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A reality check on technical trading rule profits in the US futures markets
Park, Cheol-ho; Irwin, Scott H. - In: The journal of futures markets 30 (2010) 7, pp. 633-659
Persistent link: https://www.econbiz.de/10003985040
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Valuation of housing index derivatives
Cao, Melanie; Wei, Jason - In: The journal of futures markets 30 (2010) 7, pp. 660-688
Persistent link: https://www.econbiz.de/10003985042
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Performance and persistence of commodity trading advisors : further evidence
Gregoriou, Greg N.; Hübner, Georges; Kooli, Maher - In: The journal of futures markets 30 (2010) 8, pp. 725-752
Persistent link: https://www.econbiz.de/10003985082
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Regime-switsching in stock index and treasury futures returns and measures of stock market stress
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 30 (2010) 8, pp. 753-779
Persistent link: https://www.econbiz.de/10003985087
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Local trader profitability in futures markets : liquidity and position taking profits
Frino, Alex; Jarnecic, Elvis; Feletto, Roger - In: The journal of futures markets 30 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10003962216
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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
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Empirical tests of canonical nonparametric American option-pricing methods
Alcock, Jamie; Auerswald, Diana - In: The journal of futures markets 30 (2010) 6, pp. 509-532
Persistent link: https://www.econbiz.de/10003962643
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Oil volatility and the option value of waiting : an analysis of the G-7
Bredin, Donal; Elder, John; Fountas, Stilianos - In: The journal of futures markets 31 (2011) 7, pp. 679-702
Persistent link: https://www.econbiz.de/10009009212
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A new look at the forward premium "puzzle"
Al-Zoubi, Haitham A. - In: The journal of futures markets 31 (2011) 7, pp. 599-628
Persistent link: https://www.econbiz.de/10009009215
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Why do expiring futures and cash prices diverge for grain markets?
Aulerich, Nicole M.; Fishe, Raymond P. H.; Harris, … - In: The journal of futures markets 31 (2011) 6, pp. 503-533
Persistent link: https://www.econbiz.de/10009009219