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The information flow and market efficiency between th US and Chinese aluminium and copper futures markets

Fung, Hung-gay; Liu, Qingfeng Wilson; Tse, Yiuman - In: The journal of futures markets 30 (2010) 12, pp. 1192-1209

Persistent link: https://www.econbiz.de/10008901289

Examination of long-term Bond iShare option selling strategies

Simon, David P. - In: The journal of futures markets 30 (2010) 5, pp. 465-489

This article examines volatility trades in Lehman Brothers 20 Year US Treasury Index iShare (TLT) options from July 2003 through May 2007. Unconditionally selling front contract strangles and straddles and holding for one month is highly profitable after transactions costs.

Persistent link: https://www.econbiz.de/10003962639

Price risk in the NYMEX energy complex : an extreme value approach

Krehbiel, Timothy L.; Adkins, Lee Chester - In: The journal of futures markets 25 (2005) 4, pp. 309-337

Persistent link: https://www.econbiz.de/10002647763

Implied volatility forecasts in the grains complex

Simon, David P. - In: The journal of futures markets 22 (2002) 10, pp. 959-981

Persistent link: https://www.econbiz.de/10001696759

S&P futures returns and contrary sentiment indicators

Simon, David P.; Wiggins, Roy A. - In: The journal of futures markets 21 (2001) 5, pp. 447-462

Persistent link: https://www.econbiz.de/10001603195

Sentiment, positioning, and bond returns : evidence from the Stone and McCarthy survey

Simon, David P.; Fletcher, Donna Jeanne - In: The journal of fixed income 10 (2001) 4, pp. 67-74

Persistent link: https://www.econbiz.de/10001580725

Volatility, global information, and market consitions : a study in futures markets

Fung, Hung-gay; Patterson, Gary A. - In: The journal of futures markets 21 (2001) 2, pp. 173-196

Persistent link: https://www.econbiz.de/10001542995

Interest rate futures : evidence on forecast power, expected premiums, and the unbiased expectations hypothesis

Krehbiel, Timothy L. - In: The journal of futures markets 14 (1994) 5, pp. 531-543

Persistent link: https://www.econbiz.de/10001169817

Implied volatility asymmetries in treasury bond futures options

Simon, David P. - In: The journal of futures markets 17 (1997) 8, pp. 873-885

Persistent link: https://www.econbiz.de/10001232840

Do systematic risk premiums persist in Eurodollar futures prices?

Krehbiel, Timothy L. - In: The journal of futures markets 16 (1996) 4, pp. 389-403

Persistent link: https://www.econbiz.de/10001198896