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Forecasting volatility in the presence of limits to arbitrage
Hong, Lu; Nohel, Tom; Todd, Steven - In: The journal of futures markets 35 (2015) 11, pp. 987-1002
Persistent link: https://www.econbiz.de/10011546208
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How important is a non-default factor for CDS valuation?
Guo, Biao; Han, Qian; Lee, Jaeram; Ryu, Doojin - In: The journal of futures markets 35 (2015) 11, pp. 1088-1101
Persistent link: https://www.econbiz.de/10011546218
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An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung; Lee, Yung-Hsin; Chao, Wan-Ling - In: The journal of futures markets 35 (2015) 12, pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
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Concentrated production and conditional heavy tails in commodity returns
Merener, Nicolas - In: The journal of futures markets 36 (2016) 1, pp. 46-65
Persistent link: https://www.econbiz.de/10011567540
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Pricing S&P 500 index 0ptions : a conditional semi-nonparametric approach
Guidolin, Massimo; Hansen, Erwin - In: The journal of futures markets 36 (2016) 3, pp. 217-239
Persistent link: https://www.econbiz.de/10011568080
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Corridor volatility risk and expected returns
Dotsis, George; Vlastakis, Nikolaos - In: The journal of futures markets 36 (2016) 5, pp. 488-505
Persistent link: https://www.econbiz.de/10011568446
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Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures
Fu, Xi; Sandri, Matteo; Shackleton, Mark B. - In: The journal of futures markets 36 (2016) 11, pp. 1029-1056
Persistent link: https://www.econbiz.de/10011569013
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Forecasting stock return volatility : a comparison of GARCH, implied volatility, and realized volatility models
Kambouroudis, Dimos S.; McMillan, David G.; Tsakou, Katerina - In: The journal of futures markets 36 (2016) 12, pp. 1127-1163
Persistent link: https://www.econbiz.de/10011665507
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Option pricing under skewness and kurtois using a Cornish-Fisher expansion
Aboura, Sofiane; Maillard, Didier - In: The journal of futures markets 36 (2016) 12, pp. 1194-1209
Persistent link: https://www.econbiz.de/10011665615
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Spillovers and directional predictability with a cross-quantilogram analysis : the case of U.S. and Chinese agricultural futures
Jiang, Huayun; Su, Jen-je; Todorova, Neda; Roca, Eduardo - In: The journal of futures markets 36 (2016) 12, pp. 1231-1255
Persistent link: https://www.econbiz.de/10011665641