Journal of Futures Markets
SSCI-ISI SCOPUS (1981-2025)
1096-9934
0270-7314
Mỹ
Cơ quản chủ quản: WILEY , Wiley-Liss Inc.
Lĩnh vực:
Business, Management and Accounting (miscellaneous)AccountingEconomics and EconometricsFinance
Phân tích ảnh hưởng
Các bài báo tiêu biểu
Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach
Tập 13 Số 7 - Trang 711-742 - 1993
Cointegration and error correction models: Intertemporal causality between index and futures prices
Tập 13 Số 2 - Trang 193-198 - 1993
Futures markets: Their purpose, their history, their growth, their successes and failures
Tập 4 Số 3 - Trang 237-271 - 1984
Informed trading in the index option market: The case of KOSPI 200 options
Tập 28 Số 12 - Trang 1118-1146 - 2008
AbstractThis study examines if informed trading is present in the index option
market by analyzing the KOSPI 200 options, the most actively traded derivative
product in the world. The spread decomposition model developed by Madhavan,
Richardson, and Roomans (1997) is utilized and the adverse‐selection cost
component of the spread estimated by the model is then used as a proxy for the
degree of inf...
Structural breaks and volatility forecasting in the copper futures market
Tập 38 Số 3 - Trang 290-339 - 2018
This paper examines whether structural breaks contain incremental information
for forecasting the volatility of copper futures. Considering structural breaks
in volatility, we develop four heterogeneous autoregressive (HAR) models based
on classical or latest HAR‐type models. Subsequently, we apply these models to
forecast volatility in the copper futures market. The empirical results reveal
that ...
Testing range estimators of historical volatility
Tập 26 Số 3 - Trang 297-313 - 2006
AbstractThis study investigates the relative performance of various historical
volatility estimators that incorporate daily trading range: M. Parkinson (1980),
M. Garman and M. Klass (1980), L. C. G. Rogers and S. E. Satchell (1991), and D.
Yang and Q. Zhang (2000). It is found that the range estimators all perform very
well when an asset price follows a continuous geometric Brownian motion.
Howev...
A first look at the empirical relation between spot and futures electricity prices in the United States
Tập 23 Số 10 - Trang 931-955 - 2003
AbstractIn this article we investigate the statistical properties of wholesale
electricity spot and futures prices traded on the New York Mercantile Exchange
for delivery at the California–Oregon Border. Using daily data for the years
1998 and 1999, we find that many of the characteristics of the electricity
market can be viewed to be broadly consistent with efficient markets. The
futures risk pre...
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
Tập 27 Số 4 - Trang 337-359 - 2007
AbstractIn the framework of encompassing regressions, the information content of
the jump/continuous components of historical volatility is assessed when implied
volatility is included as an additional regressor. The authors' empirical
application focuses on daily and intradaily data for the S&P100 and S&P500
indexes, and daily data for the associated VXO and VIX implied volatility
indexes. The re...
The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange
Tập 22 Số 3 - Trang 219-240 - 2002
AbstractThis paper focuses on the increasing competition between exchanges for
listing similar index futures contracts and the impact this has on information
dissemination between various markets. Specifically, using both the Hasbrouck
and Gonzalo–Granger methodologies for extracting the information content held in
each market, a comparison of information efficiencies between the Singapore
Exchang...