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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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The information content in implied idiosyncratic volatility and the cross-section of stock returns : evidence from the option markets
Diavatopoulos, Dean; Doran, James S.; Peterson, David R. - In: The journal of futures markets 28 (2008) 11, pp. 1013-1039
Persistent link: https://www.econbiz.de/10003769957
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Understanding intraday momentum strategies
Rosa, Carlo - In: The journal of futures markets 42 (2022) 12, pp. 2218-2234
Persistent link: https://www.econbiz.de/10013465878
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Implied correlation index : a new measure of diversification
Skintzi, Vasiliki D.; Refenes, Apostolos-Paul - In: The journal of futures markets 25 (2005) 2, pp. 171-197
Persistent link: https://www.econbiz.de/10002535466
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Predictability of commodity futures returns with machine learning models
Wang, Shirui; Zhang, Tianyang - In: The journal of futures markets 44 (2024) 2, pp. 302-322
Persistent link: https://www.econbiz.de/10014475477
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Climate change attention and carbon futures return prediction
Gong, Xu; Li, Mengjie; Guan, Keqin; Sun, Chuanwang - In: The journal of futures markets 43 (2023) 9, pp. 1261-1288
Persistent link: https://www.econbiz.de/10014339406
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The role of textual analysis in oil futures price forecasting based on machine learning approach
Gong, Xu; Guan, Keqin; Chen, Qiyang - In: The journal of futures markets 42 (2022) 10, pp. 1987-2017
Persistent link: https://www.econbiz.de/10013465836
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Volatility model applications in China's SSE50 options market
Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
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Pricing S&P 500 index 0ptions : a conditional semi-nonparametric approach
Guidolin, Massimo; Hansen, Erwin - In: The journal of futures markets 36 (2016) 3, pp. 217-239
Persistent link: https://www.econbiz.de/10011568080
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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