[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]
IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0.02 | 0.09 | 0.45 | 0.03 | 55 | 55 | 198 | 25 | 25 | 101 | 2 | 265 | 8 | 0 | 1 | 0.02 | 0.04 | |
1991 | 0.04 | 0.08 | 0.12 | 0.03 | 57 | 112 | 319 | 13 | 38 | 106 | 4 | 266 | 7 | 0 | 0 | 0.04 | ||
1992 | 0.02 | 0.09 | 0.25 | 0.03 | 53 | 165 | 246 | 42 | 80 | 112 | 2 | 270 | 9 | 0 | 0 | 0.04 | ||
1993 | 0.02 | 0.11 | 0.09 | 0.02 | 63 | 228 | 448 | 21 | 101 | 110 | 2 | 266 | 4 | 0 | 0 | 0.05 | ||
1994 | 0.04 | 0.12 | 0.11 | 0.05 | 48 | 276 | 271 | 31 | 132 | 116 | 5 | 279 | 15 | 0 | 1 | 0.02 | 0.06 | |
1995 | 0.05 | 0.19 | 0.16 | 0.04 | 44 | 320 | 457 | 50 | 182 | 111 | 5 | 276 | 10 | 0 | 2 | 0.05 | 0.08 | |
1996 | 0.13 | 0.22 | 0.16 | 0.09 | 50 | 370 | 865 | 59 | 242 | 92 | 12 | 265 | 23 | 2 | 3.4 | 1 | 0.02 | 0.1 |
1997 | 0.12 | 0.22 | 0.29 | 0.13 | 45 | 415 | 271 | 122 | 364 | 94 | 11 | 258 | 33 | 0 | 2 | 0.04 | 0.09 | |
1998 | 0.17 | 0.26 | 0.26 | 0.14 | 48 | 463 | 282 | 119 | 483 | 95 | 16 | 250 | 35 | 8 | 6.7 | 0 | 0.12 | |
1999 | 0.08 | 0.27 | 0.19 | 0.12 | 47 | 510 | 532 | 96 | 579 | 93 | 7 | 235 | 29 | 8 | 8.3 | 0 | 0.13 | |
2000 | 0.03 | 0.32 | 0.12 | 0.08 | 50 | 560 | 308 | 69 | 648 | 95 | 3 | 234 | 18 | 0 | 1 | 0.02 | 0.14 | |
2001 | 0.09 | 0.35 | 0.18 | 0.12 | 52 | 612 | 559 | 112 | 760 | 97 | 9 | 240 | 29 | 0 | 1 | 0.02 | 0.15 | |
2002 | 0.11 | 0.37 | 0.19 | 0.12 | 55 | 667 | 333 | 129 | 889 | 102 | 11 | 242 | 30 | 0 | 3 | 0.05 | 0.19 | |
2003 | 0.11 | 0.4 | 0.17 | 0.12 | 54 | 721 | 295 | 125 | 1014 | 107 | 12 | 252 | 29 | 3 | 2.4 | 1 | 0.02 | 0.19 |
2004 | 0.11 | 0.44 | 0.21 | 0.11 | 57 | 778 | 488 | 161 | 1175 | 109 | 12 | 258 | 29 | 2 | 1.2 | 2 | 0.04 | 0.2 |
2005 | 0.1 | 0.45 | 0.24 | 0.15 | 51 | 829 | 320 | 195 | 1370 | 111 | 11 | 268 | 41 | 14 | 7.2 | 3 | 0.06 | 0.21 |
2006 | 0.15 | 0.46 | 0.3 | 0.15 | 51 | 880 | 375 | 267 | 1637 | 108 | 16 | 269 | 40 | 0 | 2 | 0.04 | 0.2 | |
2007 | 0.08 | 0.42 | 0.17 | 0.14 | 51 | 931 | 415 | 162 | 1799 | 102 | 8 | 268 | 37 | 5 | 3.1 | 1 | 0.02 | 0.18 |
2008 | 0.16 | 0.44 | 0.24 | 0.14 | 58 | 989 | 441 | 237 | 2036 | 102 | 16 | 264 | 37 | 1 | 0.4 | 2 | 0.03 | 0.2 |
2009 | 0.24 | 0.43 | 0.31 | 0.2 | 53 | 1042 | 412 | 317 | 2354 | 109 | 26 | 268 | 54 | 1 | 0.3 | 0 | 0.21 | |
2010 | 0.16 | 0.43 | 0.26 | 0.19 | 56 | 1098 | 335 | 284 | 2642 | 111 | 18 | 264 | 50 | 3 | 1.1 | 4 | 0.07 | 0.18 |
2011 | 0.16 | 0.45 | 0.24 | 0.19 | 47 | 1145 | 429 | 276 | 2918 | 109 | 17 | 269 | 50 | 16 | 5.8 | 0 | 0.2 | |
2012 | 0.17 | 0.45 | 0.22 | 0.17 | 50 | 1195 | 394 | 260 | 3185 | 103 | 18 | 265 | 44 | 6 | 2.3 | 7 | 0.14 | 0.19 |
2013 | 0.42 | 0.5 | 0.37 | 0.28 | 51 | 1246 | 253 | 459 | 3648 | 97 | 41 | 264 | 75 | 16 | 3.5 | 9 | 0.18 | 0.21 |
2014 | 0.46 | 0.51 | 0.39 | 0.37 | 58 | 1304 | 412 | 501 | 4151 | 101 | 46 | 257 | 96 | 15 | 3 | 21 | 0.36 | 0.2 |
2015 | 0.61 | 0.5 | 0.77 | 0.58 | 65 | 1369 | 413 | 1052 | 5204 | 109 | 67 | 262 | 151 | 20 | 1.9 | 36 | 0.55 | 0.19 |
2016 | 0.91 | 0.5 | 0.87 | 0.73 | 56 | 1425 | 398 | 1237 | 6442 | 123 | 112 | 271 | 197 | 50 | 4 | 16 | 0.29 | 0.18 |
2017 | 0.87 | 0.5 | 0.84 | 0.69 | 57 | 1482 | 246 | 1247 | 7690 | 121 | 105 | 280 | 193 | 20 | 1.6 | 8 | 0.14 | 0.18 |
2018 | 0.92 | 0.54 | 0.82 | 0.73 | 77 | 1559 | 241 | 1277 | 8967 | 113 | 104 | 287 | 210 | 205 | 16.1 | 20 | 0.26 | 0.21 |
2019 | 0.8 | 0.58 | 0.86 | 0.87 | 81 | 1640 | 165 | 1404 | 10371 | 134 | 107 | 313 | 272 | 228 | 16.2 | 17 | 0.21 | 0.21 |
2020 | 0.75 | 0.75 | 0.87 | 0.85 | 93 | 1733 | 114 | 1505 | 11876 | 158 | 119 | 336 | 285 | 287 | 19.1 | 26 | 0.28 | 0.29 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until 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: | selft citations in y to articles published in y-1 plus y-2 |
%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 |
# | Year | Title | Cited |
---|---|---|---|
1 | 1996 | Energy shocks and financial markets. (1996). masulis, ronald ; Huang, Roger D. ; Stoll, Hans R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27. Full description at Econpapers || Download paper | 389 |
2 | 1995 | Predicting stock market volatility: A new measure. (1995). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302. Full description at Econpapers || Download paper | 114 |
3 | 1996 | The 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. Full description at Econpapers || Download paper | 98 |
4 | 2004 | Volatility 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 | 97 |
5 | 1999 | Price 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 | 88 |
6 | 1996 | Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387. Full description at Econpapers || Download paper | 87 |
7 | 2001 | Asset 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 | 86 |
8 | 2001 | What 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 | 86 |
9 | 1999 | The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Silvapulle, Param ; Moosa, Imad A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193. Full description at Econpapers || Download paper | 72 |
10 | 1995 | Bivariate 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. Full description at Econpapers || Download paper | 70 |
11 | 1999 | Price 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 | 68 |
12 | 1994 | Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Schwarz, Thomas V. ; Szakmary, Andrew C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167. Full description at Econpapers || Download paper | 67 |
13 | 2012 | Intraday 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 | 67 |
14 | 2008 | Informed 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 | 59 |
15 | 2018 | Structural breaks and volatility forecasting in the copper futures market. (2018). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339. Full description at Econpapers || Download paper | 59 |
16 | 2016 | Do 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. Full description at Econpapers || Download paper | 58 |
17 | 2014 | The 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 | 57 |
18 | 2001 | Hedge 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. Full description at Econpapers || Download paper | 57 |
19 | 2000 | Efficient 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 | 55 |
20 | 2009 | A 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 | 54 |
21 | 1993 | Nonlinear 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. Full description at Econpapers || Download paper | 54 |
22 | 2009 | The information content of an open limitââ¬Âorder 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 | 53 |
23 | 2015 | Do Momentumââ¬ÂBased 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 | 52 |
24 | 1985 | The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian ; Ball, Clifford A. ; Torous, Walter N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43. Full description at Econpapers || Download paper | 52 |
25 | 2016 | Who 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. Full description at Econpapers || Download paper | 49 |
26 | 2011 | Price 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. Full description at Econpapers || Download paper | 47 |
27 | 2002 | Measuring and forecasting S&P 500 indexââ¬Âfutures volatility using highââ¬Âfrequency data. (2002). Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:22:y:2002:i:6:p:497-518. Full description at Econpapers || Download paper | 46 |
28 | 1993 | Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. (1993). Lashgari, Malek ; Wahab, Mahmoud. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:711-742. Full description at Econpapers || Download paper | 45 |
29 | 1997 | Futures market transaction costs. (1997). Locke, Peter R. ; Venkatesh, P. C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:2:p:229-245. Full description at Econpapers || Download paper | 45 |
30 | 2011 | Volatility 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. Full description at Econpapers || Download paper | 44 |
31 | 2010 | The information content of implied volatility: Evidence from Australia. (2010). Tourani-Rad, Alireza ; Frijns, Bart ; Tallau, Christian ; TouraniRad, Alireza . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:2:p:134-155. Full description at Econpapers || Download paper | 43 |
32 | 1999 | Risk arbitrage opportunities in petroleum futures spreads. (1999). Girma, Paul Berhanu ; Paulson, Albert S.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:931-955. Full description at Econpapers || Download paper | 42 |
33 | 2004 | Predicting financial volatility: Highââ¬Âfrequency timeââ¬Âseries forecasts visââ¬Âàââ¬Âvis 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 | 42 |
34 | 1990 | South 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 | 42 |
35 | 2013 | Quantile Regression Analysis of the Asymmetric Returnââ¬ÂVolatility Relation. (2013). Badshah, Ihsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:3:p:235-265. Full description at Econpapers || Download paper | 41 |
36 | 2015 | The 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. Full description at Econpapers || Download paper | 40 |
37 | 2009 | Do futures lead price discovery in electronic foreign exchange markets?. (2009). Yang, Jian ; Wang, Tao ; Cabrera, Juan . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:2:p:137-156. Full description at Econpapers || Download paper | 38 |
38 | 2000 | Stock index futures trading and volatility in international equity markets. (2000). Gulen, Huseyin ; Mayhew, Stewart . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:7:p:661-685. Full description at Econpapers || Download paper | 38 |
39 | 2001 | Investor 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 | 38 |
40 | 2015 | Does 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. Full description at Econpapers || Download paper | 37 |
41 | 2008 | Realized 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. Full description at Econpapers || Download paper | 37 |
42 | 2005 | Implied 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. Full description at Econpapers || Download paper | 37 |
43 | 1985 | Some 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. Full description at Econpapers || Download paper | 37 |
44 | 2007 | Long 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 | 37 |
45 | 1997 | Searching 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. Full description at Econpapers || Download paper | 36 |
46 | 1986 | Price 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. Full description at Econpapers || Download paper | 36 |
47 | 2004 | Price 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. Full description at Econpapers || Download paper | 36 |
48 | 1996 | Detecting 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. Full description at Econpapers || Download paper | 35 |
49 | 1996 | Temporal relationships and dynamic interactions between spot and futures stock markets. (1996). Tucker, Michael ; Koutmos, Gregory. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:55-69. Full description at Econpapers || Download paper | 34 |
50 | 2011 | Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper. (2011). Khalifa, Ahmed ; Ahmed A. A. Khalifa, ; Ramchander, Sanjay ; Miao, Hong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:1:p:55-80. Full description at Econpapers || Download paper | 34 |
# | Year | Title | Cited |
---|---|---|---|
1 | 1996 | Energy shocks and financial markets. (1996). masulis, ronald ; Huang, Roger D. ; Stoll, Hans R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27. Full description at Econpapers || Download paper | 122 |
2 | 2018 | Structural breaks and volatility forecasting in the copper futures market. (2018). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339. Full description at Econpapers || Download paper | 49 |
3 | 1999 | Price 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 | 39 |
4 | 2016 | Do 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. Full description at Econpapers || Download paper | 36 |
5 | 1995 | Predicting stock market volatility: A new measure. (1995). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302. Full description at Econpapers || Download paper | 34 |
6 | 1996 | Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387. Full description at Econpapers || Download paper | 30 |
7 | 2009 | A 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 | 29 |
8 | 2019 | Price discovery in bitcoin spot or futures?. (2019). Dimpfl, Thomas ; Baur, Dirk G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:803-817. Full description at Econpapers || Download paper | 28 |
9 | 2016 | Who 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. Full description at Econpapers || Download paper | 28 |
10 | 2004 | Volatility 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 | 27 |
11 | 1999 | Price 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 | 25 |
12 | 2009 | The information content of an open limitââ¬Âorder 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 | 24 |
13 | 2011 | Volatility 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. Full description at Econpapers || Download paper | 24 |
14 | 2012 | Intraday 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 | 24 |
15 | 2011 | Price 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. Full description at Econpapers || Download paper | 23 |
16 | 1999 | The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Silvapulle, Param ; Moosa, Imad A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193. Full description at Econpapers || Download paper | 22 |
17 | 2000 | Efficient 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 | 22 |
18 | 2015 | Do Momentumââ¬ÂBased 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 |
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24 | 2013 | Quantile Regression Analysis of the Asymmetric Returnââ¬ÂVolatility Relation. (2013). Badshah, Ihsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:3:p:235-265. Full description at Econpapers || Download paper | 21 |
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26 | 2001 | Asset 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 | 19 |
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38 | 2015 | A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets. (2015). Nielsen, Morten ; Xu, KE ; Dolatabadi, Sepideh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:4:p:339-356. Full description at Econpapers || Download paper | 16 |
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44 | 2016 | Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?. (2016). Gross, Christian ; Bohl, Martin T ; Adammer, Philipp . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:9:p:851-869. Full description at Econpapers || Download paper | 15 |
45 | 2014 | Pricing Vulnerable Options with Correlated Credit Risk Under Jumpââ¬ÂDiffusion Processes. (2014). Wang, Xingchun ; Tian, Lihui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:10:p:957-979. Full description at Econpapers || Download paper | 15 |
46 | 2016 | Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models. (2016). Tsakou, Katerina ; Kambouroudis, Dimos S ; McMillan, David G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:12:p:1127-1163. Full description at Econpapers || Download paper | 15 |
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50 | 2014 | Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit. (2014). DA FONSECA, Jos̮̩ ; Zaatour, Riadh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:6:p:548-579. Full description at Econpapers || Download paper | 14 |
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2020 | Skewness and index futures return. (2020). Jondeau, Eric ; Zhang, Qunzi ; Yan, Zhipeng ; Wang, Xuewu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1648-1664. Full description at Econpapers || Download paper | |
2020 | Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment. (2020). Huang, Jialiang ; Zhou, Liyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301649. Full description at Econpapers || Download paper | |
2020 | The effects of financial and operational hedging on company value: The case of Malaysian multinationals. (2020). Adaoglu, Cahit ; Hadian, Azadeh. In: Journal of Asian Economics. RePEc:eee:asieco:v:70:y:2020:i:c:s1049007820301123. Full description at Econpapers || Download paper | |
2020 | Family Business and Transaction Exposure. (2020). Ramadan, Abdulhadi ; Ghazaleh, Naser Abu ; Abughazaleh, Naser ; Nassar, Mahmoud ; Nimer, Khalil. In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:6:y:2020:i:4:p:129-:d:436579. Full description at Econpapers || Download paper | |
2020 | Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?. (2020). Lu, Xinjie ; Wang, Jiqian ; Ma, Feng ; He, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302404. Full description at Econpapers || Download paper | |
2020 | Impact of economic policy uncertainty on exchange rate volatility of China. (2020). Hu, Zhihao ; Du, Ziqing ; Chen, Liming. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319306038. Full description at Econpapers || Download paper | |
2020 | Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694. Full description at Econpapers || Download paper | |
2020 | Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33. Full description at Econpapers || Download paper | |
2020 | The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838. Full description at Econpapers || Download paper | |
2020 | The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR. (2020). Duc, Toan Luu. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719309365. Full description at Econpapers || Download paper | |
2020 | Is factionalism a push for gold price?. (2020). Umar, Muhammad ; Tao, Ran ; Su, Chi-Wei ; Qin, Meng. In: Resources Policy. RePEc:eee:jrpoli:v:67:y:2020:i:c:s030142071930604x. Full description at Econpapers || Download paper | |
2020 | Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? Evidence based on HAR and Ridge regression models. (2020). Liang, Chao ; Wei, YU ; Zhang, Xunhui. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305793. Full description at Econpapers || Download paper | |
2020 | Intermediary asset pricing in commodity futures returns. (2020). Han, Liyan ; Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1711-1730. Full description at Econpapers || Download paper | |
2020 | Forecasting Chinese industry return volatilities with RMB/USD exchange rate. (2020). Dong, Xiaodi ; Zhu, Huan ; Dai, Zhifeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316929. Full description at Econpapers || Download paper | |
2020 | Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect. (2020). He, Zhifang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:131-153. Full description at Econpapers || Download paper | |
2020 | Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293. Full description at Econpapers || Download paper | |
2020 | Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Dash, Saumya Ranjan ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303615. Full description at Econpapers || Download paper | |
2020 | Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219. Full description at Econpapers || Download paper | |
2020 | Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective. (2020). Rubaszek, MichaÃ
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2020 | Systemic importance of financial institutions: A complex network perspective. (2020). Wen, Shigang ; Yang, Xin ; Huang, Chuangxia ; Zhao, Xian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119319223. Full description at Econpapers || Download paper | |
2020 | Forecast on silver futures linked with structural breaks and day-of-the-week effect. (2020). Fang, Qiang ; Cheng, Yuxiang ; Li, Wenlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300899. Full description at Econpapers || Download paper | |
2020 | Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach. (2020). Zhou, Dequn ; Zha, Donglan ; Wang, Qunwei ; Dai, Xingyu. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301146. Full description at Econpapers || Download paper | |
2020 | Oil shocks, competition, and corporate investment: Evidence from China. (2020). Wen, Fenghua ; Xiao, Jihong ; Li, Yang ; Chen, Xian. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301596. Full description at Econpapers || Download paper | |
2020 | Commodities price cycles and their interdependence with equity markets. (2020). Alagidede, Imhotep Paul ; Boako, Gideon ; Uddin, Gazi Salah ; Sjo, BO. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302243. Full description at Econpapers || Download paper | |
2020 | Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Wang, Jiqian ; Ma, Feng ; Huang, Yisu. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302371. Full description at Econpapers || Download paper | |
2020 | The predictive power of oil price shocks on realized volatility of oil: A note. (2020). Shahzad, Syed Jawad Hussain ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308874. Full description at Econpapers || Download paper | |
2020 | A random walk through the trees: Forecasting copper prices using decision learning methods. (2020). Hansen, Erwin ; Cabrera, Gabriel ; Diaz, Juan D. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308904. Full description at Econpapers || Download paper | |
2020 | Point and interval forecasting for metal prices based on variational mode decomposition and an optimized outlier-robust extreme learning machine. (2020). Niu, Tong ; Yang, Wendong ; Wang, Jianzhou ; Du, Pei. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720309120. Full description at Econpapers || Download paper | |
2020 | Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test. (2020). Chou, Ray Y ; Chang, Tzu-Pu ; Torun, Erdost. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919300455. Full description at Econpapers || Download paper | |
2020 | The Predictive Power of NZX Dairy Futures. (2020). Fernandez-Perez, Adrian ; Schoen, Tilman ; Scott, Ayesha. In: 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia. RePEc:ags:aare20:305230. Full description at Econpapers || Download paper | |
2020 | Comovement of dairy product futures and firm value: returns and volatility. (2020). Leung, Henry ; Furfaro, Frank. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:64:y:2020:i:3:p:632-654. Full description at Econpapers || Download paper | |
2020 | Does the tea market require a futures contract? Evidence from the Sri Lankan tea market. (2020). Biakowski, Jdrzej ; Perera, Devmali ; Bohl, Martin T. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300714. Full description at Econpapers || Download paper | |
2020 | An anatomy of commodity futures returns in China. (2020). Zhang, Zhekai ; Xiao, Jun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20301086. Full description at Econpapers || Download paper | |
2020 | The market response to government crop news under different release regimes. (2020). Irwin, Scott H ; Adjemian, Michael K. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300753. Full description at Econpapers || Download paper | |
2020 | Price discovery in Bitcoin: The impact of unregulated markets. (2020). Heck, Daniel F ; Alexander, Carol. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759. Full description at Econpapers || Download paper | |
2020 | Return and volatility transmission between Chinas and international crude oil futures markets: A first look. (2020). Yang, Jian ; Zhou, Yinggang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:860-884. Full description at Econpapers || Download paper | |
2020 | Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns. (2020). Diner, Hasan ; Alhan, Mehmet Ali ; Pinarbai, Fatih ; Yuksel, Serhat. In: World Scientific Book Chapters. RePEc:wsi:wschap:9789811210242_0006. Full description at Econpapers || Download paper | |
2020 | When trading options is not the only option: The effects of singleââ¬Âstock futures trading on options market quality. (2020). Jiang, George J ; Strong, Cuyler ; Shimizu, Yoshiki. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1398-1419. Full description at Econpapers || Download paper | |
2020 | Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures. (2020). Mollica, Vito ; Hunt, Jack ; Curran, Edward. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1793-1806. Full description at Econpapers || Download paper | |
2020 | Measuring price discovery in the European wheat market using the partial cointegration approach. (2020). von Cramon-Taubadel, Stephan ; Herwartz, Helmut ; Vollmer, Teresa. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:47:y:2020:i:3:p:1173-1200.. Full description at Econpapers || Download paper | |
2020 | Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching. (2020). He, Xin-Jiang ; Lin, Sha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315456. Full description at Econpapers || Download paper | |
2020 | The determinants of price discovery on bitcoin markets. (2020). Frijns, Bart ; Entrop, Oliver ; Seruset, Marco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:816-837. Full description at Econpapers || Download paper | |
2020 | Modeling VXX under jump diffusion with stochastic longââ¬Âterm mean. (2020). Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1508-1534. Full description at Econpapers || Download paper | |
2020 | Heterogeneity and netting efficiency under central clearing: A stochastic network analysis. (2020). Kim, Baeho ; Hwang, Injun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:192-208. Full description at Econpapers || Download paper | |
2020 | Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Discussion Paper. RePEc:tiu:tiucen:1f3bd844-92ab-4104-8f57-9e18c384bd2b. Full description at Econpapers || Download paper | |
2020 | Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Other publications TiSEM. RePEc:tiu:tiutis:1f3bd844-92ab-4104-8f57-9e18c384bd2b. Full description at Econpapers || Download paper | |
2020 | Classical Option Pricing and Some Steps Further. (2020). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:99918. Full description at Econpapers || Download paper | |
2020 | Night trading and market quality: Evidence from Chinese and US precious metal futures markets. (2020). Liu, Xiaoquan ; Kellard, Neil ; Jiang, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1486-1507. Full description at Econpapers || Download paper | |
2020 | Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets. (2020). Mishra, Sibanjan ; Mohanty, Sunil K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918308109. Full description at Econpapers || Download paper | |
2020 | The impact of net buying pressure on VIX option prices. (2020). Tsai, Weiche ; Chuang, Yiwei ; Wu, Minghung. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:209-227. Full description at Econpapers || Download paper | |
2020 | A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques. (2020). Salisu, Afees ; Ebuh, Godday U ; Tule, Moses K. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:225-237. Full description at Econpapers || Download paper | |
2020 | Forecasting commodity prices out-of-sample: Can technical indicators help?. (2020). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:666-683. Full description at Econpapers || Download paper | |
2020 | A fractional cointegration var analysis of exchange rate dynamics. (2020). Gil-Alana, Luis ; Carcel, Hector. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302547. Full description at Econpapers || Download paper | |
2020 | A fractional cointegration VAR analysis of Islamic stocks: A global perspective. (2020). Salisu, Afees ; Ndako, Umar ; Adediran, Idris ; Swaray, Raymond. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306636. Full description at Econpapers || Download paper | |
2020 | A new way of measuring the WTI ââ¬â Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x. Full description at Econpapers || Download paper | |
2020 | Return predictability of variance differences: A fractionally cointegrated approach. (2020). Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1072-1089. Full description at Econpapers || Download paper | |
2020 | Understanding corporate debt from the oil market perspective. (2020). Nasiri, Maryam Akbari ; Narayan, Paresh Kumar. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302863. Full description at Econpapers || Download paper | |
2020 | Persistence in silver prices and the influence of solar energy. (2020). Gil-Alana, Luis ; Apergis, Nicholas ; Carmona-Gonzalez, Nieves. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308886. Full description at Econpapers || Download paper | |
2020 | The untold story of commodity futures in China. (2020). Fan, John Hua ; Zhang, Tingxi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:671-706. Full description at Econpapers || Download paper | |
2020 | Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Å iraÅová, Mária ; Molnár, Peter ; Lyócsa, Å tefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482. Full description at Econpapers || Download paper | |
2020 | VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838. Full description at Econpapers || Download paper | |
2020 | VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114. Full description at Econpapers || Download paper | |
2020 | Valuation of VIX and target volatility options with affine GARCH models. (2020). Jayaraman, Sarath Kumar ; Cui, Zhenyu ; Badescu, Alexandru ; Cao, Hongkai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:12:p:1880-1917. Full description at Econpapers || Download paper | |
2020 | Cross market predictions for commodity prices. (2020). Zhang, Yongmin ; Ding, Shusheng. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:455-462. Full description at Econpapers || Download paper | |
2020 | The role of uncertainty on agricultural futures markets momentum trading and volatility. (2020). Czudaj, Robert ; Robert, Czudaj. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:3:p:39:n:3. Full description at Econpapers || Download paper | |
2020 | A revisit to the hedge and safe haven properties of gold: New evidence from China. (2020). Ming, Lei ; Yang, Shenggang ; Liu, Qianqiu ; Zhang, Xinran . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1442-1456. Full description at Econpapers || Download paper | |
2020 | Internationalization of futures markets: Lessons from China. (2020). Fernandez-Perez, Adrian ; Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302560. Full description at Econpapers || Download paper | |
2020 | The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives. (2020). Zhang, Yunyu. In: PLOS ONE. RePEc:plo:pone00:0229737. Full description at Econpapers || Download paper | |
2020 | Asymmetric effects of oil price uncertainty on corporate investment. (2020). Abdoh, Hussein ; Maghyereh, Aktham. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304190. Full description at Econpapers || Download paper | |
2020 | Impact of international energy prices on Chinas industries. (2020). Zhang, Qin ; Wong, Jin Boon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:722-748. Full description at Econpapers || Download paper | |
2020 | Oil jump risk. (2020). Ebrahimi, Nima ; Pirrong, Craig. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:8:p:1282-1311. Full description at Econpapers || Download paper | |
2020 | Pricing and integration of credit default swap index tranches. (2020). Luo, Dan ; Carverhill, Andrew. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:503-526. Full description at Econpapers || Download paper | |
2020 | Cellwise robust M regression. (2020). Verdonck, T ; Serneels, S ; Ortner, I ; Hoppner, S ; Filzmoser, P. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:147:y:2020:i:c:s0167947320300359. Full description at Econpapers || Download paper | |
2020 | A novel risk management framework for natural gas markets. (2020). Pouliasis, Panos ; Visvikis, Ilias D ; Kryukov, Alexander A ; Papapostolou, Nikos C. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:430-459. Full description at Econpapers || Download paper | |
2020 | Hedging with commodity futures and the end of normal Backwardation. (2020). Güntner, Jochen ; Guntner, Jochen ; Karner, Benjamin. In: Economics working papers. RePEc:jku:econwp:2020-21. Full description at Econpapers || Download paper | |
2020 | Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599. Full description at Econpapers || Download paper | |
2020 | Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026. Full description at Econpapers || Download paper | |
2020 | Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification. (2020). Oglend, Atle ; Straume, Hansmartin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:617-631. Full description at Econpapers || Download paper | |
2020 | Optimal futures hedging for energy commodities: An application of the GAS model. (2020). Xu, Yingying ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1090-1108. Full description at Econpapers || Download paper | |
2020 | Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594. Full description at Econpapers || Download paper | |
2020 | Show me the money: Option moneyness concentration and future stock returns. (2020). Csapi, Vivien ; Bergsma, Kelley ; Fodor, Andy ; Diavatopoulos, Dean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:761-775. Full description at Econpapers || Download paper | |
2020 | Predictive ability of investor sentiment for the stock market. (2020). Ryu, Doojin ; Kim, Karam. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:4:p:33-46. Full description at Econpapers || Download paper | |
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2020 | A rare move: The effects of switching from a closing call auction to a continuous trading. (2020). Chou, Robin K ; Chang, Yakai ; Yang, Jimmy J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:308-328. Full description at Econpapers || Download paper | |
2020 | The impact of weather on order submissions and trading performance. (2020). Weng, Pei-Shih ; Tsai, Wei-Che ; Chuang, Yi-Wei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306685. Full description at Econpapers || Download paper | |
2020 | Determining the information share of liquidity and order flows in extreme price movements. (2020). Long, Yunshen ; Liu, Chang ; Wu, Liang. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:559-575. Full description at Econpapers || Download paper | |
2020 | Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157. Full description at Econpapers || Download paper | |
2020 | GARCH Option Pricing Models and the Variance Risk Premium. (2020). Zhang, Jin E. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:51-:d:330107. Full description at Econpapers || Download paper | |
2020 | Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:271-285. Full description at Econpapers || Download paper | |
2020 | Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021. Full description at Econpapers || Download paper | |
2020 | BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness. (2020). Sohn, Sungbin ; Park, Heungju ; Choi, Jaehyuk ; Alexander, Carol. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:23-43. Full description at Econpapers || Download paper | |
2020 | Price discovery in bitcoin futures. (2020). Fassas, Athanasios ; Koulis, Alexandros ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919305628. Full description at Econpapers || Download paper | |
2020 | Non-Normal Identification for Price Discovery in High-Frequency Financial Markets. (2020). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2020/28. Full description at Econpapers || Download paper | |
2020 | Insurance activity, real output, and geopolitical risk: Fresh evidence from BRICS. (2020). Lee, Chien-Chiang. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:207-215. Full description at Econpapers || Download paper | |
2020 | Gold, platinum, and expected Bitcoin returns. (2020). Wang, Mei ; Burggraf, Tobias ; Duc, Toan Luu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177. Full description at Econpapers || Download paper | |
2020 | Volatility as an asset class: Holding VIX in a portfolio. (2020). Doran, James S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:841-859. Full description at Econpapers || Download paper | |
2020 | Hedging costs and joint determinants of premiums and spreads in structured financial products. (2020). Entrop, Oliver ; Fischer, Georg. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1049-1071. Full description at Econpapers || Download paper | |
2020 | Discount or premium? Pricing of structured products: An analysis of Chinese market. (2020). Liu, Jia ; Jin, Chenglu ; Zhou, Hanxian ; Chen, Rongda. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s105752192030137x. Full description at Econpapers || Download paper | |
2020 | The influence of economic policy uncertainty on corporate trade credit and firm value. (2020). Phan, Hieu V ; Ngo, Thanh N ; Khieu, Hinh D ; Jory, Surendranath R. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301152. Full description at Econpapers || Download paper | |
2020 | Volatility term structures in commodity markets. (2020). Prokopczuk, Marcel ; Hollstein, Fabian ; Wursig, Christoph. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:527-555. Full description at Econpapers || Download paper | |
2020 | Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks. (2020). Shen, Yifan ; Yang, Mengying ; Zeng, Ting. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:209-220. Full description at Econpapers || Download paper | |
2020 | Forecasting bitcoin volatility: Evidence from the options market. (2020). Baur, Dirk G ; Hoang, Lai T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602. Full description at Econpapers || Download paper | |
2020 | Bitcoin futures: An effective tool for hedging cryptocurrencies. (2020). Sebasti̮̣o, Helder ; Godinho, Pedro ; Sebastio, Helder. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301849. Full description at Econpapers || Download paper | |
2020 | Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets. (2020). el Meslmani, Nabil ; Lee, Seungho ; Switzer, Lorne N. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309808. Full description at Econpapers || Download paper | |
2020 | Price discovery and microstructure in ether spot and derivative markets. (2020). Choi, Jaehyuk ; Alexander, Carol ; Sohn, Sungbin. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301502. Full description at Econpapers || Download paper | |
2020 | What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131. Full description at Econpapers || Download paper | |
2020 | Information Leakage in Energy Derivatives around News Announcements. (2020). Patel, Vinay ; Bohmann, Marc. In: Published Paper Series. RePEc:uts:ppaper:2020-2. Full description at Econpapers || Download paper | |
2020 | Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. (2020). Wang, Xingchun ; Liang, Gechun. In: Papers. RePEc:arx:papers:2001.09443. Full description at Econpapers || Download paper | |
2020 | Enhancing managerial equity incentives with moving average payoffs. (2020). Tian, Yisong S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1562-1583. Full description at Econpapers || Download paper | |
2020 | The Law of One Price in Equity Volatility Markets. (2020). Van Tassel, Peter. In: Staff Reports. RePEc:fip:fednsr:89214. Full description at Econpapers || Download paper | |
2020 | Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds. (2020). Jurdi, Doureige J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:118-:d:367863. Full description at Econpapers || Download paper | |
2020 | Volatility and jump risk in option returns. (2020). Lin, Hai ; Guo, Biao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1767-1792. Full description at Econpapers || Download paper | |
2020 | Metal prices made in China? A network analysis of industrial metal futures. (2020). Siklos, Pierre L ; Wellenreuther, Claudia ; Stefan, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1354-1374. Full description at Econpapers || Download paper | |
2020 | Informed options trading on the implied volatility surface: A crossââ¬Âsectional approach. (2020). Kim, Dahea ; Park, Haehean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:776-803. Full description at Econpapers || Download paper | |
2020 | Volatility Spillovers between Equity and Green Bond Markets. (2020). Park, Jiyeon ; Ryu, Doojin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3722-:d:353863. Full description at Econpapers || Download paper | |
2020 | High-frequency dynamics of the implied volatility surface. (2020). Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.10875. Full description at Econpapers || Download paper | |
2020 | Hybrid bond issuances by insurance firms. (2020). Yu, Jinyoung ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:45:y:2020:i:c:s156601412030203x. Full description at Econpapers || Download paper | |
2020 | A Review of the Post-Earnings-Announcement Drift. (2020). Fink, Josef. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2020-04. Full description at Econpapers || Download paper | |
2020 | Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis. (2020). Hau, Liya ; Ge, Yajing ; Meng, Liang ; Zhu, Huiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301534. Full description at Econpapers || Download paper |
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2020 | A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402. Full description at Econpapers || Download paper | |
2020 | Is the leadership of the Brent-WTI threatened by Chinaâs new crude oil futures market?. (2020). Roig, Marta ; Pardo, Angel ; Palao, Fernando. In: Journal of Asian Economics. RePEc:eee:asieco:v:70:y:2020:i:c:s1049007820301172. Full description at Econpapers || Download paper | |
2020 | Path-dependent game options with Asian features. (2020). Wang, Qian ; Zhang, Jizhou ; Guo, Peidong . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308055. Full description at Econpapers || Download paper | |
2020 | Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650. Full description at Econpapers || Download paper | |
2020 | Price discovery and microstructure in ether spot and derivative markets. (2020). Choi, Jaehyuk ; Alexander, Carol ; Sohn, Sungbin. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301502. Full description at Econpapers || Download paper | |
2020 | Identifying the comovement of price between Chinas and international crude oil futures: A time-frequency perspective. (2020). Huang, Shupei. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302064. Full description at Econpapers || Download paper | |
2020 | What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131. Full description at Econpapers || Download paper | |
2020 | Price discovery in Bitcoin: The impact of unregulated markets. (2020). Heck, Daniel F ; Alexander, Carol. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759. Full description at Econpapers || Download paper | |
2020 | Internationalization of futures markets: Lessons from China. (2020). Fernandez-Perez, Adrian ; Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302560. Full description at Econpapers || Download paper | |
2020 | Valuation of Asian options with default risk under GARCH models. (2020). Wang, Xingchun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:27-40. Full description at Econpapers || Download paper | |
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2020 | Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data. (2020). Vo, Duc. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:89-:d:404223. Full description at Econpapers || Download paper | |
2020 | Forecasting Mid-price Movement of Bitcoin Futures Using Machine Learning. (2020). Uddin, Gazi ; Corbet, Shaen ; Cepni, Oguzhan ; Akyildirim, Erdinc. In: Working Papers. RePEc:hhs:cbsnow:2020_020. Full description at Econpapers || Download paper | |
2020 | Investor Sentiment in an Artificial Limit Order Market. (2020). Wei, Lijian ; Jianwei, LI ; Shi, Lei. In: Complexity. RePEc:hin:complx:8581793. Full description at Econpapers || Download paper | |
2020 | A Scientometric Review of Digital Currency and Electronic Payment Research: A Network Perspective. (2020). Sun, Xiaoqi ; Shi, Qing. In: Complexity. RePEc:hin:complx:8876017. Full description at Econpapers || Download paper | |
2020 | Dynamic jump intensities and news arrival in oil futures markets. (2020). Turnbull, Stuart M ; Ostdiek, Barbara ; Han, YU ; Ensor, Katherine B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00168-z. Full description at Econpapers || Download paper | |
2020 | Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities. (2020). Huruta, Andrian Dolfriandra ; Handriani, Eka ; Nugroho, Bayu Adi ; Robiyanto, Robiyanto. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00199-w. Full description at Econpapers || Download paper | |
2020 | Non-Normal Identification for Price Discovery in High-Frequency Financial Markets. (2020). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2020/28. Full description at Econpapers || Download paper | |
2020 | The impact of US macroeconomic news announcements on Chinese commodity futures. (2020). Liu, Xiaoquan ; Jiang, Ying ; Ahmed, Shamim ; Cai, Haidong. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:12:p:1927-1966. Full description at Econpapers || Download paper | |
2020 | Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Discussion Paper. RePEc:tiu:tiucen:1f3bd844-92ab-4104-8f57-9e18c384bd2b. Full description at Econpapers || Download paper | |
2020 | Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Other publications TiSEM. RePEc:tiu:tiutis:1f3bd844-92ab-4104-8f57-9e18c384bd2b. Full description at Econpapers || Download paper | |
2020 | Forecasting bitcoin volatility: Evidence from the options market. (2020). Baur, Dirk G ; Hoang, Lai T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602. Full description at Econpapers || Download paper | |
2020 | Earnings announcement timing, uncertainty, and volatility risk premiums. (2020). Neururer, Thaddeus ; Adams, Tom. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1603-1630. Full description at Econpapers || Download paper | |
2020 | The untold story of commodity futures in China. (2020). Fan, John Hua ; Zhang, Tingxi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:671-706. Full description at Econpapers || Download paper | |
2020 | The determinants of price discovery on bitcoin markets. (2020). Frijns, Bart ; Entrop, Oliver ; Seruset, Marco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:816-837. Full description at Econpapers || Download paper |
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2019 | From microscopic price dynamics to multidimensional rough volatility models. (2019). Rosenbaum, Mathieu ; Tomas, Mehdi. In: Papers. RePEc:arx:papers:1910.13338. Full description at Econpapers || Download paper | |
2019 | BitMEX Funding Correlation with Bitcoin Exchange Rate. (2019). Ammanamanchi, Pawan Sasanka ; Nimmagadda, Sai Srikar. In: Papers. RePEc:arx:papers:1912.03270. Full description at Econpapers || Download paper | |
2019 | Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets. (2019). Li, Weiping ; Teng, Yuxin ; Qiao, Gaoxiu ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:133-151. Full description at Econpapers || Download paper | |
2019 | Valuation of new-designed contracts for catastrophe risk management. (2019). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301032. Full description at Econpapers || Download paper | |
2019 | How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. (2019). Ryu, Doojin ; Lee, Jieun. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:101-119. Full description at Econpapers || Download paper | |
2019 | Predicting the volatility of the iShares China Large-Cap ETF: What is the role of the SSE 50 ETF?. (2019). Jin, Xuejun ; Luo, Xingguo ; Zhu, Fangfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19301040. Full description at Econpapers || Download paper | |
2019 | Volatility information trading in the index options market: An intraday analysis. (2019). Ryu, Doojin ; Kutan, Ali M ; Yang, Heejin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:412-426. Full description at Econpapers || Download paper | |
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2019 | When do regulatory interventions work?. (2019). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2019-011. Full description at Econpapers || Download paper | |
2019 | Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019. Full description at Econpapers || Download paper | |
2019 | Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41. Full description at Econpapers || Download paper | |
2019 | Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective. (2019). Oxley, Les ; Hou, Yang ; Hu, Yang. In: Working Papers in Economics. RePEc:wai:econwp:19/13. Full description at Econpapers || Download paper | |
2019 | Instantaneous squared VIX and VIX derivatives. (2019). Zhang, Jin E ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1193-1213. Full description at Econpapers || Download paper | |
2019 | Volatility index and the returnââ¬âvolatility relation: Intraday evidence from Chinese options market. (2019). Yu, Xiaoli ; Li, Jupeng ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1348-1359. Full description at Econpapers || Download paper | |
2019 | Options valuation and calibration for leveraged exchange-traded funds with Hestonââ¬âNandi and inverse Gaussian GARCH models. (2019). Cui, Zhenyu ; Chatterjee, Rupak ; Cao, Hongkai. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:03:n:s2424786319500270. Full description at Econpapers || Download paper |
Year | Citing document | |
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2018 | Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619. Full description at Econpapers || Download paper | |
2018 | Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177. Full description at Econpapers || Download paper | |
2018 | The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386. Full description at Econpapers || Download paper | |
2018 | Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index. (2018). Xiao, Jihong ; Wen, Fenghua ; Zhou, Min. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:777-786. Full description at Econpapers || Download paper | |
2018 | Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205. Full description at Econpapers || Download paper | |
2018 | Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409. Full description at Econpapers || Download paper | |
2018 | Algorithmic trading and liquidity: Long term evidence from Austria. (2018). Theissen, Erik ; Mestel, Roland ; Murg, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:198-203. Full description at Econpapers || Download paper | |
2018 | Foreign currency risk hedging and firm value in China. (2018). Luo, Hang ; Wang, Rui. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:129-143. Full description at Econpapers || Download paper | |
2018 | News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets. (2018). Gupta, Rangan ; Wohar, Mark E ; Papadamou, Stephanos ; Kollias, Christos. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:76-90. Full description at Econpapers || Download paper | |
2018 | Univariate dependence among sectors in Chinese stock market and systemic risk implication. (2018). Hao, Jing ; He, Feng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:355-364. Full description at Econpapers || Download paper | |
2018 | Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323. Full description at Econpapers || Download paper | |
2018 | Does US Economic Policy Uncertainty matter for European stock markets volatility?. (2018). Mei, Dexiang ; Hou, Wenjing ; Zhang, Yaojie ; Zeng, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:215-221. Full description at Econpapers || Download paper | |
2018 | First to Read the News: New Analytics and Algorithmic Trading. (2018). Massa, Massimo ; Keim, Donald B ; von Beschwitz, Bastian. In: International Finance Discussion Papers. RePEc:fip:fedgif:1233. Full description at Econpapers || Download paper | |
2018 | Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis. (2018). Conrad, Christian ; Ghysels, Eric ; Custovic, Anessa . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:23-:d:145629. Full description at Econpapers || Download paper | |
2018 | Algorithmic Trading and Liquidity: Long Term Evidence from Austria. (2018). Theissen, Erik ; Mestel, Roland ; Murg, Michael. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2018-03. Full description at Econpapers || Download paper | |
2018 | Success Factors of Financial Derivatives Markets in Asia. (2018). Sittisawad, Trin ; Sukcharoensin, Pariyada . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:2:d:10.1007_s10690-018-9239-4. Full description at Econpapers || Download paper | |
2018 | Is Trading Fast Dangerous?. (2018). Moinas, Sophie ; Foucault, Thierry. In: TSE Working Papers. RePEc:tse:wpaper:32372. Full description at Econpapers || Download paper | |
2018 | The directional information content of options volumes. (2018). Yang, Hee Jin ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:12:p:1533-1548. Full description at Econpapers || Download paper | |
2018 | Volatility jumps and macroeconomic news announcements. (2018). Gray, Philip ; Chan, Kam F. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:8:p:881-897. Full description at Econpapers || Download paper |
Year | Citing document | |
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2017 | What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Adjemian, Michael ; Wallen, Jonathan ; Bruno, Valentina. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452. Full description at Econpapers || Download paper | |
2017 | No arbitrage and lead-lag relationships. (2017). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1712.09854. Full description at Econpapers || Download paper | |
2017 | Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763. Full description at Econpapers || Download paper | |
2017 | Do 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. Full description at Econpapers || Download paper | |
2017 | Corporate governance, product-market competition, and stock returns: evidence from the Korean market. (2017). Ho, Joon ; Ryu, Doojin. In: Asian Business & Management. RePEc:pal:abaman:v:16:y:2017:i:1:d:10.1057_s41291-017-0014-6. Full description at Econpapers || Download paper | |
2017 | Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash. (2017). Nartea, Gilbert ; Hou, Yang. In: MPRA Paper. RePEc:pra:mprapa:81995. Full description at Econpapers || Download paper | |
2017 | Effects 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. Full description at Econpapers || Download paper | |
2017 | Do institutions behave rationally in distressed markets?. (2017). Sung, Sangwook ; Ryu, Doojin ; Cho, Hoon. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017103. Full description at Econpapers || Download paper |