Journal of Futures Markets
SSCI-ISI SCOPUS (1981-2023)
1096-9934
0270-7314
Mỹ
Cơ quản chủ quản: WILEY , Wiley-Liss Inc.
Lĩnh vực:
Business, Management and Accounting (miscellaneous)AccountingEconomics and EconometricsFinance
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 optionsAbstract This 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... ... hiện toàn bộ
Tập 28 Số 12 - Trang 1118-1146 - 2008
Structural breaks and volatility forecasting in the copper futures marketThis 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. Th...
Tập 38 Số 3 - Trang 290-339 - 2018
Testing range estimators of historical volatilityAbstract This 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... ... hiện toàn bộ
Tập 26 Số 3 - Trang 297-313 - 2006
A first look at the empirical relation between spot and futures electricity prices in the United StatesAbstract In 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 effici... ... hiện toàn bộ
Tập 23 Số 10 - Trang 931-955 - 2003
The information content of implied volatility in light of the jump/continuous decomposition of realized volatilityAbstract In 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 a... ... hiện toàn bộ
Tập 27 Số 4 - Trang 337-359 - 2007
The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures ExchangeAbstract This 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 efficienc... ... hiện toàn bộ
Tập 22 Số 3 - Trang 219-240 - 2002