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Testing range estimators of historical volatility
Shu, Jinghong; Zhang, Jin E. - In: The journal of futures markets 26 (2006) 3, pp. 297-313
Persistent link: https://www.econbiz.de/10003304002
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Is volatility risk priced in the securities market? : evidence from S&P 500 Index options
Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The journal of futures markets 27 (2007) 7, pp. 617-642
Persistent link: https://www.econbiz.de/10003493123
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Exploring the unpredictable nature of climate policy uncertainty : an empirical analysis of its impact on commodity futures returns in the United States
Tang, Chia-Hsien; Lee, Yen-Hsien; Liu, Hung-Chun; Zeng, … - In: The journal of futures markets 44 (2024) 7, pp. 1277-1292
Persistent link: https://www.econbiz.de/10014553986
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On a mean-generalized semivariance approach to determining the hedge ratio
Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The journal of futures markets 21 (2001) 6, pp. 581-598
Persistent link: https://www.econbiz.de/10001579727
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Is there information in the volatility skew?
Doran, James S.; Peterson, David R.; Tarrant, Brian C. - In: The journal of futures markets 27 (2007) 10, pp. 921-959
Persistent link: https://www.econbiz.de/10003531001
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Pricing VIX futures : evidence from integrated physical and risk-neutral probability measures
Lin, Yueh-neng - In: The journal of futures markets 27 (2007) 12, pp. 1175-1217
Persistent link: https://www.econbiz.de/10003627193
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An empirical comparison of continuous time models of the short term interest rate
Bali, Turan G. - In: The journal of futures markets 19 (1999) 7, pp. 777-797
Persistent link: https://www.econbiz.de/10001443351
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Pricing American options with stochastic volatility : evidence from S&P 500 futures options
Lim, Kian-Guan; Guo, Xiaoqiang - In: The journal of futures markets 20 (2000) 7, pp. 625-659
Persistent link: https://www.econbiz.de/10001523740
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Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-751
Persistent link: https://www.econbiz.de/10001523755
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Stock index futures markets : stochastic volatility models and smiles
Tompkins, Robert G. - In: The journal of futures markets 21 (2001) 1, pp. 43-78
Persistent link: https://www.econbiz.de/10001537233