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Volatility and trading demands in stock index futures
Pan, Ming-Shiun; Liu, Y. Angela; Roth, Herbert J. - In: The journal of futures markets 23 (2002) 4, pp. 399-414
Persistent link: https://www.econbiz.de/10001765137
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The Nasdaq volatility index during and after the bubble
Simon, David P. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 9-24
Persistent link: https://www.econbiz.de/10001861474
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Does net buying pressure affect the shape of implied volatility functions?
Bollen, Nicolas P. B.; Whaley, Robert E. - In: The journal of finance : the journal of the American … 59 (2004) 2, pp. 711-753
Persistent link: https://www.econbiz.de/10002013823
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The price of a smile : hedging and spanning in option markets
Buraschi, Andrea; Jackwerth, Jens Carsten - In: The review of financial studies 14 (2001) 2, pp. 495-527
Persistent link: https://www.econbiz.de/10001570577
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The economic value of volatility timing
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 329-352
Persistent link: https://www.econbiz.de/10001575075
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The intraday distribution of volatility and the value of wildcard options
Dawson, Paul - In: The journal of futures markets 20 (2000) 4, pp. 307-320
Persistent link: https://www.econbiz.de/10001485212
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Pacific Rim futures markets and their intertemporal relationships
Fong, Kingsley; Zurbruegg, Ralf - In: Advances in Pacific Basin financial markets 6 (2000), pp. 197-220
Persistent link: https://www.econbiz.de/10001487782
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The economic significance of the forecast bias of S&P 100 index option implied volatility
Fleming, Jeff - In: Advances in futures and options research : a research annual 10 (1999), pp. 219-251
Persistent link: https://www.econbiz.de/10001434835
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Post-'87 crash fears in the S&P 500 futures option market
Bates, David S. - In: Journal of econometrics 94 (2000) 1/2, pp. 181-238
Persistent link: https://www.econbiz.de/10001437755
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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