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Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract
Kawaller, Ira G.; Koch, Paul D.; Peterson, John E. - In: The journal of futures markets 21 (2001) 12, pp. 1119-1150
Persistent link: https://www.econbiz.de/10006830253
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Assessing the Intraday Relationship between Implied and Historical Volatility
Kawaller, Ira G.; Koch, Paul D.; Peterson, John E. - In: The journal of futures markets 14 (1994) 3, pp. 323-346
Persistent link: https://www.econbiz.de/10006866715
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Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract
Kawaller, Ira G.; Koch, Paul D.; Peterson, John E. - In: Journal of Futures Markets 21 (2001) 12, pp. 1119-1149
During the last weeks before each quarterly expiration of Standard & Poor's (S&P) 500 futures, the bulk of trading volume begins to shift away from the next‐to‐expire (nearby or lead) contract toward the second‐to‐expire (next out) contract. At some point, the exchange formally...
Persistent link: https://www.econbiz.de/10011197987
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Designing a proper hedge : theory versus practice
Jiang, Chao; Kawaller, Ira G.; Koch, Paul Douglas - In: The journal of financial research 39 (2016) 2, pp. 123-144
Persistent link: https://www.econbiz.de/10011537140
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The effect of the hedge horizon on optimal hedge size and effectiveness when prices are cointegrated
Juhl, Ted; Kawaller, Ira G.; Koch, Paul Douglas - In: The journal of futures markets 32 (2012) 9, pp. 837-876
Persistent link: https://www.econbiz.de/10009612630
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The temporal price relationship between S&P 500 futures and the S&P 500 index
Kawaller, Ira G. - In: The journal of finance : the journal of the American … 42 (1987) 5, pp. 1309-1329
Persistent link: https://www.econbiz.de/10001055470
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Intraday relationships between volatility in S&P 500 futures prices and volatility in the S&P 500 index
Kawaller, Ira G. - In: Journal of banking & finance 14 (1990) 2, pp. 373-397
Persistent link: https://www.econbiz.de/10001092358
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Hedge effectiveness testing revisited
Kawaller, Ira G.; Koch, Paul Douglas - In: The journal of derivatives : the official publication … 21 (2013) 1, pp. 83-94
Persistent link: https://www.econbiz.de/10010191929
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INTRADAY MARKET BEHAVIOR AND THE EXTENT OF FEEDBACK BETWEEN S&P 500 FUTURES PRICES AND THE S&P 500 INDEX
Kawaller, Ira G.; Koch, Paul D.; Koch, Timothy W. - In: Journal of Financial Research 16 (1993) 2, pp. 107-121
Persistent link: https://www.econbiz.de/10010889638
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The relationship between the S&P 500 index and S&P 500 index futures prices
Kawaller, Ira G.; Koch, Paul D.; Koch, Timothy W. - In: Economic Review (1988) May, pp. 2-10
Persistent link: https://www.econbiz.de/10005361076