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subject:"Volatility"
~isPartOf:"The journal of futures markets"
~language:"eng"
~subject:"Cointegration"
~subject:"Share price"
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Volatility
Cointegration
Share price
Estimation
190
Schätzung
190
USA
82
United States
82
Volatilität
61
Theorie
39
Theory
39
Börsenkurs
38
Commodity derivative
34
Option pricing theory
34
Optionspreistheorie
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33
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Derivat
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Statistical distribution
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Statistische Verteilung
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Wang, George H. K.
4
Fonseca, José da
3
Zaatour, Riadh
3
Agarwalla, Sobhesh Kumar
2
Ederington, Louis H.
2
Frino, Alex
2
Lai, Yu-Sheng
2
Lien, Da-hsiang Donald
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Lim, Kian-Guan
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Sarno, Lucio
2
Shrestha, Keshab
2
Xu, Ke
2
Yau, Jot
2
Alexiou, Lykourgos
1
Arisoy, Yakup Eser
1
Bali, Turan G.
1
Bansal, Naresh K.
1
Binh Hoang Nguyen
1
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1
Byström, Hans N. E.
1
Chang, Chuang-chang
1
Chen, Jian
1
Chen, Yu-Lun
1
Chi, Yeguang
1
Chou, Pin-huang
1
Connolly, Robert A.
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1
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1
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1
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The journal of futures markets
Applied economics
296
Economic modelling
261
Applied economics letters
244
Energy economics
225
Finance research letters
219
International review of economics & finance : IREF
210
International review of financial analysis
169
Journal of banking & finance
161
NBER working paper series
161
The North American journal of economics and finance : a journal of financial economics studies
160
Working paper / National Bureau of Economic Research, Inc.
160
Applied financial economics
146
Journal of empirical finance
140
NBER Working Paper
140
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
136
Journal of econometrics
136
CESifo working papers
135
International journal of economics and financial issues : IJEFI
131
Journal of international financial markets, institutions & money
126
Research in international business and finance
125
International journal of economics and finance
119
International Journal of Energy Economics and Policy : IJEEP
116
Working paper
116
Journal of international money and finance
112
The empirical economics letters : a monthly international journal of economics
106
Economics letters
102
Journal of risk and financial management : JRFM
95
Discussion paper / Centre for Economic Policy Research
94
International journal of finance & economics : IJFE
94
Cogent economics & finance
93
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
Journal of financial economics
85
The European journal of finance
82
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
80
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
77
Discussion paper / Tinbergen Institute
76
Pacific-Basin finance journal
73
Review of quantitative finance and accounting
69
Theoretical and applied economics : GAER review
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1
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
2
Credit default swaps and firm risk
Lin, Hai
;
Binh Hoang Nguyen
;
Wang, Junbo
;
Zhang, Cheng
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
Saved in:
3
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
4
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
5
Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian
;
Gazi, Adnan
- In:
The journal of futures markets
44
(
2024
)
5
,
pp. 720-743
Persistent link: https://www.econbiz.de/10014536677
Saved in:
6
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
7
Price discovery and long-memory property : simulation and empirical evidence from the bitcoin market
Xu, Ke
;
Chen, Yu-Lun
;
Chen, Jian
- In:
The journal of futures markets
44
(
2024
)
4
,
pp. 605-618
Persistent link: https://www.econbiz.de/10014536658
Saved in:
8
Optimal futures hedging by using realized semicovariances : the information contained in signed high-frequency returns
Lai, Yu-Sheng
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 677-701
Persistent link: https://www.econbiz.de/10014293180
Saved in:
9
Trading around the clock : revisit volatility spillover between crude oil and equity markets in different trading sessions
Hao, Jing
;
He, Feng
;
Ma, Feng
;
Fu, Tong
- In:
The journal of futures markets
43
(
2023
)
6
,
pp. 771-791
Persistent link: https://www.econbiz.de/10014293226
Saved in:
10
High-frequency trading and market quality : evidence from account-level futures data
Coughlan, John
;
Orlov, Alexei G.
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1126-1160
Persistent link: https://www.econbiz.de/10014339377
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