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Description Kolmogorov–Smirnov p values of the SVJ‐Y process (ΔK=$1). The figure shows the box plot of Kolmogorov–Smirnov p values of the SVJ‐Y 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 Fitted parameter values for general affine jump diffusions
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description MCRR estimates
Article Title: Hedging performance of multiscale hedge ratios
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 Summary statistics
Article Title: Intraday time‐series momentum: Evidence from China
Publication Title: Journal of Futures Markets -
Description Out‐of‐sample forecast evaluations based on the economic criteria
Article Title: Multivariate realized volatility forecasts of agricultural commodity futures
Publication Title: Journal of Futures Markets -
Description Contracts specification
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description USO IV smirks on December 27, 2017. This figure illustrates USO market and fitted IV curves for 10 different times to maturity terms (23, 30, 37, 51, 79, 114, 205, 296, 387, and 751 days) on...
Article Title: The implied volatility smirk of commodity options
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Bitcoin and sentiment
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: Forecasting equity returns: The role of commodity futures along the supply chain
Publication Title: Journal of Futures Markets -
Description Full‐sample total connectedness. Note: The thickness of the line of an arrow reflects the size of the connectedness. The sample is from October 3, 2005 to December 31, 2018, and the predictive...
Article Title: Estimating the connectedness of commodity futures using a network approach
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Stochastic multifactor models in risk management of energy futures
Publication Title: Journal of Futures Markets -
Description Bitcoin price series for each subsample period (normalized). First subsample period is from July 17, 2010 to June 20, 2013, second subsample period is from June 20, 2013 to May 4, 2015, third...
Article Title: Impact of bitcoin futures on the informational efficiency of bitcoin spot market
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Bitcoin spot and futures market microstructure
Publication Title: Journal of Futures Markets -
Description Impact of the External Factor Variables on Conditional Volatility of Soybean and Corn Futures Returns (June 2003–August 2014)
Article Title: Futures Price Response to Crop Reports in Grain Markets
Publication Title: Journal of Futures Markets -
Description Rolling window plots of total connectedness. Note. The rolling estimation window width is 36 months, and the predictive horizon for the underlying variance decomposition is 10 months
Article Title: Estimating the connectedness of commodity futures using a network approach
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 Short‐selling ban periods around Europe
Article Title: Are single stock futures used as an alternative during a short‐selling ban?
Publication Title: Journal of Futures Markets -
Description Time zone liquidity. This figure plots liquidity measures every half‐hour averaged across all days in our sample: January 2, 2019 to February 28, 2019. The shaded region denotes the period when CME...
Article Title: Bitcoin spot and futures market microstructure
Publication Title: Journal of Futures Markets -
Description European Call Option Price Against Outstanding Claims and Default Barrier [Color figure can be viewed at wileyonlinelibrary.com]
Article Title: Pricing Vulnerable Options with Jump Clustering
Publication Title: Journal of Futures Markets -
Description Table
Article Title: The implied volatility smirk of commodity options
Publication Title: Journal of Futures Markets -
Description Correlations of the Exogenous Variables
Article Title: A Simple Econometric Approach for Modeling Stress Event Intensities
Publication Title: Journal of Futures Markets -
Description Regression results on hedging efficiency
Article Title: Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification
Publication Title: Journal of Futures Markets -
Description Percentage of total trades. The percentage of total trades of long‐short strategies. (a) Long portfolios and (b) short portfolios. All strategies are evaluated based on the third nearest contracts....
Article Title: The untold story of commodity futures in China
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 Average hourly dollar volume of BTCUSD by exchange and day. We compute the average USD volume for each hour in our sample. We then group observations corresponding to the same day of the week and...
Article Title: Bitcoin spot and futures market microstructure
Publication Title: Journal of Futures Markets -
Description Evolution of the gross basis of the CTD during September 2007. This figure depicts the evolution of the GBC (left axis) and the distribution of deliveries (right axis) during the September 2007...
Article Title: Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market
Publication Title: Journal of Futures Markets -
Description Out‐of‐sample forecast evaluations based on the RMSE and MCS
Article Title: Multivariate realized volatility forecasts of agricultural commodity futures
Publication Title: Journal of Futures Markets -
Description Nifty Index options—IV and RV. ATM is IVΔ=0.5 from the estimated volatility smile. RV30 and RVexp are backward‐looking and forward‐looking RV, respectively. This graph computes month‐wise median...
Article Title: Indian equity options: Smile, risk premiums, and efficiency
Publication Title: Journal of Futures Markets