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IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1981 | 0 | 44 | 44 | 0 | 0 | |||||||||||||
1982 | 0 | 39 | 83 | 0 | 2 | 0 | 1 | |||||||||||
1983 | 0 | 41 | 124 | 0 | 1 | 0 | ||||||||||||
1984 | 0 | 41 | 165 | 0 | 6 | 0 | ||||||||||||
1985 | 0 | 54 | 219 | 0 | 12 | 0 | ||||||||||||
1986 | 0 | 53 | 272 | 0 | 10 | 0 | 1 | |||||||||||
1987 | 0 | 57 | 329 | 0 | 34 | 0 | 1 | |||||||||||
1988 | 0 | 50 | 379 | 0 | 22 | 0 | 1 | |||||||||||
1989 | 0 | 51 | 430 | 0 | 12 | 0 | 1 | |||||||||||
1990 | 0.02 | 0.1 | 0.05 | 0.03 | 55 | 485 | 239 | 25 | 25 | 101 | 2 | 265 | 8 | 0 | 1 | 0.02 | 0.05 | |
1991 | 0.04 | 0.1 | 0.02 | 0.03 | 57 | 542 | 338 | 13 | 38 | 106 | 4 | 266 | 7 | 0 | 0 | 0.05 | ||
1992 | 0.02 | 0.11 | 0.07 | 0.03 | 53 | 595 | 271 | 43 | 81 | 112 | 2 | 270 | 9 | 0 | 0 | 0.05 | ||
1993 | 0.02 | 0.13 | 0.03 | 0.02 | 63 | 658 | 461 | 23 | 104 | 110 | 2 | 266 | 4 | 0 | 0 | 0.06 | ||
1994 | 0.04 | 0.14 | 0.05 | 0.05 | 48 | 706 | 296 | 34 | 138 | 116 | 5 | 279 | 15 | 0 | 1 | 0.02 | 0.06 | |
1995 | 0.05 | 0.22 | 0.07 | 0.04 | 44 | 750 | 482 | 51 | 189 | 111 | 5 | 276 | 10 | 0 | 2 | 0.05 | 0.1 | |
1996 | 0.13 | 0.25 | 0.08 | 0.09 | 50 | 800 | 939 | 59 | 249 | 92 | 12 | 265 | 23 | 2 | 3.4 | 1 | 0.02 | 0.12 |
1997 | 0.11 | 0.24 | 0.14 | 0.13 | 45 | 845 | 288 | 117 | 366 | 94 | 10 | 258 | 34 | 0 | 2 | 0.04 | 0.11 | |
1998 | 0.17 | 0.28 | 0.13 | 0.14 | 48 | 893 | 302 | 117 | 483 | 95 | 16 | 250 | 34 | 8 | 6.8 | 0 | 0.13 | |
1999 | 0.09 | 0.3 | 0.12 | 0.13 | 47 | 940 | 576 | 116 | 599 | 93 | 8 | 235 | 31 | 8 | 6.9 | 0 | 0.15 | |
2000 | 0.05 | 0.35 | 0.08 | 0.09 | 50 | 990 | 340 | 82 | 681 | 95 | 5 | 234 | 21 | 0 | 1 | 0.02 | 0.16 | |
2001 | 0.09 | 0.38 | 0.11 | 0.12 | 52 | 1042 | 627 | 112 | 793 | 97 | 9 | 240 | 29 | 0 | 1 | 0.02 | 0.17 | |
2002 | 0.13 | 0.41 | 0.12 | 0.14 | 55 | 1097 | 362 | 132 | 925 | 102 | 13 | 242 | 33 | 0 | 2 | 0.04 | 0.21 | |
2003 | 0.11 | 0.44 | 0.11 | 0.12 | 54 | 1151 | 324 | 129 | 1054 | 107 | 12 | 252 | 29 | 3 | 2.3 | 1 | 0.02 | 0.22 |
2004 | 0.12 | 0.49 | 0.14 | 0.12 | 57 | 1208 | 541 | 172 | 1226 | 109 | 13 | 258 | 31 | 2 | 1.2 | 2 | 0.04 | 0.22 |
2005 | 0.1 | 0.5 | 0.16 | 0.16 | 51 | 1259 | 350 | 207 | 1433 | 111 | 11 | 268 | 42 | 14 | 6.8 | 3 | 0.06 | 0.23 |
2006 | 0.16 | 0.5 | 0.21 | 0.16 | 51 | 1310 | 412 | 277 | 1710 | 108 | 17 | 269 | 42 | 0 | 2 | 0.04 | 0.23 | |
2007 | 0.08 | 0.46 | 0.12 | 0.14 | 51 | 1361 | 448 | 170 | 1880 | 102 | 8 | 268 | 38 | 5 | 2.9 | 1 | 0.02 | 0.2 |
2008 | 0.17 | 0.49 | 0.17 | 0.14 | 58 | 1419 | 483 | 245 | 2125 | 102 | 17 | 264 | 38 | 1 | 0.4 | 2 | 0.03 | 0.23 |
2009 | 0.24 | 0.47 | 0.23 | 0.21 | 53 | 1472 | 453 | 331 | 2457 | 109 | 26 | 268 | 55 | 1 | 0.3 | 0 | 0.23 | |
2010 | 0.16 | 0.48 | 0.19 | 0.19 | 56 | 1528 | 370 | 287 | 2748 | 111 | 18 | 264 | 51 | 3 | 1 | 4 | 0.07 | 0.21 |
2011 | 0.16 | 0.52 | 0.18 | 0.19 | 47 | 1575 | 466 | 286 | 3034 | 109 | 17 | 269 | 50 | 16 | 5.6 | 0 | 0.24 | |
2012 | 0.17 | 0.51 | 0.17 | 0.17 | 50 | 1625 | 434 | 268 | 3309 | 103 | 18 | 265 | 45 | 6 | 2.2 | 7 | 0.14 | 0.22 |
2013 | 0.43 | 0.56 | 0.28 | 0.29 | 51 | 1676 | 278 | 467 | 3780 | 97 | 42 | 264 | 76 | 16 | 3.4 | 9 | 0.18 | 0.24 |
2014 | 0.47 | 0.55 | 0.3 | 0.38 | 58 | 1734 | 475 | 509 | 4292 | 101 | 47 | 257 | 97 | 15 | 2.9 | 21 | 0.36 | 0.23 |
2015 | 0.61 | 0.55 | 0.59 | 0.58 | 65 | 1799 | 479 | 1063 | 5356 | 109 | 67 | 262 | 151 | 20 | 1.9 | 36 | 0.55 | 0.23 |
2016 | 0.9 | 0.53 | 0.66 | 0.71 | 56 | 1855 | 479 | 1220 | 6577 | 123 | 111 | 271 | 193 | 50 | 4.1 | 16 | 0.29 | 0.21 |
2017 | 0.87 | 0.55 | 0.66 | 0.69 | 57 | 1912 | 320 | 1252 | 7831 | 121 | 105 | 280 | 194 | 20 | 1.6 | 8 | 0.14 | 0.21 |
2018 | 0.93 | 0.57 | 0.65 | 0.74 | 77 | 1989 | 367 | 1286 | 9117 | 113 | 105 | 287 | 212 | 206 | 16 | 21 | 0.27 | 0.24 |
2019 | 0.8 | 0.6 | 0.68 | 0.87 | 81 | 2070 | 250 | 1414 | 10531 | 134 | 107 | 313 | 272 | 228 | 16.1 | 18 | 0.22 | 0.24 |
2020 | 0.75 | 0.73 | 0.7 | 0.86 | 93 | 2163 | 235 | 1514 | 12045 | 158 | 119 | 336 | 288 | 287 | 19 | 26 | 0.28 | 0.34 |
2021 | 1.01 | 1.02 | 0.72 | 0.87 | 93 | 2256 | 118 | 1618 | 13664 | 174 | 175 | 364 | 315 | 346 | 21.4 | 38 | 0.41 | 0.38 |
IF: | Two years Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for all series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Five years 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 | 432 |
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 | 126 |
3 | 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 | 106 |
4 | 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 | 102 |
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 | 99 |
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 | 98 |
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 | 96 |
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 | 95 |
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 | 82 |
10 | 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 | 81 |
11 | 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 | 74 |
12 | 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 | 73 |
13 | 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 | 72 |
14 | 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 | 71 |
15 | 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 | 70 |
16 | 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 | 70 |
17 | 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 | 65 |
18 | 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 | 64 |
19 | 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 | 61 |
20 | 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 | 60 |
21 | 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 | 59 |
22 | 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 | 58 |
23 | 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 | 55 |
24 | 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 |
25 | 2018 | The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCHââ¬ÂMIDAS approach. (2018). Chen, Baizhu ; Fang, Libing ; Qian, Yichuo ; Yu, Honghai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:413-422. Full description at Econpapers || Download paper | 54 |
26 | 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 | 53 |
27 | 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 | 51 |
28 | 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 | 51 |
29 | 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 | 50 |
30 | 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 | 49 |
31 | 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 | 49 |
32 | 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 | 47 |
33 | 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 | 47 |
34 | 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 | 47 |
35 | 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 | 46 |
36 | 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 | 45 |
37 | 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 | 44 |
38 | 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 | 44 |
39 | 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 | 44 |
40 | 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 | 44 |
41 | 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 | 43 |
42 | 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 | 43 |
43 | 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 | 40 |
44 | 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 | 39 |
45 | 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 | 38 |
46 | 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 | 38 |
47 | 2012 | An analytical formula for VIX futures and its applications. (2012). Lian, Guanghua ; Zhu, Songping. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:166-190. Full description at Econpapers || Download paper | 38 |
48 | 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 | 37 |
49 | 2007 | Pricing VIX futures: Evidence from integrated physical and riskââ¬Âneutral probability measures. (2007). Lin, YuehNeng . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:12:p:1175-1217. Full description at Econpapers || Download paper | 37 |
50 | 2007 | An examination of momentum strategies in commodity futures markets. (2007). Szakmary, Andrew C. ; Sharma, Subhash C. ; Shen, Qian . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:3:p:227-256. Full description at Econpapers || Download paper | 37 |
# | 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 | 115 |
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 | 50 |
3 | 2018 | The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCHââ¬ÂMIDAS approach. (2018). Chen, Baizhu ; Fang, Libing ; Qian, Yichuo ; Yu, Honghai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:413-422. Full description at Econpapers || Download paper | 41 |
4 | 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 | 37 |
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 | 35 |
6 | 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 | 31 |
7 | 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 | 30 |
8 | 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 | 28 |
9 | 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 | 28 |
10 | 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 | 28 |
11 | 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 | 27 |
12 | 2017 | Oil and stock markets before and after financial crises: A local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:12:p:1179-1204. Full description at Econpapers || Download paper | 27 |
13 | 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 | 26 |
14 | 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 | 26 |
15 | 2021 | Effects of structural changes on the prediction of downside volatility in futures markets. (2021). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1124-1153. Full description at Econpapers || Download paper | 24 |
16 | 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 | 24 |
17 | 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 | 23 |
18 | 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 | 23 |
19 | 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 | 22 |
20 | 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 |
21 | 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 | 21 |
22 | 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 | 21 |
23 | 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 | 20 |
24 | 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 | 20 |
25 | 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 | 19 |
26 | 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 | 19 |
27 | 2007 | An examination of momentum strategies in commodity futures markets. (2007). Szakmary, Andrew C. ; Sharma, Subhash C. ; Shen, Qian . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:3:p:227-256. Full description at Econpapers || Download paper | 19 |
28 | 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 | 19 |
29 | 2018 | Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2018). Xu, Ke ; Nielsen, Morten ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:2:p:219-242. Full description at Econpapers || Download paper | 18 |
30 | 2012 | An analytical formula for VIX futures and its applications. (2012). Lian, Guanghua ; Zhu, Songping. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:166-190. Full description at Econpapers || Download paper | 17 |
31 | 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 | 17 |
32 | 2017 | Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach. (2017). Huang, Zhuo ; Hansen, Peter Reinhard ; Wang, Tianyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:4:p:328-358. Full description at Econpapers || Download paper | 17 |
33 | 2007 | Pricing VIX futures: Evidence from integrated physical and riskââ¬Âneutral probability measures. (2007). Lin, YuehNeng . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:12:p:1175-1217. Full description at Econpapers || Download paper | 17 |
34 | 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 | 17 |
35 | 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 | 16 |
36 | 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 | 16 |
37 | 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 | 16 |
38 | 2016 | The Returnââ¬âVolatility Relation in Commodity Futures Markets. (2016). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:2:p:127-152. Full description at Econpapers || Download paper | 15 |
39 | 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 | 15 |
40 | 2006 | Testing range estimators of historical volatility. (2006). Zhang, Jin E. ; Shu, Jinghong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:3:p:297-313. Full description at Econpapers || Download paper | 15 |
41 | 2019 | VIX term structure and VIX futures pricing with realized volatility. (2019). Tong, Chen ; Huang, Zhuo ; Wang, Tianyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:72-93. Full description at Econpapers || Download paper | 15 |
42 | 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 | 15 |
43 | 2017 | Pricing the CBOE VIX Futures with the Hestonââ¬âNandi GARCH Model. (2017). Wang, Tianyi ; Huang, Zhuo ; Jiang, Yueting ; Shen, Yiwen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:7:p:641-659. Full description at Econpapers || Download paper | 15 |
44 | 2005 | The forecast quality of CBOE implied volatility indexes. (2005). Corrado, Charles J. ; Thomas W. Miller, Jr., . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:4:p:339-373. Full description at Econpapers || Download paper | 15 |
45 | 2009 | The disposition effect and investment performance in the futures market. (2009). Choe, Hyuk ; Eom, Yunsung. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:6:p:496-522. Full description at Econpapers || Download paper | 15 |
46 | 2011 | Oil volatility and the option value of waiting: An analysis of the Gââ¬Â7. (2011). Fountas, Stilianos ; Elder, John ; Bredin, Don. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:7:p:679-702. Full description at Econpapers || Download paper | 14 |
47 | 2008 | Forecasting oil price movements: Exploiting the information in the futures market. (2008). Coppola, Andrea. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:1:p:34-56. Full description at Econpapers || Download paper | 14 |
48 | 2016 | Fundamentals, Derivatives Market Information and Oil Price Volatility. (2016). Robe, Michel ; Wallen, Jonathan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:4:p:317-344. Full description at Econpapers || Download paper | 14 |
49 | 2019 | The impacts of public news announcements on intraday implied volatility dynamics. (2019). Ryu, Doojin ; Lee, Jieun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:656-685. Full description at Econpapers || Download paper | 14 |
50 | 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 | 14 |
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2021 | Fundamental questions on central counterparties: A review of the literature. (2021). Berndsen, Ron. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:2009-2022. Full description at Econpapers || Download paper | |
2021 | The term structure of the VXX option smirk: Pricing VXX option with a two?factor model and asymmetry jumps. (2021). Zhang, Zili ; Zhao, Xuejun ; Li, Shenghong ; Lin, Wei ; Wang, Chengxiang ; Tan, Xiaoyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:439-457. Full description at Econpapers || Download paper | |
2021 | Trader positions in VIX futures. (2021). Yang, Jimmy J ; Chen, Yu-Lun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:1-17. Full description at Econpapers || Download paper | |
2021 | Tracking performance of VIX futures ETPs. (2021). Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:103-117. Full description at Econpapers || Download paper | |
2021 | VIX term structure: The role of jump propagation risks. (2021). Chen, JI ; Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:785-810. Full description at Econpapers || Download paper | |
2021 | The role of oil price uncertainty shocks on oil-exporting countries. (2021). Rubaszek, MichaÅ ; Åmiech, SÅawomir ; Papie, Monika ; Snarska, Magorzata. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320303686. Full description at Econpapers || Download paper | |
2021 | Canadian industry level production and energy prices. (2021). Elder, John. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001857. Full description at Econpapers || Download paper | |
2021 | Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey. (2021). Bozma, Gurkan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00827. Full description at Econpapers || Download paper | |
2021 | Effects of structural changes on the prediction of downside volatility in futures markets. (2021). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1124-1153. Full description at Econpapers || Download paper | |
2021 | International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x. Full description at Econpapers || Download paper | |
2021 | Quantile information share under Markov regime?switching. (2021). Yu, Xiaojian ; Wang, Ziling ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:493-513. Full description at Econpapers || Download paper | |
2021 | A new unique information share measure with applications on cross-listed Chinese banks. (2021). Shi, Yanlin ; Li, Hong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000996. Full description at Econpapers || Download paper | |
2021 | Combined multiplicativeâHeston model for stochastic volatility. (2021). Serota, R A ; Moghaddam, Dashti M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:561:y:2021:i:c:s0378437120306671. Full description at Econpapers || Download paper | |
2021 | VIX futures and its closed?form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:135-156. Full description at Econpapers || Download paper | |
2021 | A short cut: Directly pricing VIX futures with discrete?time long memory model and asymmetric jumps. (2021). Wang, Tianyi ; Bian, Yang ; Yin, Fangsheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:458-477. Full description at Econpapers || Download paper | |
2021 | Skew index: Descriptive analysis, predictive power, and short-term forecast. (2021). Mora-Valencia, Andrés ; Vanegas, Esteban ; Rodriguez-Raga, Santiago . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302370. Full description at Econpapers || Download paper | |
2021 | Pricing VIX options with realized volatility. (2021). Huang, Zhuo ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1180-1200. Full description at Econpapers || Download paper | |
2021 | The impact of COVID-19 on tail risk: Evidence from Nifty index options. (2021). Varma, Jayanth R ; Agarwalla, Sobhesh Kumar ; Virmani, Vineet. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001555. Full description at Econpapers || Download paper | |
2021 | Rational repricing of risk during COVID?19: Evidence from Indian single stock options market. (2021). Virmani, Vineet ; Varma, Jayanth R ; Agarwalla, Sobhesh Kumar. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1498-1519. Full description at Econpapers || Download paper | |
2021 | After the Splits: Information Flow between Bitcoin and Bitcoin Family. (2021). Cho, Ye Rim ; Yi, Eojin ; Ahn, Kwangwon ; Sohn, Sungbin. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920308560. Full description at Econpapers || Download paper | |
2021 | Informed options trading around holidays. (2021). Yu, Jinyoung ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:658-685. Full description at Econpapers || Download paper | |
2021 | Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market. (2021). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1055-1073. Full description at Econpapers || Download paper | |
2021 | The pricing mechanism between ETF option and spot markets in China. (2021). Ying, Zhiliang ; Tao, Pingping ; Liu, Qingfu ; Dong, DA. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1286-1300. Full description at Econpapers || Download paper | |
2021 | Market Efficiency of US REITs: A Revisit. (2021). Ahn, Kwangwon ; Kim, Dongshin ; Jang, Hanwool ; Ryu, Inug. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921004240. Full description at Econpapers || Download paper | |
2021 | The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2019). Wu, Lixin ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:1911.13123. Full description at Econpapers || Download paper | |
2021 | A note on the option price and Mass at zero in the uncorrelated SABR model and implied volatility asymptotics. (2020). Wu, Lixin ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2011.00557. Full description at Econpapers || Download paper | |
2021 | The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2021). Wu, Lixin ; Choi, Jaehyuk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000786. Full description at Econpapers || Download paper | |
2021 | Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model. (2021). Nugent, Jeffrey B ; Atik, Abdurrahman Nazif ; Balli, Esra. In: Energy. RePEc:eee:energy:v:217:y:2021:i:c:s0360544220324841. Full description at Econpapers || Download paper | |
2021 | Dynamic linkage between oil prices and exchange rates: new global evidence. (2021). Lee, Chien-Chiang ; Huang, Bwo-Nung ; Chang, Yu-Fang. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:2:d:10.1007_s00181-020-01874-8. Full description at Econpapers || Download paper | |
2021 | Dependence Structure between Indian Financial Market and Energy Commodities: A Cross-quantilogram based Evidence. (2021). Sinha, Avik ; Sharma, Ankit ; Adhikari, Arnab ; Sharif, Arshian. In: MPRA Paper. RePEc:pra:mprapa:111181. Full description at Econpapers || Download paper | |
2021 | Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange?traded fund?. (2021). Diesting, Florent ; Sobti, Neharika ; Sehgal, Sanjay. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1092-1123. Full description at Econpapers || Download paper | |
2021 | Night trading with futures in China: The case of Aluminum and Copper. (2021). Todorova, Neda ; Klein, Tony. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002191. Full description at Econpapers || Download paper | |
2021 | How do macroeconomic news surprises affect round-the-clock price discovery of gold?. (2021). Ilango, Balakrishnan ; Sehgal, Sanjay ; Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002209. Full description at Econpapers || Download paper | |
2021 | Who knows more and makes more? A perspective of order submission decisions across investor types. (2021). Chen, Hung-Ju ; Hung, Pi-Hsia ; Lien, Donald. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:381-398. Full description at Econpapers || Download paper | |
2021 | The effect of language on investing: Evidence from searches in Chinese versus English. (2021). HASAN, IFTEKHAR ; Lin, Chih-Yung ; Chuang, Hui-Ching. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000603. Full description at Econpapers || Download paper | |
2021 | Semivariance and semiskew risk premiums in currency markets. (2021). Dawui, Edem ; da Fonseca, Jose. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:3:p:290-324. Full description at Econpapers || Download paper | |
2021 | Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS. (2021). Dhesi, Gurjeet ; Wang, Qunwei ; Xiao, Ling ; Dai, Xingyu. In: Energy Policy. RePEc:eee:enepol:v:156:y:2021:i:c:s0301421521002986. Full description at Econpapers || Download paper | |
2021 | Listing of classical options and the pricing of discount certificates. (2021). Schertler, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302727. Full description at Econpapers || Download paper | |
2021 | Credit risk in derivative securities: A simplified approach. (2021). Baule, Rainer. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:641-657. Full description at Econpapers || Download paper | |
2021 | Unintended investor sentiment on bank financial products: Evidence from China. (2021). Wang, Shengnan ; Jin, Chenglu ; Wu, Ling ; Chen, Rongda. In: Emerging Markets Review. RePEc:eee:ememar:v:49:y:2021:i:c:s1566014120303435. Full description at Econpapers || Download paper | |
2021 | Jumps in foreign exchange spot rates and the informational efficiency of currency forwards. (2021). Sun, Qiao ; Mollica, Vito ; Ibikunle, Gbenga. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1201-1219. Full description at Econpapers || Download paper | |
2021 | Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility?New evidence. (2021). Yang, MO ; Wei, YU ; Tuo, Siwei ; Lyu, Yongjian. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309739. Full description at Econpapers || Download paper | |
2021 | The leadâlag relationship between spot and futures prices: Empirical evidence from the Indian commodity market. (2021). du Toit, Elda ; Hall, John H ; Pradhan, Rudra P. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309648. Full description at Econpapers || Download paper | |
2021 | Dynamic price discovery in Chinese agricultural futures markets. (2021). Xiong, Tao ; Li, Miao. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000993. Full description at Econpapers || Download paper | |
2021 | On interdependence structure of Chinas commodity market. (2021). Yang, Xuan ; He, Limin ; Chen, Peng. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002671. Full description at Econpapers || Download paper | |
2021 | From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151. Full description at Econpapers || Download paper | |
2021 | Discrete variance swap in a rough volatility economy. (2021). Wong, Hoi Ying ; Ru, YI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1640-1654. Full description at Econpapers || Download paper | |
2021 | New Zealand whole milk powder options. (2021). Zhang, Jin E ; Aschakulporn, Pakorn. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2201-2246. Full description at Econpapers || Download paper | |
2021 | Comparative Study of Momentum and Contrarian Behavior of Different Investors: Evidence from the Indian Market. (2021). Bapat, Varadraj ; Chhimwal, Bhaskar. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:1:d:10.1007_s10690-020-09315-3. Full description at Econpapers || Download paper | |
2021 | Forty years of the Journal of Futures Markets: A bibliometric overview. (2021). Kumar, Satish ; Baker, Kent H ; Pandey, Nitesh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1027-1054. Full description at Econpapers || Download paper | |
2021 | Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114. Full description at Econpapers || Download paper | |
2021 | Closed?form lower bounds for the price of arithmetic average Asian options by multiple conditioning. (2021). Ho, Geon ; Kim, Min Seok. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:1916-1932. Full description at Econpapers || Download paper | |
2021 | Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures. (2021). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2101.01261. Full description at Econpapers || Download paper | |
2021 | Bitcoin spot and futures market microstructure. (2021). Mizrach, Bruce ; Aleti, Saketh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:194-225. Full description at Econpapers || Download paper | |
2021 | Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?. (2021). Ishida, Ryo ; Hattori, Takahiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302096. Full description at Econpapers || Download paper | |
2021 | Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?. (2021). Adediran, Idris ; Lakhani, Kanwal Hammad ; Yinusa, Olalekan D. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309624. Full description at Econpapers || Download paper | |
2021 | Is It Possible to Forecast the Price of Bitcoin?. (2021). Goutte, Stéphane ; Chevallier, Julien ; Guegan, Dominique. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101. Full description at Econpapers || Download paper | |
2021 | Bitcoin in the economics and finance literature: a survey. (2021). Rohilla, Purnima ; Kayal, Parthajit. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:7:d:10.1007_s43546-021-00090-5. Full description at Econpapers || Download paper | |
2021 | Bitcoin arbitrage. (2021). Shynkevich, Andrei. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320308886. Full description at Econpapers || Download paper | |
2021 | Retaliation in Bitcoin networks. (2021). Hansen, Henri ; Kanniainen, Juho ; Lepomaki, Laura. In: Economics Letters. RePEc:eee:ecolet:v:203:y:2021:i:c:s0165176521000999. Full description at Econpapers || Download paper | |
2021 | Trading activity and price discovery in Bitcoin futures markets. (2021). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:107-120. Full description at Econpapers || Download paper | |
2021 | Nothing but noise? Price discovery across cryptocurrency exchanges. (2021). Peter, Franziska J ; Dimpfl, Thomas. In: Journal of Financial Markets. RePEc:eee:finmar:v:54:y:2021:i:c:s1386418120300537. Full description at Econpapers || Download paper | |
2021 | Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536. Full description at Econpapers || Download paper | |
2021 | Optimal Bitcoin trading with inverse futures. (2021). Zou, Bin ; Zhang, Shuyu ; Pan, Huifeng ; Deng, Jun. In: Annals of Operations Research. RePEc:spr:annopr:v:304:y:2021:i:1:d:10.1007_s10479-021-04125-w. Full description at Econpapers || Download paper | |
2021 | Fractional cointegration in bitcoin spot and futures markets. (2021). Xu, KE ; Wu, Jinghong ; Chen, Jian ; Zheng, Xinwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1478-1494. Full description at Econpapers || Download paper | |
2021 | Cryptocurrencies and blockchain. Overview and future perspectives. (2021). Osorio, Paulo Jose ; Corteso, Pedro Manuel ; Osrio, Paulo Jos ; Correia, Helder Miguel. In: International Journal of Economics and Business Research. RePEc:ids:ijecbr:v:21:y:2021:i:3:p:305-342. Full description at Econpapers || Download paper | |
2021 | Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis. (2021). Ajmi, Ahdi Noomen ; Vo, Xuan Vinh ; Bouri, Elie ; Mokni, Khaled. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211016377. Full description at Econpapers || Download paper | |
2021 | Bitcoin futures: trade it or ban it?. (2021). Shi, Yukun. In: The European Journal of Finance. RePEc:taf:eurjfi:v:27:y:2021:i:4-5:p:381-396. Full description at Econpapers || Download paper | |
2021 | The relationship between Bitcoin and resource commodity futures: Evidence from NARDL approach. (2021). An, Che-Lun ; Lin, Mei-Yin . In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003925. Full description at Econpapers || Download paper | |
2021 | Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis. (2021). Lv, Dayong ; Meng, LU ; Ruan, Qingsong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:153:y:2021:i:p1:s0960077921009309. Full description at Econpapers || Download paper | |
2021 | Intermediary capital risk and commodity futures volatility. (2021). Han, Liyan ; Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:577-640. Full description at Econpapers || Download paper | |
2021 | The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. (2021). Liang, Chao ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002255. Full description at Econpapers || Download paper | |
2021 | Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. (2021). Jin, Chenglu ; Bao, Weiwei ; Chen, Rongda. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:112-129. Full description at Econpapers || Download paper | |
2021 | The dynamics of cross?boundary fireâFinancial contagion between the oil and stock markets. (2021). Wang, Tianyang ; Yuan, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1655-1673. Full description at Econpapers || Download paper | |
2021 | Efficiency in the Atlantic salmon futures market. (2021). de Lange, Petter E ; Andersen, Bendik P. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:949-984. Full description at Econpapers || Download paper | |
2021 | How trading in commodity futures option markets impacts commodity futures prices. (2021). He, Feng ; Yu, Xiaoli ; Lin, Yu Ting ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1333-1347. Full description at Econpapers || Download paper | |
2021 | Good volatility, bad volatility and economic uncertainty: Evidence from the crude oil futures market. (2021). Yang, MO ; Hu, Yingyi ; Wei, YU ; Lyu, Yongjian. In: Energy. RePEc:eee:energy:v:222:y:2021:i:c:s0360544221001730. Full description at Econpapers || Download paper | |
2021 | The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Sivaprasad, Sheeja ; Pappas, Vasileios ; Muradolu, Yaz Gulnur ; Izzeldin, Marwan. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000144. Full description at Econpapers || Download paper | |
2021 | Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925. Full description at Econpapers || Download paper | |
2021 | Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method. (2021). Liu, Yun ; Gong, XU ; Wang, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001277. Full description at Econpapers || Download paper | |
2021 | The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties. (2021). Gouider, Abdessalem ; Mezghani, Imed ; ben Haddad, Hedi. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:91-:d:575121. Full description at Econpapers || Download paper | |
2021 | Performance of Japanese leveraged ETFs. (2021). Han, Jing ; Yueh, Meng-Lan ; Miu, Peter. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20307022. Full description at Econpapers || Download paper | |
2021 | A comment on âDeterminants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costsâ. (2021). Miu, Peter ; Yueh, Menglan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:2079-2082. Full description at Econpapers || Download paper | |
2021 | Comment on âDeterminants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk and transaction costsâ by Peter Miu and Meng?Lan Yueh: Reply. (2021). Qin, Jieye ; Sirichand, Kavita ; Green, Christopher J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:2083-2084. Full description at Econpapers || Download paper | |
2021 | Price discovery and its determinants for the Chinese soybean options and futures markets. (2021). Li, Zihe ; Liu-Chen, Baiao ; Hao, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320305444. Full description at Econpapers || Download paper | |
2021 | Analyzing the Relationship between Derivative Usage and Systemic Risk in South Africa. (2021). Zhou, Sheunesu. In: Eurasian Journal of Economics and Finance. RePEc:ejn:ejefjr:v:9:y:2021:i:4:p:217-234. Full description at Econpapers || Download paper | |
2021 | The values and incentive effects of options on the maximum or the minimum of the stock prices and market index. (2021). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302345. Full description at Econpapers || Download paper | |
2021 | Pricing vulnerable options in a hybrid credit risk model driven by HestonâNandi GARCH processes. (2021). Wang, Xingchun ; Liang, Gechun. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:1:d:10.1007_s11147-020-09167-z. Full description at Econpapers || Download paper | |
2021 | Valuation of options on the maximum of two prices with default risk under GARCH models. (2021). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000541. Full description at Econpapers || Download paper | |
2021 | Supplementary Paper Series for the Assessment (1): The Effects of the Bank of Japans ETF Purchases on Risk Premia in the Stock Markets. (2021). Adachi, KO ; Kitamura, Tomiyuki ; Hiraki, Kazuhiro. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e03. Full description at Econpapers || Download paper | |
2021 | Do fund managers time implied tail risk? â Evidence from Chinese mutual funds. (2021). Li, Weishu ; Wang, Linyu ; Ni, Zhongxin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000974. Full description at Econpapers || Download paper | |
2021 | Intermediary asset pricing in currency carry trade returns. (2021). Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1241-1267. Full description at Econpapers || Download paper | |
2021 | How does skewness perform in the Chinese commodity futures market?. (2021). Xu, Yang ; Han, Liyan ; Jiang, Xue. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1268-1285. Full description at Econpapers || Download paper | |
2021 | Oil market uncertainty and excess returns on currency carry trade. (2021). Yin, Libo ; Mo, Xuan ; Su, Zhi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:56:y:2021:i:c:s027553192100012x. Full description at Econpapers || Download paper | |
2021 | Can the Chinese volatility index reflect investor sentiment?. (2021). Tang, Yeran ; Zhao, Manyi ; Long, Wen. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302556. Full description at Econpapers || Download paper | |
2021 | Implied volatility indices â A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329. Full description at Econpapers || Download paper | |
2021 | Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599. Full description at Econpapers || Download paper | |
2021 | Investable commodity premia in China. (2021). Zhang, Tingxi ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000856. Full description at Econpapers || Download paper | |
2021 | Volatility?managed commodity futures portfolios. (2021). Kwon, Kyung Yoon ; Kang, Jangkoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:159-178. Full description at Econpapers || Download paper | |
2021 | The maturity effect of stock index futures: Speculation or carry arbitrage?. (2021). Li, Xiao ; Xiong, Xiong ; Xu, Kewei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000945. Full description at Econpapers || Download paper | |
2021 | Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202. Full description at Econpapers || Download paper | |
2021 | How do sovereign risk, equity and foreign exchange derivatives markets interact?. (2021). Ibhagui, Oyakhilome. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:58-78. Full description at Econpapers || Download paper | |
2021 | Intraday indirect arbitrage between European index ETFs. (2021). Tooma, Eskandar ; Bassiouny, Aliaa. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000806. Full description at Econpapers || Download paper | |
2021 | Specification analysis of VXX option pricing models under Lévy processes. (2021). Ruan, Xinfeng ; Cao, Jiling ; Zhang, Wenjun ; Su, Shu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1456-1477. Full description at Econpapers || Download paper | |
2021 | Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336. Full description at Econpapers || Download paper | |
2021 | Call auction, continuous trading and closing price formation. (2021). Li, Jiayi ; Zhou, Guangyou ; Luo, Sumei. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:6:p:1037-1065. Full description at Econpapers || Download paper | |
2021 | Effectiveness of the conditional random?end trading mechanism on the Korea Exchange: Normal trade and Option Shock. (2021). Park, Jongho ; Kwon, Kyung Y ; Eom, Kyong S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1545-1568. Full description at Econpapers || Download paper | |
2021 | Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns. (2021). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chung, Chien-Ping. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306788. Full description at Econpapers || Download paper | |
2021 | Systemic financial risk early warning of financial market in China using Attention-LSTM model. (2021). Lai, Yongzeng ; Yang, Xi-Te ; Ouyang, Zi-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082100019x. Full description at Econpapers || Download paper | |
2021 | COVID-19 and asymmetric volatility spillovers across global stock markets. (2021). Li, Wenqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000954. Full description at Econpapers || Download paper | |
2021 | Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. (2021). Vo, Xuan Vinh ; Umar, Zaghum ; Aharon, David Y. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00274-w. Full description at Econpapers || Download paper | |
2021 | Market efficiency in foreign exchange market. (2021). Pae, Yuntaek ; Choi, Wonseok ; Lee, Namhoon. In: Economics Letters. RePEc:eee:ecolet:v:205:y:2021:i:c:s0165176521002081. Full description at Econpapers || Download paper | |
2021 | Intraday return predictability in Chinaâs crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219. Full description at Econpapers || Download paper | |
2021 | Bond intraday momentum. (2021). Li, YI ; Wang, Pengfei ; Zhang, Wei. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000599. Full description at Econpapers || Download paper | |
2021 | Asymmetry, tail risk and time series momentum. (2021). Wang, Shixuan ; Lu, Shanglin ; Liu, Zhenya. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002581. Full description at Econpapers || Download paper | |
2021 | Perish or prosper: Trade patterns for highly perishable seafood products. (2021). Vrdal, Erling ; Straume, Hansmartin ; Asche, Frank. In: Agribusiness. RePEc:wly:agribz:v:37:y:2021:i:4:p:876-890. Full description at Econpapers || Download paper | |
2021 | Economic activity, and financial and commodity marketsâ shocks: An analysis of implied volatility indexes. (2021). Ndubuisi, Gideon ; Ozor, Jude ; Urom, Christian. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:51-66. Full description at Econpapers || Download paper | |
2021 | Predictability in commodity markets: Evidence from more than a century. (2021). Simen, Chardin Wese ; Tharann, Bjorn ; Prokopczuk, Marcel ; Hollstein, Fabian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000052. Full description at Econpapers || Download paper | |
2021 | Price discovery in chinese agricultural futures markets: A comprehensive look. (2021). Wang, Tao ; Li, Zheng ; Yang, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:536-555. Full description at Econpapers || Download paper | |
2021 | Managing volatility in commodity momentum. (2021). Wang, Ying ; Xu, QI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:758-782. Full description at Econpapers || Download paper | |
2021 | Liquidity effects on price and return co-movements in commodity futures markets. (2021). Ding, Shusheng ; Zhang, Yongmin. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001320. Full description at Econpapers || Download paper | |
2021 | Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879. Full description at Econpapers || Download paper | |
2021 | Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. (2021). Umar, Zaghum ; Gabauer, David ; Balcilar, Mehmet. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002300. Full description at Econpapers || Download paper | |
2021 | Volatility spillovers in commodity futures markets: A network approach. (2021). Yang, Jian ; Miao, Hong ; Li, Zheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:1959-1987. Full description at Econpapers || Download paper | |
2021 | Forecasting equity returns: The role of commodity futures along the supply chain. (2021). Wu, Chongfeng ; Li, Chenchen ; Zhou, Chunyang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:46-71. Full description at Econpapers || Download paper | |
2021 | Stock market reactions to different types of oil shocks: Evidence from China. (2021). Wong, Jin Boon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:179-193. Full description at Econpapers || Download paper | |
2021 | Cross-correlations between price and volume in Chinas crude oil futures market: A study based on multifractal approaches. (2021). Zhang, Hongwei ; Cheng, Hui ; Guo, Yaoqi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s096007792031033x. Full description at Econpapers || Download paper | |
2021 | Oil shocks and corporate payouts. (2021). Hasan, Mostafa Monzur ; Wong, Jin Boon. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002218. Full description at Econpapers || Download paper | |
2021 | Stakeholder orientation and cost stickiness. (2021). Hasan, Mostafa Monzur ; Wong, Jin Boon ; Xin, Xianyang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001362. Full description at Econpapers || Download paper | |
2021 | Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective. (2021). Lu, Tuantuan ; Dai, Yimin ; Wei, YU ; Tang, Yong ; Zhu, Pengfei. In: Energy. RePEc:eee:energy:v:217:y:2021:i:c:s0360544220325238. Full description at Econpapers || Download paper | |
2021 | Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models. (2021). Di, Peng ; Zhang, QI ; Farnoosh, Arash. In: Energy. RePEc:eee:energy:v:223:y:2021:i:c:s0360544221002991. Full description at Econpapers || Download paper | |
2021 | Do Chinas macro-financial factors determine the Shanghai crude oil futures market?. (2021). Lin, Boqiang ; Su, Tong. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002738. Full description at Econpapers || Download paper | |
2021 | What drives oil prices? â A Markov switching VAR approach. (2021). Fu, Chengbo ; Liu, Tangyong ; Chen, Liqing ; Guan, Keqin ; Gong, XU. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003263. Full description at Econpapers || Download paper | |
2021 | European depositorsâ behavior and crisis sentiment. (2021). Anastasiou, Dimitrios ; Drakos, Konstantinos. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:117-136. Full description at Econpapers || Download paper | |
2021 | Time-varying uncertainty and variance risk premium. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:69:y:2021:i:c:s0164070421000471. Full description at Econpapers || Download paper | |
2021 | Risk spillover from energy market uncertainties to the Chinese carbon market. (2021). Xu, Yingying. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000688. Full description at Econpapers || Download paper | |
2021 | Generalized autoregressive score model with high?frequency data for optimal futures hedging. (2021). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:2023-2045. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874. Full description at Econpapers || Download paper | |
2021 | Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977. Full description at Econpapers || Download paper | |
2021 | The Negative Pricing of the May 2020 WTI Contract. (2021). Joelle, Miffre ; Ana-Maria, Fuertes ; Adrian, Fernandez-Perez. In: MPRA Paper. RePEc:pra:mprapa:112352. Full description at Econpapers || Download paper | |
2021 | Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; McMillan, David G ; Kambouroudis, Dimos S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639. Full description at Econpapers || Download paper | |
2021 | Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030. Full description at Econpapers || Download paper | |
2021 | The impact of net buying pressure on index options prices. (2021). Ryu, Doowon ; Yang, Heejin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:27-45. Full description at Econpapers || Download paper | |
2021 | The high frequency impact of economic policy narratives on stock market uncertainty. (2021). Ortiz, Daniel Perico. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:022021. Full description at Econpapers || Download paper | |
2021 | Forecasting Stock Market Dynamics using Bidirectional Long Short-Term Memory. (2021). Ryu, Doojin ; Park, Daehyeon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:22-34. Full description at Econpapers || Download paper | |
2021 | Does vega-neutral options trading contain information?. (2021). Yang, Heejin ; Ryu, Doojin ; Lee, Jaeram. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:294-314. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event. (2021). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004576. Full description at Econpapers || Download paper | |
2021 | Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets. (2021). Gözgör, Giray ; Xu, Bing ; Marco, Chi Keung ; Gozgor, Giray ; Semeyutin, Artur. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s014098832100517x. Full description at Econpapers || Download paper | |
2021 | Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994. Full description at Econpapers || Download paper | |
2021 | A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. (2021). Kyriazis, Nikolaos A. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:293-:d:582208. Full description at Econpapers || Download paper | |
2021 | The effects of commodity financialization on commodity market volatility. (2021). Du, Min ; Zheng, Dandan ; Cui, Tianxiang ; Ding, Shusheng. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002312. Full description at Econpapers || Download paper | |
2021 | Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us?. (2021). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad. In: Working Papers. RePEc:hal:wpaper:halshs-03211699. Full description at Econpapers || Download paper | |
2021 | Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions. (2021). TERESIENE, DEIMANTE ; Kanapickiene, Rasa ; Jurksas, Linas. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:35-:d:514849. Full description at Econpapers || Download paper | |
2021 | Understanding cryptocurrency volatility: The role of oil market shocks. (2021). Yin, Libo ; Han, Liyan ; Nie, Jing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:233-253. Full description at Econpapers || Download paper | |
2021 | Quote-Based manipulation of illiquid securities. (2021). Malloch, Hamish ; Foley, Sean ; Aspris, Angelo ; Chau, Ching. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319313595. Full description at Econpapers || Download paper | |
2021 | Optimal closing benchmarks. (2021). Mitra, Joshua ; Frei, Christoph. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320301537. Full description at Econpapers || Download paper | |
2021 | Price volatilities of bitcoin futures. (2021). Guo, Zi-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001033. Full description at Econpapers || Download paper | |
2021 | Contingent capital, Tobinâs q and corporate capital structure. (2021). Yang, BO ; Gan, Liu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301935. Full description at Econpapers || Download paper | |
2021 | The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets. (2021). Ishida, Ryo ; Hattori, Takahiro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:105-114. Full description at Econpapers || Download paper | |
2021 | Impact of bitcoin futures on the informational efficiency of bitcoin spot market. (2021). Shynkevich, Andrei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:115-134. Full description at Econpapers || Download paper | |
2021 | Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets. (2021). Wang, Tianyi ; Yu, Mei ; Cheng, Zhiyong ; Deng, Jun. In: Papers. RePEc:arx:papers:2102.04591. Full description at Econpapers || Download paper | |
2021 | Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets. (2021). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2108.09750. Full description at Econpapers || Download paper | |
2021 | Volatility models for cryptocurrencies and applications in the options market. (2021). Hao, Wenyan ; Chi, Yeguang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001359. Full description at Econpapers || Download paper | |
2021 | The effect of online environmental news on green industry stocks: The mediating role of investor sentiment. (2021). Shen, Xiaohong ; Yu, Guangjin ; Wang, Gaoshan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:573:y:2021:i:c:s037843712100251x. Full description at Econpapers || Download paper | |
2021 | Estimating risk?neutral freight rate dynamics: A nonparametric approach. (2021). Nomikos, Nikos K ; Martinezrodriguez, Julia ; Kyriakou, Ioannis ; Gomezvalle, Lourdes. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1824-1842. Full description at Econpapers || Download paper | |
2021 | An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model. (2021). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310328. Full description at Econpapers || Download paper | |
2021 | Pricing vulnerable options with jump risk and liquidity risk. (2021). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09177-5. Full description at Econpapers || Download paper | |
2021 | The Effects of Outbound Mergers and Acquisitions (M&As) on Chinese Automobile Corporationsâ Performance: A Case Study of Geelyâs Acquisition of Volvo. (2021). Wang, Xin ; Meng, Ziming. In: International Business Research. RePEc:ibn:ibrjnl:v:14:y:2021:i:7:p:36. Full description at Econpapers || Download paper | |
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2021 | Is the renminbi a safe-haven currency? Evidence from conditional coskewness and cokurtosis. (2021). Zhou, Yinggang ; Chen, Hongyi ; Cheng, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000085. Full description at Econpapers || Download paper | |
2021 | Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China. (2021). Zou, Gaofeng ; Xiong, Xiong ; Wang, Meng ; Zhang, Yongjie. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320316007. Full description at Econpapers || Download paper | |
2021 | Contagion and portfolio management in times of COVID-19. (2021). karamti, chiraz ; Belhassine, Olfa. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:73-86. Full description at Econpapers || Download paper | |
2021 | Single stock futures and their impact on market quality: Be careful what you wish for. (2021). Mollica, Vito ; Hunt, Jack ; Curran, Edward. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1677-1692. Full description at Econpapers || Download paper |
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2021 | Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform. (2021). Belmonte, Alessandro ; Saggese, Pietro ; Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola. In: Papers. RePEc:arx:papers:2109.10958. Full description at Econpapers || Download paper | |
2021 | Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033. Full description at Econpapers || Download paper | |
2021 | Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599. Full description at Econpapers || Download paper | |
2021 | What do we know about business strategy and environmental research? Insights from Business Strategy and the Environment. (2021). Lim, Weng Marc ; Sureka, Riya ; Kumar, Satish ; Goyal, Nisha ; Mangla, Sachin Kumar. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:8:p:3454-3469. Full description at Econpapers || Download paper | |
2021 | Dynamic price discovery in Chinese agricultural futures markets. (2021). Xiong, Tao ; Li, Miao. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000993. Full description at Econpapers || Download paper | |
2021 | Stakeholder orientation and cost stickiness. (2021). Hasan, Mostafa Monzur ; Wong, Jin Boon ; Xin, Xianyang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001362. Full description at Econpapers || Download paper | |
2021 | Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?. (2021). Ishida, Ryo ; Hattori, Takahiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302096. Full description at Econpapers || Download paper | |
2021 | Does vega-neutral options trading contain information?. (2021). Yang, Heejin ; Ryu, Doojin ; Lee, Jaeram. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:294-314. Full description at Econpapers || Download paper | |
2021 | How does low-carbon energy transition alleviate energy poverty in China? A nonparametric panel causality analysis. (2021). Dong, Kangyin ; Zhao, Jun ; Ren, Xiaohang. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004850. Full description at Econpapers || Download paper | |
2021 | Global temperature, R&D expenditure, and growth. (2021). Jüppner, Marcus ; Kizys, Renatas ; Juppner, Marcus ; Gruning, Patrick ; Donadelli, Michael. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004758. Full description at Econpapers || Download paper | |
2021 | Impacts of oil shocks on the EU carbon emissions allowances under different market conditions. (2021). Wen, Fenghua ; Liu, Wenhua ; Zhou, Min ; Yin, Hua ; Zheng, Yan. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005387. Full description at Econpapers || Download paper | |
2021 | Oil shocks and corporate payouts. (2021). Hasan, Mostafa Monzur ; Wong, Jin Boon. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002218. Full description at Econpapers || Download paper | |
2021 | Multilayer financial networks and systemic importance: Evidence from China. (2021). Wang, Xiong ; Stanley, Eugene H ; Wen, Fenghua ; Cao, Jie. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002106. Full description at Econpapers || Download paper | |
2021 | International review of financial analysis: A retrospective evaluation between 1992 and 2020. (2021). Sharma, Anuj ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002672. Full description at Econpapers || Download paper | |
2021 | Price volatilities of bitcoin futures. (2021). Guo, Zi-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001033. Full description at Econpapers || Download paper | |
2021 | How to conduct a bibliometric analysis: An overview and guidelines. (2021). Kumar, Satish ; Donthu, Naveen ; Lim, Weng Marc ; Pandey, Nitesh ; Mukherjee, Debmalya. In: Journal of Business Research. RePEc:eee:jbrese:v:133:y:2021:i:c:p:285-296. Full description at Econpapers || Download paper | |
2021 | What drives oil prices? â A Markov switching VAR approach. (2021). Fu, Chengbo ; Liu, Tangyong ; Chen, Liqing ; Guan, Keqin ; Gong, XU. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003263. Full description at Econpapers || Download paper | |
2021 | How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin. (2021). , Walid. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001748. Full description at Econpapers || Download paper | |
2021 | Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil. (2021). Yao, Yanyan ; Li, Zhenghui ; Liu, Yanqiong ; Dong, Hao. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:13:p:4063-:d:589038. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (2021). Wang, Yue ; Shen, Xiaohong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:5049179. Full description at Econpapers || Download paper | |
2021 | Thrown off track? Adjustments of Asian business to shock events. (2021). Sekiguchi, Tomoki ; Horn, Sierk ; Weiss, Matthias. In: Asian Business & Management. RePEc:pal:abaman:v:20:y:2021:i:4:d:10.1057_s41291-021-00158-y. Full description at Econpapers || Download paper | |
2021 | Forecasting Stock Market Dynamics using Bidirectional Long Short-Term Memory. (2021). Ryu, Doojin ; Park, Daehyeon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:22-34. Full description at Econpapers || Download paper | |
2021 | Deep Learning Market Microstructure: Dual-Stage Attention-Based Recurrent Neural Networks. (2021). Park, Sukjin ; Chung, Chaeshick. In: Working Papers. RePEc:sgo:wpaper:2108. Full description at Econpapers || Download paper | |
2021 | Research evolution in banking performance: a bibliometric analysis. (2021). Abdul, Dzuljastri Bin ; Matin, Mohammad Abdul ; Shamsul, S M. In: Future Business Journal. RePEc:spr:futbus:v:7:y:2021:i:1:d:10.1186_s43093-021-00111-7. Full description at Econpapers || Download paper | |
2021 | Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform. (2021). Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola ; Belmonte, Alessandro ; Saggese, Pietro. In: Department of Economics University of Siena. RePEc:usi:wpaper:860. Full description at Econpapers || Download paper | |
2021 | The dynamics of cross?boundary fireâFinancial contagion between the oil and stock markets. (2021). Wang, Tianyang ; Yuan, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1655-1673. Full description at Econpapers || Download paper | |
2021 | Informed options trading around holidays. (2021). Yu, Jinyoung ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:658-685. Full description at Econpapers || Download paper | |
2021 | Managing volatility in commodity momentum. (2021). Wang, Ying ; Xu, QI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:758-782. Full description at Econpapers || Download paper | |
2021 | Pricing VIX options with realized volatility. (2021). Huang, Zhuo ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1180-1200. Full description at Econpapers || Download paper | |
2021 | Intermediary asset pricing in currency carry trade returns. (2021). Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1241-1267. Full description at Econpapers || Download paper | |
2021 | Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets. (2021). Lin, Boqiang ; Liu, Tangyong ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1375-1396. Full description at Econpapers || Download paper | |
2021 | Specification analysis of VXX option pricing models under Lévy processes. (2021). Ruan, Xinfeng ; Cao, Jiling ; Zhang, Wenjun ; Su, Shu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1456-1477. Full description at Econpapers || Download paper | |
2021 | Fractional cointegration in bitcoin spot and futures markets. (2021). Xu, KE ; Wu, Jinghong ; Chen, Jian ; Zheng, Xinwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1478-1494. 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 | Cryptocurrency Derivatives: The Case of Bitcoin. (2019). Soylemez, Yakup. In: Contributions to Economics. RePEc:spr:conchp:978-3-030-25275-5_25. 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 |
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2018 | Application of Probabilistic Graphical Models in Forecasting Crude Oil Price. (2018). Alvi, Danish A. In: Papers. RePEc:arx:papers:1804.10869. Full description at Econpapers || Download paper | |
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 ; Custovic, Anessa ; Ghysels, Eric. In: JRFM. 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). Sukcharoensin, Pariyada ; Sittisawad, Trin. 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 |