Works matching DE "FINANCIAL futures"

Results: 446

Convexity Bias in Eurodollar Futures Prices: A Dimension-Free HJM Criterion.

Published in:

Methodology & Computing in Applied Probability, 2009, v. 11, n. 4, p. 551, doi. 10.1007/s11009-008-9082-6

By:

Pozdnyakov, Vladimir;
Steele, J.

Publication type:

Article

The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model.

Published in:

Asia-Pacific Financial Markets, 2023, v. 30, n. 1, p. 231, doi. 10.1007/s10690-022-09393-5

By:

Shaik, Muneer;
Rehman, Mohd Ziaur

Publication type:

Article

Daytrading-Geschäfte als Termingeschäfte.

Published in:

FinanzRundschau, 2019, v. 101, n. 12, p. 573, doi. 10.9785/fr-2019-1011211

By:

N. L.

Publication type:

Article

TESTS OF NON-LINEARITY USING LIFFE FUTURES TRANSACTIONS PRICE DATA.

Published in:

Manchester School (1463-6786), 1999, v. 67, n. 2, p. 167, doi. 10.1111/1467-9957.00140

By:

Gwilym, O. Ap;
Brooks, C.

Publication type:

Article

Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?

Published in:

Management Science, 1997, v. 43, n. 11, p. 1564, doi. 10.1287/mnsc.43.11.1564

By:

Booth, G. Geoffrey;
Chowdhury, Mustafa

Publication type:

Article

Production Organisation and Risk Control When Market Instruments Are Available.

Published in:

Management Science, 1995, v. 41, n. 6, p. 1073, doi. 10.1287/mnsc.41.6.1073

By:

Bowden, Roger J.

Publication type:

Article

FINANCIAL FUTURES HEDGING VIA GOAL PROGRAMMING.

Published in:

Management Science, 1986, v. 32, n. 8, p. 933, doi. 10.1287/mnsc.32.8.933

By:

Sharda, Ramesh;
Musser, Kathryn D.

Publication type:

Article

Testing the Hedging Effectiveness of Index and Individual Stock Futures Contracts: Evidence from India.

Published in:

International Journal of Banking, Risk & Insurance, 2018, v. 6, n. 2, p. 54

By:

Kaur, Mandeep;
Gupta, Kapil

Publication type:

Article

The Weighted Square Integral Inequalities for the First Derivative of the Function of a Real Variable.

Published in:

Journal of Inequalities & Applications, 2008, v. 2008, p. 1, doi. 10.1155/2008/343024

By:

Hussain, S.;
Pečarić, J.;
Shashiashvili, M.

Publication type:

Article

Oil Volatility Uncertainty: Impact on Fundamental Macroeconomics and the Stock Index.

Published in:

Economies, 2024, v. 12, n. 6, p. 140, doi. 10.3390/economies12060140

By:

Aladwani, Jassim

Publication type:

Article

Effects of omitting information variables on optimal hedge ratio estimation: A note.

Published in:

Journal of Futures Markets, 2010, v. 30, n. 8, p. 795, doi. 10.1002/fut.20427

By:

Lien, Donald

Publication type:

Article

The CBOE S&P 500 three-month variance futures.

Published in:

Journal of Futures Markets, 2010, v. 30, n. 1, p. 48, doi. 10.1002/fut.20400

By:

Zhang, Jin E.;
Yuqin Huang

Publication type:

Article

Estimation and hedging effectiveness of time-varying hedge ratio: Flexible bivariate garch approaches.

Published in:

Journal of Futures Markets, 2010, v. 30, n. 1, p. 71, doi. 10.1002/fut.20401

By:

Sung Yong Park;
Sang Young Jei

Publication type:

Article

Is volatility risk priced in the KOSPI 200 index options market?

Published in:

Journal of Futures Markets, 2009, v. 29, n. 9, p. 797, doi. 10.1002/fut.20386

By:

Sun-Joong Yoon;
Suk Joon Byun

Publication type:

Article

Rolling over stock index futures contracts.

Published in:

Journal of Futures Markets, 2009, v. 29, n. 7, p. 684, doi. 10.1002/fut.20373

By:

Carchano, Óscar;
Pardo, Ángel

Publication type:

Article

On the exit value of a forward contract.

Published in:

Journal of Futures Markets, 2009, v. 29, n. 2, p. 179, doi. 10.1002/fut.20350

By:

Power, Gabriel J.;
Turvey, Calum G.

Publication type:

Article

Testing the martingale hypothesis for futures prices: Implications for hedgers.

Published in:

Journal of Futures Markets, 2008, v. 28, n. 11, p. 1040, doi. 10.1002/fut.20343

By:

De Goyet, Cédric De Ville;
Dhaene, Geert;
Sercu, Piet

Publication type:

Article

Dynamic hedging with futures: A copula-based GARCH model.

Published in:

Journal of Futures Markets, 2008, v. 28, n. 11, p. 1095, doi. 10.1002/fut.20345

By:

Chih-Chiang Hsu;
Chih-Ping Tseng;
Yaw-Huei Wang

Publication type:

Article

A test of the Samuelson Hypothesis using realized range.

Published in:

Journal of Futures Markets, 2008, v. 28, n. 7, p. 680, doi. 10.1002/fut.20328

By:

Kalev, Petko S.;
Duong, Huu Nhan

Publication type:

Article

In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets.

Published in:

Journal of Futures Markets, 2008, v. 28, n. 7, p. 617, doi. 10.1002/fut.20330

By:

Poskitt, Russell

Publication type:

Article

Efficiency of single-stock futures: An intraday analysis.

Published in:

Journal of Futures Markets, 2008, v. 28, n. 6, p. 518, doi. 10.1002/fut.20323

By:

Fung, Joseph K. W.;
Yiuman Tse

Publication type:

Article

Information revelation in the futures market: Evidence from single stock futures.

Published in:

Journal of Futures Markets, 2008, v. 28, n. 4, p. 335, doi. 10.1002/fut.20313

By:

Shastri, Kuldeep;
Thirumalai, Ramabhadran S.;
Zutter, Chad J.

Publication type:

Article

Order imbalance and the dynamics of index and futures prices.

Published in:

Journal of Futures Markets, 2007, v. 27, n. 12, p. 1129, doi. 10.1002/fut.20288

By:

Fung, Joseph K. W.;
Yu, Philip L. H.

Publication type:

Article

Market microstructure effects on volatility at the TAIFEX.

Published in:

Journal of Futures Markets, 2007, v. 27, n. 12, p. 1219, doi. 10.1002/fut.20289

By:

Webb, Robert I.;
Muthuswamy, Jayaram;
Segara, Reuben

Publication type:

Article

Pricing VIX futures: Evidence from integrated physical and risk-neutral probability measures.

Published in:

Journal of Futures Markets, 2007, v. 27, n. 12, p. 1175, doi. 10.1002/fut.20291

By:

Yueh-Neng Lin

Publication type:

Article

The effect of futures trading on the distribution of spot index returns: Implications for CVaR in the Spanish market.

Published in:

Journal of Futures Markets, 2007, v. 27, n. 9, p. 839, doi. 10.1002/fut.20271

By:

Illueca, Manuel;
Lafuente, Juan Angel

Publication type:

Article

Does an index futures split enhance trading activity and hedging effectiveness of the futures contract?

Published in:

Journal of Futures Markets, 2006, v. 26, n. 12, p. 1169, doi. 10.1002/fut.20237

By:

Nordén, Lars

Publication type:

Article

Dynamic trading value at risk: Futures floor trading.

Published in:

Journal of Futures Markets, 2006, v. 26, n. 12, p. 1217, doi. 10.1002/fut.20239

By:

Lee, Jongdoo;
Locke, Peter

Publication type:

Article

New evidence on expiration-day effects using realized volatility: An intraday analysis for the Spanish stock exchange.

Published in:

Journal of Futures Markets, 2006, v. 26, n. 9, p. 923, doi. 10.1002/fut.20220

By:

Illueca, M.;
laFuente, J. A.

Publication type:

Article

Multifactor implied volatility functions for HJM models.

Published in:

Journal of Futures Markets, 2006, v. 26, n. 8, p. 809, doi. 10.1002/fut.20215

By:

I-Doun Kuo;
Paxson, Dean A.

Publication type:

Article

Dynamics of intraday serial correlation in the Italian futures market.

Published in:

Journal of Futures Markets, 2006, v. 26, n. 1, p. 61, doi. 10.1002/fut.20182

By:

Bianco, Simone;
Renò, Roberto

Publication type:

Article

A note on the superiority of the OLS hedge ratio.

Published in:

Journal of Futures Markets, 2005, v. 25, n. 11, p. 1121, doi. 10.1002/fut.20172

By:

Lien, Donald

Publication type:

Article

Consistent calibration of HJM models to cap implied volatilities.

Published in:

Journal of Futures Markets, 2005, v. 25, n. 11, p. 1093, doi. 10.1002/fut.20174

By:

Angelini, Flavio;
Herzel, Stefano

Publication type:

Article

Execution quality in open-outcry futures markets.

Published in:

Journal of Futures Markets, 2005, v. 25, n. 11, p. 1067, doi. 10.1002/fut.20176

By:

Kurov, Alexander

Publication type:

Article

Futures and options expiration-day effects: The Indian evidence.

Published in:

Journal of Futures Markets, 2005, v. 25, n. 11, p. 1045, doi. 10.1002/fut.20178

By:

Vipul

Publication type:

Article

A contango-constrained model for storable commodity prices.

Published in:

Journal of Futures Markets, 2005, v. 25, n. 11, p. 1025, doi. 10.1002/fut.20180

By:

Ribeiro, Diana R.;
Hodges, Stewart D.

Publication type:

Article

Information content of the fed funds rates.

Published in:

Journal of Futures Markets, 2005, v. 25, n. 8, p. 753, doi. 10.1002/fut.20162

By:

Sultan, Jahangir

Publication type:

Article

Intradaily periodicity and volatility spillovers between international stock index futures markets.

Published in:

Journal of Futures Markets, 2005, v. 25, n. 6, p. 553, doi. 10.1002/fut.20155

By:

Chunchi Wu;
Jinliang Li;
Wei Zhang

Publication type:

Article

IS IT TIME TO REDUCE THE MINIMUM TICK SIZES OF THE E-MINI FUTURES?

Published in:

Journal of Futures Markets, 2005, v. 25, n. 1, p. 79, doi. 10.1002/fut.20119

By:

Kurov, Alexander;
Zabotina, Tatyana

Publication type:

Article

FOREIGH-EXCHANGE TRADING VOLUME AND FEDERAL RESERVE INTERVENTION.

Published in:

Journal of Futures Markets, 2001, v. 21, n. 9, p. 851, doi. 10.1002/fut.1904

By:

Chaboud, Alain;
LeBaron, Blake

Publication type:

Article

TRADING VOLUME, BID-ASK SPREAD, AND PRICE VOLATILITY IN FUTURES MARKETS.

Published in:

Journal of Futures Markets, 2000, v. 20, n. 10, p. 943, doi. 10.1002/1096-9934(200011)20:10<943::AID-FUT4>3.0.CO;2-8

By:

Wang, George H.K.;
Jot Yau

Publication type:

Article

THE RELATIVE EFFICIENCY OF COMMODITY FUTURES MARKETS.

Published in:

Journal of Futures Markets, 1999, v. 19, n. 4, p. 413, doi. 10.1002/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F

By:

Kellard, Neil;
Newbold, Paul

Publication type:

Article

PRICING EURODOLLAR FUTURES OPTIONS WITH THE HO AND LEE AND BLACK, DERMAN, AND TOY MODELS: AN EMPIRICAL COMPARISON.

Published in:

Journal of Futures Markets, 1999, v. 19, n. 3, p. 291, doi. 10.1002/(SICI)1096-9934(199905)19:3<291::AID-FUT3>3.0.CO;2-K

By:

Mathis III, Roswell E.;
Bierwag, Gerald O.

Publication type:

Article

A FURTHER INVESTIGATION OF THE LEAD--LAG RELATIONSHIP BETWEEN THE SPOT MARKET AND STOCK INDEX FUTURES: EARLY EVIDENCE FROM KOREA.

Published in:

Journal of Futures Markets, 1999, v. 19, n. 2, p. 217, doi. 10.1002/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8

By:

Min, Jae H.;
Najand, Mohammad

Publication type:

Article

HEDGING TIME-VARYING DOWNSIDE RISK.

Published in:

Journal of Futures Markets, 1998, v. 18, n. 6, p. 705, doi. 10.1002/(SICI)1096-9934(199809)18:6<705::AID-FUT4>3.0.CO;2-R

By:

Lien, Donald;
Tse, Yiu Kuen

Publication type:

Article

Optimal Hedging under Indivisible Choices.

Published in:

Journal of Futures Markets, 1993, v. 13, n. 3, p. 237, doi. 10.1002/fut.3990130303

By:

Shanker, Latha

Publication type:

Article

A Note on the Role of Futures Indivisibility: Reconciling the Theoretical Literature.

Published in:

Journal of Futures Markets, 1991, v. 11, n. 1, p. 117, doi. 10.1002/fut.3990110112

By:

Polakoff, Michael A.

Publication type:

Article

Optimal Bank Asset and Liability Management With Financial Futures.

Published in:

Journal of Futures Markets, 1988, v. 8, n. 4, p. 457, doi. 10.1002/fut.3990080406

By:

Brodt, Abraham I.

Publication type:

Article

Effectiveness of Hedging Interest Rate Risks and Stock Market Risks with Financial Futures.

Published in:

Journal of Futures Markets, 1988, v. 8, n. 3, p. 319, doi. 10.1002/fut.3990080306

By:

Fortin, Michel;
Khoury, Nabil T.

Publication type:

Article

A futures duration-convexity hedging method.

Published in:

Financial Review, 1998, v. 33, n. 4, p. 61, doi. 10.1111/j.1540-6288.1998.tb01397.x

By:

Daigler, Robert T.;
Copper, Mark

Publication type:

Article