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Contemporary and long-run correlations : a covariance component model and studies on the S&P 500 cash and futures markets
Lee, Gary G. J. - In: The journal of futures markets 19 (1999) 8, pp. 877-894
Persistent link: https://www.econbiz.de/10001443378
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The risk management effectiveness of multivariate hedging models in the US soy complex
Collins, Robert A. - In: The journal of futures markets 20 (2000) 2, pp. 189-204
Persistent link: https://www.econbiz.de/10001447785
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Estimation and testing of portfolio Value-at-Risk based on L-comoment matrices
Liu, Wei-han - In: The journal of futures markets 30 (2010) 9, pp. 897-908
Persistent link: https://www.econbiz.de/10008900925
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Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887
Persistent link: https://www.econbiz.de/10013187611
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Multivariate downside risk : normal versus variance Gamma
Wallmeier, Martin; Diethelm, Martin - In: The journal of futures markets 32 (2012) 5, pp. 431-458
Persistent link: https://www.econbiz.de/10010218781
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A multicommodity model of futures prices : using futures prices of one commodity to estimate the stochastic process of another
Cortazar, Gonzalo; Milla, Carlos; Severino, Felipe - In: The journal of futures markets 28 (2008) 6, pp. 537-560
Persistent link: https://www.econbiz.de/10003715005
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An analysis of the failed muncipal bond and note futures contracts
Cusatis, Patrick James - In: The journal of futures markets 28 (2008) 7, pp. 656-679
Persistent link: https://www.econbiz.de/10003715118
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A test of the Samuelson hypothesis using realized range
Kalev, Petko S.; Huu Nhan Duong - In: The journal of futures markets 28 (2008) 7, pp. 680-696
Persistent link: https://www.econbiz.de/10003715120
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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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Interdealer inference and price discovery
Huang, Tzu-man; Locke, Peter R. - In: The journal of futures markets 28 (2008) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10003647689