock Market Performance. (2014). Vychytilova, Jana. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2014062061509.

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2014Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises. (2014). Ulusoy, Veysel ; demiralay, sercan. In: MPRA Paper. RePEc:pra:mprapa:59727.

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2014Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro. In: CIRJE F-Series. RePEc:tky:fseres:2014cf913.

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2014Price Impacts of Imperfect Collateralization. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro. In: CIRJE F-Series. RePEc:tky:fseres:2014cf947.

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2014A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities. (2014). Casarin, Roberto ; Horst, Enrique Ter ; Molina, German ; Leisen, Fabrizio. In: Working Papers. RePEc:ven:wpaper:2014:22.

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2014Individual investors and suboptimal early exercises in the fixed-income market. (2014). Wilkens, Marco ; Entrop, Oliver ; Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:14.

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2014What makes individual investors exercise early? Empirical evidence from the fixed-income market. (2014). Wilkens, Marco ; Entrop, Oliver ; Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:15.

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2014Behavioral financial engineering in the fixed-income market: The influence of the coupon structure. (2014). Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:16.

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2014Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion. (2014). Brandtner, Mario ; Kursten, Wolfgang . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100615.

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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2th 2018. Contact: CitEc Team