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Displaying assets from 1 to 30 out of 641
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Description Contracts specification
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Volatility‐of‐volatility risk in the crude oil market
Publication Title: Journal of Futures Markets -
Description Fit to SPX call option smiles on May 16, 2012, of the HN‐GARCH model with joint calibration parameters from Table 13. (a) τ=31 days; (b) τ=44 days; (c) τ=66 days; (d) τ=94 days; (e) τ=129 days; (f)...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: The implied volatility smirk of commodity options
Publication Title: Journal of Futures Markets -
Description Comparing the in‐sample fitting capacities of the HAR‐RV‐SB, HAR‐RV, HAR‐CJ, HAR‐S‐RV‐J, and HAR‐RV‐SJd models for forecasting the volatility of copper futures (sub‐sample 2) [Color figure can be...
Article Title: Structural breaks and volatility forecasting in the copper futures market
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Bitcoin and sentiment
Publication Title: Journal of Futures Markets -
Description Comparing the in‐sample fitting capacities of the HAR‐RV‐SB, HAR‐CJ‐SB, HAR‐S‐RV‐J‐SB, and HAR‐RV‐SJd‐SB models for forecasting the volatility of the copper futures [Color figure can be viewed at...
Article Title: Structural breaks and volatility forecasting in the copper futures market
Publication Title: Journal of Futures Markets -
Description Estimated implied volatilities of KOSPI 200 index options by moneyness level. This figure shows the Black‐Scholes implied volatilities of KOSPI 200 index calls (solid line) and puts (dotted line)...
Article Title: The impact of net buying pressure on index options prices
Publication Title: Journal of Futures Markets -
Description The figure compares the representative out‐of‐sample hedge ratios for the DJ–ES markets. The sample period runs from July 2014 to June 2016, which corresponds to a sample size of 500. DJ, Dow Jones...
Article Title: Flexible covariance dynamics, high‐frequency data, and optimal futures hedging
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description European Call Option Price Against the Strike Price [Color figure can be viewed at wileyonlinelibrary.com]
Article Title: Pricing Vulnerable Options with Jump Clustering
Publication Title: Journal of Futures Markets -
Description Time series of Bitcoin return (1‐month return). [Color figure can be viewed at wileyonlinelibrary.com] Source: Bloomberg
Article Title: The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets
Publication Title: Journal of Futures Markets -
Description Predictability of the last trading period return using first 15‐minute return
Article Title: Intraday time‐series momentum: Evidence from China
Publication Title: Journal of Futures Markets -
Description Descriptive statistics, mean transaction price, and contract price
Article Title: Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification
Publication Title: Journal of Futures Markets -
Description Regression Estimates on the Effects of Volume, by Day Traders on Intraday Price Volatility
Article Title: The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Can commodity futures risk factors predict economic growth?
Publication Title: Journal of Futures Markets -
Description Constant maturity IV dynamics: Natural gas. This figure shows dynamics of the 30‐ and 180‐day constant maturity estimate ATM IV, slope, and curvature and the difference of the 180‐ and 30‐day...
Article Title: The implied volatility smirk of commodity options
Publication Title: Journal of Futures Markets -
Description Mean Absolute Returns (%) and Mean Squared Returns (%) for Soybeans and Corn (June 2003–August 2014)
Article Title: Futures Price Response to Crop Reports in Grain Markets
Publication Title: Journal of Futures Markets -
Description Arbitrage Table Establishing the Put–Call Parity Relationship for European Exchange Options Assuming Each Underlying Stocks Pays a Known Discrete Dividend Over the Life of the Option CE0 = A0 − L0...
Article Title: A Closer Look at Barrier Exchange Options
Publication Title: Journal of Futures Markets -
Description Changes in the Kolmogorov–Smirnov p values
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Is the synthetic stock price really lower than actual price?
Publication Title: Journal of Futures Markets -
Description Daily liquidity of BTCUSD by exchange. We plot daily trading volume, percentage bid‐ask spread, and depth in BTC for our four spot exchanges and the CME. Dollar volumes are computed for each trade...
Article Title: Bitcoin spot and futures market microstructure
Publication Title: Journal of Futures Markets -
Description Sharpe ratios of the SP portfolios over various ranking and holding periods. In panel A, we set the holding period (H) to the baseline 1 month and change the ranking periods (R). In panel B, we set...
Article Title: Speculative pressure
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Impact of bitcoin futures on the informational efficiency of bitcoin spot market
Publication Title: Journal of Futures Markets -
Description Stochastic multifactor models in risk management of energy futuresGUO - Journal of Futures MarketsJ Futures Markets vol. 40, December 2020
Article Title: Stochastic multifactor models in risk management of energy futures
Publication Title: Journal of Futures Markets -
Description Call prices from the trinomial LV tree vs those from the trinomial implied tree, both with 20 time steps
Article Title: Efficient trinomial trees for local‐volatility models in pricing double‐barrier options
Publication Title: Journal of Futures Markets -
Description Parameter estimates
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets -
Description Kolmogorov–Smirnov p values of the SVJ‐V process (ΔK=$1). The figure shows the box plot of Kolmogorov–Smirnov p values of the SVJ‐V model. The red line in each box represents the median p value;...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Table
Article Title: The impact of net buying pressure on index options prices
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896
Publication Title: Journal of Futures Markets