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Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes
Rezitis, Anthony N.; Andrikopoulos, Panagiotis; Daglis, … - In: The journal of futures markets 44 (2024) 3, pp. 451-483
Persistent link: https://www.econbiz.de/10014475504
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Intertemporal volatility and price interactions between Australian and Japanese spot and future stock index markets
Sim, Ah-boon; Zurbreugg, Ralf - In: The journal of futures markets 19 (1999) 5, pp. 523-540
Persistent link: https://www.econbiz.de/10001410418
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Spot market volatility and futures trading : the pitfalls of using a dummy variable approach
Bohl, Martin T.; Diesteldorf, Jeanne; Salm, Christian; … - In: The journal of futures markets 36 (2016) 1, pp. 30-45
Persistent link: https://www.econbiz.de/10011567524
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Estimation and hedging effectiveness of time-varying hedge ratio : nonparametric approaches
Fan, Rui; Li, Haiqi; Park, Sung Y. - In: The journal of futures markets 36 (2016) 10, pp. 968-991
Persistent link: https://www.econbiz.de/10011568846
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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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An international comparison of implied, realized, and GARCH volatility forecasts
Kourtis, Apostolos; Markellos, Raphaēl N.; Symeonidis, … - In: The journal of futures markets 36 (2016) 12, pp. 1164-1193
Persistent link: https://www.econbiz.de/10011665609
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A bivariate high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng; Lien, Da-hsiang Donald - In: The journal of futures markets 37 (2017) 9, pp. 913-929
Persistent link: https://www.econbiz.de/10011950909
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A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng; Sheu, Her-jiun; Lee, Hsiang-Tai - In: The journal of futures markets 37 (2017) 11, pp. 1124-1140
Persistent link: https://www.econbiz.de/10011950956
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The information content of implied volatility in agricultural commodity markets
Giot, Pierre - In: The journal of futures markets 23 (2002) 5, pp. 441-454
Persistent link: https://www.econbiz.de/10001769698
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The interrelation of price volatility and trading volume of currency options
Sarwar, Ghulam - In: The journal of futures markets 23 (2002) 7, pp. 681-700
Persistent link: https://www.econbiz.de/10001769722