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Description Posterior densities of degree of freedom parameter ν for the BMHAR‐t model. BMHAR, Bayesian multivariate heterogeneous autoregressive [Color figure can be viewed at wileyonlinelibrary.com]
Article Title: Multivariate realized volatility forecasts of agricultural commodity futures
Publication Title: Journal of Futures Markets -
Description Certainty equivalent wealth gains from the joint momentum strategy
Article Title: How about selling commodity futures losers?
Publication Title: Journal of Futures Markets -
Description Baogang. This figure provides stock prices, call and put warrant prices, and calibrated parameters b and σ for Baogang. In Panel (a), the bold parts of the price curves indicate the period with...
Article Title: The Chinese warrant bubble: A fundamental analysis
Publication Title: Journal of Futures Markets -
Description Information shares and common factor weights
Article Title: Price discovery among SSE 50 Index‐based spot, futures, and options markets
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Volatility‐managed commodity futures portfolios
Publication Title: Journal of Futures Markets -
Description Absolute percentage errors for tranche j = 5.
Article Title: Valuing Retail Credit Tranches with Structural, Double Mixture Models
Publication Title: Journal of Futures Markets -
Description The CDS‐Bond Basis and Individual Bond Returns
Article Title: The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns
Publication Title: Journal of Futures Markets -
Description Higher RV implies higher IV
Article Title: Indian equity options: Smile, risk premiums, and efficiency
Publication Title: Journal of Futures Markets -
Description The implied volatility surface of a calibrated Heston model
Article Title: Efficient trinomial trees for local‐volatility models in pricing double‐barrier options
Publication Title: Journal of Futures Markets -
Description Correlations between Chinese commodity futures
Article Title: Time‐series momentum in China's commodity futures market
Publication Title: Journal of Futures Markets -
Description RND estimates of the SV model. The figure shows RND estimates from a single round of Monte Carlo simulation under the SV model. True RNDs (solid line) are generated by the SV model with parameter...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Summary statistics for cross‐country parallel gap (PAG), cross‐country twist gap (TWG), and cross‐country butterfly gap (BFG)
Article Title: Yield curve risks in currency carry forwards
Publication Title: Journal of Futures Markets -
Description Errorcorrection coefficients in vector error correction model
Article Title: Price discovery among SSE 50 Index‐based spot, futures, and options markets
Publication Title: Journal of Futures Markets -
Description Times‐series average of aggregate hedge fund returns. This figure plots the time‐series average of aggregate hedge fund returns and realized market tail returns for our sample periods from January...
Article Title: Do hedge funds time market tail risk? Evidence from option‐implied tail risk
Publication Title: Journal of Futures Markets -
Description Tail risk timing analysis controlling for other timing skills: Two‐way portfolio analysis
Article Title: Do hedge funds time market tail risk? Evidence from option‐implied tail risk
Publication Title: Journal of Futures Markets -
Description SLV IV smirks on December 27, 2017. This figure illustrates SLV market and fitted IV curves for 15 different times to maturity terms (9, 16, 23, 30, 37, 51, 79, 92, 114, 184, 205, 275, 296, 387,...
Article Title: The implied volatility smirk of commodity options
Publication Title: Journal of Futures Markets -
Description Switching fees and realized hedged portfolio return performance
Article Title: Flexible covariance dynamics, high‐frequency data, and optimal futures hedging
Publication Title: Journal of Futures Markets -
Description Asset Pricing Tests with the Basis Risk Factor
Article Title: The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns
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 -
Description Table
Article Title: The Chinese warrant bubble: A fundamental analysis
Publication Title: Journal of Futures Markets -
Description Swaption volatility smile in the implied normal volatility (in annual basis points) observed in the US market on March 14, 2017: (a) 1 year into 1‐year swap (1y1y) and (b) 10 years into 10‐year...
Article Title: Hyperbolic normal stochastic volatility model
Publication Title: Journal of Futures Markets -
Description Table
Article Title: The implied volatility smirk of commodity options
Publication Title: Journal of Futures Markets -
Description Table
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description Estimated Conditional Standard Deviation for Soybean Returns (June 2003–August 2014)a (a) Model A includes variables for days of the week, months and announcement of crop reports (Equation ). Model...
Article Title: Futures Price Response to Crop Reports in Grain Markets
Publication Title: Journal of Futures Markets -
Description The implied volatility smirk of commodity optionsJIA et al. - Journal of Futures MarketsJ Futures Markets vol. 41, January 2021
Article Title: The implied volatility smirk of commodity options
Publication Title: Journal of Futures Markets -
Description Development of $1 for different investments. This figure shows the development for $1 invested in the ipath® S&P 500 BuyWrite ETN (BXM ETN), the PowerShares S&P 500 BuyWrite ETF (BXM ETF), the BXM...
Article Title: Options‐based benchmark indices—A review of performance and (in)appropriate measures
Publication Title: Journal of Futures Markets -
Description Performance of long‐short strategies
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
- Identifier
- fut21701-fig-0007
- License Type
- CC-BY-NC-ND
- Rights Holder
- Creative Commons by John Wiley & Sons
Description CIVXFin,Country indexes, that is, average credit‐implied volatilities for the French, German, Swedish and UK financial firms (upper panel) and the Italian and Swiss financial firms (lower panel)...
Article Title: Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges
Publication Title: Journal of Futures Markets -
Description Full Regression Analysis Using KOSPI 200 Index values
Article Title: Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction
Publication Title: Journal of Futures Markets -
Description Out‐of‐sample alphas for top versus bottom timer portfolios This figure depicts out‐of‐sample alphas for portfolios consisting of top versus bottom timing funds for a holding period of 3, 6, 9, or...
Article Title: Do hedge funds time market tail risk? Evidence from option‐implied tail risk
Publication Title: Journal of Futures Markets