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Value at risk and conditional extreme value theory via Markov regime switching models
Samuel, Yau Man Ze-To - In: The journal of futures markets 28 (2008) 2, pp. 155-181
Persistent link: https://www.econbiz.de/10003647707
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Stock index futures listing and structural change in time-varying volatility
Yi, Sang-bin - In: The journal of futures markets 12 (1992) 5, pp. 493-509
Persistent link: https://www.econbiz.de/10001129996
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A note on estimating the minimum extended Gini hedge ratio
Lien, Donald; Shaffer, David R. - In: The journal of futures markets 19 (1999) 1, pp. 101-113
Persistent link: https://www.econbiz.de/10001377604
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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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Efficiency of single-stock futures : an intraday analysis
Fung, Joseph K. W.; Tse, Yiuman - In: The journal of futures markets 28 (2008) 6, pp. 518-536
Persistent link: https://www.econbiz.de/10003714981
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The impact of electronic trading on bid-ask spreads : evidence from futures markets in Hong Kong, London, and Sydney
Aitken, Michael J.; Frino, Alex; Hill, Amelia M.; … - In: The journal of futures markets 24 (2004) 7, pp. 675-696
Persistent link: https://www.econbiz.de/10002108815
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Forecasting volatility : roles of sampling frequency and forecasting horizon
Chan, Wing Hong; Cheng, Xin; Fung, Joseph K. W. - In: The journal of futures markets 30 (2010) 12, pp. 1167-1191
Persistent link: https://www.econbiz.de/10008901291
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Optimal hedging with a regime-switching time-varying correlation GARCH model
Lee, Hsiang-tai; Yoder, Jonathan - In: The journal of futures markets 27 (2007) 5, pp. 495-516
Persistent link: https://www.econbiz.de/10003493100
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The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash
Fung, Joseph K. W. - In: The journal of futures markets 27 (2007) 6, pp. 555-574
Persistent link: https://www.econbiz.de/10003493107
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Order imbalance and the pricing of index futures
Fung, Joseph K. W. - In: The journal of futures markets 27 (2007) 7, pp. 697-717
Persistent link: https://www.econbiz.de/10003493150