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Beta and size equity premia following a high-VIX threshold
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517
Persistent link: https://www.econbiz.de/10013287992
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Conditional OLS minimum variance hedge ratios
Miffre, Joëlle - In: The journal of futures markets 24 (2004) 10, pp. 945-964
Persistent link: https://www.econbiz.de/10002190261
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Noisy inventory announcement and energy prices
Halova Wolfe, Marketa; Kurov, Alexander; Kucher, Oleg - In: The journal of futures markets 34 (2014) 10, pp. 911-933
Persistent link: https://www.econbiz.de/10010508689
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A comparative study of range-based stock return volatility estimators for the German market
Todorova, Neda; Husmann, Sven - In: The journal of futures markets 32 (2012) 6, pp. 560-586
Persistent link: https://www.econbiz.de/10010218787
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Normal backwardation is normal
Miffre, Joëlle - In: The journal of futures markets 20 (2000) 9, pp. 803-821
Persistent link: https://www.econbiz.de/10001525965
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Investors' heterogeneity in beliefs, the VIX futures basis, and S&P 500 index futures returns
Lee, Hsiu-Chuan; Liao, Tzu-Hsiang; Tung, Pao-Ying - In: The journal of futures markets 37 (2017) 9, pp. 939-960
Persistent link: https://www.econbiz.de/10011950912
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Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - In: The journal of futures markets 42 (2022) 2, pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
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The predictability of iron ore futures prices : a product-material lead-lag effect
He, Mengxi; Wang, Yudong; Zhang, Yaojie - In: The journal of futures markets 43 (2023) 9, pp. 1289-1304
Persistent link: https://www.econbiz.de/10014339412
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Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
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Industry variance risk premium, cross-industry correlation, and expected returns
Zhu, Yabei; Luo, Xingguo; Xu, Qi - In: The journal of futures markets 43 (2023) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10013465888