{"status":"ok","message-type":"work-list","message-version":"1.0.0","message":{"facets":{},"total-results":3390,"items":[{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T00:03:15Z","timestamp":1700092995801},"reference-count":19,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2008,5,2]],"date-time":"2008-05-02T00:00:00Z","timestamp":1209686400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,7]]},"abstract":"Abstract<\/jats:title>This study examines daily and intraday data on sterling interest rate futures and IMM forward rate agreement (FRA) contracts for evidence of the convexity adjustment in FRA quotes. The futures\/FRA differential is marginally negative, contrary to the predictions of convexity models. Standard statistical tests confirm that the futures\/FRA differential does not differ between contract maturities. Regression analysis also fails to find any support for the predicted positive relationships between the differential and the term to settlement and volatility of interest rates. These results suggest that dealers in the sterling FRA market do not price convexity into quotes on FRA contracts. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:617\u2013633, 2008<\/jats:p>","DOI":"10.1002\/fut.20330","type":"journal-article","created":{"date-parts":[[2008,5,4]],"date-time":"2008-05-04T03:17:00Z","timestamp":1209871020000},"page":"617-633","source":"Crossref","is-referenced-by-count":0,"title":["In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets"],"prefix":"10.1002","volume":"28","author":[{"given":"Russell","family":"Poskitt","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,5,2]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(94)90002-7"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665766"},{"key":"e_1_2_1_6_1","volume-title":"Instruments, applications, mathematics","author":"Choudhry M.","year":"2004"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04077.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Henrard M.(2005). Eurodollar futures and options: Convexity adjustment in HJM one\u2010factor model (SSRN Working Paper 682343). Available at:http:\/\/ssrn.com\/abstract5682343.","DOI":"10.2139\/ssrn.682343"},{"key":"e_1_2_1_12_1","first-page":"1011","article-title":"Term structure movements and pricing interest rate contingent claims","volume":"41","author":"Ho T. S.","year":"1985","journal-title":"Journal of Finance"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"e_1_2_1_14_1","first-page":"1","article-title":"The future is convex","author":"Jackel P.","year":"2005","journal-title":"Wilmott Magazine"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407899"},{"key":"e_1_2_1_16_1","first-page":"60","article-title":"Convexity conundrums","author":"Kirikos G.","year":"1997","journal-title":"Risk"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03991.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Piterbarg V. &Renedo M.(2004). Eurodollar futures convexity adjustments in stochastic volatility models (SSRN Working Paper 610223). Available at:http:\/\/ssrn.com\/abstract5610223.","DOI":"10.2139\/ssrn.610223"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20330","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20330","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:11:05Z","timestamp":1700057465000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20330"}},"issued":{"date-parts":[[2008,5,2]]},"references-count":19,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2008,7]]}},"alternative-id":["10.1002\/fut.20330"],"URL":"https:\/\/doi.org\/10.1002\/fut.20330","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,5,2]]}},{"indexed":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T05:20:10Z","timestamp":1700025610509},"reference-count":4,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,12,7]],"date-time":"2006-12-07T00:00:00Z","timestamp":1165449600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,2]]},"abstract":"Abstract<\/jats:title>Kawaller's argument that a perfect hedge is possible with eurodollar futures is limited to the notion of a perfect accounting hedge, whereby the time value of money is ignored. In addition, his attempt to show the importance of sizing the hedge merely introduces a change to the problem, leading to a difference in our results that he erroneously believes is a mistake on my part. It is easy to show that his example is driven by an irrelevant distraction. I correct his example and show that had he worked the same problem I worked, he would have worked it the same way I did. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:195\u2013201, 2007<\/jats:p>","DOI":"10.1002\/fut.20254","type":"journal-article","created":{"date-parts":[[2006,12,7]],"date-time":"2006-12-07T21:26:37Z","timestamp":1165526797000},"page":"195-201","source":"Crossref","is-referenced-by-count":0,"title":["Reply to \u201cA comment on 'A hedging deficiency in eurodollar futures'\u201d"],"prefix":"10.1002","volume":"27","author":[{"given":"Don M.","family":"Chance","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,12,7]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Options and financial futures","author":"Dubofsky D. A.","year":"1992"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070308"},{"key":"e_1_2_1_4_1","volume-title":"Derivative markets: Theory, strategy, and applications","author":"Ritchken P.","year":"1996"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331215"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20254","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20254","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T04:34:16Z","timestamp":1700022856000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20254"}},"issued":{"date-parts":[[2006,12,7]]},"references-count":4,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2007,2]]}},"alternative-id":["10.1002\/fut.20254"],"URL":"https:\/\/doi.org\/10.1002\/fut.20254","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,12,7]]}},{"indexed":{"date-parts":[[2022,4,3]],"date-time":"2022-04-03T10:29:44Z","timestamp":1648981784830},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,1]]},"DOI":"10.1002\/(sici)1096-9934(200001)20:1<1::aid-fut1>3.0.co;2-8","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T04:06:00Z","timestamp":1030248360000},"page":"1-1","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"20","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200001)20:1%3C1::AID-FUT1%3E3.0.CO;2-8","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(200001)20:1%3C1::AID-FUT1%3E3.0.CO;2-8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:04:23Z","timestamp":1625133863000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(200001)20:1<1::AID-FUT1>3.0.CO;2-8"}},"issued":{"date-parts":[[2000,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2000,1]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200001)20:1<1::aid-fut1>3.0.co;2-8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,1]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T15:18:27Z","timestamp":1700320707396},"reference-count":38,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2001,10,5]],"date-time":"2001-10-05T00:00:00Z","timestamp":1002240000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,12]]},"abstract":"Abstract<\/jats:title>This article develops a discrete\u2010time, risk\u2010neutral valuation relation (RNVR) for the\npricing of contingent claims when preferences in the economy are characterized by decreasing absolute risk\naversion and the marginal distribution of the underlying is an inverse coshnormal. The RNVR is applied to obtain\nclosed\u2010form expressions for calls and puts written on nondividend\u2010paying stocks, futures\ncontracts, foreign currencies, and dividend\u2010paying stocks. Such pricing equations contain two parameters,\nthe threshold and rescale parameters, not contained in the Black\u2013Scholes valuation equation.\nInverse\u2010coshnormal option values make the approach look interesting. \u00a9 2001 John Wiley & Sons,\nInc. Jrl Fut Mark 21:1091\u20131117, 2001<\/jats:p>","DOI":"10.1002\/fut.2201","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:53:55Z","timestamp":1030305235000},"page":"1091-1117","source":"Crossref","is-referenced-by-count":1,"title":["The Valuation of Options with Restrictions on Preferences and Distributions"],"prefix":"10.1002","volume":"21","author":[{"given":"Ant\u00f3nio","family":"C\u00e2mara","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,10,5]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2978737"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02070.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330149"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009670114285"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00009-9"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1975.tb01834.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407978"},{"key":"e_1_2_1_14_1","first-page":"272","volume-title":"Theory of valuation","author":"Cox J.","year":"1989"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_1_16_1","volume-title":"Lognormal distributions","author":"Crow E.","year":"1988"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_18_1","volume-title":"Modern portfolio theory and\ninvestment analysis","author":"Elton E.","year":"1995"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(83)80001-1"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04073.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665506"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_1_24_1","volume-title":"Foundations for financial economics","author":"Huang C. F.","year":"1988"},{"key":"e_1_2_1_25_1","volume-title":"Options, futures, and other derivatives","author":"Hull J. C.","year":"1997"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05219.x"},{"key":"e_1_2_1_27_1","volume-title":"Continuous\nunivariate distributions","author":"Johnson N.","year":"1994"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb00063.x"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(85)90061-3"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(74)90019-1"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003264"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb03636.x"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200003)20:3<265::AID-FUT4>3.0.CO;2-4"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05220.x"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.87"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90029-0"},{"key":"e_1_2_1_38_1","volume-title":"Option pricing:\nMathematical models and computation","author":"Wilmott P.","year":"1993"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00069"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2201","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2201","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T14:56:51Z","timestamp":1700319411000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2201"}},"issued":{"date-parts":[[2001,10,5]]},"references-count":38,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2001,12]]}},"alternative-id":["10.1002\/fut.2201"],"URL":"https:\/\/doi.org\/10.1002\/fut.2201","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,10,5]]}},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T19:36:16Z","timestamp":1700422576526},"reference-count":19,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5079,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,10]]},"DOI":"10.1002\/fut.3990120503","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:46:31Z","timestamp":1183664791000},"page":"511-517","source":"Crossref","is-referenced-by-count":7,"title":["Hedging with synthetics, foreign\u2010exchange forwards, and the export decision"],"prefix":"10.1002","volume":"12","author":[{"given":"Udo F.","family":"Broil","sequence":"first","affiliation":[]},{"given":"Jack E.","family":"Wahl","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040206"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(85)90028-2"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0176-2680(92)90056-M"},{"key":"e_1_2_1_5_1","unstructured":"Broil U. andZilcha I.(in press): \u201cExchange Rate Uncertainty Futures Markets and the Multinational Firm \u201dEuropean Economic Review."},{"key":"e_1_2_1_6_1","volume-title":"Options Markets","author":"Cox J. C.","year":"1985"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(88)90040-2"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90124-2"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(91)90041-H"},{"key":"e_1_2_1_10_1","unstructured":"Franke G. Stapleton R. andSubrahmanyam M.(1991): \u201cThe Optimality of Non\u2010Linear Sharing Rules \u201d Working Paper University of Konstanz Germany."},{"key":"e_1_2_1_11_1","first-page":"989","article-title":"Hedging and the Competitive Firm under Price Uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(79)90148-4"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(86)90062-0"},{"key":"e_1_2_1_14_1","volume-title":"Exchange\u2010Rate Instability","author":"Krugman P. R.","year":"1989"},{"key":"e_1_2_1_15_1","first-page":"278","article-title":"Theory of the Firm facing Uncertain Demand","volume":"62","author":"Leland H. E.","year":"1972","journal-title":"American Economic Review"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090608"},{"key":"e_1_2_1_17_1","first-page":"65","article-title":"On the Theory of the Competitive Firm under Price Uncertainty","volume":"61","author":"Sandmo A.","year":"1971","journal-title":"American Economic Review"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1969.tb01694.x"},{"key":"e_1_2_1_19_1","first-page":"153","volume-title":"Exchange Rates, Trade, and the U. S. Economy","author":"Thursby M. C.","year":"1985"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(91)90029-J"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120503","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120503","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:14:19Z","timestamp":1698059659000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120503"}},"issued":{"date-parts":[[1992,10]]},"references-count":19,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1992,10]]}},"alternative-id":["10.1002\/fut.3990120503"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120503","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,10]]}},{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T14:46:00Z","timestamp":1649083560679},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6483,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,12]]},"DOI":"10.1002\/(sici)1096-9934(199712)17:8<909::aid-fut4>3.0.co;2-p","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T22:41:36Z","timestamp":1031697696000},"page":"909-934","source":"Crossref","is-referenced-by-count":2,"title":["Multiple-year pricing strategies for corn and soybeans"],"prefix":"10.1002","volume":"17","author":[{"given":"David E.","family":"Kenyon","sequence":"first","affiliation":[]},{"given":"Charles V.","family":"Beckman","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199712)17:8%3C909::AID-FUT4%3E3.0.CO;2-P","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199712)17:8%3C909::AID-FUT4%3E3.0.CO;2-P","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:40:37Z","timestamp":1625132437000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199712)17:8<909::AID-FUT4>3.0.CO;2-P"}},"issued":{"date-parts":[[1997,12]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1997,12]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199712)17:8<909::aid-fut4>3.0.co;2-p","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,12]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:44:19Z","timestamp":1709243059774},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6056,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,2]]},"DOI":"10.1002\/(sici)1096-9934(199902)19:1<79::aid-fut4>3.3.co;2-b","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T21:01:02Z","timestamp":1031691662000},"page":"79-100","source":"Crossref","is-referenced-by-count":3,"title":["Detecting and modeling changing volatility in the copper futures market"],"prefix":"10.1002","volume":"19","author":[{"given":"Kevin","family":"Bracker","sequence":"first","affiliation":[]},{"given":"Kenneth L.","family":"Smith","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199902)19:1%3C79::AID-FUT4%3E3.3.CO;2-B","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T16:12:11Z","timestamp":1507651931000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199902%2919%3A1%3C79%3A%3AAID-FUT4%3E3.3.CO%3B2-B"}},"issued":{"date-parts":[[1999,2]]},"references-count":0,"journal-issue":{"issue":"1"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199902)19:1<79::aid-fut4>3.3.co;2-b","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,2]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:44:34Z","timestamp":1709243074283},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6421,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,2]]},"DOI":"10.1002\/(sici)1096-9934(199802)18:1<115::aid-fut6>3.3.co;2-e","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T23:22:40Z","timestamp":1030317760000},"page":"115-127","source":"Crossref","is-referenced-by-count":1,"title":["Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates"],"prefix":"10.1002","volume":"18","author":[{"given":"Dilip K.","family":"Ghosh","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199802)18:1%3C115::AID-FUT6%3E3.3.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T19:05:38Z","timestamp":1507662338000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199802%2918%3A1%3C115%3A%3AAID-FUT6%3E3.3.CO%3B2-E"}},"issued":{"date-parts":[[1998,2]]},"references-count":0,"journal-issue":{"issue":"1"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199802)18:1<115::aid-fut6>3.3.co;2-e","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,2]]}},{"indexed":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T05:04:53Z","timestamp":1694667893940},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2006,10,18]],"date-time":"2006-10-18T00:00:00Z","timestamp":1161129600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,12]]},"DOI":"10.1002\/fut.20240","type":"journal-article","created":{"date-parts":[[2006,10,18]],"date-time":"2006-10-18T20:16:26Z","timestamp":1161202586000},"page":"1145-1146","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"26","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,18]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20240","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20240","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T04:41:37Z","timestamp":1694580097000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20240"}},"issued":{"date-parts":[[2006,10,18]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2006,12]]}},"alternative-id":["10.1002\/fut.20240"],"URL":"https:\/\/doi.org\/10.1002\/fut.20240","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,10,18]]}},{"indexed":{"date-parts":[[2022,4,3]],"date-time":"2022-04-03T18:37:05Z","timestamp":1649011025874},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6848,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,12]]},"DOI":"10.1002\/fut.3990160801","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T10:53:58Z","timestamp":1183719238000},"page":"fmi-fmi","source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"16","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990160801","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.3990160801","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:04:18Z","timestamp":1625166258000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990160801"}},"issued":{"date-parts":[[1996,12]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1996,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.3990160801","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,12]]}},{"indexed":{"date-parts":[[2023,8,20]],"date-time":"2023-08-20T04:55:40Z","timestamp":1692507340336},"reference-count":0,"publisher":"Wiley","issue":"7","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,7]]},"DOI":"10.1002\/fut.v43.7","type":"journal-issue","created":{"date-parts":[[2023,6,8]],"date-time":"2023-06-08T02:01:14Z","timestamp":1686189674000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"43","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T23:36:54Z","timestamp":1692488214000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/43\/7"}},"issued":{"date-parts":[[2023,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2023,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v43.7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,7]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T11:41:16Z","timestamp":1696678876603},"reference-count":38,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,8,13]],"date-time":"2015-08-13T00:00:00Z","timestamp":1439424000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,5]]},"abstract":"Abstract<\/jats:title>This paper examines the optimal production and hedging decisions of the competitive firm facing ambiguous price and background risk. Ambiguity is modeled by a second\u2010order probability distribution that captures the firm's uncertainty about which of the subjective beliefs govern the price and background risk. Ambiguity preferences are modeled by the (second\u2010order) expectation of a concave transformation of the (first\u2010order) expected utility of profit conditional on each plausible subjective joint distribution of the price and background risk. When the background risk is additive in nature, we show that the separation theorem holds in that the firm's optimal production decision depends neither on the firm's attitude toward ambiguity nor on the incident of the underlying ambiguity. We derive necessary and sufficient conditions under which the firm's optimal forward position is completely characterized. When the background risk is multiplicative in nature, we derive sufficient conditions under which the firm reduces its optimal output level and opts for an under\u2010hedge. Contrary to the conventional wisdom, we show that the behavior of the firm is affected by the introduction of ambiguity even when the firm is ambiguity neutral. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:506\u2013518, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21739","type":"journal-article","created":{"date-parts":[[2015,8,13]],"date-time":"2015-08-13T12:56:41Z","timestamp":1439470601000},"page":"506-518","source":"Crossref","is-referenced-by-count":4,"title":["Production and Hedging Under Smooth Ambiguity Preferences"],"prefix":"10.1002","volume":"36","author":[{"given":"Kit Pong","family":"Wong","sequence":"first","affiliation":[{"name":"Kit Pong Wong is a Professor of Finance and the Director of the School of Economics and Finance at the University of Hong Kong Hong Kong"}]}],"member":"311","published-online":{"date-parts":[[2015,8,13]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(96)00029-3"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00016-4"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/ecoj.12035"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9361.00128"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(93)90103-H"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1057882"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jet.2015.01.002"},{"key":"e_1_2_7_9_1","first-page":"57","article-title":"Commonalities in time and ambiguity aversion for long\u2010term risks","volume":"24","author":"Chesson H. W.","year":"2003","journal-title":"Journal of Risk and Uncertainty"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1011157509006"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90124-2"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12094"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296364"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884324"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884543"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4068(89)90018-9"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdr013"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00199-014-0845-8"},{"key":"e_1_2_7_19_1","first-page":"989","article-title":"Hedging and the competitive firm under price uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00199-013-0779-6"},{"key":"e_1_2_7_21_1","unstructured":"Keynes J. M.(1921). A treatise on probability. London: Macmillan."},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00640.x"},{"key":"e_1_2_7_23_1","unstructured":"Knight F. H.(1921). Risk uncertainty and profit. Boston: Houghton Mifflin."},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.12.3814"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/259427"},{"key":"e_1_2_7_26_1","doi-asserted-by":"crossref","unstructured":"Osaki Y. Wong K. P. &Yi L.(2015).Hedging and the competitive firm under ambiguous price and background risk. Working paper University of Hong Kong Hong Kong.","DOI":"10.1111\/boer.12092"},{"key":"e_1_2_7_27_1","first-page":"65","article-title":"On the theory of the competitive firm under price uncertainty","volume":"61","author":"Sandmo A.","year":"1971","journal-title":"American Economic Review"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.39.5.602"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/671179"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11166-010-9088-7"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11166-010-9112-y"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2005.06.003"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2009.05.001"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1005173013606"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8586.1996.tb00634.x"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(96)00037-4"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(02)00287-8"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10203-012-0137-3"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21678"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21739","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21739","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:40:12Z","timestamp":1696574412000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21739"}},"issued":{"date-parts":[[2015,8,13]]},"references-count":38,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2016,5]]}},"alternative-id":["10.1002\/fut.21739"],"URL":"https:\/\/doi.org\/10.1002\/fut.21739","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,8,13]]}},{"indexed":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T09:40:32Z","timestamp":1694598032975},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":4292,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,12]]},"DOI":"10.1002\/fut.v23:12","type":"journal-issue","created":{"date-parts":[[2023,9,12]],"date-time":"2023-09-12T13:42:38Z","timestamp":1694526158000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"23","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v23:12","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,9,12]],"date-time":"2023-09-12T13:42:38Z","timestamp":1694526158000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/23\/12"}},"issued":{"date-parts":[[2003,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2003,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v23:12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,12]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T08:42:27Z","timestamp":1696668147998},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,2]]},"DOI":"10.1002\/fut.v36.2","type":"journal-issue","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:34:23Z","timestamp":1696584863000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"36","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v36.2","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:34:23Z","timestamp":1696584863000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/36\/2"}},"issued":{"date-parts":[[2016,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2016,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v36.2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,2]]}},{"indexed":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T04:57:04Z","timestamp":1694667424884},"reference-count":0,"publisher":"Wiley","issue":"12","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,12]]},"DOI":"10.1002\/fut.v24:12","type":"journal-issue","created":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T22:40:39Z","timestamp":1694644839000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"24","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T22:40:40Z","timestamp":1694644840000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/24\/12"}},"issued":{"date-parts":[[2004,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2004,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v24:12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,12]]}},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T00:02:33Z","timestamp":1700352153504},"reference-count":18,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2002,2,6]],"date-time":"2002-02-06T00:00:00Z","timestamp":1012953600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,4]]},"abstract":"Abstract<\/jats:title>An entrepreneur faces two types of risk: one from income generation, one from income spending. His income\nfrom firm profits is risky due to output price fluctuations and other risks. As a consumer, he is also exposed\nto inflation risk since he maximizes expected utility of real income. This article focuses on optimal production\nand risk management decisions of a risk\u2010averse entrepreneur jointly facing tradable output price risk and\nuntradable inflation risk. Inflation risk applies multiplicatively to the entrepreneur's entire nominal\nincome. Relative risk aversion and the risks' joint distribution determine the effect of introducing a\nfutures market on production. For dependent risks, this effect may be negative if relative risk aversion is\nabove one. Relative risk aversion and the joint distribution also determine optimal risk management with futures\ncontracts where speculation on a real risk premium and cross hedging may be conflicting objectives. \u00a9 2002\nWiley Periodicals, Inc. Jrl Fut Mark 22:371\u2013386, 2002<\/jats:p>","DOI":"10.1002\/fut.10012","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T22:21:43Z","timestamp":1030314103000},"page":"371-386","source":"Crossref","is-referenced-by-count":5,"title":["What to do if a dollar is not a dollar? The impact of inflation risk on production and risk management"],"prefix":"10.1002","volume":"22","author":[{"given":"Axel F. A.","family":"Adam\u2010M\u00fcller","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,2,6]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(96)00029-3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00016-4"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02511.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(93)90103-H"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130502"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00019-B"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0335.00181"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526737"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(96)00039-3"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200102)21:2<145::AID-FUT3>3.0.CO;2-C"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.5.1203"},{"key":"e_1_2_1_14_1","first-page":"989","article-title":"Hedging and the competitive firm under price uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04673.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(94)00575-M"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527271"},{"key":"e_1_2_1_18_1","first-page":"65","article-title":"On the theory of the competitive firm under price uncertainty","volume":"61","author":"Sandmo A.","year":"1971","journal-title":"American Economic Review"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527391"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10012","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10012","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T08:40:18Z","timestamp":1700296818000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10012"}},"issued":{"date-parts":[[2002,2,6]]},"references-count":18,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2002,4]]}},"alternative-id":["10.1002\/fut.10012"],"URL":"https:\/\/doi.org\/10.1002\/fut.10012","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,2,6]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T23:00:13Z","timestamp":1709247613679},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5417,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,11]]},"DOI":"10.1002\/1096-9934(200011)20:10<911::aid-fut3>3.3.co;2-b","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:46:13Z","timestamp":1030297573000},"page":"911-942","source":"Crossref","is-referenced-by-count":1,"title":["Trading and hedging in S&P 500 spot and futures markets using genetic programming"],"prefix":"10.1002","volume":"20","author":[{"given":"Jun","family":"Wang","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200011)20:10%3C911::AID-FUT3%3E3.3.CO;2-B","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T15:47:48Z","timestamp":1507650468000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/1096-9934%28200011%2920%3A10%3C911%3A%3AAID-FUT3%3E3.3.CO%3B2-B"}},"issued":{"date-parts":[[2000,11]]},"references-count":0,"journal-issue":{"issue":"10"},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200011)20:10<911::aid-fut3>3.3.co;2-b","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,11]]}},{"indexed":{"date-parts":[[2023,8,22]],"date-time":"2023-08-22T04:43:12Z","timestamp":1692679392943},"reference-count":0,"publisher":"Wiley","issue":"11","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,11]]},"DOI":"10.1002\/fut.v42.11","type":"journal-issue","created":{"date-parts":[[2022,10,4]],"date-time":"2022-10-04T11:55:30Z","timestamp":1664884530000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"42","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T15:06:18Z","timestamp":1692630378000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/42\/11"}},"issued":{"date-parts":[[2022,11]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2022,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v42.11","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,11]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T05:40:14Z","timestamp":1698385214040},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4014,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,9]]},"DOI":"10.1002\/fut.3990150608","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T06:48:34Z","timestamp":1183704514000},"page":"719-730","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"15","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150608","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150608","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:27:17Z","timestamp":1698287237000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150608"}},"issued":{"date-parts":[[1995,9]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1995,9]]}},"alternative-id":["10.1002\/fut.3990150608"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150608","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,9]]}},{"indexed":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T12:20:46Z","timestamp":1699964446394},"reference-count":5,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6842,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,12]]},"DOI":"10.1002\/fut.3990070608","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:47:54Z","timestamp":1183625274000},"page":"695-703","source":"Crossref","is-referenced-by-count":9,"title":["Empirical tests of the efficiency of the currency futures options market"],"prefix":"10.1002","volume":"7","author":[{"given":"Joseph P.","family":"Ogden","sequence":"first","affiliation":[]},{"given":"Alan L.","family":"Tucker","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04553.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90034-X"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04496.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90016-1"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02385.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070608","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070608","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T17:26:58Z","timestamp":1697909218000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070608"}},"issued":{"date-parts":[[1987,12]]},"references-count":5,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1987,12]]}},"alternative-id":["10.1002\/fut.3990070608"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070608","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,12]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T05:02:47Z","timestamp":1698037367856},"reference-count":36,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5506,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,8]]},"DOI":"10.1002\/fut.3990110403","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T17:24:34Z","timestamp":1183656274000},"page":"411-440","source":"Crossref","is-referenced-by-count":4,"title":["Analyzing portfolios with derivative assets: A stochastic dominance approach using numerical integration"],"prefix":"10.1002","volume":"11","author":[{"given":"Robert","family":"Brooks","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"The Lognormal Distribution","author":"Aitchison J.","year":"1966"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329910"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v41.n1.48"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296275"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1981.408805"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.79"},{"key":"e_1_2_1_11_1","first-page":"1","volume-title":"Advances in Futures and Options Research","author":"Clarke R.","year":"1987"},{"key":"e_1_2_1_12_1","volume-title":"Option Markets","author":"Cox J. C.","year":"1985"},{"key":"e_1_2_1_13_1","volume-title":"Portfolio and Investment Management","author":"Fabozzi F. J.","year":"1989"},{"key":"e_1_2_1_14_1","first-page":"25","article-title":"Rules for Ordering Uncertain Prospects","volume":"59","author":"Hadar J.","year":"1969","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296431"},{"key":"e_1_2_1_16_1","first-page":"42","article-title":"Using Options and Futures to Tailor Portfolio Returns","volume":"16","author":"Heston C.","year":"1987","journal-title":"Futures"},{"key":"e_1_2_1_17_1","volume-title":"Stocks, Bonds, Bills, and Inflation 1989 Yearbook","author":"Ibbotson Associates, Inc.","year":"1989"},{"key":"e_1_2_1_18_1","volume-title":"Continuous Univariate Distributions\u20141","author":"Johnson N. L.","year":"1970"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01961.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330403"},{"key":"e_1_2_1_21_1","first-page":"163","article-title":"Stochastic Dominance: A Review and Some New Evidence","volume":"2","author":"Kroll Y.","year":"1980","journal-title":"Research in Finance"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02190.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02372.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330579"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb04867.x"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924840"},{"key":"e_1_2_1_27_1","volume-title":"Portfolio and Investment Selection: Theory and Practice","author":"Levy H.","year":"1984"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2975974"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1111\/j.1540-6261.1984.tb02324.x","article-title":"Option Pricing Bounds in Discrete Time","volume":"39","author":"Perrakis S.","journal-title":"Journal of Finance"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-61786-7"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02373.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"crossref","first-page":"225","DOI":"10.1016\/0022-0531(70)90038-4","article-title":"Increasing Risk: I. A Definition","volume":"2","author":"Rothschild M.","journal-title":"Journal of Economic Theory"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003264"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v37.n4.63"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1086\/294846"},{"key":"e_1_2_1_37_1","first-page":"457","article-title":"Third Degree Stochastic Dominance","volume":"60","author":"Whitmore G. A.","year":"1970","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110403","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110403","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T01:33:39Z","timestamp":1698024819000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110403"}},"issued":{"date-parts":[[1991,8]]},"references-count":36,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1991,8]]}},"alternative-id":["10.1002\/fut.3990110403"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110403","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,8]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T05:03:01Z","timestamp":1698037381804},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5990,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,4]]},"DOI":"10.1002\/fut.3990100201","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:46:35Z","timestamp":1183643195000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"10","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100201","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100201","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:21:36Z","timestamp":1697991696000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100201"}},"issued":{"date-parts":[[1990,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1990,4]]}},"alternative-id":["10.1002\/fut.3990100201"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100201","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,4]]}},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T00:16:36Z","timestamp":1700093796596},"reference-count":20,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2008,5,2]],"date-time":"2008-05-02T00:00:00Z","timestamp":1209686400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,7]]},"abstract":"Abstract<\/jats:title>This study derives an approximate pricing formula of floating range notes (FRNs) within the multifactor LIBOR market model (LMM) framework. The LMM features the ease for calibration procedure, and the resulting pricing formula is more tractable. In addition, since the underlying rate of FRNs is usually the LIBOR rate, the pricing of the FRNs under the LMM is more direct and full of intuition. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:697\u2013710, 2008<\/jats:p>","DOI":"10.1002\/fut.20310","type":"journal-article","created":{"date-parts":[[2008,5,4]],"date-time":"2008-05-04T02:10:13Z","timestamp":1209867013000},"page":"697-710","source":"Crossref","is-referenced-by-count":11,"title":["Valuation of floating range notes in a LIBOR market model"],"prefix":"10.1002","volume":"28","author":[{"given":"Ting\u2010Pin","family":"Wu","sequence":"first","affiliation":[]},{"given":"Son\u2010Nan","family":"Chen","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,5,2]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Brace A. Dun T. A. &Barton G.(1998).Towards a central interest rate model. Paper presented at the Conference global derivatives'98."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00028"},{"key":"e_1_2_1_4_1","unstructured":"Brace A. &Womersley R. S.(2000).Exact fit to the swaption volatility matrix using semidefinite programming. Paper presented at the ICBI global derivatives conference."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-04553-4"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126735"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2006.00270.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00062"},{"key":"e_1_2_1_9_1","first-page":"S20","article-title":"Modelling without tears","author":"Gatarek D.","year":"2000","journal-title":"Risk"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"e_1_2_1_11_1","first-page":"126","article-title":"The essential of the LMM","author":"Hull J.","year":"2000","journal-title":"Risk"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03823.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050025"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00103"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0960-1627.2004.00182.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"Pedersen M.(1998).Calibrating LIBOR market models. Working paper Financial Research Department Simcorp A\/S.","DOI":"10.2139\/ssrn.111828"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1999.031"},{"key":"e_1_2_1_18_1","first-page":"42","article-title":"Gaussian Errors","volume":"9","author":"Rogers C.","year":"1996","journal-title":"Risk"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800100054"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407931"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","first-page":"39","DOI":"10.21314\/JCF.2002.093","article-title":"Fast at\u2010the\u2010money calibration of the LIBOR market model through Lagrange multipliers","volume":"6","author":"Wu L.","year":"2002","journal-title":"Journal of Computational Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20310","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20310","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:11:18Z","timestamp":1700057478000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20310"}},"issued":{"date-parts":[[2008,5,2]]},"references-count":20,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2008,7]]}},"alternative-id":["10.1002\/fut.20310"],"URL":"https:\/\/doi.org\/10.1002\/fut.20310","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,5,2]]}},{"indexed":{"date-parts":[[2023,10,29]],"date-time":"2023-10-29T00:59:13Z","timestamp":1698541153478},"reference-count":12,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5079,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,10]]},"DOI":"10.1002\/fut.3990120510","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:46:31Z","timestamp":1183664791000},"page":"595-601","source":"Crossref","is-referenced-by-count":5,"title":["The informational role of end\u2010of\u2010the\u2010day returns in stock index futures"],"prefix":"10.1002","volume":"12","author":[{"given":"Anthony F.","family":"Herbst","sequence":"first","affiliation":[]},{"given":"Edwin D.","family":"Maberly","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n3.83"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296900"},{"key":"e_1_2_1_5_1","first-page":"393","article-title":"On the Impossibility of Informationally Efficient Markets","volume":"70","author":"Grossman S.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330746"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02648.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb03495.x"},{"key":"e_1_2_1_10_1","first-page":"509","article-title":"Good News, Bad News and the Timing of Corporate Disclosures","volume":"57","author":"Patell J.","year":"1982","journal-title":"Accounting Review"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90039-0"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02401.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.16"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120510","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120510","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:14:46Z","timestamp":1698059686000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120510"}},"issued":{"date-parts":[[1992,10]]},"references-count":12,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1992,10]]}},"alternative-id":["10.1002\/fut.3990120510"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120510","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,10]]}},{"indexed":{"date-parts":[[2023,10,28]],"date-time":"2023-10-28T20:45:38Z","timestamp":1698525938377},"reference-count":9,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,9,15]],"date-time":"2006-09-15T00:00:00Z","timestamp":1158278400000},"content-version":"vor","delay-in-days":8507,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,6]]},"DOI":"10.1002\/fut.3990030209","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:46:01Z","timestamp":1183589161000},"page":"207-224","source":"Crossref","is-referenced-by-count":5,"title":["Futures trading liquidity: An application of a futures trading model"],"prefix":"10.1002","volume":"3","author":[{"given":"Ronald W.","family":"Ward","sequence":"first","affiliation":[]},{"given":"Robert M.","family":"Behr","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,15]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Behr Robert M. andWard Ronald W.(1982): \u201cA Simultaneous Equation Model of Futures Trading \u201d Food and Resource Economics Department Staff Report No. 219 Gainesville FL October."},{"key":"e_1_2_1_3_1","first-page":"203","article-title":"Estimation of Hedging and Speculative Positions in Futures Markets","volume":"2","author":"Larson Arnold B.","year":"1961","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240309"},{"key":"e_1_2_1_5_1","unstructured":"Powers Mark J.(1979): \u201cThin Markets\u2013A Regulatory Perspective \u201d inPricing Problems in the Food Industry (with Emphasis on Thin Markets) Madison WS: N.C. Project 117 Monograph 7 February."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260617"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239357"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239610"},{"key":"e_1_2_1_9_1","unstructured":"Ward Ronald W. andBehr Robert M.(1982): \u201cAllocating Nonreported Futures Commitments \u201d Food and Resource Economics Department Staff Report No. 221 Gainesville FL October."},{"key":"e_1_2_1_10_1","first-page":"185","article-title":"Speculation on Hedging Markets","volume":"1","author":"Working Holbrook","year":"1960","journal-title":"Food Research Institute Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030209","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030209","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T08:18:48Z","timestamp":1697789928000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030209"}},"issued":{"date-parts":[[1983,6]]},"references-count":9,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1983,6]]}},"alternative-id":["10.1002\/fut.3990030209"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030209","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,6]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:40:34Z","timestamp":1697917234459},"reference-count":3,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8212,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,3]]},"DOI":"10.1002\/fut.3990040109","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:21:23Z","timestamp":1183591283000},"page":"75-85","source":"Crossref","is-referenced-by-count":2,"title":["Equivalent delivery procedures for gnma futures contracts and options"],"prefix":"10.1002","volume":"4","author":[{"suffix":"Jr.","given":"Walter L.","family":"Eckardt","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03611.x"},{"key":"e_1_2_1_3_1","volume-title":"The Fundamental and Technical Aspects of Trading GNMA Options","author":"Ross J.","year":"1981"},{"key":"e_1_2_1_4_1","unstructured":"Chicago Board of Trade.(1980): \u201cUnderstanding the Delivery Process in Financial Futures.\u201d"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040109","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040109","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:49:49Z","timestamp":1697802589000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040109"}},"issued":{"date-parts":[[1984,3]]},"references-count":3,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1984,3]]}},"alternative-id":["10.1002\/fut.3990040109"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040109","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,3]]}},{"indexed":{"date-parts":[[2025,8,15]],"date-time":"2025-08-15T01:51:37Z","timestamp":1755222697524,"version":"3.43.0"},"reference-count":67,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2025,6,4]],"date-time":"2025-06-04T00:00:00Z","timestamp":1748995200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,9]]},"abstract":"ABSTRACT<\/jats:title>This paper investigates the mean, volatility, skewness, and kurtosis of price spillovers from the natural gas, coal, and CO2<\/jats:sub> emissions markets into the German electricity market from 2010 to July 2023, segmented into three periods: pre\u2010Russo\u2010Ukrainian war, war\u2010triggered price rise, and postwar adjustment. Utilizing a flexible probability model with time\u2010varying parameters and structural dummies for different periods and days of the week and applying the Bayesian Information Criterion (BIC) for model selection, the analysis reveals: (a) significant bidirectional mean spillovers between gas and coal markets, with coal prices exerting a stronger influence on gas prices; (b) volatility spillovers from the CO2<\/jats:sub> market into the electricity market; (c) skewness spillovers from the coal market that negatively impact electricity skewness; and (d) kurtosis spillovers from the CO2<\/jats:sub> market. The distribution of electricity price\u2010growth rates is characterized by extreme leptokurtosis and negative skewness, reflecting extreme price movements. These findings underscore the complex dynamics of these interconnected markets, offering valuable insights for market participants, policymakers, and risk managers in forecasting, hedging strategies, and pricing electricity derivatives during market turbulence.<\/jats:p>","DOI":"10.1002\/fut.22607","type":"journal-article","created":{"date-parts":[[2025,6,4]],"date-time":"2025-06-04T11:49:26Z","timestamp":1749037766000},"page":"1253-1277","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Spillovers Into the German Electricity Market From the Gas, Coal, and CO2<\/sub> Emissions Markets"],"prefix":"10.1002","volume":"45","author":[{"given":"Filippos","family":"Ioannidis","sequence":"first","affiliation":[{"name":"School of Economics Aristotle University of Thessaloniki Thessaloniki Greece"}]},{"given":"Kyriaki","family":"Kosmidou","sequence":"additional","affiliation":[{"name":"School of Economics Aristotle University of Thessaloniki Thessaloniki Greece"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5556-2594","authenticated-orcid":false,"given":"Panayiotis","family":"Theodossiou","sequence":"additional","affiliation":[{"name":"Department of Finance and Insurance, Miller College of Business Ball State University Muncie Indiana USA"}]}],"member":"311","published-online":{"date-parts":[[2025,6,4]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.10.014"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2016.08.037"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae"},{"key":"e_1_2_11_5_1","first-page":"653","article-title":"Estimation and Inference in Nonlinear Structural Models","volume":"3","author":"Berndt E.","year":"1974","journal-title":"Annals of Economic and Social Measurement"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103503"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-85729-268-1_11"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.12.001"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11294-007-9105-z"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.06.017"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2017"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610926.2018.1549243"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.40.3.hchu"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104749"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.36.4.acia"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2004.12.005"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2022.2100048"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2209"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1991.10509863"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.2010.00632.x"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfr024"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rser.2018.11.042"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/500675"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106838"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.10.004"},{"issue":"1","key":"e_1_2_11_28_1","first-page":"1","article-title":"Modelling Spot Prices in Deregulated Wholesale Electricity Markets: A Selected Empirical Review","volume":"17","author":"Higgs H.","year":"2010","journal-title":"Energy Studies Review"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105110"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.08.009"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2018.10.167"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.2202\/1558-3708.1657"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2010.02.004"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2004.11.005"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214506000001022"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2016.11.014"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2013.08.007"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.3390\/en13081900"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2021.117903"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.105848"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2015.05.060"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1515\/snde-2017-0071"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2012.06.059"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2018.11.020"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2016.01.046"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.1515\/snde-2020-0131"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2014.05.004"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.11.003"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2022.119215"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2020.06.001"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2018.10.017"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nby014"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2022.134728"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11625-022-01219-7"},{"key":"e_1_2_11_55_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.1836783"},{"key":"e_1_2_11_56_1","doi-asserted-by":"publisher","DOI":"10.3390\/math10101757"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.17578\/19-4-1"},{"key":"e_1_2_11_58_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2015.2201"},{"key":"e_1_2_11_59_1","first-page":"1","article-title":"Option Pricing With Skewness and Kurtosis Based on the Skewed General Gaussian Distribution","author":"Theodossiou P.","year":"2024","journal-title":"SSRN Electronic Journal"},{"key":"e_1_2_11_60_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssa.12553"},{"key":"e_1_2_11_61_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.35.4.3"},{"key":"e_1_2_11_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2011.07.045"},{"key":"e_1_2_11_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2004.01.008"},{"key":"e_1_2_11_64_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut"},{"key":"e_1_2_11_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2003.11.002"},{"key":"e_1_2_11_66_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2015.2161"},{"key":"e_1_2_11_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2017.04.051"},{"key":"e_1_2_11_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.12.016"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22607","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T04:20:14Z","timestamp":1754886014000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22607"}},"issued":{"date-parts":[[2025,6,4]]},"references-count":67,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2025,9]]}},"alternative-id":["10.1002\/fut.22607"],"URL":"https:\/\/doi.org\/10.1002\/fut.22607","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,6,4]]},"assertion":[{"value":"2023-10-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-15","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-04","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:41:19Z","timestamp":1700268079719},"reference-count":0,"publisher":"Wiley","issue":"10","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,10]]},"DOI":"10.1002\/fut.v23:10","type":"journal-issue","created":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T17:55:38Z","timestamp":1700243738000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"23","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T17:55:39Z","timestamp":1700243739000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/23\/10"}},"issued":{"date-parts":[[2003,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2003,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v23:10","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,10]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:39:29Z","timestamp":1700267969612},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,2]]},"DOI":"10.1002\/fut.v24:2","type":"journal-issue","created":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T04:45:52Z","timestamp":1700196352000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"24","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T04:45:53Z","timestamp":1700196353000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/24\/2"}},"issued":{"date-parts":[[2004,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2004,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v24:2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,2]]}},{"indexed":{"date-parts":[[2024,9,3]],"date-time":"2024-09-03T10:52:29Z","timestamp":1725360749136},"reference-count":20,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5506,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,8]]},"DOI":"10.1002\/fut.3990110404","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T17:24:34Z","timestamp":1183656274000},"page":"441-452","source":"Crossref","is-referenced-by-count":20,"title":["Pricing stock index futures with stochastic interest rates"],"prefix":"10.1002","volume":"11","author":[{"given":"Nusret","family":"Cakici","sequence":"first","affiliation":[]},{"given":"Sris","family":"Chatterjee","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04360.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090403"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100405"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080305"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04523.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912150"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050109"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030102"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","first-page":"1035","DOI":"10.1111\/j.1540-6261.1981.tb01074.x","article-title":"Forward and Futures Prices: Evidence from the Foreign Exchange Markets","volume":"6","author":"Cornell B.","year":"1981","journal-title":"Journal of Finance"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924704"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90052-1"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1137\/0113044"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0377-0427(77)80009-5"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02275.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02385.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","first-page":"895","DOI":"10.1111\/j.1540-6261.1979.tb03443.x","article-title":"The Efficiency of the Treasury Bill Futures Market","volume":"34","author":"Rendelman R. J.","year":"1979","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110404","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110404","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T01:33:41Z","timestamp":1698024821000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110404"}},"issued":{"date-parts":[[1991,8]]},"references-count":20,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1991,8]]}},"alternative-id":["10.1002\/fut.3990110404"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110404","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,8]]}},{"indexed":{"date-parts":[[2025,3,19]],"date-time":"2025-03-19T10:13:56Z","timestamp":1742379236733,"version":"3.37.3"},"reference-count":42,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2018,6,14]],"date-time":"2018-06-14T00:00:00Z","timestamp":1528934400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["105\u20102410\u2010H\u2010260\u2010008"],"award-info":[{"award-number":["105\u20102410\u2010H\u2010260\u2010008"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,11]]},"abstract":"This paper employs a realized beta generalized autoregressive conditional heteroskedasticity model for optimal futures hedging. The model has a flexible structure and is complete because all observed returns and realized measures are jointly modeled in a system. This enables the incorporation of important features that may affect the hedge ratio estimation. The model is applied to equity indices, and substantial dependence between return and volatility indicates the essential of modeling statistical leverage. Predictive ability testing confirms the superiority of the model for reducing the hedged portfolio risk. The predictive ability of the model can translate into pronounced economic benefits, particularly for short\u2010term hedges.<\/jats:p>","DOI":"10.1002\/fut.21937","type":"journal-article","created":{"date-parts":[[2018,6,14]],"date-time":"2018-06-14T15:49:31Z","timestamp":1528991371000},"page":"1370-1390","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1344-0817","authenticated-orcid":false,"given":"Yu\u2010Sheng","family":"Lai","sequence":"first","affiliation":[{"name":"Department of Banking and Finance National Chi Nan University Puli Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2018,6,14]]},"reference":[{"key":"e_1_2_9_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.03.012"},{"key":"e_1_2_9_1_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_9_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_9_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00068"},{"key":"e_1_2_9_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_9_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"e_1_2_9_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.009"},{"key":"e_1_2_9_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_9_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00515.x"},{"key":"e_1_2_9_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_9_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_9_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/338484"},{"key":"e_1_2_9_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_9_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10121"},{"key":"e_1_2_9_1_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2014.983236"},{"key":"e_1_2_9_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_9_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_9_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.018"},{"key":"e_1_2_9_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.683"},{"key":"e_1_2_9_1_21_1","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","article-title":"Hedging performance and basis risk in stock index futures","volume":"39","author":"Figlewski S.","year":"1985","journal-title":"Journal of Finance"},{"key":"e_1_2_9_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00327"},{"key":"e_1_2_9_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00259-3"},{"key":"e_1_2_9_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00718.x"},{"key":"e_1_2_9_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.628"},{"key":"e_1_2_9_1_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1038543"},{"key":"e_1_2_9_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1234"},{"key":"e_1_2_9_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2389"},{"key":"e_1_2_9_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20195"},{"key":"e_1_2_9_1_30_1","unstructured":"2000 McGraw\u2010Hill New York P. Jorion Value at risk: The new benchmark for managing financial risk"},{"key":"e_1_2_9_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_9_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21735"},{"key":"e_1_2_9_1_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21841"},{"key":"e_1_2_9_1_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20444"},{"key":"e_1_2_9_1_35_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603107.2010.539535"},{"key":"e_1_2_9_1_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20248"},{"key":"e_1_2_9_1_37_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100110046045"},{"key":"e_1_2_9_1_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1260"},{"key":"e_1_2_9_1_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_9_1_40_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2012.693850"},{"key":"e_1_2_9_1_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1158"},{"key":"e_1_2_9_1_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21614"},{"key":"e_1_2_9_1_43_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2028"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21937","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21937","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,17]],"date-time":"2023-09-17T04:43:12Z","timestamp":1694925792000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21937"}},"issued":{"date-parts":[[2018,6,14]]},"references-count":42,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2018,11]]}},"alternative-id":["10.1002\/fut.21937"],"URL":"https:\/\/doi.org\/10.1002\/fut.21937","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,6,14]]},"assertion":[{"value":"2017-08-08","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-05-13","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-06-14","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T01:43:09Z","timestamp":1700012589433},"reference-count":22,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2007,11,15]],"date-time":"2007-11-15T00:00:00Z","timestamp":1195084800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,1]]},"abstract":"Abstract<\/jats:title>This study investigates the structure of the implied volatility smile, using the prices of equity options traded on the LIFFE. First, the slope of the implied volatility curve is significantly negative for both individual stocks and index options, and the slope is less negative for longer\u2010term options. The implied volatility skew can be described by risk\u2010neutral skewness and kurtosis, with the former having the first\u2010order effect. Moreover, the implied volatility skew for individual stock options is less severe than for index options. Finally, the relationship between the real and risk\u2010neutral moments implied in option prices is significant. The results indicate that, for equity options traded on the LIFFE, the slope of the implied volatility skew is flatter than that on the Chicago Board of Exchange (CBOE). \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:57\u201381, 2008<\/jats:p>","DOI":"10.1002\/fut.20276","type":"journal-article","created":{"date-parts":[[2007,11,15]],"date-time":"2007-11-15T19:48:21Z","timestamp":1195156101000},"page":"57-81","source":"Crossref","is-referenced-by-count":2,"title":["Smiling less at LIFFE"],"prefix":"10.1002","volume":"28","author":[{"given":"Bing\u2010Huei","family":"Lin","sequence":"first","affiliation":[]},{"given":"Ing\u2010Jye","family":"Chang","sequence":"additional","affiliation":[]},{"given":"Dean A.","family":"Paxson","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,11,15]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Accounting for Biases in Black\u2010Scholes","author":"Backus D.","year":"1997"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00050-1"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2006.05.013"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/713665549"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594989"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v52.n4.2008"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_14_1","first-page":"18","article-title":"Pricing with a Smile","volume":"7","author":"Dupire B.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_1_15_1","first-page":"381","article-title":"Implied Volatility and Dynamic Hedging","volume":"13","author":"Duque J. L.","year":"1994","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10258-003-0024-5"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199612)16:8<881::AID-FUT3>3.0.CO;2-I"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319143"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.2.433"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20276","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20276","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T01:22:39Z","timestamp":1700011359000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20276"}},"issued":{"date-parts":[[2007,11,15]]},"references-count":22,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2008,1]]}},"alternative-id":["10.1002\/fut.20276"],"URL":"https:\/\/doi.org\/10.1002\/fut.20276","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,11,15]]}},{"indexed":{"date-parts":[[2025,6,23]],"date-time":"2025-06-23T06:24:36Z","timestamp":1750659876850},"reference-count":30,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4502,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,5]]},"DOI":"10.1002\/fut.3990140303","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:52:54Z","timestamp":1183683174000},"page":"259-273","source":"Crossref","is-referenced-by-count":13,"title":["Forecasting the nearby basis of live cattle"],"prefix":"10.1002","volume":"14","author":[{"given":"Shi\u2010Miin","family":"Liu","sequence":"first","affiliation":[]},{"given":"B. Wade","family":"Brorsen","sequence":"additional","affiliation":[]},{"given":"Charles M.","family":"Oellermann","sequence":"additional","affiliation":[]},{"given":"Apul L.","family":"Farris","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110406"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02649.x"},{"key":"e_1_2_1_4_1","volume-title":"Study of the Effectiveness and Performance of the Chicago Board of Trade Soybean Oil Futures Territorial Delivery Differentials Instituted in December 1986","author":"Chicago Board of Trade","year":"1988"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110506"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911522"},{"key":"e_1_2_1_7_1","unstructured":"Djunaidi H. Brorsen B. W. andTilley D. S.(1993): \u201cCointegration and Causality Tests in the Cocoa Market \u201d Southern Agricultural Economics Association Selected Paper Tulsa OK."},{"key":"e_1_2_1_8_1","unstructured":"Ehrich R. L.(1972): \u201cA Model of Cash and Futures Price Relationships for Deliverable\u2010Quality Beef Cattle \u201d Western Agricultural Economics Association Proceedings pp.91\u201394."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_10_1","unstructured":"Erickson S. P.(1977): \u201cEmpirical Analysis of Price Relationships in the Live Beef Cattle Futures Market: Implications for Primary Producers \u201d Ph.D. Dissertation University of Illinois at Urbana\u2014Champaign."},{"key":"e_1_2_1_11_1","volume-title":"Forecasting Economic Time Series","author":"Granger C. W. J.","year":"1977"},{"key":"e_1_2_1_12_1","volume-title":"Econometric Analysis","author":"Greene W. H.","year":"1993"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349364"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/296144"},{"key":"e_1_2_1_15_1","unstructured":"Ivy C. S.(1978): \u201cIdentification and Analysis of Variables Influencing the Basis of Feeder and Slaughter Cattle \u201d M.S. Thesis Oklahoma State University."},{"key":"e_1_2_1_16_1","unstructured":"Jackson T. E. Zulauf C. R. andIrwin S. H.(1991): \u201cMean Reversion in Agricultural Futures Prices \u201d Applied Commodity Price Analysis Forecasting and Market Risk Management Proceedings of the NCR\u2010134 Conference pp.149\u2013170."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090306"},{"key":"e_1_2_1_18_1","unstructured":"Kimle K. andHayenga M.(1991): \u201cDeveloping a Cash Settlement Price Index for Live Hog Futures \u201d Applied Commodity Price Analysis Forecasting and Market Risk Management Proceedings of the NCR\u2010134 Conference pp.341\u2013357."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130704"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110505"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349316"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243005"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/296137"},{"key":"e_1_2_1_24_1","first-page":"327","article-title":"Cash and Futures Price Relationships for Nonstorable Commodities: An Empirical Analysis Using a General Theory","volume":"13","author":"Naik G.","year":"1988","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_25_1","unstructured":"Naik G.andLeuthold R. M.(1988b): \u201cCash and Futures Price Relationships for Nonstorable Commodities: A Theoretical Analysis \u201d Illinois Agricultural Economics Staff Paper E\u2010403 University of Illinois at Urbana\u2014Champaign Urbana IL."},{"key":"e_1_2_1_26_1","volume-title":"An Evaluation of the Petformance of the Chicago Board of Trade Wheat, Corn, and Soybean Futures Contracts During Delivery Periods from 1964\u201365 Through 1988\u201389","author":"Peck A.","year":"1991"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110604"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241935"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"},{"key":"e_1_2_1_30_1","unstructured":"Trapp J. N. andEilrich F. C.(1991): \u201cAn Analysis of Factors Affecting Oklahoma City Feeder Cattle Basis \u201dApplied Commodity Price Analysis Forecasting and Market Risk Management Proceedings of the NCR\u2010134 Conference pp.180\u2013192."},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140303","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140303","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T07:38:03Z","timestamp":1698219483000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140303"}},"issued":{"date-parts":[[1994,5]]},"references-count":30,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1994,5]]}},"alternative-id":["10.1002\/fut.3990140303"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140303","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,5]]}},{"indexed":{"date-parts":[[2025,9,29]],"date-time":"2025-09-29T00:06:52Z","timestamp":1759104412611,"version":"3.37.0"},"reference-count":31,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2009,7,31]],"date-time":"2009-07-31T00:00:00Z","timestamp":1248998400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,5]]},"abstract":"Abstract<\/jats:title>The gamma class of distributions encompasses several important distributions, either as special or limiting cases or through simple transformations. Here we derived closed form and preference free European option pricing formulae for various (transformed) gamma distributions under the general equilibrium RNVR framework. The gamma class of distributions is used historically in hydrology for modelling natural events. Our models can be used to price derivatives associated with these natural phenomena, which will help to encourage greater risk sharing through financial securitization. Our pricing formulae are theoretically sound even if the underlyings and the derivative instruments are not (frequently) traded. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:409\u2013431, 2010<\/jats:p>","DOI":"10.1002\/fut.20425","type":"journal-article","created":{"date-parts":[[2009,7,31]],"date-time":"2009-07-31T19:36:25Z","timestamp":1249068985000},"page":"409-431","source":"Crossref","is-referenced-by-count":13,"title":["General equilibrium and preference free model for pricing options under transformed gamma distribution"],"prefix":"10.1002","volume":"30","author":[{"given":"Luiz","family":"Vitiello","sequence":"first","affiliation":[]},{"given":"Ser\u2010Huang","family":"Poon","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,31]]},"reference":[{"volume-title":"Essays in the theory of risk\u2010bearing","year":"1971","author":"Arrow K.","key":"e_1_2_1_2_1"},{"doi-asserted-by":"publisher","key":"e_1_2_1_3_1","DOI":"10.1017\/S002210900000199X"},{"doi-asserted-by":"publisher","key":"e_1_2_1_4_1","DOI":"10.1086\/260062"},{"doi-asserted-by":"publisher","key":"e_1_2_1_5_1","DOI":"10.1111\/j.1540-6261.1979.tb02070.x"},{"doi-asserted-by":"publisher","key":"e_1_2_1_6_1","DOI":"10.1111\/1540-6261.00546"},{"doi-asserted-by":"publisher","key":"e_1_2_1_7_1","DOI":"10.1086\/431439"},{"doi-asserted-by":"publisher","key":"e_1_2_1_8_1","DOI":"10.1016\/j.jbankfin.2008.08.017"},{"doi-asserted-by":"publisher","key":"e_1_2_1_9_1","DOI":"10.1016\/j.jmateco.2006.04.008"},{"doi-asserted-by":"publisher","key":"e_1_2_1_10_1","DOI":"10.1007\/s11147-007-9009-3"},{"key":"e_1_2_1_11_1","first-page":"99","article-title":"Option pricing by Esscher transforms","volume":"46","author":"Gerber H.","year":"1994","journal-title":"Transactions of Society of Actuaries"},{"doi-asserted-by":"publisher","key":"e_1_2_1_12_1","DOI":"10.1111\/j.1467-9965.2002.tb00129.x"},{"doi-asserted-by":"publisher","key":"e_1_2_1_13_1","DOI":"10.1111\/j.1540-6261.1993.tb04025.x"},{"volume-title":"Foundations for financial economics","year":"1988","author":"Huang C.","key":"e_1_2_1_14_1"},{"volume-title":"Continuous bivariate distributions, emphasising applications","year":"1990","author":"Hutchinson T.","key":"e_1_2_1_15_1"},{"doi-asserted-by":"crossref","unstructured":"Ikeda M.(2008)Equilibrium preference free pricing of derivatives under generalized beta distributions(Working Paper Series WIF\u201008\u2010001). Waseda University Institute of Finance.","key":"e_1_2_1_16_1","DOI":"10.2139\/ssrn.1101297"},{"key":"e_1_2_1_17_1","first-page":"27","article-title":"The perfume of a premium II","volume":"5","author":"Lane M.","year":"1999","journal-title":"Derivatives Quarterly"},{"key":"e_1_2_1_18_1","first-page":"669","article-title":"Rainfall\u2010frequency mapping for Greece. Physics and Chemistry of the Earth, Part B: Hydrology","volume":"26","author":"Loukas A.","year":"2001","journal-title":"Oceans and Atmosphere"},{"volume-title":"Families of bivariate distributions","year":"1970","author":"Mardia K. V.","key":"e_1_2_1_19_1"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","first-page":"207","DOI":"10.2307\/2983603","article-title":"Sampling from batches","volume":"1","author":"McKay A. T.","year":"1934","journal-title":"Journal of the Royal Statistical Society, Series B"},{"doi-asserted-by":"publisher","key":"e_1_2_1_21_1","DOI":"10.1093\/0199271445.001.0001"},{"doi-asserted-by":"publisher","key":"e_1_2_1_22_1","DOI":"10.2307\/3003264"},{"doi-asserted-by":"publisher","key":"e_1_2_1_23_1","DOI":"10.1111\/j.1540-6261.1983.tb03636.x"},{"doi-asserted-by":"publisher","key":"e_1_2_1_24_1","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"doi-asserted-by":"publisher","key":"e_1_2_1_25_1","DOI":"10.1111\/1540-6288.00012"},{"doi-asserted-by":"publisher","key":"e_1_2_1_26_1","DOI":"10.1111\/j.1540-6261.2004.00702.x"},{"doi-asserted-by":"publisher","key":"e_1_2_1_27_1","DOI":"10.1016\/j.agwat.2005.01.010"},{"doi-asserted-by":"publisher","key":"e_1_2_1_28_1","DOI":"10.1111\/j.1540-6261.1984.tb03869.x"},{"doi-asserted-by":"publisher","key":"e_1_2_1_29_1","DOI":"10.2307\/2981736"},{"doi-asserted-by":"publisher","key":"e_1_2_1_30_1","DOI":"10.3905\/jod.2008.707210"},{"doi-asserted-by":"publisher","key":"e_1_2_1_31_1","DOI":"10.1016\/S0022-1694(01)00374-2"},{"doi-asserted-by":"publisher","key":"e_1_2_1_32_1","DOI":"10.1111\/0022-1082.00069"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20425","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20425","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,11]],"date-time":"2025-02-11T16:02:08Z","timestamp":1739289728000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20425"}},"issued":{"date-parts":[[2009,7,31]]},"references-count":31,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2010,5]]}},"alternative-id":["10.1002\/fut.20425"],"URL":"https:\/\/doi.org\/10.1002\/fut.20425","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2009,7,31]]}},{"indexed":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T17:36:06Z","timestamp":1759512966299},"reference-count":32,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2005,10,19]],"date-time":"2005-10-19T00:00:00Z","timestamp":1129680000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2005,12]]},"abstract":"Abstract<\/jats:title>This article examines the market\u2010impact cost of trades executed in futures markets, which is commonly referred to as slippage<\/jats:italic>. With the use of a unique data set provided by the Sydney Futures Exchange, this article documents that slippage costs incurred in executing packages of trades in stock\u2010index and interest\u2010rate futures markets are significantly smaller than market\u2010impact costs documented previously for equity markets. Furthermore, in contrast to research based on equity markets, there is little evidence that trade packages executed in futures markets convey information, or that purchases and sales behave differently. In fact, the evidence presented in this article implies that slippage in futures markets is entirely a liquidity cost, and symmetrical for purchases and sales. This is consistent with previous work, which conjectures that there is an absence of private information in stock\u2010index and interest\u2010rate futures markets. Finally, analogously to previous research, there is some evidence that trade size and the identity of traders are determinants of slippage; however, these variables explain less than 10% of the total variation in slippage. \u00a9 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1129\u20131146, 2005<\/jats:p>","DOI":"10.1002\/fut.20184","type":"journal-article","created":{"date-parts":[[2005,10,20]],"date-time":"2005-10-20T13:43:56Z","timestamp":1129815836000},"page":"1129-1146","source":"Crossref","is-referenced-by-count":33,"title":["Slippage in futures markets: Evidence from the Sydney Futures Exchange"],"prefix":"10.1002","volume":"25","author":[{"given":"Alex","family":"Frino","sequence":"first","affiliation":[]},{"given":"Teddy","family":"Oetomo","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005,10,19]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20106"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1111"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150606"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10029"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90003-T"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04053.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04819.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00651.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296676"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330769"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/135048599353447"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2362.00072"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02708.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_1_16_1","unstructured":"Ferguson M. Mann S. &Waisburd A.(2005).Discriminating between investor types on the exchange floor(working paper). Cincinnati OH: University of Cincinnati."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20105"},{"key":"e_1_2_1_19_1","volume-title":"Futures and options markets in Australia","author":"Frino A.","year":"2004"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10013"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05225.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/296591"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(90)90013-P"},{"key":"e_1_2_1_24_1","volume-title":"A general formula for the Leamer Bayesian correction for large sample sizes","author":"Johnstone D. J.","year":"2005"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(94)00799-7"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.1"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00031-7"},{"key":"e_1_2_1_28_1","doi-asserted-by":"crossref","first-page":"569","DOI":"10.1111\/j.1540-6261.1972.tb00985.x","article-title":"Price impacts of block trading on the New York Stock Exchange","volume":"27","author":"Krauss A.","year":"1972","journal-title":"Journal of Finance"},{"key":"e_1_2_1_29_1","volume-title":"Specification searches: Ad\u2010hoc inference with nonexperimental data","author":"Leamer E. E.","year":"1978"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.4.1153"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.1.175"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2490874"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.17"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20184","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20184","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T17:23:15Z","timestamp":1694625795000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20184"}},"issued":{"date-parts":[[2005,10,19]]},"references-count":32,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2005,12]]}},"alternative-id":["10.1002\/fut.20184"],"URL":"https:\/\/doi.org\/10.1002\/fut.20184","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005,10,19]]}},{"indexed":{"date-parts":[[2025,9,23]],"date-time":"2025-09-23T13:51:47Z","timestamp":1758635507848,"version":"3.37.3"},"reference-count":52,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2023,11,6]],"date-time":"2023-11-06T00:00:00Z","timestamp":1699228800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,2]]},"abstract":"Abstract<\/jats:title>Leveraging tick\u2010by\u2010tick data, this study provides the first analysis of Shanghai International Energy Exchange (INE) bonded copper futures' performance in market quality and price discovery. In particular, we investigate the effects of the market opening (listing of INE bonded copper futures) on Shanghai Futures Exchange (SHFE) copper futures' market quality and price discovery. Our results show that the market quality and price discovery of INE bonded copper futures in the first year of the listing is not promising. Our synthetic control method results suggest that market openness does not significantly reduce SHFE copper futures' market quality in terms of activity, liquidity, and volatility. Moreover, market openness does not significantly reduce the SHFE copper futures' price discovery effectiveness. Overall, the performance of new INE bonded copper futures needs improvement, while its listing did not disrupt SHFE copper futures. Our results suggest that a dual\u2010contract mode is an alternative option for internationalization in China's commodity futures markets.<\/jats:p>","DOI":"10.1002\/fut.22473","type":"journal-article","created":{"date-parts":[[2023,11,6]],"date-time":"2023-11-06T10:26:11Z","timestamp":1699266371000},"page":"281-301","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3933-9119","authenticated-orcid":false,"given":"Tao","family":"Xiong","sequence":"first","affiliation":[{"name":"School of Agricultural Economics and Rural Development Renmin University of China Beijing China"},{"name":"College of Economics and Management Huazhong Agricultural University Wuhan China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6948-1824","authenticated-orcid":false,"given":"Miao","family":"Li","sequence":"additional","affiliation":[{"name":"College of Economics and Management Huazhong Agricultural University Wuhan China"}]}],"member":"311","published-online":{"date-parts":[[2023,11,6]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21760"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2006.01.004"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2010.08.008"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00220"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.worlddev.2010.06.016"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01313.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.10.006"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi028"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00335"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1057-5219(99)00003-4"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00017-9"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2020.101429"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22087"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.07.003"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.011"},{"key":"e_1_2_9_18_1","unstructured":"Futures Industry Association (FIA). (2020).China opens futures markets further to outside world.https:\/\/www.fia.org\/marketvoice\/articles\/china-opens-futures-markets-further-outside-world"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.07.004"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2021.08.003"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00606.x"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp001"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00608.x"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00073-8"},{"key":"e_1_2_9_28_1","unstructured":"INE. (2021).Bonded copper futures Q&A.https:\/\/www.ine.com.cn\/eng\/market\/futures\/metal\/bc\/materials\/index.html"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2008.05.003"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gloenvcha.2018.02.008"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12497"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn089"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103297"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resconrec.2017.07.046"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asieco.2021.101370"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20308"},{"issue":"2","key":"e_1_2_9_38_1","first-page":"985","article-title":"Stock market liberalization and innovation","volume":"129","author":"Moshirian F.","year":"2021","journal-title":"The Journal of Finance"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1080\/1226508X.2016.1198921"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2012.11.005"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2009.10.004"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.07.014"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.100.2.388"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.07.003"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resconrec.2014.03.007"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gfj.2005.04.001"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2005.11.001"},{"key":"e_1_2_9_48_1","doi-asserted-by":"crossref","unstructured":"Wang G. H. K. &Ates A.(2004).When size matters: The case of equity index futures(Working Paper). Available at SSRN:https:\/\/ssrn.com\/abstract=497502","DOI":"10.2139\/ssrn.497502"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.joep.2006.06.007"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21984"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21969"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1111\/jfir.12210"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22179"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22473","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,18]],"date-time":"2024-01-18T12:30:45Z","timestamp":1705581045000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22473"}},"issued":{"date-parts":[[2023,11,6]]},"references-count":52,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2024,2]]}},"alternative-id":["10.1002\/fut.22473"],"URL":"https:\/\/doi.org\/10.1002\/fut.22473","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2023,11,6]]},"assertion":[{"value":"2023-06-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-10-16","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-11-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,19]],"date-time":"2025-10-19T21:21:05Z","timestamp":1760908865111},"reference-count":25,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2014,2,20]],"date-time":"2014-02-20T00:00:00Z","timestamp":1392854400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,2]]},"abstract":"The effectiveness of a currency overlay hedge for a global equity portfolio can be significantly affected by changes in the base currency. Base currency changes have no significant effect on the hedged portfolio risk; however, they may substantially increase or decrease risk relative to the unhedged position. Australian (AUD) and Canadian (CAD) forwards provide effective cross\u2010hedging, particularly in combination with one or two other currency hedges. Hedge effectiveness is significantly improved by allowing for natural hedges via a dynamic approach that captures structural change and permits under\u2010hedging of currency exposures. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:186\u2013200, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21662","type":"journal-article","created":{"date-parts":[[2014,2,23]],"date-time":"2014-02-23T06:52:43Z","timestamp":1393138363000},"page":"186-200","source":"Crossref","is-referenced-by-count":7,"title":["Currency Overlay for Global Equity Portfolios: Cross\u2010Hedging and Base Currency"],"prefix":"10.1002","volume":"35","author":[{"given":"Wei","family":"Opie","sequence":"first","affiliation":[{"name":"Wei Opie is a lecturer at the School of Accounting, Economics and Finance, Faculty of Business and Law Deakin University Burwood Victoria Australia"}]},{"given":"Jonathan","family":"Dark","sequence":"additional","affiliation":[{"name":"Jonathan Dark is a senior lecturer at the Department of Finance The University of Melbourne Victoria Australia"}]}],"member":"311","published-online":{"date-parts":[[2014,2,20]]},"reference":[{"key":"e_1_2_6_2_1","first-page":"7","article-title":"The individuality of \u2018universal\u2019 hedging","volume":"46","author":"Adler M.","year":"1990","journal-title":"Financial Analysts Journal"},{"key":"e_1_2_6_3_1","unstructured":"Allen D. E. McAleer M. Powell R. J. &Singh A. K.(2013). Volatility spillovers from the US to Australia and China across the GFC. Tinbergen Institute Discussion Paper No. 13\u2010009\/III http:\/\/nbn\u2010resolving.de\/urn:NBN:nl:ui:15\u20101765\/38232"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n4.16"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05111.x"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01524.x"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbl005"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_6_9_1","doi-asserted-by":"crossref","unstructured":"Engle R. F. &Sheppard K.(2001). Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. NBER Working paper p 8554.","DOI":"10.3386\/w8554"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02597.x"},{"key":"e_1_2_6_11_1","first-page":"222","article-title":"Investor diversification and international equity markets","volume":"81","author":"French K. R.","year":"1991","journal-title":"The American Economic Review"},{"key":"e_1_2_6_12_1","doi-asserted-by":"crossref","unstructured":"Froot K. A.(1993). Currency hedging over long horizons. NBER Working paper p 4355.","DOI":"10.3386\/w4355"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00018-2"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v51.n3.1900"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jam.2240102"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296296"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v50.n3.48"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00136"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003884"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00159-X"},{"key":"e_1_2_6_23_1","first-page":"419","article-title":"Dynamic currency hedging for international stock portfolios","volume":"20","author":"Opie W.","year":"2012","journal-title":"Review of Futures Markets"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n3.45"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(74)90024-6"},{"key":"e_1_2_6_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9396.1993.tb00014.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21662","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21662","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T07:02:12Z","timestamp":1696575732000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21662"}},"issued":{"date-parts":[[2014,2,20]]},"references-count":25,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2015,2]]}},"alternative-id":["10.1002\/fut.21662"],"URL":"https:\/\/doi.org\/10.1002\/fut.21662","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,2,20]]}},{"indexed":{"date-parts":[[2025,10,19]],"date-time":"2025-10-19T21:13:24Z","timestamp":1760908404353},"reference-count":25,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4014,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,9]]},"DOI":"10.1002\/fut.3990150602","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T06:48:34Z","timestamp":1183704514000},"page":"605-615","source":"Crossref","is-referenced-by-count":19,"title":["Finnish turn\u2010of\u2010the\u2010month effects: Returns, volume, and implied volatiliy"],"prefix":"10.1002","volume":"15","author":[{"given":"Teppo","family":"Martikainen","sequence":"first","affiliation":[]},{"given":"Jukka","family":"Perttunen","sequence":"additional","affiliation":[]},{"given":"Vesa","family":"Puttonen","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02614.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90066-3"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Barone E.(1990 February): \u201cThe Italian Stock Market: Efficiency and Calendar Anomalies.\u201d Working paper. Centre for Research in Finance. IMI Group No 1.","DOI":"10.2139\/ssrn.512503"},{"issue":"4","key":"e_1_2_1_5_1","first-page":"730","article-title":"The Impact of Ownership Restrictions on Stock Price Dynamics","volume":"13","author":"Booth G. G.","year":"1994","journal-title":"Review of World Economics"},{"key":"e_1_2_1_6_1","volume-title":"Turn\u2010of\u2010The\u2010Month and Pre\u2010Holiday Effects on Stock Returns. Some International Evidence","author":"Cadsby C. B.","year":"1991"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_1_8_1","first-page":"283","article-title":"Seasonal Effects in the Value Line and S&P 500 Cash and Futures Returns","volume":"10","author":"Cinar E. M.","year":"1991","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130503"},{"key":"e_1_2_1_10_1","unstructured":"Finnish Options Market (1993 January): \u201cAn Introduction to Finnish Options Index FOX.\u201d"},{"key":"e_1_2_1_11_1","volume-title":"The Turn\u2010of\u2010The\u2010Month Effect in The S&P 500, 1928\u20131992","author":"Hensel C. R.","year":"1993"},{"key":"e_1_2_1_12_1","unstructured":"Hensel C. R. Sick G. A. andZiemba W. T.(1994): \u201cThe Turn\u2010of\u2010the\u2010Month Effect in the U.S. Stock Index Futures Markets 1982\u20131993 \u201d Review of Futures Markets (forthcoming)."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(89)90062-9"},{"key":"e_1_2_1_14_1","first-page":"143","article-title":"The Behavior of Intraday Stock Index Futures Prices","volume":"2","author":"Keim D. B.","year":"1987","journal-title":"Advances in Options and Futures Research"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05089.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.4.403"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1988.409139"},{"key":"e_1_2_1_18_1","first-page":"41","article-title":"The Turn\u2010of\u2010the\u2010Month Effect in the World's Stock Markets, January 1988\u2014January 1990","volume":"8","author":"Martikainen T.","year":"1994","journal-title":"Financial Markets and Portfolio Management"},{"key":"e_1_2_1_19_1","unstructured":"Martikainen T. andPuttonen V.(1993 August): \u201cWhy a Tuesday Effect?\u201d Paper presented at the meeting of the European Finance Association Copenhagen."},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb02435.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90039-0"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130606"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb02315.x"},{"key":"e_1_2_1_24_1","volume-title":"Research on Pacific Basin Security Markets","author":"Ziemba W. T.","year":"1989"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0922-1425(91)90001-S"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0377-2217(94)90092-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150602","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150602","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:26:54Z","timestamp":1698287214000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150602"}},"issued":{"date-parts":[[1995,9]]},"references-count":25,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1995,9]]}},"alternative-id":["10.1002\/fut.3990150602"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150602","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,9]]}},{"indexed":{"date-parts":[[2025,11,4]],"date-time":"2025-11-04T23:00:31Z","timestamp":1762297231993},"reference-count":30,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4532,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,4]]},"DOI":"10.1002\/fut.3990140208","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:57:37Z","timestamp":1183683457000},"page":"237-258","source":"Crossref","is-referenced-by-count":15,"title":["The cost of hedging and the optimal hedge ratio"],"prefix":"10.1002","volume":"14","author":[{"given":"Charles T.","family":"Howard","sequence":"first","affiliation":[]},{"given":"Louis J.","family":"D'Antonio","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"issue":"6","key":"e_1_2_1_2_1","first-page":"1182","article-title":"Cross Hedging","volume":"89","author":"Anderson R. W.","year":"1981","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050113"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Bodie Z. andRosansky V. I.(1980): \u201cRisk and Return in Commodity Futures \u201d Financial Analysts Journal (May\/June):27\u201339.","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_5_1","unstructured":"Brennan M. J.(1958): \u201cThe Supply of Storage \u201dThe American Economic Review March:50\u201372."},{"key":"e_1_2_1_6_1","first-page":"33","volume-title":"Stochastic Models and Option Values","author":"Brennan M. J.","year":"1991"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/261148"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Cecchetti S. G. Cumby R. E. andFiglewski S.(1988): \u201cEstimation of the Optimal Futures Hedge \u201d The Review of Economics and Statistics Fall:623\u2013630.","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Chang E. C.(1985): \u201cReturns to Speculators and the Theory of Normal Backwardation \u201dThe Journal of Finance March:193\u2013208.","DOI":"10.1111\/j.1540-6261.1985.tb04944.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Cootner P. H.(1960): \u201cReturns to Speculators: Telser vs. Keynes \u201dJournal of Political Economy August:396\u2013404.","DOI":"10.1086\/258347"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Dusak K.(1973): \u201cFutures Trading and Investor Returns\u2014An Investigation of Commodity Market Risk Premiums \u201dJournal of Political Economy November\/December:1387\u20131406.","DOI":"10.1086\/260133"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Ederington L. J.(1979): \u201cThe Hedging Performance of the New Futures Market \u201dJournal of Finance March:157\u2013170.","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070104"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Fama E. F. andFrench K. R.(1992): \u201cThe Cross\u2010Section of Expected Stock Returns \u201dJournal of Finance June:427\u2013465.","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Fama E. F. andFrench K. R.(1988): \u201cBusiness Cycles and the Behavior of Metals Prices \u201dThe Journal of Finance December:1075\u20131093.","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_17_1","first-page":"71","volume-title":"Journal of Political Economy, (June), Reprinted in Selected Writings on Futures Markets","author":"Gray R. W.","year":"1961"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/261516"},{"key":"e_1_2_1_19_1","first-page":"1","article-title":"Is Risk Aversion a Theoretical Diversion","volume":"7","author":"Hartzmark M. L.","year":"1988","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","unstructured":"Hirshleifer D.(1988): \u201cRisk Futures Pricing and the Organization of Production in Commodity Markets \u201dJournal of Political Economy 1206\u20131220.","DOI":"10.1086\/261584"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Howard C. T. andD'Antonio L. J.(1984): \u201cA Risk\u2010Return Measure of Hedging Effectiveness \u201dJournal of Financial and Quantitative Analysis March:101\u2013112.","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Howard C. T. andD'Antonio L. J.(1986): \u201cTreasury Bill Futures as a Hedging Tool: A Risk\u2010Return Approach \u201dJournal of Financial Research Spring:25\u201339.","DOI":"10.1111\/j.1475-6803.1986.tb00433.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"crossref","unstructured":"Howard C. T. andD'Antonio L. J.(1987): \u201cA Risk\u2010Return Measure of Hedging Effectiveness: A Reply \u201dJournal of Financial and Quantitative Analysis September:377\u2013381.","DOI":"10.2307\/2330972"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120108"},{"key":"e_1_2_1_26_1","unstructured":"Maddala G. S. andYoo J.(1990): \u201cRisk Premia and Price Volatility in Futures Markets \u201d Center for the Study of Futures Markets Working Paper 205 Columbia University."},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/261215"},{"issue":"2","key":"e_1_2_1_28_1","first-page":"193","article-title":"Hedging Your Advise: Do Portfolio Models Explain Hedging?","author":"Peck A. E.","year":"1989","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_29_1","volume-title":"Futures Markets","author":"Siegel D. R.","year":"1990"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","unstructured":"Telser L. G.(1958): \u201cFutures Trading and the Storage of Cotton and Wheat \u201dJournal of Political Economy June:233\u2013255.","DOI":"10.1086\/258036"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140208","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140208","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T07:01:46Z","timestamp":1698217306000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140208"}},"issued":{"date-parts":[[1994,4]]},"references-count":30,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1994,4]]}},"alternative-id":["10.1002\/fut.3990140208"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140208","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,4]]}},{"indexed":{"date-parts":[[2026,1,13]],"date-time":"2026-01-13T14:28:37Z","timestamp":1768314517894,"version":"3.49.0"},"reference-count":63,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2024,12,30]],"date-time":"2024-12-30T00:00:00Z","timestamp":1735516800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,2]]},"abstract":"ABSTRACT<\/jats:title>This paper investigates the interdependence between economic policy uncertainty (EPU) and implied market volatility using a Bayesian copula network. The results indicate that market\u2010implied volatilities serve as more reliable forward\u2010looking indicators of uncertainty compared to newspaper\u2010based EPU. Through a complex partial wavelet coherence approach, the study further explores the dynamic interdependence between these variables, revealing the specific time\u2010domain patterns of their effects on economic uncertainty and the conditions under which they can be distinguished as measures of risk aversion and ambiguity aversion. Notably, the findings suggest that, in the short time scales, the media tends to generate ambiguity, contributing to belief divergence among market participants. However, over longer time scales, EPU increasingly reflects economic uncertainty. These insights are valuable for gaining a deeper understanding of the media's role in conveying information and the behavioral traits influencing economic decision\u2010making.<\/jats:p>","DOI":"10.1002\/fut.22558","type":"journal-article","created":{"date-parts":[[2024,12,30]],"date-time":"2024-12-30T13:08:52Z","timestamp":1735564132000},"page":"143-157","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":8,"title":["From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3112-1115","authenticated-orcid":false,"given":"Lu","family":"Yang","sequence":"first","affiliation":[{"name":"College of Economics Shenzhen University Shenzhen China"}]}],"member":"311","published-online":{"date-parts":[[2024,12,30]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1159"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeca.2019.e00133"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_11_5_1","first-page":"1","article-title":"Dealing With the Next Downturn: From Unconventional Monetary Policy to Unprecedented Policy Coordination","volume":"105","author":"Bartsch E.","year":"2019","journal-title":"Macro and Market Perspectives"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.102067"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.008"},{"key":"e_1_2_11_8_1","volume-title":"Non\u2010Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (No. w1054)","author":"Bernanke B. S.","year":"1983"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2019.05.008"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.05.011"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1007\/s40822-023-00234-y"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2044"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2020.100841"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2022.2140115"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2015.01.005"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2021.119930"},{"key":"e_1_2_11_18_1","first-page":"1","article-title":"Copula Bayesian Networks","volume":"23","author":"Elidan G.","year":"2010","journal-title":"Advances in Neural Information Processing Systems"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01314.x"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10690-023-09410-1"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.105684"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-022-00361-6"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.5194\/npg-11-561-2004"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2021.2018125"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102991"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.5194\/hess-25-321-2021"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2021.101324"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2016.04.022"},{"key":"e_1_2_11_29_1","volume-title":"The Spectral Analysis of Time Series","author":"Koopmans L. H.","year":"1974"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2008.10.013"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2022.2130086"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/infi.12049"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfac031"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.07.002"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2023.101825"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.101046"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2020.101357"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gfj.2022.100779"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2021.102355"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2023.101970"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmarsys.2009.01.021"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2020.100656"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2024.102368"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2020.101438"},{"key":"e_1_2_11_45_1","volume-title":"An Introduction to Copulas","author":"Nelsen R. B.","year":"2006"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ins.2020.07.063"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.08.007"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2018.08.014"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1177\/0972150920919371"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomtc\/ujad042"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2024.102197"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2023.102829"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1175\/1520-0477(1998)079<0061:APGTWA>2.0.CO;2"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102306"},{"key":"e_1_2_11_55_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_11_56_1","doi-asserted-by":"publisher","DOI":"10.3905\/JPM.2009.35.3.098"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2024.102303"},{"key":"e_1_2_11_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103533"},{"key":"e_1_2_11_59_1","article-title":"Copula Variational LSTM for High\u2010Dimensional Cross\u2010Market Multivariate Dependence Modeling","volume":"2035","author":"Xu J.","year":"2023","journal-title":"IEEE Transactions on Neural Networks and Learning Systems"},{"key":"e_1_2_11_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.01.006"},{"key":"e_1_2_11_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2016.01.022"},{"key":"e_1_2_11_62_1","first-page":"1","article-title":"Short\u2010And Long\u2010Run Cross\u2010Border European Sustainability Interdependences","author":"Yfanti S.","year":"2024","journal-title":"Annals of Operations Research"},{"key":"e_1_2_11_63_1","doi-asserted-by":"publisher","DOI":"10.1002\/prs.11889"},{"key":"e_1_2_11_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2022.07.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22558","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,1,7]],"date-time":"2025-01-07T09:37:28Z","timestamp":1736242648000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22558"}},"issued":{"date-parts":[[2024,12,30]]},"references-count":63,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2025,2]]}},"alternative-id":["10.1002\/fut.22558"],"URL":"https:\/\/doi.org\/10.1002\/fut.22558","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,12,30]]},"assertion":[{"value":"2024-07-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-12-06","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-12-30","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T12:23:19Z","timestamp":1759666999099},"reference-count":54,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2007,2,13]],"date-time":"2007-02-13T00:00:00Z","timestamp":1171324800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,4]]},"abstract":"Abstract<\/jats:title>A dynamic trader problem under uncertain demand is presented and spatial and temporal arbitrage conditions derived from first\u2010order conditions. A time\u2010varying storage premium that explains backwardation and inverse carrying charges independent of risk\u2010aversion, stockouts, or convenience is developed. Random\u2010returns and cost\u2010of\u2010carry models are expressed as special conditions of the derived model. An applied composite\u2010error model is estimated using data from the London Metal Exchange's copper contract. Predictions of the model are tested against well\u2010known alternatives. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:305\u2013336, 2007<\/jats:p>","DOI":"10.1002\/fut.20249","type":"journal-article","created":{"date-parts":[[2007,2,13]],"date-time":"2007-02-13T16:45:30Z","timestamp":1171385130000},"page":"305-336","source":"Crossref","is-referenced-by-count":6,"title":["On inverse carrying charges and spatial arbitrage"],"prefix":"10.1002","volume":"27","author":[{"given":"Donald F.","family":"Larson","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,2,13]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/00220389708422479"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243220"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(82)90012-6"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90017-R"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.1997.tb00004.x"},{"key":"e_1_2_1_7_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331251"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/0002-9092.00023"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01076978"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4615-5493-6"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297923"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1907907"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0072(01)01008-8"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2525948"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1244322"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20144"},{"key":"e_1_2_1_21_1","volume-title":"Optimal stockpiling of grain","author":"Gardner B. L.","year":"1979"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_1_23_1","first-page":"431","article-title":"The Chicago wheat futures market: Recent problems in historical perspective","volume":"44","author":"Gray R.W.","year":"1981","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_24_1","unstructured":"Gustafson R. L.(1958).Carryover levels for grains: A method for determining amounts that are optimal under specified conditions(Technical Bulletin No. 1178). Washington DC: U.S. Department of Agriculture."},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10036"},{"key":"e_1_2_1_26_1","first-page":"136","volume-title":"Value and capital","author":"Hicks J. R.","year":"1946"},{"key":"e_1_2_1_27_1","unstructured":"Higginbotham H.(1976).The demand for hedging in grain futures markets. Unpublished doctoral dissertation University of Chicago Chicago IL."},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1928531"},{"key":"e_1_2_1_29_1","volume-title":"Influence of certified stocks on spot\u2010futures price relationships for cotton (USDA Technical Bulletin 1151)","author":"Howell L. D.","year":"1956"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","first-page":"1199","DOI":"10.1111\/j.1540-6261.1982.tb03612.x","article-title":"Rational expectations and risk premia in forward markets: Primary metals at the London Metal Exchange","volume":"35","author":"Hsieh D. A.","year":"1982","journal-title":"Journal of Finance"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_1_32_1","series-title":"A treatise on money","first-page":"142","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199609)16:6<631::AID-FUT2>3.0.CO;2-G"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1907301"},{"key":"e_1_2_1_35_1","volume-title":"Stochastic frontier analysis","author":"Kumbhakar S. C.","year":"2003"},{"key":"e_1_2_1_36_1","volume-title":"The new Palgrave dictionary of money and finance","author":"Malliaris A. G.","year":"1992"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1080\/713666159"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"e_1_2_1_40_1","first-page":"283","article-title":"Spatial price equilibrium and linear programming","volume":"42","author":"Samuelson P. A.","year":"1952","journal-title":"American Economic Review"},{"key":"e_1_2_1_41_1","first-page":"181","article-title":"Intertemporal price equilibrium","volume":"79","author":"Samuelson P. A.","year":"1957","journal-title":"Welwirtschaftliches Archiv, Band"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(84)90058-7"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(80)90042-1"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.2307\/1236540"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060404"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241935"},{"key":"e_1_2_1_49_1","volume-title":"The dynamics of the world cocoa market","author":"Weymar F. H.","year":"1968"},{"key":"e_1_2_1_50_1","doi-asserted-by":"publisher","DOI":"10.2307\/1882611"},{"key":"e_1_2_1_51_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511571855"},{"key":"e_1_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_1_53_1","first-page":"79","volume-title":"Selected writing of Holbrook Working","author":"Working H.","year":"1977"},{"key":"e_1_2_1_54_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090102"},{"key":"e_1_2_1_55_1","first-page":"342","volume-title":"Markets, market control and marketing reform","author":"Yamey B. S.","year":"1968"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20249","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20249","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T20:59:39Z","timestamp":1699995579000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20249"}},"issued":{"date-parts":[[2007,2,13]]},"references-count":54,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2007,4]]}},"alternative-id":["10.1002\/fut.20249"],"URL":"https:\/\/doi.org\/10.1002\/fut.20249","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,2,13]]}},{"indexed":{"date-parts":[[2025,10,25]],"date-time":"2025-10-25T11:45:38Z","timestamp":1761392738194},"reference-count":15,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5601,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,5]]},"DOI":"10.1002\/(sici)1096-9934(200005)20:5<467::aid-fut4>3.0.co;2-l","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T04:06:00Z","timestamp":1030248360000},"page":"467-487","source":"Crossref","is-referenced-by-count":51,"title":["The lead-lag relationship between equities and stock index futures markets around information releases"],"prefix":"10.1002","volume":"20","author":[{"given":"Alex","family":"Frino","sequence":"first","affiliation":[]},{"given":"Terry","family":"Walter","sequence":"additional","affiliation":[]},{"given":"Andrew","family":"West","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB1","author":"Aitken","year":"1997","unstructured":"& (1997). The effect of information motivated trading halts on price discovery: Evidence from the australian stock exchange. Working Paper, University of Sydney, 1-25."},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB2","doi-asserted-by":"crossref","first-page":"457","DOI":"10.1002\/fut.3990150405","volume":"15","author":"Abhyankar","year":"1995","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB3","doi-asserted-by":"crossref","first-page":"1765","DOI":"10.1111\/j.1540-6261.1991.tb04643.x","volume":"46","author":"Amihud","year":"1991","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB4","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB5","doi-asserted-by":"crossref","first-page":"395","DOI":"10.1002\/fut.3990150403","volume":"15","author":"Crain","year":"1995","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB6","doi-asserted-by":"crossref","first-page":"1161","DOI":"10.1111\/j.1540-6261.1993.tb04750.x","volume":"48","author":"Ederington","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB7","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H","volume":"16","author":"Flemming","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB8","doi-asserted-by":"crossref","first-page":"1127","DOI":"10.1111\/j.1540-6261.1994.tb02450.x","volume":"49","author":"Glosten","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB9","doi-asserted-by":"crossref","first-page":"166","DOI":"10.1006\/jfin.1994.1002","volume":"3","author":"Grunbichler","year":"1994","journal-title":"Journal of Financial Intermediation"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB10","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1111\/j.1540-6261.1989.tb02405.x","volume":"44","author":"Harris","year":"1989","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB11","doi-asserted-by":"crossref","first-page":"183","DOI":"10.1111\/j.1540-6261.1994.tb04425.x","volume":"49","author":"Lee","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB12","author":"Friedman","year":"1997","unstructured":"& (1997). The matching market institution: A laboratory investigation. Paper presented at the Econometric Society, ASSA Convention 1997."},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB13","doi-asserted-by":"crossref","first-page":"405","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M","volume":"16","author":"Shyy","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB14","doi-asserted-by":"crossref","first-page":"441","DOI":"10.2307\/2331010","volume":"25","author":"Stoll","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L-BIB15","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/1912934","volume":"48","author":"White","year":"1980","journal-title":"Econometrica"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200005)20:5%3C467::AID-FUT4%3E3.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(200005)20:5%3C467::AID-FUT4%3E3.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:17:21Z","timestamp":1625134641000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L"}},"issued":{"date-parts":[[2000,5]]},"references-count":15,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2000,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200005)20:5<467::aid-fut4>3.0.co;2-l","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,5]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T11:00:27Z","timestamp":1761562827659,"version":"3.37.3"},"reference-count":30,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2021,10,28]],"date-time":"2021-10-28T00:00:00Z","timestamp":1635379200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"publisher","award":["JBK2101016"],"award-info":[{"award-number":["JBK2101016"]}],"id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,3]]},"abstract":"Abstract<\/jats:title>We examine whether, and to what extent, a rational expectation storage model can be used to explain the US\u00a0Department of Agriculture (USDA) ending stocks forecast errors for corn, soybean, and wheat. We show there is a predictable component of forecast errors from 1980\/81 to 2018\/19 that can partially be explained by the temporal basis and monthly stocks, two important factors from a rational expectation storage model that codetermines carry. The USDA ending stocks forecasts can be improved by 7.1%, 7.2%, and 4.5% for corn, soybean, and wheat, respectively. The improvement is most significant when the last year's carry is small.<\/jats:p>","DOI":"10.1002\/fut.22282","type":"journal-article","created":{"date-parts":[[2021,10,28]],"date-time":"2021-10-28T19:35:38Z","timestamp":1635449738000},"page":"313-337","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8601-3114","authenticated-orcid":false,"given":"Tianyang","family":"Zhang","sequence":"first","affiliation":[{"name":"Wenlan School of Business Zhongnan University of Economics and Law Wuhan Hubei China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7522-2682","authenticated-orcid":false,"given":"Ziran","family":"Li","sequence":"additional","affiliation":[{"name":"School of Public Finance and Taxation Southwestern University of Finance and Economics Chengdu Sichuan China"}]}],"member":"311","published-online":{"date-parts":[[2021,10,28]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aar131"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aay018"},{"key":"e_1_2_9_4_1","unstructured":"Alumbaugh J.(2016).For soybeans it's all about the weather. porknetwork. July 18. Available from\u00a0http:\/\/www.porknetwork.com\/news\/soybeans-it%e2%80%99s-all-aboutweather"},{"key":"e_1_2_9_5_1","unstructured":"Barchart CBOT futures prices Data repository; Retrieved fromhttps:\/\/www.barchart.com\/"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/ajae.12142"},{"key":"e_1_2_9_7_1","unstructured":"Botto A. C. Isengildina O. Irwin S. H. &Good D. L.(2006).Accuracy trends and sources of forecast errors in WASDE balance sheet categories for corn and soybeans(Technical report)."},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1214\/06-BA117A"},{"key":"e_1_2_9_10_1","unstructured":"Good D. &Irwin S.(2014).Accuracy of USDA forecasts of corn ending stocks. farmdocdaily 4."},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/ajae.12013"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/wber\/lht018"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12204"},{"key":"e_1_2_9_14_1","unstructured":"Irwin S. Good D. &Newton J.(2014).Do big corn crops always get bigger? farmdocdaily 4(70\u20102016\u2010194)."},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0002-9092.2004.00648.x"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2006.00918.x"},{"issue":"2","key":"e_1_2_9_17_1","first-page":"262","article-title":"The value of USDA situation and outlook information in hog and cattle markets","volume":"31","author":"Isengildina O.","year":"2006","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800027991"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/agr.20174"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2013.818213"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21884"},{"key":"e_1_2_9_22_1","unstructured":"Lusk J. L.(2016).From farm income to food consumption: Valuing USDA data products(C\u2010FARE Reports 266593). Council on Food Agricultural and Resource Economics (CFARE)."},{"issue":"1","key":"e_1_2_9_23_1","first-page":"114","article-title":"USDA production forecasts for pork, beef, and broilers: An evaluation","volume":"27","author":"Sanders D. R.","year":"2002","journal-title":"Journal of Agricultural and Resource Economics"},{"issue":"2","key":"e_1_2_9_24_1","first-page":"316","article-title":"USDA livestock price forecasts: A comprehensive evaluation","volume":"28","author":"Sanders D. R.","year":"2003","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_9_25_1","unstructured":"United States Department of Agriculture National Agricultural Statistics Service Data repository; Retrieved fromhttps:\/\/www.nass.usda.gov\/"},{"volume-title":"Understanding USDA crop forecasts","year":"1999","author":"Vogel F.","key":"e_1_2_9_26_1"},{"key":"e_1_2_9_27_1","first-page":"515","article-title":"Trends in the accuracy of USDA production forecasts for beef and pork","volume":"23","author":"Von Bailey D.","year":"1998","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_9_28_1","unstructured":"World Agricultural Supply and Demand Estimates (WASDE) published by the World Agricultural Outlook Board (WAOB) Data repository; retrieved fromhttps:\/\/www.usda.gov\/oce\/commodity\/wasde"},{"key":"e_1_2_9_29_1","unstructured":"Xiao J.(2015).Essays on the forecasts of ending stocks. Graduate Theses and Dissertations. 14895.https:\/\/lib.dr.iastate.edu\/etd\/14895"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppx023"},{"key":"e_1_2_9_31_1","doi-asserted-by":"crossref","unstructured":"Zhang T.(2019).Trading activity in commodity futures and options markets. Available from SSRN:https:\/\/ssrn.com\/abstract=3542967","DOI":"10.2139\/ssrn.3542967"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22282","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22282","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22282","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T02:49:00Z","timestamp":1693190940000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22282"}},"issued":{"date-parts":[[2021,10,28]]},"references-count":30,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2022,3]]}},"alternative-id":["10.1002\/fut.22282"],"URL":"https:\/\/doi.org\/10.1002\/fut.22282","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,10,28]]},"assertion":[{"value":"2021-04-07","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-10-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-10-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:32:53Z","timestamp":1761561173138},"reference-count":15,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5079,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,10]]},"DOI":"10.1002\/fut.3990120508","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:46:31Z","timestamp":1183664791000},"page":"575-585","source":"Crossref","is-referenced-by-count":3,"title":["Impact of the price adjustment process and trading noise on return patterns of grain futures"],"prefix":"10.1002","volume":"12","author":[{"given":"Shi\u2010Miin","family":"Liu","sequence":"first","affiliation":[]},{"given":"Sarahelen","family":"Thompson","sequence":"additional","affiliation":[]},{"given":"Paul","family":"Newbold","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04567.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04513.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1271080"},{"key":"e_1_2_1_6_1","unstructured":"Brorsen B. W. andNielsen R.(1986): \u201cLiquidity Costs in the Corn Futures Markets\u201d Presented at American Agricultural Economic Association Summer Meetings Reno NV."},{"key":"e_1_2_1_7_1","volume-title":"The Microstructure of Securities Markets","author":"Cohen K.","year":"1986"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb04385.x"},{"key":"e_1_2_1_9_1","volume-title":"Statistical Methods for Research Workers","author":"Fisher R. A.","year":"1970"},{"key":"e_1_2_1_10_1","volume-title":"Forecasting Economic Time Series","author":"Granger C. W. J.","year":"1986"},{"key":"e_1_2_1_11_1","unstructured":"Gray R. W.(1979): \u201cComments on \u2018A Re\u2010examination of Price Changes in the Commodity Futures Markets\u2019 by Martell and Helms \u201d in Chicago Board of Trade International Futures Trading Seminar: Proceedings Chicago vol. 5 pp.153\u2013154."},{"key":"e_1_2_1_12_1","first-page":"16","article-title":"The Price Adjustment Process and Efficiency of Grain Futures Markets Implied by Return Series of Various Time Intervals","volume":"10","author":"Liu S.","year":"1990","journal-title":"The Review of Futures Markets"},{"key":"e_1_2_1_13_1","unstructured":"Trevino R. C. andMartell T. F.(January 1984): \u201cThe Intraday Behavior of Commodity Futures Prices\u201d Working Paper #CSFM\u201071 Columbia Center for the Study of Futures Markets New York."},{"key":"e_1_2_1_14_1","unstructured":"Working H.(1954): \u201cPrice Effects of Scalping and Day Trading\u201d as reprinted in Working (1977) pp.181\u2013194."},{"key":"e_1_2_1_15_1","unstructured":"Working H.(1967): \u201cTests of a Theory Concerning Floor Trading on Commodity Exchanges\u201d as reprinted in Working (1977) pp.195\u2013239."},{"key":"e_1_2_1_16_1","volume-title":"Selected Writings of Holbrook Working","author":"Peck A. E.","year":"1977"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120508","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120508","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:14:44Z","timestamp":1698059684000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120508"}},"issued":{"date-parts":[[1992,10]]},"references-count":15,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1992,10]]}},"alternative-id":["10.1002\/fut.3990120508"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120508","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,10]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T18:59:33Z","timestamp":1771009173605,"version":"3.50.1"},"reference-count":8,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5868,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,8]]},"DOI":"10.1002\/fut.3990100405","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:23:56Z","timestamp":1183645436000},"page":"367-375","source":"Crossref","is-referenced-by-count":39,"title":["Premiums on stock index futures\u2010some evidence"],"prefix":"10.1002","volume":"10","author":[{"given":"Swati","family":"Bhatt","sequence":"first","affiliation":[]},{"given":"Nusret","family":"Cakici","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080305"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030102"},{"issue":"2","key":"e_1_2_1_4_1","doi-asserted-by":"crossref","first-page":"675","DOI":"10.1111\/j.1540-6261.1983.tb02496.x","article-title":"Taxes and the Pricing of Stock Index Futures","volume":"38","author":"Cornell B.","year":"1983","journal-title":"Journal of Finance"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04552.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Figlewski S.(1984 ): July\u2010August \u201cExplaining the Early Discounts on Stock Index Futures; The Case of Disequilibrium \u201d Financial Analysts Journal 43\u201367.","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080208"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100405","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100405","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:15:04Z","timestamp":1697991304000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100405"}},"issued":{"date-parts":[[1990,8]]},"references-count":8,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1990,8]]}},"alternative-id":["10.1002\/fut.3990100405"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100405","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,8]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T17:30:36Z","timestamp":1771003836728,"version":"3.50.1"},"reference-count":36,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5506,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,8]]},"DOI":"10.1002\/fut.3990110406","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T17:24:34Z","timestamp":1183656274000},"page":"461-474","source":"Crossref","is-referenced-by-count":61,"title":["Cointegration: Some results on U.S. cattle prices"],"prefix":"10.1002","volume":"11","author":[{"given":"David A.","family":"Bessler","sequence":"first","affiliation":[]},{"given":"Ted","family":"Covey","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"126","article-title":"Dynamics of Regional Fed Cattle Prices","volume":"10","author":"Bailey D.","year":"1985","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2347815"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1271080"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090402"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90053-X"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","first-page":"508","DOI":"10.2307\/1926790","article-title":"Cointegration and Tests of Purchasing Power Parity","volume":"70","author":"Corbae D.","year":"1988","journal-title":"The Review of Economics and Statistics"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/260509"},{"key":"e_1_2_1_9_1","first-page":"427","article-title":"Distribution of the Estimators for Autoregression Time Series with a Unit Root","volume":"74","author":"Dickey D. A.","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_10_1","volume-title":"User Manual: RATS","author":"Doan T.","year":"1989"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(87)90085-6"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241986"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238581"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x","article-title":"Developments in the Study of Cointegrated Random Variables","volume":"68","author":"Granger C.","year":"1986","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(80)90069-X"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(88)90045-0"},{"key":"e_1_2_1_18_1","unstructured":"Granger C. andEscribano A.(1988): \u201cThe Long Run Relationship Between Prices from an Efficient Market: The Case of Gold and Silver \u201d Unpublished Paper Department of Economics University of California San Diego."},{"key":"e_1_2_1_19_1","first-page":"405","article-title":"The Stochastic Behavior of the Velocity of Money","volume":"64","author":"Gould J.","year":"1974","journal-title":"American Economic Review"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1986.mp48003001.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","first-page":"533","DOI":"10.1080\/01621459.1979.10481651","article-title":"Autoregressive Modeling of Canadian Income and Money Data","volume":"74","author":"Hsiao C.","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070305"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349316"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238755"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb01318.x"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349411"},{"key":"e_1_2_1_27_1","unstructured":"McCarty J.(1987): Personal Communication U. S. Department of Agriculture Agricultural Marketing Service Livestock Division Amarillo TX."},{"key":"e_1_2_1_28_1","first-page":"327","article-title":"Cash and Futures Price Relationships for Nonstorable Commodities: An Empirical Analysis Using a General Theory","volume":"13","author":"Naik G.","year":"1988","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_29_1","volume-title":"Analysis of Economic Time Series","author":"Nerlove M.","year":"1979"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050404"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241433"},{"key":"e_1_2_1_32_1","first-page":"460","article-title":"Does Futures Trading Reduce Price Fluctuations in the Cash Markets?","volume":"60","author":"Powers M. J.","year":"1970","journal-title":"The American Economic Review"},{"key":"e_1_2_1_33_1","unstructured":"Purcell W. D. Flood D. andPlaxico J. S.(1979). \u201cCash\u2010Futures Interrelationships in Live Cattle: Causality Variability and Pricing Processes \u201d Livestock Futures Research Symposium. pp.135\u2013156."},{"key":"e_1_2_1_34_1","volume-title":"Macroeconomic Theory","author":"Sargent T.","year":"1979"},{"key":"e_1_2_1_35_1","first-page":"323","article-title":"The Influence of Futures Trading on Cash Cattle Price Variations","volume":"13","author":"Taylor G. S.","year":"1974","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/2287575"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020407"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110406","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110406","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T01:33:59Z","timestamp":1698024839000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110406"}},"issued":{"date-parts":[[1991,8]]},"references-count":36,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1991,8]]}},"alternative-id":["10.1002\/fut.3990110406"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110406","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,8]]}},{"indexed":{"date-parts":[[2026,2,25]],"date-time":"2026-02-25T16:57:32Z","timestamp":1772038652847,"version":"3.50.1"},"reference-count":16,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5844,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,9]]},"DOI":"10.1002\/(sici)1096-9934(199909)19:6<645::aid-fut2>3.0.co;2-s","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:46:13Z","timestamp":1030297573000},"page":"645-664","source":"Crossref","is-referenced-by-count":16,"title":["Valuation of futures and commodity options with information costs"],"prefix":"10.1002","volume":"19","author":[{"given":"Mondher","family":"Bellalah","sequence":"first","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB1","doi-asserted-by":"crossref","first-page":"301","DOI":"10.1111\/j.1540-6261.1987.tb02569.x","volume":"42","author":"Barone-Adesi","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB2","first-page":"51","volume":"9","author":"Bates","year":"1997","journal-title":"Advances in Futures and Options Research"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB3","author":"Bellalah","year":"1990","unstructured":"(1990). Quatre essais pour l'\u00e9valuation des options sur indices et sur contrats \u00e0 terme d'indice. Doctorat de l'Universit\u00e9 de Paris-Dauphine."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB4","author":"Bellalah","year":"1999","unstructured":"(1999, forthcoming) Options et dividendes. Canadian Revue, FINECO, 2."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB5","doi-asserted-by":"crossref","first-page":"617","DOI":"10.1111\/j.1540-6288.1995.tb00849.x","volume":"30","author":"Bellalah","year":"1995","journal-title":"The Financial Review"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB6","volume-title":"Options, futures and other exotics","author":"Briys","year":"1998","unstructured":"et al. (1998). Options, futures and other exotics. New York: John Wiley & Sons."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB7","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB8","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1016\/0304-405X(76)90024-6","volume":"79","author":"Black","year":"1976","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB9","doi-asserted-by":"crossref","first-page":"1211","DOI":"10.1093\/rfs\/9.4.1211","volume":"9","author":"Broadie","year":"1996","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB10","doi-asserted-by":"crossref","first-page":"1387","DOI":"10.1086\/260133","author":"Dusak","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB11","doi-asserted-by":"crossref","first-page":"483","DOI":"10.1111\/j.1540-6261.1987.tb04565.x","volume":"3","author":"Merton","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB12","doi-asserted-by":"crossref","first-page":"91","DOI":"10.2307\/2331318","volume":"32","author":"Melick","year":"1997","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB13","volume":"5","author":"Omberg","year":"1991","journal-title":"Advances in Futures and Options Research"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB14","first-page":"455","volume":"11","author":"Rubinstein","year":"1983","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB15","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1111\/j.1540-6261.1994.tb00079.x","volume":"3","author":"Rubinstein","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S-BIB16","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1111\/j.1540-6261.1986.tb04495.x","volume":"41","author":"Whaley","year":"1986","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199909)19:6%3C645::AID-FUT2%3E3.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199909)19:6%3C645::AID-FUT2%3E3.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:26:13Z","timestamp":1625135173000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S"}},"issued":{"date-parts":[[1999,9]]},"references-count":16,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1999,9]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199909)19:6<645::aid-fut2>3.0.co;2-s","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,9]]}},{"indexed":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T15:37:10Z","timestamp":1765294630085},"reference-count":44,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2014,3,5]],"date-time":"2014-03-05T00:00:00Z","timestamp":1393977600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,8]]},"abstract":"This study investigates the limit order book characteristics and the intertwined dynamics between trading patience, order flows, and liquidity in an index futures market. The limit order book displays a hump shape and the steepness of the hump is positively related to the number of large market orders. Bid and ask prices tend to move together in the same direction. Moreover, higher proportion of patient traders and higher order arrival rate lead to higher liquidity, after controlling for volatility and the intraday time effect. Liquidity is found to have a feedback effect on trading patience and the order arrival rate. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 34:731\u2013756, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21664","type":"journal-article","created":{"date-parts":[[2014,3,5]],"date-time":"2014-03-05T16:18:15Z","timestamp":1394036295000},"page":"731-756","source":"Crossref","is-referenced-by-count":7,"title":["Trading Patience, Order Flows, and Liquidity in an Index Futures Market"],"prefix":"10.1002","volume":"34","author":[{"given":"Caihong","family":"Xu","sequence":"first","affiliation":[{"name":"Caihong Xu is a researcher at Stockholm University School of Business Stockholm Sweden"}]}],"member":"311","published-online":{"date-parts":[[2014,3,5]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00345"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(99)00023-2"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(04)00048-2"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05192.x"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/4\/301"},{"key":"e_1_2_7_8_1","doi-asserted-by":"crossref","unstructured":"Caporale G. M. &Gil\u2010Alana L. A.(2013). Long memory and fractional integration in high frequency data on the US dollar British Pound spot exchange rate. CESifo Working paper series no. 4224.","DOI":"10.2139\/ssrn.2261667"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296652"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2009.02140.x"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21586"},{"key":"e_1_2_7_12_1","unstructured":"Coppejans M. Domowitz I. &Madhavan A.(2004). Resiliency in an automated auction. Unpublished Working paper December 27."},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200007)20:6<525::AID-FUT2>3.0.CO;2-T"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10679-005-7590-6"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2010.04.037"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01737-2"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi029"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1983.tb00371.x"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02450.x"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00795.x"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.08.002"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00059-8"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2267"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2008.05.008"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21603"},{"key":"e_1_2_7_27_1","article-title":"How aggressive are high frequency traders","author":"Hagstr\u00f6mer B.","year":"2013","journal-title":"Financial Review"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05121.x"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000471"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.995"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_7_32_1","doi-asserted-by":"crossref","unstructured":"Linnainmaa J. &Ro\u015fu I.(2009). Weather and time series determinants of liquidity in a limit order market. AFA 2009 San Francisco Meetings paper.","DOI":"10.2139\/ssrn.1108862"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938368"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2007.01.010"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.789"},{"key":"e_1_2_7_38_1","first-page":"2149","article-title":"Equilibrium in a dynamic limit order market","volume":"60","author":"Parlour C. A.","year":"2008","journal-title":"Journal of Finance"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00069-1"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176324317"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp011"},{"key":"e_1_2_7_42_1","unstructured":"Ro\u015fu I.(2013). Liquidity and information in order driven markets. Working paper HEC Paris."},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.1.103"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90084-5"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.17"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21664","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21664","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:43:41Z","timestamp":1696599821000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21664"}},"issued":{"date-parts":[[2014,3,5]]},"references-count":44,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2014,8]]}},"alternative-id":["10.1002\/fut.21664"],"URL":"https:\/\/doi.org\/10.1002\/fut.21664","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,3,5]]}},{"indexed":{"date-parts":[[2025,12,11]],"date-time":"2025-12-11T03:00:50Z","timestamp":1765422050168,"version":"3.37.3"},"reference-count":67,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2017,7,14]],"date-time":"2017-07-14T00:00:00Z","timestamp":1499990400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,12]]},"abstract":"The effect of financial shocks on the cross\u2010market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the two markets were regionalized for most of the 1990s and the early 2000s. Flights from stocks to oil occur in all crisis episodes, except the recent global financial crisis. The view that stock and oil markets behave like \u201ca market of one\u201d after the financialization of commodities is further supported by the presence of contagion between US stock markets and all the benchmark oil markets.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21860","type":"journal-article","created":{"date-parts":[[2017,7,14]],"date-time":"2017-07-14T05:58:38Z","timestamp":1500011918000},"page":"1179-1204","source":"Crossref","is-referenced-by-count":68,"title":["Oil and stock markets before and after financial crises: A local Gaussian correlation approach"],"prefix":"10.1002","volume":"37","author":[{"given":"Georgios","family":"Bampinas","sequence":"first","affiliation":[{"name":"Department of Economics University of Macedonia Thessaloniki Greece"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5328-3054","authenticated-orcid":false,"given":"Theodore","family":"Panagiotidis","sequence":"additional","affiliation":[{"name":"Department of Economics University of Macedonia Thessaloniki Greece"}]}],"member":"311","published-online":{"date-parts":[[2017,7,14]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.008"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.05.018"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg012"},{"key":"e_1_2_9_5_1","doi-asserted-by":"crossref","unstructured":"Baig T. &Goldfajn I.(1998). Financial market contagion in the Asian crises. IMF Working Paper No. 98\/155.","DOI":"10.5089\/9781451857283.001"},{"key":"e_1_2_9_6_1","first-page":"657","article-title":"On the relationship between oil and gold before and after financial crisis: Linear, nonlinear and time\u2010varying causality testing","volume":"19","author":"Bampinas G.","year":"2015","journal-title":"Studies in Nonlinear Dynamics and Econometrics"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.10.015"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2008.08.001"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2004.10.001"},{"key":"e_1_2_9_10_1","doi-asserted-by":"crossref","unstructured":"Bekaert G. Harvey C. &Ng A.(2003). Market integration and contagion. NBER Working Paper No. 9510.","DOI":"10.3386\/w9510"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.03.006"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11222-013-9402-8"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.18637\/jss.v056.i12"},{"key":"e_1_2_9_14_1","doi-asserted-by":"crossref","unstructured":"Bertero E. &Mayer C.(1989). Structure and performance: global interdependence of stock markets around the crash of October 1987. CEPR Discussion Papers.","DOI":"10.1016\/0014-2921(90)90073-8"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2008.11.003"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939608800353"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.004"},{"key":"e_1_2_9_18_1","first-page":"75","article-title":"Commodities and equities: Ever a \u201cMarket of One","volume":"12","author":"B\u00fcy\u00fck\u015fahin B.","year":"2010","journal-title":"The Journal of Alternative Investments"},{"key":"e_1_2_9_19_1","doi-asserted-by":"crossref","unstructured":"Caballero J. R. Farhi E. &Gourinchas P.\u2010O.(2008). Financial crash commodity prices and global imbalances. NBER Working Paper No. 14521.","DOI":"10.3386\/w14521"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(99)00038-0"},{"key":"e_1_2_9_21_1","doi-asserted-by":"crossref","unstructured":"Calvo S. &Reinhart C.(1995). Capital inflows to Latin America: Is there evidence of contagion effects? World Bank and International Monetary Fund Mimeo.","DOI":"10.1017\/CBO9780511571886.014"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2010.06.003"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2007.06.005"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2005.08.012"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.01.005"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.034"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.02.022"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.08.007"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500142045"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.04.002"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(01)00139-8"},{"key":"e_1_2_9_32_1","doi-asserted-by":"crossref","unstructured":"Forbes K. J. &Rigobon R.(2001). Measuring contagion: Conceptual and empirical issues. InS.Claessens &K.Forbes(Eds.) International financial contagion. Norwell MA: Kluwer Academic Publishers.","DOI":"10.1007\/978-1-4757-3314-3_3"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00494"},{"key":"e_1_2_9_34_1","doi-asserted-by":"crossref","unstructured":"Fratzscher M. Schneider D. &Van Robays I.(2014). Oil prices exchange rates and asset prices. ECB Working Paper Series.","DOI":"10.2139\/ssrn.2442276"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2013.02.031"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.04.002"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1990.10474974"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214504000000548"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2014.09.002"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu091"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1032298288"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppq032"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02691.x"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.46.4.871"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.5"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1985.409034"},{"key":"e_1_2_9_49_1","doi-asserted-by":"crossref","unstructured":"Lautier D. &Raynaud F.(2011). Systemic risk in energy derivative markets: A graph theory analysis. Working Paper.","DOI":"10.2139\/ssrn.1579629"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00340"},{"key":"e_1_2_9_51_1","first-page":"1","article-title":"The locally gaussian density estimator for multivariate data","author":"Otneim H.","year":"2016","journal-title":"Statistics and Computing"},{"key":"e_1_2_9_52_1","first-page":"1","article-title":"Conditional density estimation using the local Gaussian correlation","author":"Otneim H.","year":"2017","journal-title":"Statistics and Computing"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6419.00205"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2010.00625.x"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.07.002"},{"journal-title":"Macroeconomic Dynamics","article-title":"The zero lower bound and crude oil and financial markets spillovers","author":"Serletis A.","key":"e_1_2_9_56_1"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2012.11.007"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.01.013"},{"key":"e_1_2_9_59_1","doi-asserted-by":"crossref","unstructured":"St\u00f8ve B &Tj\u00f8stheim D. (2013). Asymmetric dependence patterns in financial returns: An empirical investigation using local Gaussian correlation. InN.Halderup M.Meitz &P.Saikkonen(Eds.) Nonlinear time series econometrics. Oxford UK: Oxford University Press.","DOI":"10.1093\/acprof:oso\/9780199679959.003.0013"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.11.006"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199587148.001.0001"},{"key":"e_1_2_9_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.08.001"},{"volume-title":"The role of market speculation in rising oil and gas prices: a need to put the cop back on the beat: staff report","year":"2006","key":"e_1_2_9_64_1"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11749-006-0005-y"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803321455313"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.06.021"},{"key":"e_1_2_9_68_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466611000661"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21860","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21860","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T22:08:25Z","timestamp":1696025305000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21860"}},"issued":{"date-parts":[[2017,7,14]]},"references-count":67,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2017,12]]}},"alternative-id":["10.1002\/fut.21860"],"URL":"https:\/\/doi.org\/10.1002\/fut.21860","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,7,14]]}},{"indexed":{"date-parts":[[2025,12,19]],"date-time":"2025-12-19T09:54:29Z","timestamp":1766138069155,"version":"3.37.3"},"reference-count":82,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2022,8,22]],"date-time":"2022-08-22T00:00:00Z","timestamp":1661126400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,12]]},"abstract":"Abstract<\/jats:title>This paper presents an empirical analysis of bitcoin futures risk premia. Based on the relevant theories and empirical findings of commodity futures risk premia, we study a battery of predictors, including position\u2010based measures, market microstructure factors, and macroeconomic variables. We find that trading activity and extreme sentiment of speculators and retailers present significant predicting power on the subsequent bitcoin futures price changes over different time horizons. We also find evidence that the lower transaction cost, the higher bitcoin futures risk premiums. Regarding macroeconomic variables, financial conditions index, TED spread, US M2 money stock, and funding cost of financial institutions could predict bitcoin futures returns. The return impact of net position changes of hedgers is likely to be affected by extremes in macroeconomic variables. Speculators behave like negative feedback traders, while retailers are positive feedback traders. This detailed analysis of the risk premia of this emerging derivatives market provides critical implications.<\/jats:p>","DOI":"10.1002\/fut.22373","type":"journal-article","created":{"date-parts":[[2022,8,22]],"date-time":"2022-08-22T10:45:27Z","timestamp":1661165127000},"page":"2190-2217","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Bitcoin futures risk premia"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5666-408X","authenticated-orcid":false,"given":"Shimeng","family":"Shi","sequence":"first","affiliation":[{"name":"International Business School Suzhou Xi'an Jiaotong Liverpool University Suzhou China"}]}],"member":"311","published-online":{"date-parts":[[2022,8,22]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.03.003"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22163"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22050"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2020.100776"},{"key":"e_1_2_9_6_1","doi-asserted-by":"crossref","unstructured":"Auer R. &Tercero\u2010Lucas D.(2021).Distrust or speculation? The socioeconomic drivers of U.S. cryptocurrency investments(BIS Working Papers No. 951).","DOI":"10.2139\/ssrn.3925319"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.21.2.129"},{"key":"e_1_2_9_9_1","unstructured":"Bakkt. (2021).Bakkt Bitcoin Institutional Custody FAQs.https:\/\/publicdocs.bakkt.com\/collateral\/Bakkt-Bitcoin-Institutional-Custody-FAQs.pdf"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22004"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2017.12.004"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.09.002"},{"key":"e_1_2_9_15_1","first-page":"1","article-title":"Arbitrage, contract design, and market structure in bitcoin futures markets","volume":"9","author":"De Blasis R.","year":"2022","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2021.109848"},{"key":"e_1_2_9_17_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M.","year":"1958","journal-title":"American Economics Review"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2014.08.001"},{"key":"e_1_2_9_19_1","unstructured":"CFTC. (n.d.).Commitments of traders.https:\/\/www.cftc.gov\/MarketReports\/CommitmentsofTraders\/index.htm#P23_3777"},{"key":"e_1_2_9_20_1","unstructured":"CFTC. (2018\u20132021).The COT report data and the TFF report data.https:\/\/www.cftc.gov\/MarketReports\/CommitmentsofTraders\/index.htm"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101748"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu043"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21724"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.07.031"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2018.01.005"},{"key":"e_1_2_9_26_1","unstructured":"Dore K.(2021).First bitcoin futures exchange\u2010traded fund starts trading. What to know before adding it to your portfolio.https:\/\/www.cnbc.com\/2021\/10\/18\/first-bitcoin-futures-etf-starts-trading-tuesday-what-to-know-.html"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.03.004"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22101"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_9_31_1","unstructured":"Fed S. L.(2018\u20132021).NFCI TED USM2 VIX USEPU and WCPF3M data.https:\/\/fred.stlouisfed.org\/"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.06.015"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz015"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2017.12.004"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/eufm.12150"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12903"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.06.006"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102022"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102197"},{"volume-title":"Risk and risk bearing","year":"1940","author":"Hardy C. O.","key":"e_1_2_9_41_1"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22171"},{"volume-title":"Value and capital","year":"1939","author":"Hicks J. R.","key":"e_1_2_9_43_1"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.2307\/2233766"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938209"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22144"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2021.03.001"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101518"},{"key":"e_1_2_9_50_1","unstructured":"ISDA. (2021).First steps to crypto derivatives standards.https:\/\/www.isda.org\/2021\/09\/30\/first-steps-to-crypto-derivatives-standards\/"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.06.005"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22156"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12845"},{"key":"e_1_2_9_54_1","doi-asserted-by":"crossref","unstructured":"Kang W. Rouwenhorst K. G. &Tang K.(2021).Crowding and factor returns.https:\/\/doi.org\/10.2139\/SSRN.3803954","DOI":"10.2139\/ssrn.3803954"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.10.031"},{"volume-title":"A treatise on money","year":"1930","author":"Keynes J.","key":"e_1_2_9_56_1"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2020.101209"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa113"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<229::AID-FUT5>3.0.CO;2-L"},{"key":"e_1_2_9_60_1","doi-asserted-by":"crossref","unstructured":"Lucey B. M. Vigne S. A. Yarovaya L. &Wang Y.(2018\u20132021).Cryptocurrency uncertainty index data.https:\/\/sites.google.com\/view\/cryptocurrency-indices\/home?authuser=0","DOI":"10.2139\/ssrn.3805891"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102147"},{"key":"e_1_2_9_62_1","unstructured":"Manning L.(2021).Coinbase IPO exceeds all expectations showing more promise for bitcoin.https:\/\/www.nasdaq.com\/articles\/coinbase-ipo-exceeds-all-expectations-showing-more-promise-for-bitcoin-2021-04-19"},{"key":"e_1_2_9_63_1","unstructured":"McShane A.(2021). Financial giant VanEck files for a bitcoin futures ETF.https:\/\/www.nasdaq.com\/articles\/financial-giant-vaneck-files-for-a-bitcoin-futures-etf-2021-08-10"},{"key":"e_1_2_9_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2017.08.032"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.335"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2017.02.001"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_9_68_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20266"},{"key":"e_1_2_9_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2019.07.002"},{"key":"e_1_2_9_70_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20509"},{"key":"e_1_2_9_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.07.003"},{"key":"e_1_2_9_72_1","unstructured":"SEC. (2021a).Funds trading in bitcoin futures\u2014Investor bulletin.https:\/\/www.sec.gov\/oiea\/investor-alerts-and-bulletins\/ib_fundstrading"},{"key":"e_1_2_9_73_1","unstructured":"SEC. (2021b).Staff statement on funds registered under the investment company act investing in the bitcoin futures market.https:\/\/www.sec.gov\/news\/public-statement\/staff-statement-investing-bitcoin-futures-market"},{"key":"e_1_2_9_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2016.06.008"},{"key":"e_1_2_9_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.006"},{"key":"e_1_2_9_76_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20511"},{"key":"e_1_2_9_77_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2003"},{"key":"e_1_2_9_78_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10056"},{"key":"e_1_2_9_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00047-5"},{"key":"e_1_2_9_80_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<757::AID-FUT2>3.0.CO;2-M"},{"key":"e_1_2_9_81_1","first-page":"1254","article-title":"The theory of the price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"},{"key":"e_1_2_9_82_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22216"},{"key":"e_1_2_9_83_1","first-page":"1","article-title":"Liquidity risk and expected cryptocurrency returns","volume":"23","author":"Zhang W.","year":"2021","journal-title":"International Journal of Finance & Economics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22373","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22373","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22373","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T10:40:25Z","timestamp":1692614425000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22373"}},"issued":{"date-parts":[[2022,8,22]]},"references-count":82,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2022,12]]}},"alternative-id":["10.1002\/fut.22373"],"URL":"https:\/\/doi.org\/10.1002\/fut.22373","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,8,22]]},"assertion":[{"value":"2021-08-18","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-07-22","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-08-22","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,21]],"date-time":"2025-12-21T08:24:47Z","timestamp":1766305487562,"version":"3.37.3"},"reference-count":37,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2017,10,5]],"date-time":"2017-10-05T00:00:00Z","timestamp":1507161600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100003725","name":"National Research Foundation of Korea","doi-asserted-by":"publisher","award":["NRF\u20102016\u2010S1A5B5A01023251"],"award-info":[{"award-number":["NRF\u20102016\u2010S1A5B5A01023251"]}],"id":[{"id":"10.13039\/501100003725","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,4]]},"abstract":"The discrepancy between in\u2010sample and out\u2010of\u2010sample predictability of common predictors for asset returns has been widely discussed in the literature. We examine the out\u2010of\u2010sample predictability and its economic significance of Variance risk premium (VRP), which recently has shown empirical success in predicting asset returns in\u2010sample. Extensive analysis indicates strong out\u2010of\u2010sample predictability of the VRP for U.S. stock index, currencies, credit index, and equity portfolios. However, we do not find any evidence for predictability of bond and commodity markets. We demonstrate economic significance by providing profitable market timing strategies exploiting the out\u2010of\u2010sample forecasting power of the VRP in a real time setting.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21882","type":"journal-article","created":{"date-parts":[[2017,10,5]],"date-time":"2017-10-05T14:42:39Z","timestamp":1507214559000},"page":"425-445","source":"Crossref","is-referenced-by-count":17,"title":["A comprehensive look at the return predictability of variance risk premia"],"prefix":"10.1002","volume":"38","author":[{"given":"Suk Joon","family":"Byun","sequence":"first","affiliation":[{"name":"Graduate School of Finance, Korea Advanced Institute of Science and Technology Business School Hoegiro, Dongdaemoon\u2010gu Seoul Korea"}]},{"given":"Bart","family":"Frijns","sequence":"additional","affiliation":[{"name":"Department of Finance Auckland University of Technology Auckland New Zealand"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8813-2280","authenticated-orcid":false,"given":"Tai\u2010Yong","family":"Roh","sequence":"additional","affiliation":[{"name":"Department of Finance Auckland University of Technology Auckland New Zealand"}]}],"member":"311","published-online":{"date-parts":[[2017,10,5]]},"reference":[{"key":"e_1_2_8_2_1","unstructured":"Aloosh A.(2012). Global variance risk premium and forex returns. Working paper BI Norwegian Business School."},{"key":"e_1_2_8_3_1","doi-asserted-by":"crossref","first-page":"75","DOI":"10.2469\/faj.v68.n6.7","article-title":"Will my risk parity strategy outperform","volume":"58","author":"Anderson R.","year":"2012","journal-title":"Financial Analysts Journal"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs108"},{"key":"e_1_2_8_5_1","doi-asserted-by":"crossref","first-page":"1481","DOI":"10.1111\/j.1540-6261.2004.00670.x","article-title":"Risks for the long run: A potential resolution of asset pricing puzzles","volume":"5","author":"Bansal R.","year":"2004","journal-title":"Journal of Finance"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109015000460"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000453"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02649.x"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00752.x"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_8_12_1","first-page":"1382","article-title":"The role of variance risk premium in predicting excess stock market return: Out\u2010of\u2010sample evidences","volume":"22","author":"Chen J.","year":"2015","journal-title":"Applied Economics Letters"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00071-9"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v53.n5.2116"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn087"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq085"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913778"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.003"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00571"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00327"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm025"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00555"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.09.010"},{"key":"e_1_2_8_27_1","first-page":"59","article-title":"A universal performance measure","volume":"6","author":"Keating C.","year":"2002","journal-title":"Journal of Performance Measurement"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.02.002"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rft005"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.020"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.08.006"},{"key":"e_1_2_8_32_1","doi-asserted-by":"crossref","unstructured":"Mueller P. Vedolin A. &Zhou H.(2011). Short\u2010run bond risk premia. Working paper Federal Reserve Board.","DOI":"10.2139\/ssrn.1851854"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.07.010"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00041-0"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs069"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.021"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2009.00353.x"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.01.005"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21882","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21882","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,25]],"date-time":"2023-09-25T00:42:59Z","timestamp":1695602579000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21882"}},"issued":{"date-parts":[[2017,10,5]]},"references-count":37,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2018,4]]}},"alternative-id":["10.1002\/fut.21882"],"URL":"https:\/\/doi.org\/10.1002\/fut.21882","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,10,5]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:12:56Z","timestamp":1762521176003},"reference-count":10,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,9,18]],"date-time":"2006-09-18T00:00:00Z","timestamp":1158537600000},"content-version":"vor","delay-in-days":7110,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,4]]},"DOI":"10.1002\/fut.3990070208","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T04:46:19Z","timestamp":1183610779000},"page":"183-202","source":"Crossref","is-referenced-by-count":19,"title":["Analysis of profit margin hedging strategies for hog producers"],"prefix":"10.1002","volume":"7","author":[{"given":"David","family":"Kenyon","sequence":"first","affiliation":[]},{"given":"John","family":"Clay","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,18]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Bache D. H. andFoster J. R.(1977): \u201cThe High Investment High\u2010Intensity Confinement System: 3 Groups of Sows Farrow\u2010to\u2010Finish \u201dPork Production Systems with Business Analysis Cooperative Extension Service Purdue University ID\u2010117."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240351"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040205"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239555"},{"key":"e_1_2_1_6_1","unstructured":"Kenyon D. E. andShapiro N. P.(1980): \u201cProfit Margin Hedging in the Broiler Industry \u201dFutures Trading Seminar Proceedings Chicago Board of Trade of the City of Chicago Vol. IV:56\u201367."},{"key":"e_1_2_1_7_1","unstructured":"Leuthold R. M. andMokler R. S.(1980): \u201cFeeding\u2010Margin Hedging in the Cattle Industry \u201d International Futures Trading Seminar Proceeding Chicago Board of Trade of the City of Chicago Vol. VI:56\u201367."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0081305200014345"},{"key":"e_1_2_1_9_1","first-page":"31","article-title":"A Prehedging Strategy for the Feedlot Operation","volume":"6","author":"Spahr R. W.","year":"1981","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_10_1","volume-title":"Principles and Procedures of Statistics","author":"Steel R. G. D.","year":"1960"},{"key":"e_1_2_1_11_1","volume-title":"Econometrics","author":"Wonnacott R. J.","year":"1979"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070208","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070208","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T17:15:58Z","timestamp":1697822158000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070208"}},"issued":{"date-parts":[[1987,4]]},"references-count":10,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1987,4]]}},"alternative-id":["10.1002\/fut.3990070208"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070208","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,4]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:20:05Z","timestamp":1762521605694},"reference-count":23,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2013,9,3]],"date-time":"2013-09-03T00:00:00Z","timestamp":1378166400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,11]]},"abstract":"Abstract<\/jats:title>We investigate the linkages between commodity futures prices to determine whether the price patterns have changed during time periods with major changes in the markets. Examining data from 1990 through 2011 we search for changing patterns in correlation coefficients, (non)stationarity, and cointegration among a set of commodities with widely traded futures markets. We find that simple correlation coefficients between futures prices and the probability of nonstationarity of the series have increased over time. However, our cointegration test results show no evidence for an increase in cointegration. This mixed evidence suggests that futures markets have become more efficient over time, but that previously unrelated commodities have not seen equilibrium relationships established. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:1062\u20131076, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21638","type":"journal-article","created":{"date-parts":[[2013,9,3]],"date-time":"2013-09-03T13:39:39Z","timestamp":1378215579000},"page":"1062-1076","source":"Crossref","is-referenced-by-count":8,"title":["The Pattern of Price Linkages Among Commodities"],"prefix":"10.1002","volume":"34","author":[{"given":"Jeffrey H.","family":"Dorfman","sequence":"first","affiliation":[{"name":"Jeffrey H. Dorfman (Professor) and Berna Karali (Associate Professor) are collocated at Department of Agricultural and Applied Economics, The University of Georgia Athens Georgia"}]},{"given":"Berna","family":"Karali","sequence":"additional","affiliation":[{"name":"Jeffrey H. Dorfman (Professor) and Berna Karali (Associate Professor) are collocated at Department of Agricultural and Applied Economics, The University of Georgia Athens Georgia"}]}],"member":"311","published-online":{"date-parts":[[2013,9,3]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2006.00880.x"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.2006.00478.x"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110406"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331251"},{"key":"e_1_2_6_6_1","article-title":"Commodity prices in the presence of inter\u2010commodity equilibrium relationships","author":"Casassus J.","year":"2009","journal-title":"Unpublished manuscript, Working paper"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2685208"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199812)18:8<871::AID-FUT1>3.0.CO;2-#"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110506"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01619-B"},{"key":"e_1_2_6_11_1","unstructured":"Dwyer A. \u00a0Holloway J. &\u00a0Wright M.(2012).Commodity market financialisation: A closer look at the evidence. Bulletin \u2013March Quarter 2012 Reserve Bank of Australia."},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aar162"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130809"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800002959"},{"key":"e_1_2_6_15_1","unstructured":"Koop G.(2003). Bayesian econometrics. Chichester: John Wiley & Sons."},{"key":"e_1_2_6_16_1","unstructured":"NBER. (2012). U.S. Business Cycle Expansions and Contractions. Online publication National Bureau of Economic Research [http:\/\/www.nber.org\/cycles.html]."},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2006.10.013"},{"key":"e_1_2_6_18_1","unstructured":"Routledge B. R. Spatt C. S. &Seppi D. J.(2001). The spark spread: An equilibrium model of cross\u2010commodity price relationship in electricity. Unpublished manuscript Working paper Tepper School of Business Paper 413."},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1744-7976.2011.01226.x"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140204"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1574-0862.2010.00464.x"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20499"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200103)21:3<279::AID-FUT5>3.0.CO;2-L"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21638","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21638","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T16:43:44Z","timestamp":1696610624000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21638"}},"issued":{"date-parts":[[2013,9,3]]},"references-count":23,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2014,11]]}},"alternative-id":["10.1002\/fut.21638"],"URL":"https:\/\/doi.org\/10.1002\/fut.21638","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,9,3]]}},{"indexed":{"date-parts":[[2025,11,9]],"date-time":"2025-11-09T18:02:58Z","timestamp":1762711378391,"version":"build-2065373602"},"reference-count":61,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2025,9,22]],"date-time":"2025-09-22T00:00:00Z","timestamp":1758499200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,12]]},"abstract":"ABSTRACT<\/jats:title>\n We examine the predictability of commodity futures returns using image\u2010based price patterns extracted from open\u2010high\u2010low\u2010close (OHLC) charts. Applying convolutional neural networks (CNNs) to US commodity futures data, we extract predictive signals without predefined patterns such as momentum or mean reversion. Empirical results demonstrate that image\u2010based predictions enhance predictive accuracy, particularly over short\u2010 and medium\u2010term horizons, with 20\u2010day OHLC images yielding the most robust performance. Compared with traditional financial predictors, CNNs capture nonlinear dependencies while retaining unique explanatory power. Panel regressions confirm that image\u2010based predictions are correlated with established return factors. However, transfer learning\u2014from the US to the Chinese markets\u2014proves ineffective in commodity futures markets, highlighting the necessity of market\u2010specific adaptation.<\/jats:p>","DOI":"10.1002\/fut.70043","type":"journal-article","created":{"date-parts":[[2025,9,22]],"date-time":"2025-09-22T07:59:21Z","timestamp":1758527961000},"page":"2434-2456","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Predicting Commodity Returns Through Image\u2010Based Price Patterns"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-2036-4548","authenticated-orcid":false,"given":"Tianxiang","family":"Hao","sequence":"first","affiliation":[{"name":"School of Economics Fudan University Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4252-2360","authenticated-orcid":false,"given":"Qingfu","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Economics Fudan University Shanghai China"},{"name":"Shanghai Institute of Mathematics and Interdisciplinary Sciences Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0009-0005-2563-1874","authenticated-orcid":false,"given":"Deyu","family":"Miao","sequence":"additional","affiliation":[{"name":"School of Economics Fudan University Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2230-1261","authenticated-orcid":false,"given":"Yiuman","family":"Tse","sequence":"additional","affiliation":[{"name":"Ed G. Smith College of Business University of Missouri\u2013St. Louis St. Louis Missouri USA"}]}],"member":"311","published-online":{"date-parts":[[2025,9,22]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.009"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2985"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.006"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106127"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1109\/CCBD.2016.027"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2023.4695"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22398"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1145\/3383455.3422544"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90020-7"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2021.100186"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22087"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-024-00637-z"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.01.001"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22568"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2024.105874"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22367"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa009"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.04.013"},{"key":"e_1_2_11_24_1","unstructured":"Han Y. andL.Kong.2022. The Lead\u2010Lag Relations in the Commodity Futures Returns: A Machine Learning Approach. Available atSSRN 3536046."},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.029"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22550"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2019.04.077"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3087"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2019.03.029"},{"key":"e_1_2_11_30_1","unstructured":"Ioffe S. andC.Szegedy.2015. Batch Normalization: Accelerating Deep Network Training by Reducing Internal Covariate Shift preprint arXiv:1502.03167."},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04624.x"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04702.x"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13268"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12398"},{"key":"e_1_2_11_35_1","unstructured":"Kingma D. P. andJ.Ba.2014. Adam: A Method for Stochastic Optimization preprint arXiv:1412.6980."},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1145\/3065386"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.017"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12262"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2024.04.038"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102299"},{"issue":"1","key":"e_1_2_11_41_1","first-page":"3","article-title":"Rectifier Nonlinearities Improve Neural Network Acoustic Models","volume":"30","author":"Maas A. L.","year":"2013","journal-title":"Proceedings of the International Conference on Machine Learning"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.011"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22302"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2023.106522"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.31.2.87"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.06.002"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1080\/15140326.2019.1668664"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12509"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.06.005"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90021-9"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2023.101433"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3149"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20252"},{"issue":"1","key":"e_1_2_11_55_1","first-page":"1929","article-title":"Dropout: A Simple Way to Prevent Neural Networks From Overfitting","volume":"15","author":"Srivastava N.","year":"2014","journal-title":"Journal of Machine Learning Research"},{"key":"e_1_2_11_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10017"},{"key":"e_1_2_11_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00120-1"},{"key":"e_1_2_11_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22471"},{"key":"e_1_2_11_60_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3278"},{"key":"e_1_2_11_61_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3099"},{"key":"e_1_2_11_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.09.012"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70043","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,11,9]],"date-time":"2025-11-09T17:59:05Z","timestamp":1762711145000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70043"}},"issued":{"date-parts":[[2025,9,22]]},"references-count":61,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2025,12]]}},"alternative-id":["10.1002\/fut.70043"],"URL":"https:\/\/doi.org\/10.1002\/fut.70043","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,9,22]]},"assertion":[{"value":"2025-02-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-01","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-22","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,12]],"date-time":"2025-12-12T13:17:34Z","timestamp":1765545454106},"reference-count":28,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,10,4]],"date-time":"2006-10-04T00:00:00Z","timestamp":1159920000000},"content-version":"vor","delay-in-days":7703,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,9]]},"DOI":"10.1002\/fut.3990050302","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:30:43Z","timestamp":1183613443000},"page":"297-309","source":"Crossref","is-referenced-by-count":9,"title":["Combining price forecasting with hedging of hogs: An evaluation using alternative measures of risk"],"prefix":"10.1002","volume":"5","author":[{"given":"Matthew T.","family":"Holt","sequence":"first","affiliation":[]},{"given":"Jon A.","family":"Brandt","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,4]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1057\/jors.1969.103"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239819"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1744-7976.1982.tb01984.x"},{"key":"e_1_2_1_5_1","first-page":"62","article-title":"Live Hog Futures: Risk Shifting Mechanism or Price Forecasting","volume":"43","author":"Campbell G. R.","year":"1979","journal-title":"Journal of the American Society of Farm Managers and Rural Appraisers"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239768"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1348797"},{"key":"e_1_2_1_8_1","unstructured":"Garcia P. andGood D. L.(1983 April): \u201cAn Analysis of the Factors Influencing Illinois Corn Basis 1979\u20131981 \u201dApplied Commodity Price Analysis Forecasting and Market Risk Management Proceedings NCC\u2010134 Conference Des Moines IA pp.306\u2013326."},{"key":"e_1_2_1_9_1","series-title":"University of Missouri Agr. Exp. Sta. Bull. SR299","volume-title":"U.S. Hog Producers Size Comparisons","author":"Gonzalez J.","year":"1983"},{"key":"e_1_2_1_10_1","first-page":"123","article-title":"Mean\u2010Variance of Alternative Hedging Strategies","volume":"54","author":"Holland D.","year":"1972","journal-title":"Southern Journal of Agricultural Economics"},{"key":"e_1_2_1_11_1","unstructured":"Holt M. T.(1983): \u201cIntegrating Price Forecasting with a Dynamic Hedging Strategy to Increase Price and Reduce Risk for a Hog Producer \u201d unpublished M.S. thesis Purdue University."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239555"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240542"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030306"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239817"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349316"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349189"},{"key":"e_1_2_1_19_1","first-page":"6","article-title":"Using the Futures Market Effectively While Hedging","volume":"44","author":"Leuthold R. M.","year":"1980","journal-title":"Journal of the American Society of Farm Managers and Rural Appraisers"},{"key":"e_1_2_1_20_1","series-title":"Kansas State University Agr. Exp. Sta. Bull. 591","volume-title":"Cattle Hedging Strategies","author":"McCoy J. H.","year":"1975"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/259363"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(77)90134-X"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330432"},{"key":"e_1_2_1_24_1","first-page":"45","article-title":"Short\u2010Run Forecasting Models of Beef Prices","volume":"4","author":"Oliveria R. A.","year":"1979","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238403"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349412"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/3180299"},{"key":"e_1_2_1_28_1","first-page":"170","article-title":"An Empirical Test of the Interval Approach for Estimating Risk preferences","volume":"8","author":"Wilson P. N.","year":"1983","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349306"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050302","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050302","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T23:24:42Z","timestamp":1695770682000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050302"}},"issued":{"date-parts":[[1985,9]]},"references-count":28,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1985,9]]}},"alternative-id":["10.1002\/fut.3990050302"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050302","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,9]]}},{"indexed":{"date-parts":[[2026,1,30]],"date-time":"2026-01-30T23:29:06Z","timestamp":1769815746310,"version":"3.49.0"},"reference-count":12,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5384,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,12]]},"DOI":"10.1002\/fut.3990110607","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:58:57Z","timestamp":1183661937000},"page":"729-736","source":"Crossref","is-referenced-by-count":17,"title":["An empirical test for parities between metal prices at the LME"],"prefix":"10.1002","volume":"11","author":[{"given":"Philip Hans","family":"Franses","sequence":"first","affiliation":[]},{"given":"Paul","family":"Kofman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1111\/j.1540-6261.1989.tb02410.x","article-title":"Common Stochastic Trends in a System of Exchange Rates","volume":"44","author":"Ballie R. T.","year":"1989","journal-title":"Journal of Finance"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_4_1","volume-title":"The London Metal Exchange: A Commodity Market","author":"Gibson\u2010Jarvie R.","year":"1988"},{"key":"e_1_2_1_5_1","volume-title":"The Long\u2010run Relationship Between Prices From an Efficient Market: The Case of Gold and Silver","author":"Granger C. W. J.","year":"1988"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080106"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_1_8_1","volume-title":"Likelihood Based Inference on Cointegration. Theory and Applications","author":"Johansen S.","year":"1989"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050406"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080207"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1988.mp50001003.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2233966"},{"key":"e_1_2_1_13_1","volume-title":"Commodity Prices, Financial Markets and World Income: A Structural Rational Expectations Model","author":"Ramanujam P.","year":"1988"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110607","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110607","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:40:00Z","timestamp":1698014400000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110607"}},"issued":{"date-parts":[[1991,12]]},"references-count":12,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1991,12]]}},"alternative-id":["10.1002\/fut.3990110607"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110607","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,12]]}},{"indexed":{"date-parts":[[2026,3,27]],"date-time":"2026-03-27T18:52:53Z","timestamp":1774637573986,"version":"3.50.1"},"reference-count":26,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2009,1,23]],"date-time":"2009-01-23T00:00:00Z","timestamp":1232668800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,4]]},"abstract":"Abstract<\/jats:title>In this study, we modify the information share (IS) originally proposed by Hasbrouck, J. (1995). The proposed modified information share (MIS) leads to a unique measure of price discovery instead of the upper and lower IS bounds. Performance of MIS is compared with the Hasbrouck IS measure and the Gonzalo\u2013Granger permanent\u2013transitory decomposition (PT\/GG)\u2010based measure using simulations with 1,000 replications applied to the same three examples considered by Hasbrouck, J. (2002). The MIS is found to outperform both Hasbrouck IS measure and PT\/GG measure. The empirical application of the MIS to three major stock indices indicates that price discovery takes place mostly in the futures market. Hence, the evidence supports the transaction cost hypothesis as well as the model proposed by Garbade, K. D., and Silber, W. L. (1983). \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:377\u2013395, 2009<\/jats:p>","DOI":"10.1002\/fut.20356","type":"journal-article","created":{"date-parts":[[2009,1,23]],"date-time":"2009-01-23T18:10:14Z","timestamp":1232734214000},"page":"377-395","source":"Crossref","is-referenced-by-count":141,"title":["A new information share measure"],"prefix":"10.1002","volume":"29","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[]},{"given":"Keshab","family":"Shrestha","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,1,23]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90029-B"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1111"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00063-0"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00028-9"},{"key":"e_1_2_1_9_1","first-page":"427","article-title":"Distribution of the estimators of autoregressive time series with a unit root","volume":"74","author":"Dickey D. A.","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00017-9"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00029-0"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00025-3"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1145\/272991.272995"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090204"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00013.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2362.00087"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110604"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20112"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1988.10478707"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200103)21:3<279::AID-FUT5>3.0.CO;2-L"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20356","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20356","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T19:07:53Z","timestamp":1699902473000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20356"}},"issued":{"date-parts":[[2009,1,23]]},"references-count":26,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2009,4]]}},"alternative-id":["10.1002\/fut.20356"],"URL":"https:\/\/doi.org\/10.1002\/fut.20356","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,1,23]]}},{"indexed":{"date-parts":[[2026,3,26]],"date-time":"2026-03-26T04:55:56Z","timestamp":1774500956410,"version":"3.50.1"},"reference-count":47,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2021,9,27]],"date-time":"2021-09-27T00:00:00Z","timestamp":1632700800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100004049","name":"Katholischer Akademischer Ausl\u00e4nder-Dienst","doi-asserted-by":"publisher","award":["As unconditional PhD Scholarship"],"award-info":[{"award-number":["As unconditional PhD Scholarship"]}],"id":[{"id":"10.13039\/501100004049","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,12]]},"abstract":"Abstract<\/jats:title>Commodity financialization has been a subject of discussion since the 2008 financial crisis. It is estimated that between 2003 and 2008, index investors\u02bc positions increased from $13 billion to $317 billion. Surprisingly, most studies, predominantly based on Granger\u2010causality testing, find no relationship between financialization and commodity prices. We examine the effects of shocks to the common stochastic trends in the index positions, the spot and futures prices of Chicago corn and soybeans, WTI crude oil and Henry Hub natural gas. The results show that financialization has contributed to the price movements of these commodities.<\/jats:p>","DOI":"10.1002\/fut.22269","type":"journal-article","created":{"date-parts":[[2021,9,28]],"date-time":"2021-09-28T01:57:10Z","timestamp":1632794230000},"page":"1988-2008","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":17,"title":["Financialization, common stochastic trends, and commodity prices"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-5598-9029","authenticated-orcid":false,"given":"Moses M.","family":"Kupabado","sequence":"first","affiliation":[{"name":"Institute of Economics University of Erlangen\u2010Nuremberg Erlangen Germany"}]},{"given":"Juergen","family":"Kaehler","sequence":"additional","affiliation":[{"name":"Institute of Economics University of Erlangen\u2010Nuremberg Erlangen Germany"}]}],"member":"311","published-online":{"date-parts":[[2021,9,27]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2016.11.017"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1515\/pwp-2016-0011"},{"key":"e_1_2_12_5_1","volume-title":"Time series analysis: Forecasting and control","author":"Box G. E. P.","year":"1994"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-005-0021-x"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109016000569"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aaw059"},{"key":"e_1_2_12_9_1","unstructured":"Commodity Futures Trading Commission(2021).Market data & economic analysis: Explanatory notes.www.cftc.gov\/MarketReports\/CommitmentsofTraders\/ExplanatoryNotes\/index.htm"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1979.10482531"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2017.01.002"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/02692171.2015.1122745"},{"key":"e_1_2_12_14_1","doi-asserted-by":"crossref","first-page":"7","DOI":"10.5547\/01956574.34.3.2","article-title":"The role of speculation in oil markets: What have we learned so far?","author":"Fattouh B.","year":"2013","journal-title":"Energy Journal"},{"key":"e_1_2_12_15_1","doi-asserted-by":"crossref","unstructured":"Frenk D. &Turbeville W.(2011). Commodity index traders and the boom\/bust cycle in commodities prices. InBust Cycle in Commodities Prices.https:\/\/doi.org\/10.2139\/ssrn.1945570","DOI":"10.2139\/ssrn.1945570"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(81)90079-8"},{"key":"e_1_2_12_18_1","first-page":"177","article-title":"Price effects of a lack of speculation","volume":"7","author":"Gray R. W.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.003"},{"key":"e_1_2_12_20_1","doi-asserted-by":"crossref","unstructured":"Headey D. D. &Fan S.(2010). Reflections on the global food crisis: How did it happen? How has it hurt? And how can we prevent the next one? IFPRI Research Monograph International Food Policy Research Institute (IFPRI).https:\/\/doi.org\/10.2499\/9780896291782RM165","DOI":"10.2499\/9780896291782RM165"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-resource-100815-095303"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu091"},{"key":"e_1_2_12_23_1","volume-title":"Futures, options and other derivatives","author":"Hull J.","year":"2016"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppq032"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800000481"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.10.008"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800002856"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(96)00027-X"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.3386\/w2229"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-27752-1"},{"key":"e_1_2_12_33_1","unstructured":"Masters M. W.(2008). Testimony of Michael W. Masters Managing Member\/Portfolio Manager Masters Capital Management LLC before the Permanent Committee on Homeland Security and Governmental Affairs United States Senate. 110th Cong. 2nd session May 20 and June 24."},{"key":"e_1_2_12_34_1","unstructured":"Masters M. W. &White A. K.(2008).The accidental Hunt brothers: How institutional investors are driving up food and energy prices. The Accidental Hunt Brothers Blog Special Report posted July 31 2009."},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1080\/00220388.2011.649261"},{"key":"e_1_2_12_36_1","doi-asserted-by":"crossref","unstructured":"Mou Y.(2011).Limits to arbitrage and commodity index investment: Front\u2010running the Goldman roll(Doctoral dissertation). Columbia University.https:\/\/doi.org\/10.7916\/D8H41ZDD","DOI":"10.2139\/ssrn.1716841"},{"key":"e_1_2_12_37_1","unstructured":"Quandl; 2018; Commodity Prices: Corn soybeans WTI crude oil and Henry Hub natural gas Chicago Mercantile Exchange Group; Quandl [dataset].https:\/\/www.quandl.com\/"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2011.14.1.040"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppp006"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410354"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912017"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12261"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1988.10478707"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_12_46_1","unstructured":"US commodity Futures Trading Commission; 2006\u20132018; Commission Commitments of Traders; Data at CFTC [dataset].https:\/\/www.cftc.gov\/MarketReports\/CommitmentsofTraders\/HistoricalCompressed\/index.htm"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2016.18.3.084"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.04.005"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22269","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22269","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22269","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,9,8]],"date-time":"2024-09-08T21:43:06Z","timestamp":1725831786000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22269"}},"issued":{"date-parts":[[2021,9,27]]},"references-count":47,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2021,12]]}},"alternative-id":["10.1002\/fut.22269"],"URL":"https:\/\/doi.org\/10.1002\/fut.22269","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,9,27]]},"assertion":[{"value":"2021-04-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-10","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T02:38:45Z","timestamp":1774319925652,"version":"3.50.1"},"reference-count":17,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2009,7,21]],"date-time":"2009-07-21T00:00:00Z","timestamp":1248134400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,10]]},"abstract":"Abstract<\/jats:title>On expiration days of the MSCI\u2010TW index futures, the Taiwan spot market is associated with abnormally large volume and high index volatility, along with mild index reversal. The effects concentrate only in the last five minutes of expiration days and appear to be strengthened by the adoption a call auction closing procedure by the Taiwan Stock Exchange. Individual index stocks show high volatility and strong tendency of price reversal, with large\u2010 and small\u2010cap stocks being affected more than the medium\u2010sized stocks. The highest\u2010weighted stocks exhibit excessive volume and volatility, which is disproportionate to the impact on all other index stocks, indicating that the expiration\u2010day effects may have been amplified by the attempt of price manipulation using large\u2010cap stocks. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:920\u2013945, 2009<\/jats:p>","DOI":"10.1002\/fut.20391","type":"journal-article","created":{"date-parts":[[2009,7,21]],"date-time":"2009-07-21T18:14:43Z","timestamp":1248200083000},"page":"920-945","source":"Crossref","is-referenced-by-count":17,"title":["Expiration\u2010day effects on individual stocks and the overall market: Evidence from Taiwan"],"prefix":"10.1002","volume":"29","author":[{"given":"Wen\u2010Liang Gideon","family":"Hsieh","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,21]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100410001673612"},{"key":"e_1_2_1_3_1","article-title":"Commonality in liquidity: A global perspective","author":"Brockman P.","year":"2008","journal-title":"Journal of Finance and Quantitative Analysis"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10054"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2006.06.004"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2005.06.002"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199702)17:1<45::AID-FUT3>3.0.CO;2-G"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1996.407969"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(03)00019-2"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04666.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04403.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00073-4"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080402"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296499"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1177\/031289629702200202"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20178"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20391","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20391","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T00:51:12Z","timestamp":1699923072000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20391"}},"issued":{"date-parts":[[2009,7,21]]},"references-count":17,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2009,10]]}},"alternative-id":["10.1002\/fut.20391"],"URL":"https:\/\/doi.org\/10.1002\/fut.20391","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,21]]}},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T02:52:07Z","timestamp":1773888727136,"version":"3.50.1"},"reference-count":28,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,3,9]],"date-time":"2015-03-09T00:00:00Z","timestamp":1425859200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001732","name":"Danish National Research Foundation","doi-asserted-by":"publisher","award":["DNRF78"],"award-info":[{"award-number":["DNRF78"]}],"id":[{"id":"10.13039\/501100001732","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004836","name":"Danish Council for Independent Research","doi-asserted-by":"crossref","award":["4091- 00190\/FSE"],"award-info":[{"award-number":["4091- 00190\/FSE"]}],"id":[{"id":"10.13039\/501100004836","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,2]]},"abstract":"Abstract<\/jats:title>The dynamic Nelson\u2013Siegel model is used to model the term structure of futures contracts on oil and obtain forecasts of prices of these contracts. Three factors are extracted and modelled in a very flexible framework. The outcome of this exercise is a class of models which describes the observed prices of futures contracts well and performs better than conventional benchmarks in realistic real\u2010time out\u2010of\u2010sample exercises. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:153\u2013173, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21713","type":"journal-article","created":{"date-parts":[[2015,3,9]],"date-time":"2015-03-09T13:37:10Z","timestamp":1425908230000},"page":"153-173","source":"Crossref","is-referenced-by-count":24,"title":["Analyzing Oil Futures with a Dynamic Nelson\u2010Siegel Model"],"prefix":"10.1002","volume":"36","author":[{"given":"Niels S.","family":"Gr\u00d8nborg","sequence":"first","affiliation":[{"name":"Niels S. Gr\u00f8nborg and Asger Lunde are at the Department of Economics and Business, School of Business and Social Sciences, Aarhus University and CREATES. Fuglesangs All\u00e9 4, 8210 Aarhus V Denmark"}]},{"given":"Asger","family":"Lunde","sequence":"additional","affiliation":[{"name":"Niels S. Gr\u00f8nborg and Asger Lunde are at the Department of Economics and Business, School of Business and Social Sciences, Aarhus University and CREATES. Fuglesangs All\u00e9 4, 8210 Aarhus V Denmark"}]}],"member":"311","published-online":{"date-parts":[[2015,3,9]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9469.00045"},{"key":"e_1_2_9_3_1","author":"Campbell S.\u00a0D.","year":"2005","journal-title":"A review of backtesting and backtesting procedures"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2011.02.001"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527341"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.005"},{"key":"e_1_2_9_7_1","author":"Doornik J.\u00a0A.","year":"2007","journal-title":"Object\u2010oriented matrix programming using Ox"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000370"},{"key":"e_1_2_9_9_1","author":"Geman H.","year":"2005","journal-title":"Commodities and commodity derivatives: Modeling and pricing for agriculturals, metals, and energy"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500105000000018"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00204-5"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21653"},{"key":"e_1_2_9_13_1","unstructured":"Hansen P. &Lunde A.(2014). Mulcom 3.00 econometric toolkit for multiple comparisons."},{"key":"e_1_2_9_14_1","first-page":"453","article-title":"The model confidence set","volume":"2","author":"Hansen P.","year":"2011","journal-title":"Econometrica"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.06.020"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.00070"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07295"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407942"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/296409"},{"key":"e_1_2_9_20_1","author":"Noureldin D.","year":"2011","journal-title":"Forecasting changes in the term structure of interest rates"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2006.00387.x"},{"key":"e_1_2_9_22_1","author":"Patton A.","year":"2009","journal-title":"Handbook of financial time series"},{"key":"e_1_2_9_23_1","author":"Patton A.","year":"2012","journal-title":"Handbook of economic forecasting"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.t01-1-00071"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/15326349708807456"},{"key":"e_1_2_9_26_1","author":"Schmidt T.","year":"2007","journal-title":"Copulas\u2014From theory to applications in finance"},{"key":"e_1_2_9_27_1","doi-asserted-by":"crossref","first-page":"923","DOI":"10.1111\/j.1540-6261.1997.tb02721.x","author":"Schwartz E.\u00a0S.","year":"1997","journal-title":"The Journal of Finance"},{"key":"e_1_2_9_28_1","first-page":"229","article-title":"Fonctions de r\u00e9partition \u00e0 n dimensions e leurs marges","volume":"8","author":"Sklar A.","year":"1959","journal-title":"Publications de l'Institut de Statistique de l'Universit\u00e9 de Paris"},{"key":"e_1_2_9_29_1","doi-asserted-by":"crossref","unstructured":"West J.(2011). Long\u2010dated agricultural futures price estimates using the seasonal Nelson\u2013Siegel model. Griffith Business School Discussion Papers Finance 7.","DOI":"10.5539\/ijbm.v7n3p78"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21713","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21713","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:34:50Z","timestamp":1696584890000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21713"}},"issued":{"date-parts":[[2015,3,9]]},"references-count":28,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2016,2]]}},"alternative-id":["10.1002\/fut.21713"],"URL":"https:\/\/doi.org\/10.1002\/fut.21713","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,3,9]]}},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T20:22:22Z","timestamp":1773951742441,"version":"3.50.1"},"reference-count":36,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2012,2,7]],"date-time":"2012-02-07T00:00:00Z","timestamp":1328572800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,8]]},"abstract":"One of the most widely used option\u2010valuation models among practitioners is the ad hoc Black\u2010Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider three dividend strategies (No dividend, Implied\u2010forward dividend, and Actual dividend) for the AHBS model to investigate their effect on pricing errors. We suggest a new dividend strategy, implied\u2010forward dividend, which incorporates expectational information on dividends embedded in option prices. We demonstrate that our implied\u2010forward dividend strategy produces more consistent estimates between in\u2010sample market and model option prices. More importantly our new implied\u2010forward dividend strategy makes more accurate out\u2010of\u2010sample forecasts for one\u2010day or one\u2010week ahead prices.<\/jats:p>Second, we document that both a \u201cReturn\u2010volatility\u201d Smile and a \u201cReturn\u2010pricing Error\u201d Smile exist. From these return characteristics, we make two conclusions: (1) the return dependency of implied volatility is an important explanatory variable and should be controlled to reduce the pricing error of an AHBS model, and (2) it is important for the hedging horizon to be based on return size, that is, the larger the contemporaneous return, the more frequent an option issuer must rebalance the option's hedge. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 32:742\u2010772, 2012<\/jats:p>","DOI":"10.1002\/fut.21541","type":"journal-article","created":{"date-parts":[[2015,10,13]],"date-time":"2015-10-13T03:01:18Z","timestamp":1444705278000},"page":"742-772","source":"Crossref","is-referenced-by-count":8,"title":["Dividend\u2010Rollover Effect and the Ad Hoc Black\u2010Scholes Model"],"prefix":"10.1002","volume":"32","author":[{"given":"Youngsoo","family":"Choi","sequence":"first","affiliation":[{"name":"Youngsoo Choi is in the Department of Mathematics Hankuk University of Foreign Studies Gyeonggi\u2010do Korea"}]},{"given":"Steven J.","family":"Jordan","sequence":"additional","affiliation":[{"name":"Steven J. Jordan is at Econometric Solutions Fort Worth Texas"}]},{"given":"Soonchan","family":"Ok","sequence":"additional","affiliation":[{"name":"Soonchan Ok is at e*<\/sup> Value Kwanghwamun Bldg. 211 Sejongro, Jongrogu Seoul Korea"}]}],"member":"311","published-online":{"date-parts":[[2012,2,7]]},"reference":[{"key":"e_1_2_7_2_1","first-page":"1438","volume-title":"Hedging and vertical integration in electricity markets","author":"A\u00efd R.","year":"2011"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2003.319210"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_7_6_1","first-page":"177","article-title":"Studies of stock price volatility changes","author":"Black F.","year":"1976","journal-title":"Proceedings 1976 Meetings Business Economic Statistics Section. American Statistical Association, Washington"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00009-9"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1755-053X.2005.tb00109.x"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0275"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00544"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1100.1194"},{"key":"e_1_2_7_12_1","unstructured":"Chicago Board Options Exchange(2003).VIX \u2013 CBOE volatility index. Available at:http:\/\/www.cboe.com\/micro\/vix\/vixwhite.pdf."},{"key":"e_1_2_7_13_1","article-title":"Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market","author":"Choi Y. S.","journal-title":"Journal of Futures Market"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.41.6.1083"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1065"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.02.001"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2006.04.004"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.47.7.949.9804"},{"key":"e_1_2_7_19_1","first-page":"32","article-title":"Riding on a smile","volume":"7","author":"Derman E.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_7_21_1","doi-asserted-by":"crossref","unstructured":"Duan J. C. Ritchken P. &Sun Z.(2004).Jump starting GARCH: Pricing and hedging options with jumps in returns and volatilities. Manuscript University of Toronto Toronto Ontario Canada.","DOI":"10.2139\/ssrn.479483"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_7_23_1","first-page":"18","article-title":"Pricing with a smile","volume":"7","author":"Dupire B.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(99)00023-9"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_7_26_1","volume-title":"Recovering stochastic processes from option prices (working paper)","author":"Jackwerth J. C.","year":"2001"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(03)00042-8"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20403"},{"key":"e_1_2_7_29_1","unstructured":"Korea Exchange. (2009).VKOSPI\u2014KRX volatility index. Available at:http:\/\/inc.krx.co.kr\/attach\/eng\/sta\/VKOSPI_GUIDE_ENG.pdf."},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1050.0472"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2009.00530.x"},{"key":"e_1_2_7_32_1","volume-title":"A \u201chorse race\u201d among competing option pricing models using S&P 500 index options (working paper)","author":"Li M.","year":"2007"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.46.5.658.12045"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.44.7.921"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.40.6.798"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1070.0700"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601173444"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21541","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21541","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T22:51:02Z","timestamp":1698706262000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21541"}},"issued":{"date-parts":[[2012,2,7]]},"references-count":36,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2012,8]]}},"alternative-id":["10.1002\/fut.21541"],"URL":"https:\/\/doi.org\/10.1002\/fut.21541","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,2,7]]}},{"indexed":{"date-parts":[[2026,3,18]],"date-time":"2026-03-18T12:54:37Z","timestamp":1773838477820,"version":"3.50.1"},"reference-count":30,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2009,8,5]],"date-time":"2009-08-05T00:00:00Z","timestamp":1249430400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,6]]},"abstract":"Abstract<\/jats:title>We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial markets. In particular, if the social cost function kinks at some level of abatement, the forward price, as well as the spot price, can be subject to the so\u2010called price spike. However, this price\u2010spike phenomenon can be weakened if a system of banking and borrowing is properly introduced. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:559\u2013589, 2010<\/jats:p>","DOI":"10.1002\/fut.20430","type":"journal-article","created":{"date-parts":[[2009,8,5]],"date-time":"2009-08-05T17:13:50Z","timestamp":1249492430000},"page":"559-589","source":"Crossref","is-referenced-by-count":31,"title":["Equilibrium pricing of contingent claims in tradable permit markets"],"prefix":"10.1002","volume":"30","author":[{"given":"Masaaki","family":"Kijima","sequence":"first","affiliation":[]},{"given":"Akira","family":"Maeda","sequence":"additional","affiliation":[]},{"given":"Katsumasa","family":"Nishide","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,8,5]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1023\/B:REGE.0000012287.80449.97"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.07.003"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0515036100006619"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jebo.2005.02.007"},{"key":"e_1_2_1_6_1","unstructured":"Chesney M. &Taschini L.(2008).The endogenous price dynamics of emission allowance: An application to CO2 option pricing(working paper)."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00240369"},{"key":"e_1_2_1_8_1","volume-title":"Pollution, property and prices: An essay in policy\u2010making and economics","author":"Dales J. H.","year":"1969"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.01.001"},{"key":"e_1_2_1_10_1","volume-title":"Futures markets, Englewood Cliffs","author":"Duffie D.","year":"1989"},{"key":"e_1_2_1_11_1","volume-title":"Dynamic asset pricing theory","author":"Duffie D.","year":"2001"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511528576"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177698701"},{"key":"e_1_2_1_14_1","unstructured":"Fehr M. &Hinz J.(2006).A quantitative approach to carbon price risk modeling(working paper)."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1883124"},{"key":"e_1_2_1_16_1","volume-title":"Englewood Cliffs","author":"Hull J.","year":"2005"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0140-9883(95)00023-N"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1007\/BF00338241","article-title":"Transboundary air pollution and soil asidification: A dynamic analysis of an acid rain game between Finland and the USSR","volume":"2","author":"Kaitala V.","year":"1992","journal-title":"Environmental and Resource Economics"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","DOI":"10.1201\/9781420057607","volume-title":"Stochastic processes with application to finance","author":"Kijima M.","year":"2002"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2143\/AST.36.1.2014152"},{"key":"e_1_2_1_21_1","unstructured":"Livernois J. &Moghadam A.(2007).The abatement cost function for motor vehicle pollution emissions: Evidence from Canada(working paper)."},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF03353932"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(72)90049-X"},{"key":"e_1_2_1_24_1","unstructured":"R\u00f8ine K. Tvinnereim E. &Hasselknippe H.(2008).Carbon 2008\u2014Post\u20102012 is now.Point Carbon."},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1006\/jeem.1996.0044"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1006\/jeem.1999.1122"},{"key":"e_1_2_1_27_1","first-page":"1997","article-title":"The stochastic behavior of commodity prices: Implications for valuing and hedging","volume":"52","author":"Schwartz E. S.","journal-title":"Journal of Finance"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2008.03.003"},{"key":"e_1_2_1_29_1","volume-title":"Economics of the environment: Selected readings","author":"Stavins R. N.","year":"2000"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","unstructured":"Taschini L.(2009).Environmental economics and modeling marketable permits: A survey. Asia\u2010Pacific Financial Markets forthcoming.","DOI":"10.1007\/s10690-009-9108-2"},{"key":"e_1_2_1_31_1","doi-asserted-by":"crossref","DOI":"10.56021\/9780915707126","volume-title":"Emissions trading: An exercise in reforming pollution policy","author":"Tietenberg T. H.","year":"1985"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20430","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20430","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:48:10Z","timestamp":1700653690000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20430"}},"issued":{"date-parts":[[2009,8,5]]},"references-count":30,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2010,6]]}},"alternative-id":["10.1002\/fut.20430"],"URL":"https:\/\/doi.org\/10.1002\/fut.20430","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,8,5]]}},{"indexed":{"date-parts":[[2026,1,22]],"date-time":"2026-01-22T17:24:21Z","timestamp":1769102661750,"version":"3.49.0"},"reference-count":43,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2024,4,16]],"date-time":"2024-04-16T00:00:00Z","timestamp":1713225600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,7]]},"abstract":"Abstract<\/jats:title>This study offers a nuanced examination of the interplay between climate policy uncertainty (CPU) and three categories of the US commodity futures returns (metals, energy, and soft commodities). By integrating a regression framework with a Markov regime\u2010switching approach, our results uncover both linear and nonlinear effects of CPU in varying volatility contexts. This comprehensive methodological approach sheds light on CPU's diverse impacts across various types of commodity futures. The findings illustrate CPU's notable influence on metal and energy futures in low\u2010volatility regime, contrasted with its more pronounced effect on soft commodities during high\u2010volatility regime. These insights are pivotal for investors strategizing in light of CPU, and underscore the significance of renewable energy in alleviating climate policy uncertainties within commodity markets.<\/jats:p>","DOI":"10.1002\/fut.22510","type":"journal-article","created":{"date-parts":[[2024,4,16]],"date-time":"2024-04-16T10:39:04Z","timestamp":1713263944000},"page":"1277-1292","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9378-5836","authenticated-orcid":false,"given":"Chia\u2010Hsien","family":"Tang","sequence":"first","affiliation":[{"name":"Economics and Management Department Guangxi Minzu Normal University Chongzuo Guangxi China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8713-3070","authenticated-orcid":false,"given":"Yen\u2010Hsien","family":"Lee","sequence":"additional","affiliation":[{"name":"Department of Finance, College of Business Chung Yuan Christian University Taoyuan City Taiwan"}]},{"given":"Hung\u2010Chun","family":"Liu","sequence":"additional","affiliation":[{"name":"Department of Finance, College of Business Chung Yuan Christian University Taoyuan City Taiwan"}]},{"given":"Guan\u2010Gzhe","family":"Zeng","sequence":"additional","affiliation":[{"name":"Department of Finance, College of Business Chung Yuan Christian University Taoyuan City Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2024,4,16]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/20430795.2021.1929804"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-021-04211-z"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2022.4636"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2022.100760"},{"issue":"2","key":"e_1_2_9_6_1","first-page":"1575","article-title":"Correlation and volatility of the MENA equity markets in turbulent periods, and portfolio implications","volume":"33","author":"Bouri E.","year":"2013","journal-title":"Economics Bulletin"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102740"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2023.122682"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101502"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2022.110312"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100289"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2022.126376"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2023.106948"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2021.100876"},{"key":"e_1_2_9_15_1","doi-asserted-by":"crossref","unstructured":"Fried S. Novan K. M. &Peterman W.(2021).The macro effects of climate policy uncertainty[Working Paper Available at SSRN 3865414].","DOI":"10.17016\/FEDS.2021.018"},{"key":"e_1_2_9_16_1","doi-asserted-by":"crossref","unstructured":"Gavriilidis K.(2021).Measuring climate policy uncertainty[Working Paper Available at SSRN 3847388].","DOI":"10.2139\/ssrn.3847388"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102286"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102681"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2022.101675"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/csr.2246"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm15090397"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11356-022-23464-0"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13217"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103728"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2023.137594"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2022.121810"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104412"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2019.06.071"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.103014"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.08.007"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103506"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105377"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1007\/s40953-021-00258-8"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/s43979-022-00008-6"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106209"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11356-022-23020-w"},{"key":"e_1_2_9_37_1","article-title":"Is Bitcoin a better safe\u2010haven investment than gold and commodities?","volume":"71","author":"Shahzad S. J. H.","year":"2021","journal-title":"International Review of Financial Analysis"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102518"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103008"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2443"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2018.05.001"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2022.121586"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22099"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2021.08.005"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22510","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,7]],"date-time":"2024-06-07T05:51:49Z","timestamp":1717739509000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22510"}},"issued":{"date-parts":[[2024,4,16]]},"references-count":43,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2024,7]]}},"alternative-id":["10.1002\/fut.22510"],"URL":"https:\/\/doi.org\/10.1002\/fut.22510","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,4,16]]},"assertion":[{"value":"2023-09-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-04-01","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-04-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T21:17:48Z","timestamp":1773091068812,"version":"3.50.1"},"reference-count":25,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5322,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,2]]},"DOI":"10.1002\/fut.3990120108","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:57:55Z","timestamp":1183661875000},"page":"75-91","source":"Crossref","is-referenced-by-count":104,"title":["Is normal backwardation normal?"],"prefix":"10.1002","volume":"12","author":[{"given":"Robert W.","family":"Kolb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050113"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Bodie Z.andRosansky V. I.(1980): \u201cRisk and Return in Commodity Futures \u201dFinancial Analysts Journal May\/June:27\u201339.","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1975.tb01020.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/261148"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04944.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01074.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Cox J. Ingersoll J. andRoss S.(1981): \u201cThe Relation between Forward Prices and Futures Prices \u201dJournal of Financial Economics December:373\u2013382.","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070104"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/261525"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90052-1"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/261516"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03653.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1928531"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Jarrow R. andOldfield G.(1981): \u201cForward Contracts and Futures Contracts \u201dJournal of Financial Economics December:373\u2013382.","DOI":"10.1016\/0304-405X(81)90004-0"},{"key":"e_1_2_1_18_1","volume-title":"A Treatise on Money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1058321"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/261215"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Morgan G. E.(1981): \u201cForward and Futures Pricing of Treasury Bills \u201dJournal of Banking and Finance December:483\u2013496.","DOI":"10.1016\/S0378-4266(81)80003-9"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050402"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050108"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040209"},{"key":"e_1_2_1_25_1","first-page":"107","article-title":"Normal Backwardation, Forecasting and Returns to Commodity Futures Traders","volume":"7","author":"Rockwell C.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070307"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120108","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120108","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:26:28Z","timestamp":1698074788000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120108"}},"issued":{"date-parts":[[1992,2]]},"references-count":25,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1992,2]]}},"alternative-id":["10.1002\/fut.3990120108"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120108","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,2]]}},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T20:08:13Z","timestamp":1772827693189,"version":"3.50.1"},"reference-count":10,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4897,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,4]]},"DOI":"10.1002\/fut.3990130206","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:02:09Z","timestamp":1183683729000},"page":"193-198","source":"Crossref","is-referenced-by-count":130,"title":["Cointegration and error correction models: Intertemporal causality between index and futures prices"],"prefix":"10.1002","volume":"13","author":[{"given":"Asim","family":"Ghosh","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Anderson H. M. Granger C. W. J. andHall A. D.(1990): \u201cTreasury Bill Yield Curves and Cointegration \u201d Discussion Paper 90\u201024 University of California San Diego."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331268"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110406"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110506"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1991.mp53002005.x"},{"key":"e_1_2_1_7_1","first-page":"427","article-title":"Distribution of Estimators for Autoregressive Time Series With a Unit Root","volume":"74","author":"Dickey D. A.","year":"1979","journal-title":"Journal of the America1 Statistical Association"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(81)90079-8"},{"key":"e_1_2_1_11_1","volume-title":"Modelling Long\u2010Run Economic Relationships","author":"MacKinnon J. G.","year":"1990"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130206","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130206","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T04:17:23Z","timestamp":1698293843000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130206"}},"issued":{"date-parts":[[1993,4]]},"references-count":10,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1993,4]]}},"alternative-id":["10.1002\/fut.3990130206"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130206","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,4]]}},{"indexed":{"date-parts":[[2026,3,16]],"date-time":"2026-03-16T14:16:22Z","timestamp":1773670582477,"version":"3.50.1"},"reference-count":16,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2010,9,7]],"date-time":"2010-09-07T00:00:00Z","timestamp":1283817600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,6]]},"abstract":"Abstract<\/jats:title>This study investigates the convergence patterns and the rates of convergence of binomial Greeks for the CRR model and several smooth price convergence models in the literature, including the binomial Black\u2013Scholes (BBS) model of Broadie M and Detemple J (1996<\/jats:ext-link>), the flexible binomial model (FB) of Tian YS (1999<\/jats:ext-link>), the smoothed payoff (SPF) approach of Heston S and Zhou G (2000<\/jats:ext-link>), the GCRR\u2010XPC models of Chung SL and Shih PT (2007<\/jats:ext-link>), the modified FB\u2010XPC model, and the modified GCRR\u2010FT model. We prove that the rate of convergence of the CRR model for computing deltas and gammas is of order O<\/jats:italic>(1\/n<\/jats:italic>), with a quadratic error term relating to the position of the final nodes around the strike price. Moreover, most smooth price convergence models generate deltas and gammas with monotonic and smooth convergence with order O<\/jats:italic>(1\/n<\/jats:italic>). Thus, one can apply an extrapolation formula to enhance their accuracy. The numerical results show that placing the strike price at the center of the tree seems to enhance the accuracy substantially. Among all the binomial models considered in this study, the FB\u2010XPC and the GCRR\u2010XPC model with a two\u2010point extrapolation are the most efficient methods to compute Greeks. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20484","type":"journal-article","created":{"date-parts":[[2010,9,8]],"date-time":"2010-09-08T07:49:36Z","timestamp":1283932176000},"page":"562-597","source":"Crossref","is-referenced-by-count":6,"title":["On the rate of convergence of binomial Greeks"],"prefix":"10.1002","volume":"31","author":[{"given":"San\u2010Lin","family":"Chung","sequence":"first","affiliation":[]},{"given":"Weifeng","family":"Hung","sequence":"additional","affiliation":[]},{"given":"Han\u2010Hsing","family":"Lee","sequence":"additional","affiliation":[]},{"given":"Pai\u2010Ta","family":"Shih","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,9,7]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.4.1211"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20272"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2211"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1060.0652"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_7_7_1","volume-title":"An Introduction to Probability Theory and Its Applications","author":"Feller W.","year":"1971"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00024-0"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00080"},{"key":"e_1_2_7_10_1","volume-title":"Options, Futures, and Other Derivatives","author":"Hull J. C.","year":"2006"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(98)00019-0"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504869600000015"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330879"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407888"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb00058.x"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199910)19:7<817::AID-FUT5>3.0.CO;2-D"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10010"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20484","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20484","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,9]],"date-time":"2023-10-09T13:46:17Z","timestamp":1696859177000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20484"}},"issued":{"date-parts":[[2010,9,7]]},"references-count":16,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2011,6]]}},"alternative-id":["10.1002\/fut.20484"],"URL":"https:\/\/doi.org\/10.1002\/fut.20484","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,9,7]]}},{"indexed":{"date-parts":[[2026,3,17]],"date-time":"2026-03-17T16:13:56Z","timestamp":1773764036964,"version":"3.50.1"},"reference-count":33,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2008,9,9]],"date-time":"2008-09-09T00:00:00Z","timestamp":1220918400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,11]]},"abstract":"Abstract<\/jats:title>Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and are likely a superior measure to historical realized volatility. Implied idiosyncratic volatilities on firms with traded options are used to examine the relationship between idiosyncratic volatility and future returns. A strong positive link was found between implied idiosyncratic risk and future returns. After considering the impact of implied idiosyncratic volatility, historical realized idiosyncratic volatility is unimportant. This performance is strongly tied to small size and high book\u2010to\u2010market equity firms. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 1013\u20131039, 2008<\/jats:p>","DOI":"10.1002\/fut.20327","type":"journal-article","created":{"date-parts":[[2008,9,9]],"date-time":"2008-09-09T17:33:18Z","timestamp":1220981598000},"page":"1013-1039","source":"Crossref","is-referenced-by-count":65,"title":["The information content in implied idiosyncratic volatility and the cross\u2010section of stock returns: Evidence from the option markets"],"prefix":"10.1002","volume":"28","author":[{"given":"Dean","family":"Diavatopoulos","sequence":"first","affiliation":[]},{"given":"James S.","family":"Doran","sequence":"additional","affiliation":[]},{"given":"David R.","family":"Peterson","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,9,9]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210900000274X"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.007"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00367"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01051.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Boehme R. Danielsen B. Kumar P. &Sorescu S.(2005).Idiosyncratic risk and the cross\u2010section of stock returns: Merton (1987) meets Miller (1977). Working paper.","DOI":"10.2139\/ssrn.685703"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03808.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_1_11_1","unstructured":"Chua C. Goh J. &Zhang Z.(2005).Idiosyncratic volatility matters for the crosssection of returns\u2014In more ways than one! Working paper."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v55.n2.2262"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002118"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-006-9002-2"},{"key":"e_1_2_1_15_1","first-page":"3","article-title":"Risk in the equity markets: An empirical appraisal of market efficiency","volume":"9","author":"Douglas G.","year":"1969","journal-title":"Yale Economic Essays"},{"key":"e_1_2_1_16_1","unstructured":"Duan Y. Hu G. &McLean D.(2007).Costly arbitrage and idiosyncratic risk: Evidence from short sellers. Working paper."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_1_20_1","article-title":"Idiosyncratic risk and the cross\u2010section of expected stock returns","author":"Fu F.","year":"2008","journal-title":"Forthcoming in the Journal of Financial Economics"},{"key":"e_1_2_1_21_1","first-page":"12","article-title":"Relationships between implied volatility indexes and stock returns","volume":"26","author":"Giot P.","year":"2005","journal-title":"Journal of Portfolio Management"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00555"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126743"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","unstructured":"Jones C. &Rhodes\u2010Kropf M.(2003).The price of diversifiable risk in venture capital and private equity. Working paper Columbia University.","DOI":"10.2139\/ssrn.342841"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90094-A"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924119"},{"key":"e_1_2_1_27_1","unstructured":"Malkiel B. &Xu Y.(2006).Idiosyncratic risk and security returns. Working paper University of Texas at Dallas."},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04565.x"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03317.x"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.008"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(76)90046-6"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1964.tb02865.x"},{"key":"e_1_2_1_34_1","unstructured":"Spiegel M. &Wang X.(2007).Cross\u2010sectional variation in stock returns: Liquidity and idiosyncratic risk. Working paper Yale."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20327","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20327","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T01:08:32Z","timestamp":1700010512000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20327"}},"issued":{"date-parts":[[2008,9,9]]},"references-count":33,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2008,11]]}},"alternative-id":["10.1002\/fut.20327"],"URL":"https:\/\/doi.org\/10.1002\/fut.20327","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,9,9]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T08:20:18Z","timestamp":1696666818455},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2016,1,5]],"date-time":"2016-01-05T00:00:00Z","timestamp":1451952000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,2]]},"DOI":"10.1002\/fut.21742","type":"journal-article","created":{"date-parts":[[2016,1,5]],"date-time":"2016-01-05T14:52:53Z","timestamp":1452005573000},"page":"105-105","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 36, Number 2, February 2016"],"prefix":"10.1002","volume":"36","member":"311","published-online":{"date-parts":[[2016,1,5]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21742","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21742","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:34:57Z","timestamp":1696584897000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21742"}},"issued":{"date-parts":[[2016,1,5]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2016,2]]}},"alternative-id":["10.1002\/fut.21742"],"URL":"https:\/\/doi.org\/10.1002\/fut.21742","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,1,5]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T11:18:01Z","timestamp":1696677481245},"reference-count":0,"publisher":"Wiley","issue":"8","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,8]]},"DOI":"10.1002\/fut.v36.8","type":"journal-issue","created":{"date-parts":[[2016,7,2]],"date-time":"2016-07-02T03:03:34Z","timestamp":1467428614000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"36","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v36.8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T04:08:13Z","timestamp":1696565293000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/36\/8"}},"issued":{"date-parts":[[2016,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2016,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v36.8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,8]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T10:42:50Z","timestamp":1696675370267},"reference-count":0,"publisher":"Wiley","issue":"7","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,7]]},"DOI":"10.1002\/fut.v37.7","type":"journal-issue","created":{"date-parts":[[2017,6,7]],"date-time":"2017-06-07T14:10:16Z","timestamp":1496844616000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"37","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v37.7","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T03:49:13Z","timestamp":1696564153000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/37\/7"}},"issued":{"date-parts":[[2017,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2017,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v37.7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,7]]}},{"indexed":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T11:10:43Z","timestamp":1693393843246},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2021,9,17]],"date-time":"2021-09-17T00:00:00Z","timestamp":1631836800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,10]]},"DOI":"10.1002\/fut.22271","type":"journal-article","created":{"date-parts":[[2021,9,17]],"date-time":"2021-09-17T11:48:19Z","timestamp":1631879299000},"page":"1497-1497","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["In Memorium: Jayaram Muthuswamy"],"prefix":"10.1002","volume":"41","member":"311","published-online":{"date-parts":[[2021,9,17]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22271","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22271","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22271","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T03:48:27Z","timestamp":1693280907000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22271"}},"issued":{"date-parts":[[2021,9,17]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2021,10]]}},"alternative-id":["10.1002\/fut.22271"],"URL":"https:\/\/doi.org\/10.1002\/fut.22271","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,9,17]]},"assertion":[{"value":"2021-09-17","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,4]],"date-time":"2023-11-04T00:48:15Z","timestamp":1699058895151},"reference-count":0,"publisher":"Wiley","issue":"12","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,12]]},"DOI":"10.1002\/fut.v43.12","type":"journal-issue","created":{"date-parts":[[2023,11,3]],"date-time":"2023-11-03T09:41:24Z","timestamp":1699004484000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"43","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,3]],"date-time":"2023-11-03T09:41:25Z","timestamp":1699004485000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/43\/12"}},"issued":{"date-parts":[[2023,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2023,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v43.12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,12]]}},{"indexed":{"date-parts":[[2025,3,24]],"date-time":"2025-03-24T07:22:33Z","timestamp":1742800953102},"reference-count":77,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2013,2,14]],"date-time":"2013-02-14T00:00:00Z","timestamp":1360800000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,4]]},"abstract":"Abstract<\/jats:title>This paper examines the association between option\u2010implied interest rate distributions and macroeconomic expectations in the context of a forward\u2010looking monetary policy rule. We presume that market participants view the policy rule as a guide to the path of future policy rates and price interest rate options in accordance with the policy rule fundamentals. Using data from the UK, we confirm that Libor expectations implied by option prices are consistent with the policy rule variables. The results demonstrate that changes in the distributional form of Libor expectations are strongly associated with changes in the expected inflation and output gaps and financial uncertainty. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:346\u2013373, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21596","type":"journal-article","created":{"date-parts":[[2013,2,14]],"date-time":"2013-02-14T16:01:18Z","timestamp":1360857678000},"page":"346-373","source":"Crossref","is-referenced-by-count":6,"title":["Forward\u2010Looking Monetary Policy Rules and Option\u2010Implied Interest Rate Expectations"],"prefix":"10.1002","volume":"34","author":[{"given":"Jukka","family":"Sihvonen","sequence":"first","affiliation":[{"name":"Research Fellow at the University of Vaasa Vaasa Finland"}]},{"given":"Sami","family":"V\u00e4h\u00e4maa","sequence":"additional","affiliation":[{"name":"Accounting and Finance at the University of Vaasa Vaasa Finland"}]}],"member":"311","published-online":{"date-parts":[[2013,2,14]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"crossref","unstructured":"Adrian T. &Shin H.(2008).Financial intermediaries financial stability and monetary policy. Federal Reserve Bank of New York Staff Report No. 346.","DOI":"10.2139\/ssrn.1266714"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.06.027"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2006.04.006"},{"key":"e_1_2_8_5_1","first-page":"137","volume-title":"Forecasting volatility in the financial markets","author":"Bahra B.","year":"2002"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1257\/0002828041301795"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2006.05.013"},{"key":"e_1_2_8_8_1","first-page":"14","article-title":"Agency costs, net worth, and business fluctuations","volume":"79","author":"Bernanke B.","year":"1989","journal-title":"American Economic Review"},{"key":"e_1_2_8_9_1","doi-asserted-by":"crossref","unstructured":"Bernanke B. &Gertler M.(2000).Monetary policy and asset price volatility. NBER Working Paper Series No. 7559.","DOI":"10.3386\/w7559"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.91.2.253"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109844"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0048(99)10034-X"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470050020798"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00227-8"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00637.x"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(97)00054-5"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226092126.001.0001"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20187"},{"key":"e_1_2_8_21_1","volume-title":"Asset prices and central bank policy","author":"Cecchetti S.","year":"2000"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(98)00016-6"},{"key":"e_1_2_8_23_1","unstructured":"Clews R. Panigirtzoglou N. &Proudman J.(2000).Recent developments in extracting information from options markets. Bank of England Quarterly Bulletin No. 1."},{"key":"e_1_2_8_24_1","volume-title":"Asset pricing","author":"Cochrane J.","year":"2005"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1996.tb00592.x"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00161-8"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_8_28_1","doi-asserted-by":"crossref","unstructured":"de Vincent\u2010Humphreys R. &Noss J.(2012).Estimating probability distributions of future asset prices: Empirical transformations from option\u2010implied risk\u2010neutral to real\u2010world density functions. Bank of England working paper 455.","DOI":"10.2139\/ssrn.2093397"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243146"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2005.05.007"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmacro.2010.12.001"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2011.613770"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2011.03.001"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.325"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2005.07.004"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20157"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2008.05.002"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(87)90002-X"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10679-005-2989-7"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319143"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.2202\/1935-1690.2045"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1110.1346"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282804322970805"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00077-5"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407988"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2012.08.002"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331318"},{"key":"e_1_2_8_51_1","doi-asserted-by":"crossref","unstructured":"Mishkin F.(2009).Is monetary policy effective during financial crises? NBER Working Paper Series No. 14678.","DOI":"10.3386\/w14678"},{"key":"e_1_2_8_52_1","doi-asserted-by":"crossref","unstructured":"Mishkin F. &White E.(2002).U.S. stock market crashes and their aftermath: Implications for monetary policy. NBER Working Paper Series No. 8992.","DOI":"10.3386\/w8992"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.07.005"},{"key":"e_1_2_8_54_1","volume-title":"Central banking, monetary theory and practice: Essays in honour of Charles Goodhart","author":"Nelson E.","year":"2003"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2010.00246.x"},{"key":"e_1_2_8_57_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.91.4.964"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00065-5"},{"key":"e_1_2_8_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00127-4"},{"key":"e_1_2_8_60_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355303321675473"},{"key":"e_1_2_8_61_1","volume-title":"The devil in the detail of monetary policy frameworks: Issues and measures of monetary framework characteristics","author":"Roger S.","year":"1999"},{"key":"e_1_2_8_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00128-9"},{"key":"e_1_2_8_63_1","doi-asserted-by":"crossref","unstructured":"Ross S.(2011).The recovery theorem. NBER Working Paper Series No. 17323.","DOI":"10.3386\/w17323"},{"key":"e_1_2_8_64_1","first-page":"203","volume-title":"Monetary policy rules","author":"Rudebusch G.","year":"1999"},{"key":"e_1_2_8_65_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199608)16:5<545::AID-FUT3>3.0.CO;2-G"},{"key":"e_1_2_8_66_1","first-page":"421","article-title":"Do stock prices move too much to be justified by subsequent changes in dividends","volume":"71","author":"Shiller R.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_8_67_1","first-page":"33","article-title":"Bounds of probability","volume":"6","author":"Shimko D.","year":"1993","journal-title":"Risk"},{"key":"e_1_2_8_68_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.4.2.19"},{"key":"e_1_2_8_69_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0335.00192"},{"key":"e_1_2_8_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(97)00047-0"},{"key":"e_1_2_8_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2231(93)90009-L"},{"key":"e_1_2_8_72_1","volume-title":"Asset price dynamics, volatility, and prediction","author":"Taylor S.","year":"2005"},{"key":"e_1_2_8_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconbus.2004.07.003"},{"key":"e_1_2_8_74_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20164"},{"key":"e_1_2_8_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.06.014"},{"key":"e_1_2_8_76_1","doi-asserted-by":"crossref","unstructured":"Vincent\u2010Humphreys R. &Puigvert\u2010Guti\u00e9rrez J.(2010).A quantitative mirror on the Euribor market using implied probability density functions. European Central Bank Working Paper Series No. 1281.","DOI":"10.2139\/ssrn.1726330"},{"key":"e_1_2_8_77_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.91.2.232"},{"key":"e_1_2_8_78_1","volume-title":"Interest and prices: Foundations of a theory of monetary policy","author":"Woodford M.","year":"2003"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21596","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21596","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T14:48:19Z","timestamp":1696603699000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21596"}},"issued":{"date-parts":[[2013,2,14]]},"references-count":77,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2014,4]]}},"alternative-id":["10.1002\/fut.21596"],"URL":"https:\/\/doi.org\/10.1002\/fut.21596","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,2,14]]}},{"indexed":{"date-parts":[[2023,12,30]],"date-time":"2023-12-30T09:52:58Z","timestamp":1703929978009},"reference-count":0,"publisher":"Wiley","issue":"8","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,8]]},"DOI":"10.1002\/fut.v38.8","type":"journal-issue","created":{"date-parts":[[2018,7,9]],"date-time":"2018-07-09T08:07:39Z","timestamp":1531123659000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"38","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,17]],"date-time":"2023-09-17T11:48:50Z","timestamp":1694951330000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/38\/8"}},"issued":{"date-parts":[[2018,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2018,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v38.8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,8]]}},{"indexed":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T05:20:10Z","timestamp":1700025610161},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,2]]},"DOI":"10.1002\/fut.v27:2","type":"journal-issue","created":{"date-parts":[[2006,12,7]],"date-time":"2006-12-07T21:17:04Z","timestamp":1165526224000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"27","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v27:2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T04:34:03Z","timestamp":1700022843000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/27\/2"}},"issued":{"date-parts":[[2007,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2007,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v27:2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,2]]}},{"indexed":{"date-parts":[[2023,10,9]],"date-time":"2023-10-09T05:10:57Z","timestamp":1696828257608},"reference-count":25,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2011,1,3]],"date-time":"2011-01-03T00:00:00Z","timestamp":1294012800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,9]]},"abstract":"Abstract<\/jats:title>This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedged using an imperfectly correlated hedging asset with small fixed and\/or proportional transaction costs, obtaining explicit formulae in special cases. This is of use when it is impractical to hedge using the underlying asset itself. The hedging strategy holds a position in the hedging asset whose value<\/jats:italic> lies between two bounds, which are independent of the hedging asset's current value. For low absolute correlation between hedging and hedged assets, highly risk\u2010averse investors and large portfolios, hedging strategies and option values differ significantly from their perfect market equivalents. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark 31:855\u2013897, 2011<\/jats:p>","DOI":"10.1002\/fut.20498","type":"journal-article","created":{"date-parts":[[2011,1,3]],"date-time":"2011-01-03T13:37:06Z","timestamp":1294061826000},"page":"855-897","source":"Crossref","is-referenced-by-count":1,"title":["Optimal partial hedging of options with small transaction costs"],"prefix":"10.1002","volume":"31","author":[{"given":"A. Elizabeth","family":"Whalley","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2011,1,3]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0168-9274(98)00104-4"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00072.x"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050046"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00637.x"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(97)00030-4"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(01)00068-9"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2005.03.001"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1137\/0331022"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00121.x"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500116957"},{"key":"e_1_2_6_12_1","unstructured":"Henrotte P.(1993).Transaction costs and duplication strategies Working paper Stanford University and HEC."},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0001-8708(02)00035-X"},{"key":"e_1_2_6_14_1","first-page":"222","article-title":"Optimal replication of contingent claims under transaction costs","volume":"8","author":"Hodges S. D.","year":"1989","journal-title":"Review of Futures Markets"},{"key":"e_1_2_6_15_1","first-page":"21","article-title":"Hedging option portfolios in the presence of transaction costs","volume":"7","author":"Hoggard T.","year":"1994","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02383.x"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/422565"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/4\/3\/001"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-003-0112-5"},{"key":"e_1_2_6_20_1","first-page":"303","volume-title":"Mathematics of Finance, AMS Contemporary Mathematics Series 351","author":"Rogers L. C. H.","year":"2004"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1081\/STM-100002064"},{"key":"e_1_2_6_22_1","first-page":"427","volume-title":"Proceedings, 7th European Conference on Mathematics in Industry","author":"Whalley A. E.","year":"1993"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00034"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1017\/S095679259900368X"},{"key":"e_1_2_6_25_1","doi-asserted-by":"crossref","unstructured":"Zakamouline V. I.(2003).European option pricing and hedging with both fixed and proportional transaction costs Working paper November 21 2003.","DOI":"10.2139\/ssrn.471701"},{"key":"e_1_2_6_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2004.11.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20498","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20498","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,8]],"date-time":"2023-10-08T19:58:30Z","timestamp":1696795110000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20498"}},"issued":{"date-parts":[[2011,1,3]]},"references-count":25,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2011,9]]}},"alternative-id":["10.1002\/fut.20498"],"URL":"https:\/\/doi.org\/10.1002\/fut.20498","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,1,3]]}},{"indexed":{"date-parts":[[2023,8,23]],"date-time":"2023-08-23T04:54:23Z","timestamp":1692766463645},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2022,9,3]],"date-time":"2022-09-03T00:00:00Z","timestamp":1662163200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,10]]},"DOI":"10.1002\/fut.22236","type":"journal-article","created":{"date-parts":[[2022,9,3]],"date-time":"2022-09-03T07:13:52Z","timestamp":1662189232000},"page":"1795-1795","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 42, Number 10, October 2022"],"prefix":"10.1002","volume":"42","member":"311","published-online":{"date-parts":[[2022,9,3]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22236","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22236","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,22]],"date-time":"2023-08-22T16:25:24Z","timestamp":1692721524000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22236"}},"issued":{"date-parts":[[2022,9,3]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2022,10]]}},"alternative-id":["10.1002\/fut.22236"],"URL":"https:\/\/doi.org\/10.1002\/fut.22236","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,9,3]]},"assertion":[{"value":"2022-09-03","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:15:22Z","timestamp":1697912122343},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8120,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,6]]},"DOI":"10.1002\/fut.3990040215","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T03:26:40Z","timestamp":1183606000000},"page":"235-235","source":"Crossref","is-referenced-by-count":0,"title":["Financial futures by M. Desmond Fitzgerald, euromoney publications, nestor house, playhouse yard, london ec4, 1983, softcover, 202pp."],"prefix":"10.1002","volume":"4","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040215","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040215","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:51:57Z","timestamp":1697802717000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040215"}},"issued":{"date-parts":[[1984,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1984,6]]}},"alternative-id":["10.1002\/fut.3990040215"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040215","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,6]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:35Z","timestamp":1698043235725},"reference-count":8,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,2]]},"DOI":"10.1002\/fut.3990100107","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:23:26Z","timestamp":1183641806000},"page":"75-78","source":"Crossref","is-referenced-by-count":2,"title":["An empirical note on hedging mortgages with puts"],"prefix":"10.1002","volume":"10","author":[{"given":"Austin","family":"Murphy","sequence":"first","affiliation":[]},{"given":"Douglas","family":"Gordon","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070607"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040206"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1986.409084"},{"key":"e_1_2_1_5_1","first-page":"367","volume-title":"Mortgage\u2010Backed Securities","author":"Jones F.","year":"1987"},{"key":"e_1_2_1_6_1","first-page":"117","article-title":"The Investigation of Multivariate GNMA Hedging Strategies Using Straight Bonds and Options","volume":"8","author":"Lacey N.","year":"1989","journal-title":"Housing Finance Review"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"key":"e_1_2_1_8_1","unstructured":"Murphy A(1989): \u201cHedging Fixed\u2010Rate Mortgage Investments Against Interest\u2010Rate Risk \u201d Federal Home Loan Bank Board Research Paper 159."},{"key":"e_1_2_1_9_1","first-page":"373","volume-title":"Financial Futures and Mortgage\u2010Backed Securities","author":"Sandor R.","year":"1985"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100107","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100107","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:44:32Z","timestamp":1697993072000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100107"}},"issued":{"date-parts":[[1990,2]]},"references-count":8,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1990,2]]}},"alternative-id":["10.1002\/fut.3990100107"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100107","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,2]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T17:40:43Z","timestamp":1697910043374},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8028,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,9]]},"DOI":"10.1002\/fut.3990040301","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T02:02:04Z","timestamp":1183600924000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"4","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040301","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040301","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:42:25Z","timestamp":1697802145000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040301"}},"issued":{"date-parts":[[1984,9]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1984,9]]}},"alternative-id":["10.1002\/fut.3990040301"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040301","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,9]]}},{"indexed":{"date-parts":[[2022,3,31]],"date-time":"2022-03-31T20:08:06Z","timestamp":1648757286675},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6666,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,6]]},"DOI":"10.1002\/(sici)1096-9934(199706)17:4<483::aid-fut6>3.0.co;2-d","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T18:07:24Z","timestamp":1031681244000},"page":"483-487","source":"Crossref","is-referenced-by-count":0,"title":["A note on the valuation of an exotic timing option"],"prefix":"10.1002","volume":"17","author":[{"given":"Mondher","family":"Bellalah","sequence":"first","affiliation":[]},{"given":"Jean-Luc","family":"Prigent","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199706)17:4%3C483::AID-FUT6%3E3.0.CO;2-D","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199706)17:4%3C483::AID-FUT6%3E3.0.CO;2-D","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:33:41Z","timestamp":1625135621000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199706)17:4<483::AID-FUT6>3.0.CO;2-D"}},"issued":{"date-parts":[[1997,6]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1997,6]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199706)17:4<483::aid-fut6>3.0.co;2-d","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,6]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:47:58Z","timestamp":1698061678016},"reference-count":2,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7207,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,12]]},"DOI":"10.1002\/fut.3990060408","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:45:01Z","timestamp":1183614301000},"page":"619-627","source":"Crossref","is-referenced-by-count":8,"title":["A theoretical analysis of the volatility premium in the dollar index contract"],"prefix":"10.1002","volume":"6","author":[{"given":"Corey B.","family":"Redfield","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Black F.(1978 January\/March): \u201cThe Pricing of Commodity Contracts \u201dJournal of Financial Economicspp.167\u2013179.","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Black F.andScholes M.(1973 May\/June): \u201cThe Pricing of Options and Corporate Liabilities \u201dJournal of Political Economypp.637\u2013654.","DOI":"10.1086\/260062"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060408","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060408","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:50:16Z","timestamp":1697914216000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060408"}},"issued":{"date-parts":[[1986,12]]},"references-count":2,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1986,12]]}},"alternative-id":["10.1002\/fut.3990060408"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060408","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,12]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T19:09:20Z","timestamp":1698174560504},"reference-count":16,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6537,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,10]]},"DOI":"10.1002\/fut.3990080507","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T10:48:23Z","timestamp":1183632503000},"page":"617-637","source":"Crossref","is-referenced-by-count":4,"title":["Commodity pool operators and their pools: Expenses and profitability"],"prefix":"10.1002","volume":"8","author":[{"given":"Ronald W.","family":"Cornew","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Abbott S.. (1981 September): \u201cPut Prospective Advisor Through the Paces \u201dCommodities Magazine."},{"key":"e_1_2_1_3_1","unstructured":"Arad R. W.(1975): \u201cThe Implications of a Long\u2010Tailed Distribution Structure to Portfolio Selection and Capital Asset Pricing\u201d Unpublished Ph. D. Dissertation Princeton University."},{"key":"e_1_2_1_4_1","unstructured":"Babcock B.. (1985 May): \u201cHow Top Commodity Advisors Did in 1984 \u201dFutures Magazine. Also \u201cWhich Advisors are the Best \u201d same issue."},{"key":"e_1_2_1_5_1","unstructured":"Baratz C.. (1982 June): \u201cCosts of Management of 16 Public Funds \u201dManaged Account Reports Columbia MD. See also issues of February and March 1983."},{"key":"e_1_2_1_6_1","volume-title":"Public Commodity Pools","author":"Campbell K.","year":"1981"},{"key":"e_1_2_1_7_1","unstructured":"Campbell K.. (1981 May): \u201cMy Position: NASAA Pool Regulations Would Halt Industry Growth \u201dCommodities Magazine."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040407"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060312"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296392"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050318"},{"key":"e_1_2_1_12_1","unstructured":"Jobman D.. (1981 April): \u201cHow an Expert Selects His Account Managers \u201dCommodities Magazine."},{"key":"e_1_2_1_13_1","unstructured":"Lintner J.. (1983 May): \u201cThe Potential Role of Managed Commodity\u2010Financial Futures Accounts (And\/or Funds) in Portfolios of Stocks and Bonds\u201d paper presented at the annual conference of the Financial Analysts Federation Toronto Canada."},{"key":"e_1_2_1_14_1","volume-title":"Changes in Commodity Pool Guidelines Proposed","author":"NASAA Reports No. 23","year":"1988"},{"key":"e_1_2_1_15_1","unstructured":"Orr A.. (1984 February): \u201cJohn Lintner and the Theory of Portfolio Management\u201d paper presented at the Managed Account Reports sixth annual conference on Commodity Money Management San Francisco California."},{"key":"e_1_2_1_16_1","unstructured":"Powers J.. (1982 June): \u201cHow Trading Advisors are Doing \u201dFutures Magazine."},{"key":"e_1_2_1_17_1","unstructured":"Szala G.. (1985 September): \u201cManaging Your Account: Why Top Managers Insist on Consistency \u201dFutures Magazine."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080507","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080507","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T08:12:30Z","timestamp":1697962350000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080507"}},"issued":{"date-parts":[[1988,10]]},"references-count":16,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1988,10]]}},"alternative-id":["10.1002\/fut.3990080507"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080507","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,10]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T20:42:44Z","timestamp":1698007364515},"reference-count":2,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6476,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,12]]},"DOI":"10.1002\/fut.3990080607","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T10:48:26Z","timestamp":1183632506000},"page":"723-724","source":"Crossref","is-referenced-by-count":1,"title":["The other friday \u201cbull\u201d effect: A chance occurrence or the harbinger of yet another puzzling anomaly? a note!"],"prefix":"10.1002","volume":"8","author":[{"given":"Edwin D.","family":"Maberly","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04373.x"},{"key":"e_1_2_1_3_1","unstructured":"Lakonishok J. andSmidt S.(1987): \u201cAre Seasonal Anomalies Real? A Ninety\u2010Year Perspective\u201d unpublished paper Cornell University."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080607","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080607","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T03:56:19Z","timestamp":1697860579000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080607"}},"issued":{"date-parts":[[1988,12]]},"references-count":2,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1988,12]]}},"alternative-id":["10.1002\/fut.3990080607"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080607","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,12]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T05:04:10Z","timestamp":1698037450876},"reference-count":10,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,9,15]],"date-time":"2006-09-15T00:00:00Z","timestamp":1158278400000},"content-version":"vor","delay-in-days":6254,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,8]]},"DOI":"10.1002\/fut.3990090407","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:46:55Z","timestamp":1183639615000},"page":"337-345","source":"Crossref","is-referenced-by-count":3,"title":["Effects of expected cash and futures prices on hedging and production: Comments and extensions"],"prefix":"10.1002","volume":"9","author":[{"given":"Ardeshir J.","family":"Dalal","sequence":"first","affiliation":[]},{"given":"Bala G.","family":"Arshanapalli","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,15]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Antonovitz Frances(1982): \u201cThe Value of Information and Allocative Error Under Risk in Fed Cattle Production: The Role of Cash and Futures Markets \u201d Ph.D. dissertation University of Minnesota."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060203"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260211"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1057882"},{"key":"e_1_2_1_6_1","volume-title":"Fundamental Methods of Mathematical Economics","author":"Chiang A. C.","year":"1984"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884543"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/260399"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526241"},{"key":"e_1_2_1_10_1","first-page":"65","article-title":"On the Theory of the Competitive Firm Under Price Uncertainty","volume":"61","author":"Sandmo A.","year":"1971","journal-title":"American Economic Review"},{"key":"e_1_2_1_11_1","volume-title":"The Structure of Economics: A Mathematical Analysis","author":"Silberberg E.","year":"1978"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090407","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090407","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:18:12Z","timestamp":1697991492000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090407"}},"issued":{"date-parts":[[1989,8]]},"references-count":10,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1989,8]]}},"alternative-id":["10.1002\/fut.3990090407"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090407","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,8]]}},{"indexed":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T15:40:19Z","timestamp":1700235619311},"reference-count":16,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2003,7,21]],"date-time":"2003-07-21T00:00:00Z","timestamp":1058745600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,9]]},"abstract":"Abstract<\/jats:title>We derive the general equilibrium of a dynamic financial market in which the investors' opportunity set\nincludes nonredundant forward contracts. We show that Breeden's (1979) consumption\u2010based\nCAPM equation for forward contracts contains an extra term relative to that for cash assets. We name this term a\nstrategy risk premium. It compensates investors for the (systematic) risk that stems from their very\nportfolio strategies when the latter involve nonredundant forward contracts. We also show that Merton's\n(1973) multibeta intertemporal CAPM must be amended for forward contracts to exhibit\nadjusted<\/jats:italic> risk premia for the market portfolio and all relevant state variables, as opposed to\nthe usual risk premia for cash assets. Our results are shown not to depend on the usual\ncash\u2010and\u2010carry relationship, which, in general, does not hold. We, nevertheless, provide a\nwell\u2010known special case where it does hold, albeit not grounded on the usual no\u2010arbitrage\nargument. \u00a9 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:817\u2013840, 2003<\/jats:p>","DOI":"10.1002\/fut.10087","type":"journal-article","created":{"date-parts":[[2003,7,22]],"date-time":"2003-07-22T10:12:01Z","timestamp":1058868721000},"page":"817-840","source":"Crossref","is-referenced-by-count":2,"title":["General equilibrium pricing of nonredundant forward contracts"],"prefix":"10.1002","volume":"23","author":[{"given":"Abraham","family":"Lioui","sequence":"first","affiliation":[]},{"given":"Patrice","family":"Poncet","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,7,21]]},"reference":[{"issue":"1","key":"e_1_2_1_2_1","first-page":"21","article-title":"Macro markets and financial security","volume":"5","author":"Athanasoulis S.","year":"1999","journal-title":"FRBNY Economic Policy Review"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90016-3"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2953693"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911241"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2234978"},{"issue":"1","key":"e_1_2_1_8_1","first-page":"39","article-title":"A rule to stabilize the price level","volume":"15","author":"Dowd K.","year":"1995","journal-title":"Cato Journal"},{"key":"e_1_2_1_9_1","first-page":"3","article-title":"The CPI futures market: The inflation hedge that won't grow","author":"Horrigan B.","year":"1987","journal-title":"Business Review of the FRB of Philadelphia"},{"key":"e_1_2_1_10_1","volume-title":"Theory of financial decision making, Rowman and Littlefield studies in financial economics","author":"Ingersoll J.","year":"1987"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(02)00020-9"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(71)90038-X"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913811"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90003-9"},{"key":"e_1_2_1_15_1","volume-title":"Clarendon lectures in economics","author":"Shiller R.","year":"1993"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2077852"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2953713"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10087","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10087","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T15:02:33Z","timestamp":1700233353000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10087"}},"issued":{"date-parts":[[2003,7,21]]},"references-count":16,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2003,9]]}},"alternative-id":["10.1002\/fut.10087"],"URL":"https:\/\/doi.org\/10.1002\/fut.10087","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,7,21]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T05:22:34Z","timestamp":1698124954060},"reference-count":23,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5567,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,6]]},"DOI":"10.1002\/fut.3990110306","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T17:26:10Z","timestamp":1183656370000},"page":"319-330","source":"Crossref","is-referenced-by-count":4,"title":["Futures option expirations and volatility in the stock index futures market"],"prefix":"10.1002","volume":"11","author":[{"given":"G. D.","family":"Hancock","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Anderson R. W.(1982): \u201cThe Determinants of the Volatility of Futures Prices\u201d Center for the Study of Futures Markets Columbia University #CSFM\u201033."},{"key":"e_1_2_1_3_1","volume-title":"Black Monday and the Future of Financial Markets","author":"Barro R. J.","year":"1989"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070106"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90002-1"},{"key":"e_1_2_1_8_1","unstructured":"Collins B.(1986): \u201cAn Empirical Analysis of Stock Index Futures Prices\u201d Center for the Study of Futures Markets Columbia University #CSFM\u2013135."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_10_1","unstructured":"Ferris S. P. Chance D. M. andWolfe G. A.(1989): \u201cA Transaction Data Study of Stock Returns and Trading Activity During Options Expiration Periods\u201d Working Paper Virginia Polytechnic Institute."},{"key":"e_1_2_1_11_1","volume-title":"Modern Business Statistics","author":"Iman R. L.","year":"1983"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90015-X"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040403"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665051"},{"key":"e_1_2_1_15_1","unstructured":"Pettengill G. N.(1989): \u201cThe Effect of Option Expiration on Underlying Securities: A Case of Transitory Inefficiency?\u201d Working Paper Emporia State University."},{"key":"e_1_2_1_16_1","unstructured":"Power W.(1988): \u201cEC News Computer\u2010Driven Buying Crude Oil Prices in Surprise Rally\u201d Wall Street Journal April 8 C:11."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1886087"},{"key":"e_1_2_1_18_1","first-page":"49","article-title":"An Economic Evaluation of Organized Options Markets","volume":"2","author":"Rubinstein M.","year":"1979","journal-title":"Journal of Comparative Corporate Law and Securities Regulation"},{"key":"e_1_2_1_19_1","first-page":"41","article-title":"Proof that Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_20_1","unstructured":"Seases Douglas(1989): \u201cBudget Outlook Spooks Investors\u201d Wall Street Journal February 10 C:21."},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Stoll H. R. andWhaley R. E.(1987): \u201cProgram Trading and Expiration Day Effects\u201d Financial Analysts Journal March\u2013April:16\u201328.","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/296499"},{"key":"e_1_2_1_23_1","volume-title":"Principles of Econometrics","author":"Theil H.","year":"1971"},{"key":"e_1_2_1_24_1","unstructured":"Valentine J.(1988): \u201cPrices of Precious Metals Soar in Wake of Bigger\u2010Than\u2010Expected Trade Deficit\u201d Wall Street Journal April 15 C:10."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110306","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110306","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:25:32Z","timestamp":1698060332000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110306"}},"issued":{"date-parts":[[1991,6]]},"references-count":23,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1991,6]]}},"alternative-id":["10.1002\/fut.3990110306"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110306","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,6]]}},{"indexed":{"date-parts":[[2024,12,13]],"date-time":"2024-12-13T05:19:27Z","timestamp":1734067167632,"version":"3.30.2"},"reference-count":0,"publisher":"Wiley","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,1]]},"DOI":"10.1002\/fut.v45.1","type":"journal-issue","created":{"date-parts":[[2024,12,12]],"date-time":"2024-12-12T07:31:43Z","timestamp":1733988703000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"45","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2024,12,12]],"date-time":"2024-12-12T07:31:44Z","timestamp":1733988704000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/45\/1"}},"issued":{"date-parts":[[2025,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2025,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v45.1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,1]]}},{"indexed":{"date-parts":[[2022,3,29]],"date-time":"2022-03-29T18:52:43Z","timestamp":1648579963344},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1431,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,10]]},"DOI":"10.1002\/fut.v31.10","type":"journal-issue","created":{"date-parts":[[2016,2,25]],"date-time":"2016-02-25T14:15:27Z","timestamp":1456409727000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"31","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v31.10","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2016,2,25]],"date-time":"2016-02-25T14:15:27Z","timestamp":1456409727000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/fut.v31.10"}},"issued":{"date-parts":[[2011,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2011,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v31.10","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2011,10]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:10:24Z","timestamp":1697955024429},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":10776,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,3]]},"DOI":"10.1002\/fut.v6:1","type":"journal-issue","created":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:56:13Z","timestamp":1697914573000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"6","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v6:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v6:1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:56:13Z","timestamp":1697914573000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/6\/1"}},"issued":{"date-parts":[[1986,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1986,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v6:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,3]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:35:08Z","timestamp":1697956508942},"reference-count":8,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8212,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,3]]},"DOI":"10.1002\/fut.3990040102","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:21:23Z","timestamp":1183591283000},"page":"1-13","source":"Crossref","is-referenced-by-count":3,"title":["Reducing inter\u2010temporal risk in financial futures hedging"],"prefix":"10.1002","volume":"4","author":[{"given":"Mark","family":"Pitts","sequence":"first","affiliation":[]},{"given":"Robert W.","family":"Kopprasch","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665325"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_5_1","volume-title":"Interest Rate Futures: Concepts and Issues","author":"Hill J.","year":"1982"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665221"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664875"},{"key":"e_1_2_1_9_1","first-page":"314","article-title":"Futures Trading and Hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040102","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040102","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:50:00Z","timestamp":1697802600000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040102"}},"issued":{"date-parts":[[1984,3]]},"references-count":8,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1984,3]]}},"alternative-id":["10.1002\/fut.3990040102"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040102","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,3]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:56:51Z","timestamp":1697993811748},"reference-count":15,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8303,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,12]]},"DOI":"10.1002\/fut.3990030402","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:16:40Z","timestamp":1183591000000},"page":"345-353","source":"Crossref","is-referenced-by-count":10,"title":["Hedging corporate debt with U.S. treasury bond futures"],"prefix":"10.1002","volume":"3","author":[{"given":"Robert C.","family":"Kuberek","sequence":"first","affiliation":[]},{"given":"Norman G.","family":"Pefley","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Chicago Board of Trade(1980):U.S. Treasury Bond Futures pamphlet."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1910133"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010310"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_6_1","volume-title":"Foundations of Finance","author":"Fama E. F.","year":"1976"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020111"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_9_1","volume-title":"Econometric Methods","author":"Johnston J.","year":"1972"},{"key":"e_1_2_1_10_1","volume-title":"Elements of Econometrics","author":"Kmenta J.","year":"1971"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010312"},{"key":"e_1_2_1_12_1","volume-title":"Multivariate Statistical Methods","author":"Morrison D. F.","year":"1976"},{"key":"e_1_2_1_13_1","unstructured":"Salomon Brothers(1981):An Analytical Record of Yields and Yield Spreads."},{"issue":"5","key":"e_1_2_1_14_1","first-page":"1011","article-title":"The Simultaneous Determination of Spot and Futures Prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911796"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330238"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030402","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030402","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T07:40:33Z","timestamp":1697701233000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030402"}},"issued":{"date-parts":[[1983,12]]},"references-count":15,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1983,12]]}},"alternative-id":["10.1002\/fut.3990030402"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030402","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,12]]}},{"indexed":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T04:10:37Z","timestamp":1700194237710},"reference-count":12,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2004,7,29]],"date-time":"2004-07-29T00:00:00Z","timestamp":1091059200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,10]]},"abstract":"Abstract<\/jats:title>Trading amongst dealers on the floor of the futures exchange is examined. Since there is only one trading venue, the common floor area, trading between dealers is carried on in the presence of trades involving customer orders as well, offering a unique setting for testing the effect of inventory on dealer pricing. The findings are that these futures floor traders implicitly engage in interdealer trading as an inventory management tool. Interdealer trades are more likely to be position reducing than other trades, at higher costs than offsetting with customers. In addition, the concept of a dealer hierarchy is developed, where some floor traders, who generally are more successful, profit from their trades with other dealers. Furthermore, these more successful traders are more likely to use interdealer trading in position reducing trades, which is consistent with the existence of a dealer hierarchy. \u00a9 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:923\u2013944, 2004<\/jats:p>","DOI":"10.1002\/fut.20115","type":"journal-article","created":{"date-parts":[[2004,7,29]],"date-time":"2004-07-29T21:15:59Z","timestamp":1091135759000},"page":"923-944","source":"Crossref","is-referenced-by-count":8,"title":["Interdealer trading in futures markets"],"prefix":"10.1002","volume":"24","author":[{"given":"Peter R.","family":"Locke","sequence":"first","affiliation":[]},{"given":"Pattarake","family":"Sarajoti","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,7,29]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676254"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00067"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02282.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130407"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(00)00002-1"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_1_8_1","article-title":"Professional trader discipline and trade disposition","author":"Locke P. R.","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<229::AID-FUT5>3.0.CO;2-L"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(95)00832-Y"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00008-7"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.3.953"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00068"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20115","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20115","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T03:38:14Z","timestamp":1700192294000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20115"}},"issued":{"date-parts":[[2004,7,29]]},"references-count":12,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2004,10]]}},"alternative-id":["10.1002\/fut.20115"],"URL":"https:\/\/doi.org\/10.1002\/fut.20115","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,7,29]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:39Z","timestamp":1699834119583},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":12237,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,3]]},"DOI":"10.1002\/fut.v2:1","type":"journal-issue","created":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:28:21Z","timestamp":1699802901000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"2","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v2:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v2:1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:28:21Z","timestamp":1699802901000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/2\/1"}},"issued":{"date-parts":[[1982,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1982,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v2:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,3]]}},{"indexed":{"date-parts":[[2023,9,11]],"date-time":"2023-09-11T21:11:13Z","timestamp":1694466673283},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2019,10,4]],"date-time":"2019-10-04T00:00:00Z","timestamp":1570147200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,11]]},"DOI":"10.1002\/fut.22065","type":"journal-article","created":{"date-parts":[[2019,10,4]],"date-time":"2019-10-04T12:38:33Z","timestamp":1570192713000},"page":"1347-1347","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"39","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2019,10,4]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22065","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22065","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22065","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T05:47:55Z","timestamp":1694324875000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22065"}},"issued":{"date-parts":[[2019,10,4]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2019,11]]}},"alternative-id":["10.1002\/fut.22065"],"URL":"https:\/\/doi.org\/10.1002\/fut.22065","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,10,4]]},"assertion":[{"value":"2019-10-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,3]],"date-time":"2023-09-03T08:10:45Z","timestamp":1693728645690},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T00:00:00Z","timestamp":1693612800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,10]]},"DOI":"10.1002\/fut.22355","type":"journal-article","created":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T17:36:37Z","timestamp":1693676197000},"page":"1329-1329","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 43, Number 10, October 2023"],"prefix":"10.1002","volume":"43","member":"311","published-online":{"date-parts":[[2023,9,2]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22355","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T17:37:07Z","timestamp":1693676227000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22355"}},"issued":{"date-parts":[[2023,9,2]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2023,10]]}},"alternative-id":["10.1002\/fut.22355"],"URL":"https:\/\/doi.org\/10.1002\/fut.22355","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,9,2]]},"assertion":[{"value":"2023-09-02","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T05:40:33Z","timestamp":1698298833812},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4744,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,9]]},"DOI":"10.1002\/fut.3990130610","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:37:59Z","timestamp":1183682279000},"page":"703-709","source":"Crossref","is-referenced-by-count":1,"title":["Futures bibliography"],"prefix":"10.1002","volume":"13","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130610","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130610","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T00:30:32Z","timestamp":1698280232000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130610"}},"issued":{"date-parts":[[1993,9]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1993,9]]}},"alternative-id":["10.1002\/fut.3990130610"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130610","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,9]]}},{"indexed":{"date-parts":[[2025,5,13]],"date-time":"2025-05-13T15:05:35Z","timestamp":1747148735672,"version":"3.40.5"},"reference-count":54,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2021,8,19]],"date-time":"2021-08-19T00:00:00Z","timestamp":1629331200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,2]]},"abstract":"Abstract<\/jats:title>One session options (OSOs) fulfill the criteria for a lottery\u2010type asset; a low price coupled with a relatively small probability of a large payoff. We examine trading behavior for intraday OSO contracts on the Australian 3\u2010Year Treasury bond future. We find that volume is higher on days with a major macroeconomic announcement, and concentrated in the time before data release. Volume tends to be higher when there is a greater difference of opinion concerning the announcement outcome or when the level of economic policy uncertainty is higher. We propose that \u2018differences of opinions\u2019 best explain OSO trading behavior.<\/jats:p>","DOI":"10.1002\/fut.22257","type":"journal-article","created":{"date-parts":[[2021,8,19]],"date-time":"2021-08-19T20:08:06Z","timestamp":1629403686000},"page":"192-211","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["One session options: Playing the announcement lottery?"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9094-9089","authenticated-orcid":false,"given":"Lee A.","family":"Smales","sequence":"first","affiliation":[{"name":"UWA Business School University of Western Australia Perth Western Australia Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9962-3854","authenticated-orcid":false,"given":"Zhangxin (Frank)","family":"Liu","sequence":"additional","affiliation":[{"name":"UWA Business School University of Western Australia Perth Western Australia Australia"}]},{"given":"Cameron D.","family":"Robertson","sequence":"additional","affiliation":[{"name":"UWA Business School University of Western Australia Perth Western Australia Australia"}]}],"member":"311","published-online":{"date-parts":[[2021,8,19]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1993.tb00148.x"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12231"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1997.tb00531.x"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2014.06.001"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2018.3122"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676223"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.5.2066"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhw049"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10899-017-9688-0"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.11.005"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01046077"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.46.4.910"},{"key":"e_1_2_7_15_1","unstructured":"Bloomberg L. P.\u00a0(2020).Australian macroeconomic data including economist forecasts and actual release 2002\u20132019.https:\/\/bba.bloomberg.net\/"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12152"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01006.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12095"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105786"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.06.004"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn020"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331344"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.04.010"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992108"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1353\/mcb.2004.0054"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00118"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331256"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.11.002"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/15427560.2018.1511792"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00172"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00132-1"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-444X(03)00037-9"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01015747"},{"key":"e_1_2_7_37_1","first-page":"55","article-title":"Do actions speak louder than words? The response of asset prices to monetary policy actions and statements","volume":"1","author":"G\u00fcrkaynak R.","year":"2005","journal-title":"International Journal of Central Banking"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.473"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n5.7"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1086\/262005"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(94)90004-3"},{"key":"e_1_2_7_42_1","unstructured":"Kumar A.(2005).Institutional skewness preferences and the idiosyncratic skewness premium[Working Paper]. University of Notre Dame."},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01483.x"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(01)00055-1"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.06.016"},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1086\/257177"},{"key":"e_1_2_7_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21691"},{"key":"e_1_2_7_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_7_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejpoleco.2006.09.018"},{"key":"e_1_2_7_50_1","unstructured":"Refinitiv DataScope.\u00a0(2020).Transaction data for 3Y Australian Treasury futures and associated intra\u2010day options 2002\u20132019.https:\/\/hosted.datascope.reuters.com\/DataScope\/"},{"key":"e_1_2_7_51_1","first-page":"67","article-title":"The financial market effect of FOMC minutes","volume":"19","author":"Rosa C.","year":"2013","journal-title":"Federal Reserve of New York Economic Policy Review"},{"key":"e_1_2_7_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2012.04.002"},{"key":"e_1_2_7_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2013.12015.x"},{"key":"e_1_2_7_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_7_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2006.02.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22257","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22257","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22257","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T04:51:49Z","timestamp":1693198309000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22257"}},"issued":{"date-parts":[[2021,8,19]]},"references-count":54,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,2]]}},"alternative-id":["10.1002\/fut.22257"],"URL":"https:\/\/doi.org\/10.1002\/fut.22257","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,8,19]]},"assertion":[{"value":"2021-04-19","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T15:59:39Z","timestamp":1772812779234,"version":"3.50.1"},"reference-count":34,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T00:00:00Z","timestamp":1247529600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,9]]},"abstract":"Abstract<\/jats:title>We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Heston model. The model describes the dynamics of an asset price and of its two stochastic variances using a system of three Ito stochastic differential equations. The two stochastic variances vary on two distinct time scales and can be regarded as auxiliary variables introduced to model the dynamics of the asset price. Under some assumptions, the transition probability density function of the stochastic process solution of the model is represented as a one\u2010dimensional integral of an explicitly known integrand. In this sense the model is explicitly solvable. We consider the risk\u2010neutral measure associated with the proposed multiscale stochastic volatility model and derive formulae to price European vanilla options (call and put) in the multiscale stochastic volatility model considered. We use the thus\u2010obtained option price formulae to study the calibration problem, that is to study the values of the model parameters, the correlation coefficients of the Wiener processes defining the model, and the initial stochastic variances implied by the \u201cobserved\u201d option prices using both synthetic and real data. In the analysis of real data, we use the S&P 500 index and to the prices of the corresponding options in the year 2005. The web site http:\/\/www.econ.univpm.it\/recchioni\/finance\/w7<\/jats:ext-link> contains some auxiliary material including some animations that helps the understanding of this article. A more general reference to the work of the authors and their coauthors in mathematical finance is the web site http:\/\/www.econ.univpm.it\/recchioni\/finance<\/jats:ext-link>. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:862\u2013893, 2009<\/jats:p>","DOI":"10.1002\/fut.20390","type":"journal-article","created":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T15:56:58Z","timestamp":1247587018000},"page":"862-893","source":"Crossref","is-referenced-by-count":21,"title":["An explicitly solvable multi\u2010scale stochastic volatility model: Option pricing and calibration problems"],"prefix":"10.1002","volume":"29","author":[{"given":"Lorella","family":"Fatone","sequence":"first","affiliation":[]},{"given":"Francesca","family":"Mariani","sequence":"additional","affiliation":[]},{"given":"Maria Cristina","family":"Recchioni","sequence":"additional","affiliation":[]},{"given":"Francesco","family":"Zirilli","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,14]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Handbook of mathematical functions","author":"Abramowitz M.","year":"1970"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331111"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00108-8"},{"key":"e_1_2_1_7_1","series-title":"CRC financial mathematics series","volume-title":"Financial modelling with jump processes","author":"Cont R.","year":"2004"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500148521"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/6\/303"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_1_11_1","volume-title":"Asset pricing theory","author":"Duffie D.","year":"2001"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1515\/jiip.2007.028"},{"key":"e_1_2_1_14_1","unstructured":"Fatone L. Mariani F. Recchioni M. C. &Zirilli F.(2008).The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods in Proceedings of Dynamic Systems and Applications G. S. Ladde N. G. Medhin Chuang Peng M.Sambandham Editors Dynamic Publishers Atlanta USA 5 170\u2013181."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00052-4"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/3\/5\/301"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1090\/conm\/351\/06398","volume-title":"Mathematics of finance, contemporary mathematics","author":"Fouque J. P.","year":"2004"},{"key":"e_1_2_1_18_1","volume-title":"Derivatives in financial markets with stochastic volatility","author":"Fouque J. P.","year":"2000"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1137\/030600291"},{"key":"e_1_2_1_20_1","volume-title":"The volatility surface: A practitioner's guide","author":"Gatheral J.","year":"2006"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_23_1","first-page":"1","article-title":"Evaluating the information efficiency of Australian electricy spot markets: Multiple variance ratio tests of random walk","volume":"13","author":"Higgs H.","year":"2003","journal-title":"Pacific and Asian Journal of Energy"},{"key":"e_1_2_1_24_1","first-page":"327","article-title":"The pricing of options on assets with stochastic volatilities","volume":"3","author":"Hull J.","year":"1988","journal-title":"Journal of Finance"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0076-5392(09)60368-4"},{"key":"e_1_2_1_26_1","volume-title":"Option valuation under stochastic volatility","author":"Lewis A. L.","year":"2000"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1142\/4694"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11590-007-0052-7"},{"key":"e_1_2_1_29_1","volume-title":"A collection of tables","author":"Oberhettinger F.","year":"1973"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009803506170"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/0470870230"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(02)01903-9"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.727"},{"key":"e_1_2_1_34_1","volume-title":"Derivatives","author":"Wilmott P.","year":"1998"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2006.05.006"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20390","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20390","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T02:48:28Z","timestamp":1699930108000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20390"}},"issued":{"date-parts":[[2009,7,14]]},"references-count":34,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2009,9]]}},"alternative-id":["10.1002\/fut.20390"],"URL":"https:\/\/doi.org\/10.1002\/fut.20390","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,14]]}},{"indexed":{"date-parts":[[2025,12,20]],"date-time":"2025-12-20T21:53:57Z","timestamp":1766267637413,"version":"3.37.3"},"reference-count":31,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2021,4,19]],"date-time":"2021-04-19T00:00:00Z","timestamp":1618790400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71973133","71671171"],"award-info":[{"award-number":["71973133","71671171"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,7]]},"abstract":"Abstract<\/jats:title>This paper performs a nonparametric analysis of jump activity for the Chinese equities market. More precisely, we perform formal tests to decide whether the jumps in the 50 exchange\u2010traded fund\u00a0(50ETF) and its volatility occur together by using the implied volatility index (iVIX) as a proxy for volatility. Our empirical findings are as follows: (i) joint jumps in the 50ETF\u00a0and iVIX hardly occur, especially during noncrisis periods; (ii) there is a strong degree of dependence between the jump sizes of the 50ETF and iVIX when disaggregating jumps into their positive and negative parts; (iii) the jump component seems to contribute more to the leverage effect than the diffusive component.<\/jats:p>","DOI":"10.1002\/fut.22209","type":"journal-article","created":{"date-parts":[[2021,4,20]],"date-time":"2021-04-20T01:42:55Z","timestamp":1618882975000},"page":"1055-1073","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0119-9309","authenticated-orcid":false,"given":"Bin","family":"Wu","sequence":"first","affiliation":[{"name":"School of Management, University of Science and Technology of China Hefei China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7501-873X","authenticated-orcid":false,"given":"Pengzhan","family":"Chen","sequence":"additional","affiliation":[{"name":"School of Management, University of Science and Technology of China Hefei China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1132-0013","authenticated-orcid":false,"given":"Wuyi","family":"Ye","sequence":"additional","affiliation":[{"name":"School of Management, University of Science and Technology of China Hefei China"}]}],"member":"311","published-online":{"date-parts":[[2021,4,19]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21970"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.002"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2017.12.003"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv033"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.05.007"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_9_10_1","first-page":"1","article-title":"Stochastic volatility model with correlated jump sizes and independent arrivals","author":"Chen P.","year":"2020","journal-title":"Probability in the Engineering and Informational Sciences"},{"key":"e_1_2_9_11_1","unstructured":"Chicago Board Options Exchange. (2009). The CBOE volatility index\u2010VIX. White Paper 1\u201323."},{"key":"e_1_2_9_12_1","unstructured":"China Foreign Exchange Trade System. (2015\u20132019).1\u2010Month Shanghai Interbank Offered Rates (SHIBOR) data; Publicly available; data set can be obtained from official website of SHIBOR.www.shibor.org\/shibor"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.11.014"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2012.663250"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1214\/08-AOS624"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.04.009"},{"key":"e_1_2_9_20_1","doi-asserted-by":"crossref","unstructured":"Khagleeva I.(2012). Understanding jumps in the high\u2010frequency VIX.SSRN Electronic Journal.http:\/\/doi.org\/10.2139\/ssrn.2239457","DOI":"10.2139\/ssrn.2239457"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22012"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.03.012"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11203-009-9037-8"},{"key":"e_1_2_9_25_1","doi-asserted-by":"crossref","unstructured":"Prokopczuk M. &Wese Simen C.(2014). What makes the S&P 500 jump?SSRN Electronic Journal.http:\/\/doi.org\/10.2139\/ssrn.2449952","DOI":"10.2139\/ssrn.2449952"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2010.08342"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.3390\/e20090663"},{"key":"e_1_2_9_28_1","unstructured":"Wind financial database. (2015\u20132019). 50ETF data; Not publicly available; data set can be acquired paying a data license fee in Wind Financial Terminal.\u00a0www.wind.com.cn"},{"key":"e_1_2_9_29_1","unstructured":"Wind financial database. (2015\u20132019).50ETF options data; Not publicly available; data set can be acquired paying a data license fee in Wind Financial Terminal.www.wind.com.cn"},{"key":"e_1_2_9_30_1","unstructured":"Wind financial database. (2015\u20132019).daily iVIX historical data; Not publicly available; data set can be acquired paying a data license fee in Wind Financial Terminal.www.wind.com.cn"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21824"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22209","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22209","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22209","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T18:15:34Z","timestamp":1693419334000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22209"}},"issued":{"date-parts":[[2021,4,19]]},"references-count":31,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2021,7]]}},"alternative-id":["10.1002\/fut.22209"],"URL":"https:\/\/doi.org\/10.1002\/fut.22209","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,4,19]]},"assertion":[{"value":"2020-11-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-03-19","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-04-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,23]],"date-time":"2025-12-23T18:53:18Z","timestamp":1766515998177},"reference-count":13,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2008,4,2]],"date-time":"2008-04-02T00:00:00Z","timestamp":1207094400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,6]]},"abstract":"Abstract<\/jats:title>In this paper the focus is on market\u2010wide credit protection. More exactly, the newly introduced iTraxx Greater China<\/jats:italic> credit default swap (CDS) index is examined, and to what degree this index can be used to protect against market\u2010wide credit risk in the Greater China area is assessed. Although the iTraxx Greater China<\/jats:italic> CDS index is found to be significantly correlated with both the value and volatility of an equally weighted stock portfolio of the names in the CDS index itself, it is found to move more or less independently from some of the most widely used stock indexes in the Greater China region. Not surprisingly, considering the geographical distribution of the constituents in the iTraxx Greater China<\/jats:italic> index, the major stock indexes covering mainland China are found to be particularly uncorrelated with the CDS index. Based on well\u2010known theoretical arguments as well as extensive empirical evidence in the literature, it is argued that this makes it difficult to manage credit risk in mainland China using the iTraxx Greater China<\/jats:italic> CDS index, at least until more mainland China names have been included in the CDS index. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:582\u2013597, 2008<\/jats:p>","DOI":"10.1002\/fut.20320","type":"journal-article","created":{"date-parts":[[2008,4,2]],"date-time":"2008-04-02T22:49:14Z","timestamp":1207176554000},"page":"582-597","source":"Crossref","is-referenced-by-count":5,"title":["Credit risk management in Greater China"],"prefix":"10.1002","volume":"28","author":[{"given":"Hans","family":"Bystr\u00f6m","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,4,2]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"BIS. (2004).Triennial and semiannual surveys on positions in global over\u2010the\u2010counter (OTC) derivatives markets at end\u2010June 2004. Regular OTC Derivatives Market Statistics Bank for International Settlements."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00798.x"},{"key":"e_1_2_1_4_1","series-title":"forthcoming in Credit Risk\u2014Models, Derivatives, and Management \u2013 Financial Mathematics Series","author":"Bystr\u00f6m H.","year":"2005"},{"key":"e_1_2_1_5_1","volume-title":"Japanese fixed income markets: Money, bond and interest rate derivatives","author":"Bystr\u00f6m H.","year":"2006"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00607.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Curry T. Elmer P. &Fissel G.(2001).Regulator use of market data to improve the identification of bank financial distress(Working paper). Federal Deposit Insurance Corporation.","DOI":"10.2139\/ssrn.308583"},{"key":"e_1_2_1_8_1","unstructured":"Delianedis G. &Geske R.(1998).Credit risk and risk neutral default probabilities: Information about rating migrations and defaults(Working paper). The Anderson School at UCLA."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2002.tb00129.x"},{"key":"e_1_2_1_10_1","unstructured":"IIC(2005).iTraxx Asian CDS indices: Asia ex\u2010Japan Australia & Japan. Product Description International Index Company."},{"key":"e_1_2_1_11_1","unstructured":"Longstaff F. A. Mithal S. &Neis E.(2003).The credit\u2010default swap market: Is credit protection priced correctly?(Working paper). NBER."},{"key":"e_1_2_1_12_1","first-page":"449","article-title":"On the pricing of corporate debt: The risk structure of interest rates","volume":"2","author":"Merton R.","year":"1974","journal-title":"Journal of Finance"},{"key":"e_1_2_1_13_1","unstructured":"Norden L. &Weber M.(2004).The comovement of credit default swap bond and stock markets: An empirical analysis(Working paper). University of Mannheim."},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Zhang X.(2005).Market expectations and default risk premium in credit default swap prices: A case study of Argentine default. Finance and Economics Discussion Series Board of Governors of the Federal Reserve System Washington.","DOI":"10.2139\/ssrn.730643"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20320","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20320","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T06:40:20Z","timestamp":1694587220000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20320"}},"issued":{"date-parts":[[2008,4,2]]},"references-count":13,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2008,6]]}},"alternative-id":["10.1002\/fut.20320"],"URL":"https:\/\/doi.org\/10.1002\/fut.20320","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,4,2]]}},{"indexed":{"date-parts":[[2025,6,3]],"date-time":"2025-06-03T21:24:59Z","timestamp":1748985899657},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6970,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,8]]},"DOI":"10.1002\/(sici)1096-9934(199608)16:5<585::aid-fut5>3.3.co;2-p","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:24:07Z","timestamp":1031700247000},"page":"585-594","source":"Crossref","is-referenced-by-count":1,"title":["A note on modified lattice approaches to option pricing"],"prefix":"10.1002","volume":"16","author":[{"given":"Stephen A.","family":"Easton","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199608)16:5%3C585::AID-FUT5%3E3.3.CO;2-P","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T18:36:41Z","timestamp":1507660601000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199608%2916%3A5%3C585%3A%3AAID-FUT5%3E3.3.CO%3B2-P"}},"issued":{"date-parts":[[1996,8]]},"references-count":0,"journal-issue":{"issue":"5"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199608)16:5<585::aid-fut5>3.3.co;2-p","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,8]]}},{"indexed":{"date-parts":[[2025,6,4]],"date-time":"2025-06-04T16:33:10Z","timestamp":1749054790272,"version":"3.37.3"},"reference-count":14,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2018,7,5]],"date-time":"2018-07-05T00:00:00Z","timestamp":1530748800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"Center for Advanced Research in Finance (CARF)"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,9]]},"abstract":"We approximate normal implied volatilities by means of an asymptotic expansion method. The contribution of this paper is twofold: to our knowledge, this paper is the first to provide a unified approximation method for the normal implied volatility under general local stochastic volatility models. Second, we applied our framework to polynomial local stochastic volatility models with various degrees and could replicate the swaptions market data accurately. In addition we examined the accuracy of the results by comparison with the Monte\u2010Carlo simulations.<\/jats:p>","DOI":"10.1002\/fut.21931","type":"journal-article","created":{"date-parts":[[2018,7,6]],"date-time":"2018-07-06T02:20:15Z","timestamp":1530843615000},"page":"1043-1061","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["An approximation formula for normal implied volatility under general local stochastic volatility models"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6774-1012","authenticated-orcid":false,"given":"Yasaman","family":"Karami","sequence":"first","affiliation":[{"name":"Quantitative Finance, Graduate School of Economics The University of Tokyo Tokyo Japan"}]},{"given":"Kenichiro","family":"Shiraya","sequence":"additional","affiliation":[{"name":"Quantitative Finance, Graduate School of Economics The University of Tokyo Tokyo Japan"}]}],"member":"311","published-online":{"date-parts":[[2018,7,5]]},"reference":[{"key":"e_1_2_7_1_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504860802583436"},{"key":"e_1_2_7_1_3_1","doi-asserted-by":"publisher","DOI":"10.1057\/9781137462756"},{"key":"e_1_2_7_1_4_1","doi-asserted-by":"publisher","DOI":"10.1142\/S021902490900549X"},{"key":"e_1_2_7_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2010.00472.x"},{"key":"e_1_2_7_1_6_1","first-page":"249","article-title":"Managing smile risk","volume":"1","author":"Hagan P. S.","year":"2002","journal-title":"The Best of Wilmott"},{"key":"e_1_2_7_1_7_1","doi-asserted-by":"crossref","unstructured":"Homescu C.(2014).Local stochastic volatility models:Calibration and pricing(Working paper). Retrieved fromhttp:\/\/ssrn.com\/abstract=2448098","DOI":"10.2139\/ssrn.2448098"},{"key":"e_1_2_7_1_8_1","doi-asserted-by":"crossref","unstructured":"Homescu C.(2011).Implied volatility surface:Construction methodologies and characteristics. Retrieved fromhttps:\/\/ssrn.com\/abstract=1882567","DOI":"10.2139\/ssrn.1882567"},{"key":"e_1_2_7_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12105"},{"key":"e_1_2_7_1_10_1","unstructured":"Mercurio F.(2006).Swaption smile and CMS adjustment(Presentation paper). Retrieved fromhttp:\/\/www.fabiomercurio.it\/RiskDRME.pdf"},{"key":"e_1_2_7_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/wilm.10148"},{"key":"e_1_2_7_1_12_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1010080610650"},{"key":"e_1_2_7_1_13_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024912500446"},{"key":"e_1_2_7_1_14_1","doi-asserted-by":"publisher","DOI":"10.1137\/100807624"},{"key":"e_1_2_7_1_15_1","doi-asserted-by":"publisher","DOI":"10.3934\/jimo.2006.2.199"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21931","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21931","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,18]],"date-time":"2023-09-18T09:34:51Z","timestamp":1695029691000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21931"}},"issued":{"date-parts":[[2018,7,5]]},"references-count":14,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2018,9]]}},"alternative-id":["10.1002\/fut.21931"],"URL":"https:\/\/doi.org\/10.1002\/fut.21931","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,7,5]]},"assertion":[{"value":"2018-02-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-04-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-07-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T14:13:52Z","timestamp":1698416032937},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4897,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,4]]},"DOI":"10.1002\/fut.3990130208","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:02:09Z","timestamp":1183683729000},"page":"213-222","source":"Crossref","is-referenced-by-count":6,"title":["Regulatory oversight and automated trading design: Elements of consideration"],"prefix":"10.1002","volume":"13","author":[{"given":"Andrea M.","family":"Corcoran","sequence":"first","affiliation":[]},{"given":"John C.","family":"Lawton","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130208","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130208","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T04:16:48Z","timestamp":1698293808000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130208"}},"issued":{"date-parts":[[1993,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1993,4]]}},"alternative-id":["10.1002\/fut.3990130208"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130208","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,4]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T21:25:47Z","timestamp":1698355547562},"reference-count":9,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,9,18]],"date-time":"2006-09-18T00:00:00Z","timestamp":1158537600000},"content-version":"vor","delay-in-days":7049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,6]]},"DOI":"10.1002\/fut.3990070304","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T06:04:33Z","timestamp":1183615473000},"page":"269-286","source":"Crossref","is-referenced-by-count":16,"title":["Treasury bond futures: Valuing the delivery options"],"prefix":"10.1002","volume":"7","author":[{"given":"Marcelle","family":"Arak","sequence":"first","affiliation":[]},{"given":"Laurie S.","family":"Goodman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,18]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"56","article-title":"How to Calculate Better T\u2010Bond Hedge Ratios","volume":"15","author":"Arak M.","year":"1986","journal-title":"Futures Magazine"},{"key":"e_1_2_1_3_1","volume-title":"Advances in Futures and Options Research","author":"Arak M.","year":"1987"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90004-7"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Gay G. D. andManaster S.(1985 June): \u201cImplicit Delivery Options and Optimal Delivery Options Strategies for Financial Futures Contracts \u201d unpublished manuscript presented at the Western Finance Association meetings.","DOI":"10.1016\/0304-405X(86)90042-5"},{"key":"e_1_2_1_6_1","unstructured":"Jonas S.(1985 April): \u201cThe Royal Flush\u201d Intermarket The Worldwide Futures and Options Report 58\u201359."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060206"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","first-page":"195","DOI":"10.1111\/j.1540-6261.1986.tb04499.x","article-title":"Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market","volume":"40","author":"Kane A.","year":"1986","journal-title":"Journal of Finance"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03611.x"},{"key":"e_1_2_1_10_1","unstructured":"O'Dea C.(1985 April): \u201cThe Delivery Game\u201d Intermarket: The Worldwide Futures and Options Report 28\u201334."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070304","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070304","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T17:07:04Z","timestamp":1697994424000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070304"}},"issued":{"date-parts":[[1987,6]]},"references-count":9,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1987,6]]}},"alternative-id":["10.1002\/fut.3990070304"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070304","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,6]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T15:40:53Z","timestamp":1698334853940},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4591,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,2]]},"DOI":"10.1002\/fut.3990140101","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:36:31Z","timestamp":1183682191000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"14","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140101","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140101","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T11:14:20Z","timestamp":1698232460000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140101"}},"issued":{"date-parts":[[1994,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1994,2]]}},"alternative-id":["10.1002\/fut.3990140101"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140101","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,2]]}},{"indexed":{"date-parts":[[2025,4,2]],"date-time":"2025-04-02T21:03:43Z","timestamp":1743627823272,"version":"3.37.3"},"reference-count":42,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2021,1,19]],"date-time":"2021-01-19T00:00:00Z","timestamp":1611014400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,5]]},"abstract":"Abstract<\/jats:title>Uncertainty in banking regulation may impose widespread economic costs by increasing financial constraints on credit availability. Four years of Dodd\u2010Frank uncertainty over undecided risk weightings increased regulatory uncertainty for smaller banks, restricting \u201cvanilla\u201d interest rate hedging activities. This paper uses newly reported mortgage banking data as an identification strategy and finds that when costs of uncertainty are removed, small banks hedge 97%\u2013120% more interest rate risk while mortgage securitization income increases by 65.2% compared to large banks. These findings support the need for tailored regulations that consider the higher costs of regulatory uncertainty for smaller banks.<\/jats:p>","DOI":"10.1002\/fut.22188","type":"journal-article","created":{"date-parts":[[2021,1,19]],"date-time":"2021-01-19T21:13:47Z","timestamp":1611090827000},"page":"686-709","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Disproportionate costs of uncertainty: Small bank hedging and Dodd\u2010Frank"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9104-4337","authenticated-orcid":false,"given":"Raymond","family":"Kim","sequence":"first","affiliation":[{"name":"W.A. Franke College of Business Northern Arizona University Flagstaff Arizona USA"},{"name":"A. Gary Anderson Graduate School of Management University of California, Riverside Riverside California USA"}]}],"member":"311","published-online":{"date-parts":[[2021,1,19]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_9_2_1","DOI":"10.1111\/jmcb.12172"},{"doi-asserted-by":"publisher","key":"e_1_2_9_3_1","DOI":"10.1093\/qje\/qjw024"},{"doi-asserted-by":"publisher","key":"e_1_2_9_4_1","DOI":"10.1016\/j.jfi.2017.05.008"},{"unstructured":"Bank Financial Data.Federal Financial Institutions Examinations Council; 2006\u20102017; Reports of Condition and Income.https:\/\/cdr.ffiec.gov\/public\/","key":"e_1_2_9_5_1"},{"doi-asserted-by":"crossref","unstructured":"Begenau J. Piazzesi M. &Schneider M.(2015).Banks' risk exposures. Technical\u00a0report National Bureau of Economic Research.","key":"e_1_2_9_6_1","DOI":"10.3386\/w21334"},{"doi-asserted-by":"publisher","key":"e_1_2_9_7_1","DOI":"10.1002\/fut.21902"},{"doi-asserted-by":"crossref","unstructured":"Bonaime A. A. Gulen H. &Ion M.(2016).Does policy uncertainty affect mergers and acquisitions?","key":"e_1_2_9_8_1","DOI":"10.2139\/ssrn.2813466"},{"doi-asserted-by":"publisher","key":"e_1_2_9_9_1","DOI":"10.1093\/rof\/rfv069"},{"doi-asserted-by":"publisher","key":"e_1_2_9_10_1","DOI":"10.1016\/j.jfs.2016.07.002"},{"doi-asserted-by":"publisher","key":"e_1_2_9_11_1","DOI":"10.1111\/fima.12056"},{"doi-asserted-by":"publisher","key":"e_1_2_9_12_1","DOI":"10.1016\/j.aos.2012.06.003"},{"doi-asserted-by":"publisher","key":"e_1_2_9_13_1","DOI":"10.1016\/S0378-4266(99)00041-2"},{"doi-asserted-by":"publisher","key":"e_1_2_9_14_1","DOI":"10.1287\/mnsc.2014.2044"},{"doi-asserted-by":"publisher","key":"e_1_2_9_15_1","DOI":"10.1017\/S0022109011000391"},{"unstructured":"Community Banking Identifier.Federal Deposit Insurance Council;2018; Details and Financials Institution Directory.https:\/\/www7.fdic.gov\/idasp\/advSearchLanding.asp","key":"e_1_2_9_16_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_17_1","DOI":"10.1111\/jfir.12096"},{"unstructured":"Dahl D. Meyer A. &Neely M.(2016).Bank size compliance costs and compliance performance in community banking.","key":"e_1_2_9_18_1"},{"unstructured":"Dahl &Drew F. J. M. A. N. M.(2018).Compliance costs economies of scale and compliance performance. Community Bank Research & Outreach April 2018.","key":"e_1_2_9_19_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_20_1","DOI":"10.2307\/2297430"},{"unstructured":"FDIC & FFIEC. (2015). Summary of changes to call report schedule RC\u2010R Part II and schedule RC\u2010L effective March 31 2015.https:\/\/www.fdic.gov\/news\/news\/financial\/2015\/fil15008a.html","key":"e_1_2_9_21_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_22_1","DOI":"10.1111\/j.1540-6261.1993.tb05123.x"},{"unstructured":"GAO. (2015).2015 annual report additional opportunities to reduce fragmentation overlap and duplication and achieve other financial benefits.https:\/\/www.gao.gov\/products\/GAO-15-404SP","key":"e_1_2_9_23_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_24_1","DOI":"10.1111\/j.1538-4616.2010.00331.x"},{"key":"e_1_2_9_25_1","first-page":"103","volume-title":"Fiscal policy after the financial crisis","author":"Giavazzi F.","year":"2012"},{"doi-asserted-by":"publisher","key":"e_1_2_9_26_1","DOI":"10.1016\/j.jmoneco.2016.03.011"},{"doi-asserted-by":"publisher","key":"e_1_2_9_27_1","DOI":"10.3386\/w5100"},{"unstructured":"Guynn R.(2015).U.S. basel III final rule. Technical\u00a0report Davis Polk & Wardwell LLP.","key":"e_1_2_9_28_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_29_1","DOI":"10.2307\/1912352"},{"unstructured":"Hendricks B. Neilson J. Shakespeare C. &Williams C.(2016). Responding to regulatory uncertainty: Evidence from Basel III.","key":"e_1_2_9_30_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_31_1","DOI":"10.2307\/2676199"},{"unstructured":"Interest Rate Data.Bloomberg; 2006\u20102017; USSWAP10 ILM3NAVG.https:\/\/www.bloomberg.com\/professional\/solution\/bloomberg-terminal\/","key":"e_1_2_9_32_1"},{"doi-asserted-by":"crossref","unstructured":"Jermann U. J. &Yue V. Z.(2013).Interest rate swaps and corporate default.","key":"e_1_2_9_33_1","DOI":"10.2139\/ssrn.2324700"},{"doi-asserted-by":"crossref","unstructured":"Kim R.(2018).Better than risk\u2010free: Do reserve premiums crowd out bank lending?Available at SSRN 3318432.","key":"e_1_2_9_34_1","DOI":"10.2139\/ssrn.3318432"},{"doi-asserted-by":"publisher","key":"e_1_2_9_35_1","DOI":"10.3982\/ECTA11182"},{"doi-asserted-by":"crossref","unstructured":"Landier A. Sraer D. &Thesmar D.(2013).Banks' exposure to interest rate risk and the transmission of monetary policy. Technical\u00a0report National Bureau of Economic Research.","key":"e_1_2_9_36_1","DOI":"10.3386\/w18857"},{"doi-asserted-by":"publisher","key":"e_1_2_9_37_1","DOI":"10.1007\/s10693-008-0046-3"},{"doi-asserted-by":"publisher","key":"e_1_2_9_38_1","DOI":"10.1016\/j.jmoneco.2006.07.009"},{"doi-asserted-by":"publisher","key":"e_1_2_9_39_1","DOI":"10.1016\/j.jfi.2014.12.001"},{"unstructured":"Scott K.(2018).Revisions to risk\u2010based capital calculations requirements.https:\/\/www.law.com\/newyorklawjournal\/sites\/newyorklawjournal\/2018\/01\/09\/revisions-to-risk-based-capital-calculation-requirements\/January 9.","key":"e_1_2_9_40_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_41_1","DOI":"10.1016\/S1062-9769(00)00050-8"},{"doi-asserted-by":"publisher","key":"e_1_2_9_42_1","DOI":"10.2307\/2330757"},{"doi-asserted-by":"crossref","unstructured":"Vuillemey G.(2015).Derivatives and interest rate risk management by commercial banks. Available at SSRN 2644681.","key":"e_1_2_9_43_1","DOI":"10.2139\/ssrn.2644681"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22188","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22188","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22188","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T20:02:35Z","timestamp":1693598555000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22188"}},"issued":{"date-parts":[[2021,1,19]]},"references-count":42,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2021,5]]}},"alternative-id":["10.1002\/fut.22188"],"URL":"https:\/\/doi.org\/10.1002\/fut.22188","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,1,19]]},"assertion":[{"value":"2019-12-10","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-12-27","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-01-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T05:40:15Z","timestamp":1698385215639},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7305,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,9]]},"DOI":"10.1002\/fut.v15:6","type":"journal-issue","created":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:26:47Z","timestamp":1698287207000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"15","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v15:6","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v15:6","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:26:47Z","timestamp":1698287207000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/15\/6"}},"issued":{"date-parts":[[1995,9]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1995,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v15:6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,9]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:21:46Z","timestamp":1740104506760,"version":"3.37.3"},"reference-count":31,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2021,6,9]],"date-time":"2021-06-09T00:00:00Z","timestamp":1623196800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,8]]},"abstract":"Abstract<\/jats:title>This paper examines the impact of algorithmic trading on the resiliency of bid\u2010ask spreads and market depth. We use a natural experiment provided by the Australian Securities Exchange (ASX) for futures markets in 2012\u2014the introduction of collocated facilities for FCM's. Previous research demonstrates that the change on the ASX in 2012 increased algorithmic trading and improved liquidity. We extend this\u00a0study by documenting that the sensitivity of bid\u2010ask spreads and market depth to price volatility and trading activity declines after the introduction of co\u2010location. We also find that the speed of recovery of liquidity to large trades is more rapid after the introduction of colocated facilities. These results are consistent with the hypothesis that algorithmic trading reduces the time that limit orders are alive and the adjustment of quotes to new information and market volatility which in turn increases the resilience of liquidity.<\/jats:p>","DOI":"10.1002\/fut.22224","type":"journal-article","created":{"date-parts":[[2021,6,9]],"date-time":"2021-06-09T20:06:00Z","timestamp":1623269160000},"page":"1301-1314","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5290-2925","authenticated-orcid":false,"given":"Alex","family":"Frino","sequence":"first","affiliation":[{"name":"Deputy Vice Chancellors Unit University of Wollongong, Wollongong New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2250-0159","authenticated-orcid":false,"given":"Dionigi","family":"Gerace","sequence":"additional","affiliation":[{"name":"School of Business and Management Macquarie University Sydney New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3493-3100","authenticated-orcid":false,"given":"Masud","family":"Behnia","sequence":"additional","affiliation":[{"name":"School of Business and Management Macquarie University Sydney New South Wales Australia"}]}],"member":"311","published-online":{"date-parts":[[2021,6,9]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_7_2_1","DOI":"10.1002\/fut.20106"},{"doi-asserted-by":"publisher","key":"e_1_2_7_3_1","DOI":"10.1016\/j.ribaf.2020.101235"},{"doi-asserted-by":"publisher","key":"e_1_2_7_4_1","DOI":"10.1016\/j.finmar.2016.03.004"},{"doi-asserted-by":"publisher","key":"e_1_2_7_5_1","DOI":"10.1017\/S0022109020000782"},{"doi-asserted-by":"publisher","key":"e_1_2_7_6_1","DOI":"10.1002\/fut.20236"},{"doi-asserted-by":"publisher","key":"e_1_2_7_7_1","DOI":"10.1016\/j.jfineco.2018.02.002"},{"doi-asserted-by":"publisher","key":"e_1_2_7_8_1","DOI":"10.1093\/rfs\/hhv045"},{"doi-asserted-by":"publisher","key":"e_1_2_7_9_1","DOI":"10.1111\/fire.12039"},{"doi-asserted-by":"publisher","key":"e_1_2_7_10_1","DOI":"10.1111\/j.1540-6261.1983.tb03834.x"},{"unstructured":"Datascope Refinitiv. (2013). BABs 3\u2010 and 10\u2010year interest rate futures from Refinitiv Tick History ASX24 futures data February 20 2011 through February 20.Refinitiv.com[dataset].","key":"e_1_2_7_11_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_12_1","DOI":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5"},{"doi-asserted-by":"publisher","key":"e_1_2_7_13_1","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_7_14_1","first-page":"705","article-title":"Further analysis of the speed of response to large trades in interest rate futures","volume":"30","author":"Frino A.","year":"2009","journal-title":"Journal of Futures Markets"},{"doi-asserted-by":"publisher","key":"e_1_2_7_15_1","DOI":"10.1002\/fut.20290"},{"doi-asserted-by":"publisher","key":"e_1_2_7_16_1","DOI":"10.1002\/fut.21631"},{"doi-asserted-by":"publisher","key":"e_1_2_7_17_1","DOI":"10.1002\/fut.20184"},{"doi-asserted-by":"publisher","key":"e_1_2_7_18_1","DOI":"10.1002\/fut.21579"},{"doi-asserted-by":"publisher","key":"e_1_2_7_19_1","DOI":"10.1111\/1467-6281.00049"},{"volume-title":"Trading and exchanges: Market microstructure for practitioners","year":"2003","author":"Harris L.","key":"e_1_2_7_20_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_21_1","DOI":"10.1093\/rfs\/7.1.149"},{"doi-asserted-by":"publisher","key":"e_1_2_7_22_1","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"doi-asserted-by":"publisher","key":"e_1_2_7_23_1","DOI":"10.1016\/j.finmar.2011.02.003"},{"doi-asserted-by":"publisher","key":"e_1_2_7_24_1","DOI":"10.1016\/0304-405X(90)90013-P"},{"doi-asserted-by":"publisher","key":"e_1_2_7_25_1","DOI":"10.1111\/fire.12040"},{"doi-asserted-by":"publisher","key":"e_1_2_7_26_1","DOI":"10.1093\/rfs\/6.2.345"},{"doi-asserted-by":"publisher","key":"e_1_2_7_27_1","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"doi-asserted-by":"publisher","key":"e_1_2_7_28_1","DOI":"10.1016\/j.finmar.2013.06.006"},{"doi-asserted-by":"publisher","key":"e_1_2_7_29_1","DOI":"10.1016\/j.frl.2018.01.004"},{"doi-asserted-by":"publisher","key":"e_1_2_7_30_1","DOI":"10.2307\/1913610"},{"doi-asserted-by":"publisher","key":"e_1_2_7_31_1","DOI":"10.1002\/1096-9934(200011)20:10<943::AID-FUT4>3.0.CO;2-8"},{"doi-asserted-by":"publisher","key":"e_1_2_7_32_1","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<757::AID-FUT2>3.0.CO;2-M"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22224","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22224","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22224","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T01:21:21Z","timestamp":1693358481000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22224"}},"issued":{"date-parts":[[2021,6,9]]},"references-count":31,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2021,8]]}},"alternative-id":["10.1002\/fut.22224"],"URL":"https:\/\/doi.org\/10.1002\/fut.22224","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,6,9]]},"assertion":[{"value":"2021-05-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-06-09","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:21:48Z","timestamp":1740104508300,"version":"3.37.3"},"reference-count":69,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2023,1,25]],"date-time":"2023-01-25T00:00:00Z","timestamp":1674604800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"publisher","award":["2072021057"],"award-info":[{"award-number":["2072021057"]}],"id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71401147"],"award-info":[{"award-number":["71401147"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,4]]},"abstract":"Abstract<\/jats:title>We study a new type of securitization that deals with banks' processing time, mortgage\u2010receivable\u2010backed securities (MRBSs) issued by real estate developers. Unlike traditional mortgage\u2010backed securities (MBSs), the major risk of underlying assets of MRBSs is payment delay instead of default and prepayment. Using unique loan\u2010level data, we estimate proportional hazard models and detect factors that affect the risk of underlying assets of MRBSs, including bank characteristics, property\u2013loan\u2013household characteristics, local market conditions, and macroeconomic conditions. Especially, we find that the effects of house prices and loan\u2010to\u2010value ratios on MRBS risk are the opposite of those on traditional MBS risk. Based on the estimates, we simulate cash flows of an underlying\u2010asset pool and analyze the shortfall risk of the corresponding security tranches. We find that the securitization process imposes a natural adverse selection on the underlying assets.<\/jats:p>","DOI":"10.1002\/fut.22397","type":"journal-article","created":{"date-parts":[[2023,1,25]],"date-time":"2023-01-25T10:33:37Z","timestamp":1674642817000},"page":"480-515","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Securitization of assets with payment delay risk: A financial innovation in the real estate market"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6099-2457","authenticated-orcid":false,"given":"Chao","family":"Ma","sequence":"first","affiliation":[{"name":"WISE and Department of Finance at School of Economics Xiamen University Xiamen Fujian China"}]},{"given":"Hao","family":"Zhang","sequence":"additional","affiliation":[{"name":"Guangzhou Rongshan Information Technology Co., Ltd. Foshan Guangdong China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1698-8434","authenticated-orcid":false,"given":"Hongbiao","family":"Zhao","sequence":"additional","affiliation":[{"name":"School of Statistics and Management Shanghai University of Finance and Economics Shanghai China"},{"name":"Shanghai Institute of International Finance and Economics Shanghai China"}]}],"member":"311","published-online":{"date-parts":[[2023,1,25]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00227-1"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.09.004"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq073"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.004"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2014.11.002"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2953696"},{"key":"e_1_2_12_8_1","doi-asserted-by":"crossref","unstructured":"An X. &Cordell L.(2019).Mortgage loss severities: What keeps them so high? [Working paper].","DOI":"10.21799\/frbp.wp.2019.19"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12221"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq059"},{"key":"e_1_2_12_11_1","doi-asserted-by":"crossref","unstructured":"Benjamin D. &Wright M.(2018).Deconstructing delays in sovereign debt restructuring\u00a0[Working paper].","DOI":"10.21034\/wp.753"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.006"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.02.008"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-6687(89)90008-5"},{"key":"e_1_2_12_15_1","article-title":"SOEs and soft incentive constraints in state lending","author":"Cao Y.","year":"2022","journal-title":"American Economic Journal: Economic Policy"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1353\/eca.2012.0014"},{"key":"e_1_2_12_17_1","unstructured":"CEIC. (2019).\u00a0City\u2010level unemployment rates the national\u2010level GDP and M2 growth rates and the national average mortgage interest rates.https:\/\/insights.ceicdata.com\/"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12304"},{"key":"e_1_2_12_19_1","unstructured":"China Banking and Insurance Regulatory Commission. (2018).\u00a0Bank branch data.https:\/\/xkz.cbirc.gov.cn\/jr\/"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109020000873"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6229.12107"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.03.001"},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/62.2.269"},{"key":"e_1_2_12_24_1","unstructured":"CREIS. (2019).\u00a0City\u2010level average house prices and total areas sold for newly built houses.https:\/\/www.cih-index.com\/"},{"key":"e_1_2_12_25_1","unstructured":"CSMAR. (2022).\u00a0Bank loan data for publicly listed firms.https:\/\/cn.gtadata.com\/"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1378401230"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs095"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.06.004"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00110"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00463.x"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00647.x"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12302"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv128"},{"key":"e_1_2_12_34_1","doi-asserted-by":"crossref","unstructured":"Fuster A. Lo S. H. &Willen P. S.(2017).The time\u2010varying price of financial intermediation in the mortgage market. (Working Paper No. 23706). NBER.https:\/\/www.nber.org\/papers\/w23706","DOI":"10.3386\/w23706"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz018"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12363"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00419"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00204-8"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1287\/mksc.10.1.1"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht073"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01097934"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/ecin.12691"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.2010.125.1.307"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs059"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12128"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01330.x"},{"key":"e_1_2_12_47_1","doi-asserted-by":"crossref","unstructured":"Ma C.(2014).Estimating a dynamic discrete choice model with partial observability for household mortgage default and prepayment behaviors\u00a0[Working paper].","DOI":"10.2139\/ssrn.2709555"},{"key":"e_1_2_12_48_1","doi-asserted-by":"crossref","unstructured":"Ma C.(2020a).Asset securitization and firm expansion in product markets\u00a0[Working paper].","DOI":"10.2139\/ssrn.3850503"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jhe.2020.101687"},{"key":"e_1_2_12_50_1","unstructured":"Ma C. &Zhang S.(2020).Can housing boom elevate financing costs of financial institutions? [Working paper]."},{"key":"e_1_2_12_51_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr015"},{"key":"e_1_2_12_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2020.101580"},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00082.x"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938349"},{"key":"e_1_2_12_55_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2013.1165"},{"key":"e_1_2_12_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.regsciurbeco.2018.08.002"},{"key":"e_1_2_12_57_1","doi-asserted-by":"crossref","unstructured":"Pearson N. D. Yang Z. &Zhang Q.(2017).Evidence about bubble mechanisms: Precipitating event feedback trading and social contagion\u00a0[Working paper].","DOI":"10.2139\/ssrn.2824033"},{"key":"e_1_2_12_58_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.2006.88.1.177"},{"key":"e_1_2_12_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.09.012"},{"key":"e_1_2_12_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2013.02.005"},{"key":"e_1_2_12_61_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500103288619025"},{"key":"e_1_2_12_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.03.006"},{"key":"e_1_2_12_63_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq055"},{"key":"e_1_2_12_64_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12519"},{"key":"e_1_2_12_65_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu006"},{"key":"e_1_2_12_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-6687(85)90005-8"},{"key":"e_1_2_12_67_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109816"},{"key":"e_1_2_12_68_1","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1110381378"},{"key":"e_1_2_12_69_1","unstructured":"WIND. (2017).\u00a0Bank financial reports.https:\/\/www.wind.com.cn\/"},{"key":"e_1_2_12_70_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12242"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22397","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22397","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22397","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T05:37:24Z","timestamp":1692423444000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22397"}},"issued":{"date-parts":[[2023,1,25]]},"references-count":69,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2023,4]]}},"alternative-id":["10.1002\/fut.22397"],"URL":"https:\/\/doi.org\/10.1002\/fut.22397","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2023,1,25]]},"assertion":[{"value":"2022-08-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-01-02","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-01-25","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:28Z","timestamp":1740104548857,"version":"3.37.3"},"reference-count":46,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2021,12,16]],"date-time":"2021-12-16T00:00:00Z","timestamp":1639612800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,9]]},"abstract":"Abstract<\/jats:title>This study investigates the systemic impact of central clearing based on a financial network model in which edge weights represent the sensitivities of one participant's failure to its counterparties' default likelihood. The reduced\u2010form model specifies the mechanism of systemic risk concentration under central clearing in that a central counterparty redistributes the probability mass of the systemic failure from the center of the distribution into its tail. Numerical illustrations shed light on implications for regulating the adverse dependence between risk concentration under central clearing and the resiliency of the financial system via proper margin schemes.<\/jats:p>","DOI":"10.1002\/fut.22300","type":"journal-article","created":{"date-parts":[[2021,12,17]],"date-time":"2021-12-17T07:29:21Z","timestamp":1639726161000},"page":"1738-1754","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["A systemic change of measure from central clearing"],"prefix":"10.1002","volume":"42","author":[{"given":"Injun","family":"Hwang","sequence":"first","affiliation":[{"name":"Korea University Business School Seoul Republic of Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5069-5996","authenticated-orcid":false,"given":"Baeho","family":"Kim","sequence":"additional","affiliation":[{"name":"Korea University Business School Seoul Republic of Korea"}]}],"member":"311","published-online":{"date-parts":[[2021,12,16]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_8_2_1","DOI":"10.1016\/j.jet.2013.07.001"},{"doi-asserted-by":"publisher","key":"e_1_2_8_3_1","DOI":"10.1016\/j.jfi.2006.06.001"},{"doi-asserted-by":"publisher","key":"e_1_2_8_4_1","DOI":"10.1016\/j.jfineco.2011.07.003"},{"doi-asserted-by":"publisher","key":"e_1_2_8_5_1","DOI":"10.1086\/262109"},{"doi-asserted-by":"publisher","key":"e_1_2_8_6_1","DOI":"10.1287\/opre.2015.1414"},{"doi-asserted-by":"publisher","key":"e_1_2_8_7_1","DOI":"10.1137\/18M1184667"},{"doi-asserted-by":"crossref","unstructured":"Andersen L. B. Pykhtin M. &Sokol A.(2017).Credit exposure in the presence of initial margin. Working paper.","key":"e_1_2_8_8_1","DOI":"10.2139\/ssrn.2806156"},{"doi-asserted-by":"publisher","key":"e_1_2_8_9_1","DOI":"10.1137\/15M1028170"},{"doi-asserted-by":"publisher","key":"e_1_2_8_10_1","DOI":"10.1080\/1351847X.2017.1308876"},{"doi-asserted-by":"publisher","key":"e_1_2_8_11_1","DOI":"10.1002\/fut.22260"},{"doi-asserted-by":"publisher","key":"e_1_2_8_12_1","DOI":"10.1093\/rof\/rfy039"},{"doi-asserted-by":"publisher","key":"e_1_2_8_13_1","DOI":"10.1016\/j.jfineco.2017.06.010"},{"doi-asserted-by":"publisher","key":"e_1_2_8_14_1","DOI":"10.1093\/rfs\/hhx077"},{"doi-asserted-by":"publisher","key":"e_1_2_8_15_1","DOI":"10.1287\/opre.2018.1742"},{"doi-asserted-by":"publisher","key":"e_1_2_8_16_1","DOI":"10.1080\/1351847X.2018.1496944"},{"unstructured":"Cominetta M. Grill M. &Jukonis A.(2019).Investigating initial margin procyclicality and corrective tools using EMIR data(European Central Bank Macroprudential Bulletin 9).","key":"e_1_2_8_17_1"},{"doi-asserted-by":"publisher","key":"e_1_2_8_18_1","DOI":"10.1515\/strm-2013-1161"},{"doi-asserted-by":"publisher","key":"e_1_2_8_19_1","DOI":"10.1016\/j.jeconom.2014.04.012"},{"unstructured":"Duffie D.(2020).Still the world's safe haven? Redesigning the U.S. treasury market after the COVID\u201019 crisis. Hutchins Center Working Paper 62.","key":"e_1_2_8_20_1"},{"doi-asserted-by":"publisher","key":"e_1_2_8_21_1","DOI":"10.1093\/rapstu\/rar001"},{"doi-asserted-by":"publisher","key":"e_1_2_8_22_1","DOI":"10.1016\/j.jbankfin.2019.105610"},{"doi-asserted-by":"publisher","key":"e_1_2_8_23_1","DOI":"10.1287\/mnsc.47.2.236.9835"},{"doi-asserted-by":"publisher","key":"e_1_2_8_24_1","DOI":"10.1257\/aer.104.10.3115"},{"volume-title":"Speculation on the stock and produce exchange of the United States","year":"1896","author":"Emery H. C.","key":"e_1_2_8_25_1"},{"unstructured":"European Systemic Risk Board (ESRB). (2020).Mitigating the procyclicality of margins and haircuts in derivatives markets and securities financing transactions. ESRB Report.","key":"e_1_2_8_26_1"},{"doi-asserted-by":"publisher","key":"e_1_2_8_27_1","DOI":"10.1016\/0305-0483(76)90099-2"},{"unstructured":"Futures Industry Association. (2020).Revisiting procyclicality: The impact of the COVID crisis on CCP margin requirements. Futures Industry Association.","key":"e_1_2_8_28_1"},{"doi-asserted-by":"publisher","key":"e_1_2_8_29_1","DOI":"10.1016\/j.jbankfin.2017.12.008"},{"doi-asserted-by":"publisher","key":"e_1_2_8_30_1","DOI":"10.1287\/mnsc.1110.1375"},{"doi-asserted-by":"crossref","unstructured":"Giesecke K. &Shkolnik A.(2021). Reducing bias in event time simulations via measure changes.Mathematics of Operations Research. Forthcoming.","key":"e_1_2_8_31_1","DOI":"10.1287\/moor.2021.1156"},{"doi-asserted-by":"publisher","key":"e_1_2_8_32_1","DOI":"10.1287\/opre.2015.1420"},{"doi-asserted-by":"crossref","unstructured":"Gurrola\u2010Perez P.(2020).Procyclicality of CCP margin models: Systemic problems need systemic approaches. World Federation of Exchanges Research Working Paper.https:\/\/doi.org\/10.2139\/ssrn.3779896","key":"e_1_2_8_33_1","DOI":"10.2139\/ssrn.3779896"},{"doi-asserted-by":"publisher","key":"e_1_2_8_34_1","DOI":"10.1016\/j.jfs.2015.12.004"},{"doi-asserted-by":"publisher","key":"e_1_2_8_35_1","DOI":"10.1287\/mnsc.2020.3601"},{"unstructured":"Huang W. &Tak\u00e1ts E.(2020).The CCP\u2010bank nexus in the time of Covid\u201019. BIS Bulletin 13.","key":"e_1_2_8_36_1"},{"doi-asserted-by":"publisher","key":"e_1_2_8_37_1","DOI":"10.1002\/fut.22059"},{"doi-asserted-by":"publisher","key":"e_1_2_8_38_1","DOI":"10.1146\/annurev-economics-083120-111540"},{"unstructured":"Kim B. &Shkolnik A.(2021).Conditional importance sampling for event counting processes. Working Paper.","key":"e_1_2_8_39_1"},{"doi-asserted-by":"crossref","unstructured":"King T. B. Nesmith T. D. Paulson A. L. &Prono T.(2020).Central clearing and systemic liquidity risk. Finance and economics discussion series Washington: Board of Governors of the Federal Reserve System.","key":"e_1_2_8_40_1","DOI":"10.17016\/FEDS.2020.009"},{"doi-asserted-by":"publisher","key":"e_1_2_8_41_1","DOI":"10.1111\/jmcb.12241"},{"doi-asserted-by":"publisher","key":"e_1_2_8_42_1","DOI":"10.1016\/j.jbankfin.2014.08.015"},{"doi-asserted-by":"publisher","key":"e_1_2_8_43_1","DOI":"10.1093\/rapstu\/rax016"},{"doi-asserted-by":"publisher","key":"e_1_2_8_44_1","DOI":"10.1146\/annurev-financial-100520-100321"},{"doi-asserted-by":"crossref","unstructured":"Murphy D. Vasios M. &Vause N.(2014).An investigation into the procyclicality of risk\u2010based initial margin models. Bank of England Financial Stability Paper 29.","key":"e_1_2_8_45_1","DOI":"10.2139\/ssrn.2437916"},{"unstructured":"Nevin E. T. &Davis E. W.(1970).The london clearing banks.","key":"e_1_2_8_46_1"},{"doi-asserted-by":"publisher","key":"e_1_2_8_47_1","DOI":"10.1111\/jofi.12902"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22300","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22300","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22300","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T01:34:57Z","timestamp":1692840897000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22300"}},"issued":{"date-parts":[[2021,12,16]]},"references-count":46,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2022,9]]}},"alternative-id":["10.1002\/fut.22300"],"URL":"https:\/\/doi.org\/10.1002\/fut.22300","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,12,16]]},"assertion":[{"value":"2021-11-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-12-04","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-12-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T21:29:25Z","timestamp":1700170165178},"reference-count":12,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2002,10,16]],"date-time":"2002-10-16T00:00:00Z","timestamp":1034726400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,12]]},"abstract":"Abstract<\/jats:title>This article explores the time\u2010series behavior of correlations of returns, volatilities of returns,\nvolatilities of volatilities, and correlations of volatilities in domestic and international financial markets\nsuch as equity (indices), interest rates (bonds), and currency (exchange rates)\nusing a Kalman filter approach to estimate the aforementioned parameters. The main findings include the\nfollowing. First, the correlations of risk factors are highly unstable over time, both in terms of sign and\nabsolute value. Second, the time variation of risk\u2010factor volatilities is stochastically nonlinear. Long\nperiods of deterministic volatilities are interrupted by sudden bursts of highly volatile periods. Third, daily\nvolatilities of risk\u2010factor volatilities fluctuate over time within a narrower band. Fourth, the\ncorrelations between volatilities are generally positive and relatively stable over time. These results have\nimplications for financial risk management, dynamic asset allocation, and valuation of derivative securities.\n\u00a9 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1119\u20131146, 2002<\/jats:p>","DOI":"10.1002\/fut.10049","type":"journal-article","created":{"date-parts":[[2002,10,18]],"date-time":"2002-10-18T16:17:19Z","timestamp":1034957839000},"page":"1119-1146","source":"Crossref","is-referenced-by-count":2,"title":["Excessive variation in risk\u2010factor correlations and volatilities"],"prefix":"10.1002","volume":"22","author":[{"given":"Turan G.","family":"Bali","sequence":"first","affiliation":[]},{"given":"Hans","family":"Genberg","sequence":"additional","affiliation":[]},{"given":"Salih N.","family":"Neftci","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,10,16]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(96)01819-2"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(90)90073-8"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618397"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00039-0"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00088-8"},{"key":"e_1_2_1_9_1","unstructured":"Kupiec P.(1991).Financial liberalization and international trends in stock corporate bond and foreign exchange volatilities(Working Paper 65). Department of Economics and Statistics OECD."},{"key":"e_1_2_1_10_1","unstructured":"McNelis P.(1993).The response of Australian stock foreign exchange and bond markets to foreign asset returns and volatilities(Research Discussion Paper 9301). Reserve Bank of Australia."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200102)21:2<127::AID-FUT2>3.0.CO;2-B"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2000.319126"},{"key":"e_1_2_1_13_1","volume-title":"Volatility and correlation","author":"Rebonato R.","year":"2000"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10049","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10049","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T03:25:15Z","timestamp":1694575515000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10049"}},"issued":{"date-parts":[[2002,10,16]]},"references-count":12,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2002,12]]}},"alternative-id":["10.1002\/fut.10049"],"URL":"https:\/\/doi.org\/10.1002\/fut.10049","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,10,16]]}},{"indexed":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T05:02:57Z","timestamp":1699938177183},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":2161,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,10]]},"DOI":"10.1002\/fut.v29:10","type":"journal-issue","created":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T00:51:10Z","timestamp":1699923070000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"29","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v29:10","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T00:51:10Z","timestamp":1699923070000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/29\/10"}},"issued":{"date-parts":[[2009,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2009,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v29:10","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,10]]}},{"indexed":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T05:25:21Z","timestamp":1697779521512},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8394,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,9]]},"DOI":"10.1002\/fut.3990030309","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:59:29Z","timestamp":1183589969000},"page":"339-340","source":"Crossref","is-referenced-by-count":0,"title":["Legal notes"],"prefix":"10.1002","volume":"3","author":[{"given":"Ronald J.","family":"Horowitz","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030309","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030309","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T00:48:51Z","timestamp":1697762931000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030309"}},"issued":{"date-parts":[[1983,9]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1983,9]]}},"alternative-id":["10.1002\/fut.3990030309"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030309","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,9]]}},{"indexed":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:14:42Z","timestamp":1697775282961},"reference-count":5,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8578,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,3]]},"DOI":"10.1002\/fut.3990030104","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:48:11Z","timestamp":1183585691000},"page":"43-46","source":"Crossref","is-referenced-by-count":1,"title":["A note on the design of commodity options contracts: A comment"],"prefix":"10.1002","volume":"3","author":[{"given":"Robert","family":"McDonald","sequence":"first","affiliation":[]},{"given":"Daniel","family":"Siegel","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020102"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Black F. andScholes M.(1973): \u201cThe Pricing of Options and Corporate Liabilities \u201dJournal of Political Economy(May\u2010June):637\u2013654.","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_5_1","unstructured":"McDonald R. andSiegel D.(1982): \u201cOption Pricing when the Underlying Asset is Non\u2010Stored.\u201d Northwestern University Working Paper."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030104","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030104","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T23:57:29Z","timestamp":1697759849000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030104"}},"issued":{"date-parts":[[1983,3]]},"references-count":5,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1983,3]]}},"alternative-id":["10.1002\/fut.3990030104"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030104","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,3]]}},{"indexed":{"date-parts":[[2025,8,2]],"date-time":"2025-08-02T15:36:54Z","timestamp":1754149014419,"version":"3.41.2"},"reference-count":0,"publisher":"Wiley","issue":"8","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,8]]},"DOI":"10.1002\/fut.v45.8","type":"journal-issue","created":{"date-parts":[[2025,7,8]],"date-time":"2025-07-08T10:46:38Z","timestamp":1751971598000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"45","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2025,7,18]],"date-time":"2025-07-18T14:46:41Z","timestamp":1752850001000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/45\/8"}},"issued":{"date-parts":[[2025,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2025,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v45.8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,8]]}},{"indexed":{"date-parts":[[2025,8,15]],"date-time":"2025-08-15T01:51:38Z","timestamp":1755222698851,"version":"3.43.0"},"reference-count":53,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2025,7,1]],"date-time":"2025-07-01T00:00:00Z","timestamp":1751328000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,9]]},"abstract":"ABSTRACT<\/jats:title>Applying a no\u2010arbitrage term structure model, we analyze how risk premiums in crude oil, corn, and ethanol futures have evolved amid their increasingly synchronized price movements. Specifically, the model estimates a common factor that summarizes the information driving the three futures prices simultaneously and one idiosyncratic factor that captures distinct information in each market. The common risk prices are more strongly linked to macroeconomic observables, whereas market\u2010specific factors Granger cause the risk prices of both common and idiosyncratic components. We find that financialization negatively impacts the overall level of risk premiums. The risk premiums for crude oil, corn, and ethanol risk premiums all increased from the financialization period to the post\u2010financialization period. While financialization significantly affected the level of risk premiums, its influence on their comovement across markets may have been limited. In contrast, uncertainty surrounding biofuel policy may have affected the linkage between corn and ethanol risk premiums.<\/jats:p>","DOI":"10.1002\/fut.70001","type":"journal-article","created":{"date-parts":[[2025,7,1]],"date-time":"2025-07-01T05:00:31Z","timestamp":1751346031000},"page":"1409-1427","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures"],"prefix":"10.1002","volume":"45","author":[{"given":"Xiaoli","family":"Etienne","sequence":"first","affiliation":[{"name":"Department of Agricultural Economics and Rural Sociology University of Idaho Moscow Idaho USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2833-4291","authenticated-orcid":false,"given":"Bingxin","family":"Li","sequence":"additional","affiliation":[{"name":"John Chambers College of Business and Economics, Center for Innovation in Gas Research and Utilization West Virginia University Morgantown West Virginia USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5566-0474","authenticated-orcid":false,"given":"Rui","family":"Liu","sequence":"additional","affiliation":[{"name":"Palumbo Donahue School of Business Duquesne University Pittsburgh Pennsylvania USA"}]}],"member":"311","published-online":{"date-parts":[[2025,7]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.03.003"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104769"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.inteco.2016.06.005"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00032-1"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_11_8_1","doi-asserted-by":"crossref","unstructured":"Baumeister C. J. R.Ellwanger andL.Kilian.2017.Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol? (No. w23752). National Bureau of Economic Research.","DOI":"10.3386\/w23752"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.101451"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109016000569"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2014.08.001"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aaw059"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.004"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aaw010"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs127"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2015.06.007"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110613-034432"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.09.008"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.40.2.schi"},{"issue":"1","key":"e_1_2_11_22_1","first-page":"154","article-title":"Inventory and Transformation Hedging Effectiveness in Corn Crush\u2010 Ing","volume":"34","author":"Dahlgran R. A.","year":"2009","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_11_23_1","first-page":"1","volume-title":"Proceedings of the 2019 NCCC\u2010134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, Minneapolis, MN","author":"Dahlgran R. A.","year":"2019"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00067-3"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00426"},{"key":"e_1_2_11_26_1","doi-asserted-by":"crossref","unstructured":"Engle R. andK.Sheppard.2001. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate Garch. Department of Economics UC San Diego University of California at San Diego Economics Working Paper Series.","DOI":"10.3386\/w8554"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aau069"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2018.1466992"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241436"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100274"},{"key":"e_1_2_11_31_1","doi-asserted-by":"crossref","unstructured":"Gavriilidis K.2021. \u201cMeasuring Climate Policy Uncertainty.\u201dSSRN 3847388.","DOI":"10.2139\/ssrn.3847388"},{"key":"e_1_2_11_32_1","unstructured":"Gu M. W.Kang D.Lou andK.Tang.2021. Relative Basis and Risk Premia in Commodity Futures Markets. Working paper."},{"key":"e_1_2_11_33_1","unstructured":"Hambur J. andN.Stenner.2016. \u201cThe Term Structure of Commodity Risk Premiums and the Role of Hedging.\u201dRBA Bulletin March 2016 57\u201366.https:\/\/www.rba.gov.au\/publications\/bulletin\/2016\/mar\/pdf\/bu-0316.pdf."},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.003"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12099"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.3008"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/aepp.13297"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22122"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106390"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2023.100313"},{"key":"e_1_2_11_41_1","unstructured":"Keynes J. M.1930.A Treatise on Money. VolumeII.Macmillan."},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.1053"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfx039"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.06.002"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1017\/aae.2022.40"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.03.011"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2011.06.016"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/joes.12408"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.2307\/2233966"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2021.05.012"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1574-0862.2010.00464.x"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2011.10.004"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2024.100441"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70001","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T04:20:26Z","timestamp":1754886026000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70001"}},"issued":{"date-parts":[[2025,7]]},"references-count":53,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2025,9]]}},"alternative-id":["10.1002\/fut.70001"],"URL":"https:\/\/doi.org\/10.1002\/fut.70001","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7]]},"assertion":[{"value":"2024-04-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-09","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-01","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,4,5]],"date-time":"2025-04-05T01:29:20Z","timestamp":1743816560892},"reference-count":28,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,1,6]],"date-time":"2015-01-06T00:00:00Z","timestamp":1420502400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,6]]},"abstract":"Abstract<\/jats:title>Prior literature provides limited information on the depth characteristics of futures markets, especially for U.S. exchanges, due to the lack of historical depth data from floor trading. A proprietary database remedies this problem by providing a five\u2010deep electronic futures limit order book. Our results show a large amount of depth beyond the best level, as well as more concentrated activity during the day than the night. We document symmetry between the bid and ask sides of the book, although no evidence of equality between the depth levels exists. Most important is that our results often contradict equity depth research. Overall, the structure of the limit order book helps us to understand the depth allocation by active traders in futures markets. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:542\u2013560, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21706","type":"journal-article","created":{"date-parts":[[2015,1,6]],"date-time":"2015-01-06T20:50:47Z","timestamp":1420577447000},"page":"542-560","source":"Crossref","is-referenced-by-count":12,"title":["Depth Characteristics for the Electronic Futures Limit Order Book"],"prefix":"10.1002","volume":"35","author":[{"given":"Alexandre","family":"Aidov","sequence":"first","affiliation":[{"name":"Alexandre Aidov is an Assistant Professor of Finance, Department of Accounting, Economics and Finance, School of Business Administration University of Houston\u2010Victoria Victoria Texas"}]},{"given":"Robert T.","family":"Daigler","sequence":"additional","affiliation":[{"name":"Robert T. Daigler is Knight Ridder Research Professor of Finance at the Chapman Graduate School of Business Florida International University Miami Florida"}]}],"member":"311","published-online":{"date-parts":[[2015,1,6]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.12.001"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(99)00075-8"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05192.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2008.00234.x"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20334"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21586"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.03.008"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jot.2013.8.3.068"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq132"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.12.010"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi029"},{"key":"e_1_2_8_13_1","article-title":"Futures market liquidity during the financial crisis. Working paper","author":"Furfine C. H.","year":"2012","journal-title":"Northwestern University."},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20300"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200102)21:2<173::AID-FUT4>3.0.CO;2-C"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00795.x"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2013.803148"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12040"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2011.06.003"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20315"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.789"},{"key":"e_1_2_8_23_1","article-title":"An empirical analysis of the trading structure at the Stockholm stock exchange, Working paper","author":"Niemeyer J.","year":"1995","journal-title":"Stockholm School of Economics."},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680802616704"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/096031097333303"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00069-1"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp011"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2005.09.005"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gfj.2006.06.012"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21706","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21706","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T08:58:47Z","timestamp":1696582727000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21706"}},"issued":{"date-parts":[[2015,1,6]]},"references-count":28,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2015,6]]}},"alternative-id":["10.1002\/fut.21706"],"URL":"https:\/\/doi.org\/10.1002\/fut.21706","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,1,6]]}},{"indexed":{"date-parts":[[2026,1,20]],"date-time":"2026-01-20T00:43:09Z","timestamp":1768869789868,"version":"3.49.0"},"reference-count":28,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4532,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,4]]},"DOI":"10.1002\/fut.3990140204","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:57:37Z","timestamp":1183683457000},"page":"147-167","source":"Crossref","is-referenced-by-count":222,"title":["Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis"],"prefix":"10.1002","volume":"14","author":[{"given":"Thomas V.","family":"Schwarz","sequence":"first","affiliation":[]},{"given":"Andrew C.","family":"Szakmary","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02410.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110406"},{"key":"e_1_2_1_4_1","unstructured":"Bopp A. E. andLady G.(in press): \u201cA Comparison of Petroleum Futures Versus Spot Prices as Predictors of Prices in the Future \u201dEnergy Economics."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070609"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100605"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(87)90085-6"},{"key":"e_1_2_1_9_1","volume-title":"Introduction to Statistical Time Series","author":"Fuller W.","year":"1976"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(88)90045-0"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1989.mp51002006.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030108"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110107"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90104-Y"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120208"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090204"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120203"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938258"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110604"},{"key":"e_1_2_1_24_1","first-page":"461","article-title":"Estimating the Dimension of a Model","volume":"6","author":"Schwan G.","year":"1978","journal-title":"Annals of Statistics"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110603"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(91)90007-7"},{"issue":"2","key":"e_1_2_1_27_1","first-page":"372","article-title":"Market Efficiency and Cointegration: An Application to Petroleum Markets","volume":"9","author":"Serletis A.","year":"1990","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140204","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140204","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T07:01:23Z","timestamp":1698217283000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140204"}},"issued":{"date-parts":[[1994,4]]},"references-count":28,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1994,4]]}},"alternative-id":["10.1002\/fut.3990140204"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140204","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,4]]}},{"indexed":{"date-parts":[[2026,1,21]],"date-time":"2026-01-21T08:16:41Z","timestamp":1768983401690,"version":"3.49.0"},"reference-count":22,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2010,11,30]],"date-time":"2010-11-30T00:00:00Z","timestamp":1291075200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,11]]},"abstract":"Abstract<\/jats:title>Using a volatility spillover model, we find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time\u2010varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, when the ethanol\u2013gasoline consumption ratio exceeds a critical level, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices are more energy\u2010driven. Based on this strong volatility link between crude oil and corn prices, a new cross\u2010hedging strategy for managing corn price risk using oil futures is examined and its performance is studied. Results show that this cross\u2010hedging strategy provides only slightly better hedging performance compared with traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20499","type":"journal-article","created":{"date-parts":[[2010,11,30]],"date-time":"2010-11-30T20:40:24Z","timestamp":1291149624000},"page":"1052-1075","source":"Crossref","is-referenced-by-count":109,"title":["Volatility spillover effects and cross hedging in corn and crude oil futures"],"prefix":"10.1002","volume":"31","author":[{"given":"Feng","family":"Wu","sequence":"first","affiliation":[]},{"given":"Zhengfei","family":"Guan","sequence":"additional","affiliation":[]},{"given":"Robert J.","family":"Myers","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,11,30]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002350"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036849400000006"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(96)00889-6"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00139-3"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/426519"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2007.00403.x"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130810"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90099-F"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.biombioe.2010.01.037"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.628"},{"key":"e_1_2_8_16_1","first-page":"1","article-title":"Market efficiency among futures with different maturities: Evidence from the crude oil futures market","volume":"00","author":"Kawamoto K.","year":"2010","journal-title":"The Journal of Futures Markets"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1530-9290.2008.00105.x"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00012-9"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00006-1"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1641\/B580718"},{"key":"e_1_2_8_23_1","unstructured":"Zulauf C. &Roberts M.(2008).Price variability: Corn soybeans wheat 1989\u20132007. Unpublished economic report The Ohio State University Columbus Ohio."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20499","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20499","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,9]],"date-time":"2023-10-09T18:38:34Z","timestamp":1696876714000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20499"}},"issued":{"date-parts":[[2010,11,30]]},"references-count":22,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2011,11]]}},"alternative-id":["10.1002\/fut.20499"],"URL":"https:\/\/doi.org\/10.1002\/fut.20499","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,11,30]]}},{"indexed":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T07:53:33Z","timestamp":1760255613722,"version":"3.37.3"},"reference-count":26,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T00:00:00Z","timestamp":1604966400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100002701","name":"Ministry of Education","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100002701","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100003725","name":"National Research Foundation of Korea","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100003725","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,2]]},"abstract":"Abstract<\/jats:title>This paper examines whether the volatility management suggested by Moreira and Muir to improve profitability in the equity market can generate significant benefits both in\u2010sample and out\u2010of\u2010sample in commodity futures markets as well. The in\u2010sample results show the significant success of volatility management from the 12\u2010month momentum and market portfolio, but the out\u2010of\u2010sample results show that volatility management fails to improve real\u2010time performance, which indicates that in\u2010sample results are not obtainable for real\u2010time investors in the commodity futures markets. To understand the failure of volatility management, we perform the simulation analysis and find that a negative risk\u2010return relation seems to play a pivotal role in addition to strong volatility persistency to make volatility management successful.<\/jats:p>","DOI":"10.1002\/fut.22175","type":"journal-article","created":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T14:58:17Z","timestamp":1605020297000},"page":"159-178","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Volatility\u2010managed commodity futures portfolios"],"prefix":"10.1002","volume":"41","author":[{"given":"Jangkoo","family":"Kang","sequence":"first","affiliation":[{"name":"College of Business Korea Advanced Institute of Science and Technology (KAIST) Seoul South Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6212-8187","authenticated-orcid":false,"given":"Kyung Yoon","family":"Kwon","sequence":"additional","affiliation":[{"name":"Department of Accounting and Finance, Strathclyde Business School University of Strathclyde Glasgow UK"}]}],"member":"311","published-online":{"date-parts":[[2020,11,10]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.659"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.11.010"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.04.015"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.12.002"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm075"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21656"},{"key":"e_1_2_8_12_1","unstructured":"Fama E. F. &French K. R.(1993). Current research returns.http:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/data_library.html"},{"key":"e_1_2_8_13_1","doi-asserted-by":"crossref","first-page":"1121","DOI":"10.2307\/1913625","article-title":"A test of the efficiency of a given portfolio","volume":"87","author":"Gibbons M. R.","year":"1989","journal-title":"Econometrica"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.005"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu068"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04702.x"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb04891.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21834"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22051"},{"key":"e_1_2_8_22_1","article-title":"Weekly momentum in the commodity futures market","author":"Kwon K. Y.","year":"2019","journal-title":"Finance Research Letters"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12513"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20252"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22175","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22175","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22175","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,3]],"date-time":"2023-09-03T12:05:54Z","timestamp":1693742754000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22175"}},"issued":{"date-parts":[[2020,11,10]]},"references-count":26,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2021,2]]}},"alternative-id":["10.1002\/fut.22175"],"URL":"https:\/\/doi.org\/10.1002\/fut.22175","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,11,10]]},"assertion":[{"value":"2020-08-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-10-29","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-11-10","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:16:25Z","timestamp":1761016585732},"reference-count":40,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4137,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,5]]},"DOI":"10.1002\/fut.3990150305","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T05:16:31Z","timestamp":1183698991000},"page":"345-372","source":"Crossref","is-referenced-by-count":15,"title":["A two\u2010factor, preference\u2010free model for interest rate sensitive claims"],"prefix":"10.1002","volume":"15","author":[{"given":"Ren\u2010Raw","family":"Chen","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Stochastic Differential Equations: Theory and Applications","author":"Arnold L.","year":"1974"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Black F. Derman E. andToy W.(1990 January\u2013February): \u201cA One\u2010Factor Model of Interest Rates and Its Application to Treasury Bond Options \u201dFinancial Analyst Journal 33\u201339.","DOI":"10.2469\/faj.v46.n1.33"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Brennan M. andSchwartz E.(1979): \u201cA Continuous Time Approach to the Pricing of Bonds \u201dJournal of Banking And Finance 133\u2013155.","DOI":"10.1016\/0378-4266(79)90011-6"},{"key":"e_1_2_1_7_1","unstructured":"Carr P.(1988 February): \u201cValuing Bond Futures and The Quality Option \u201d Working Paper University of California at Los Angeles."},{"key":"e_1_2_1_8_1","unstructured":"Chaplin G.(1987a): \u201cA Formula for Bond Option Values Under an Ornstein\u2010Uhlenbeck Model for the Spot \u201d Working Paper No. 87\u201015 University of Waterloo."},{"key":"e_1_2_1_9_1","unstructured":"Chaplin G.(1987b): \u201cThe Term Structure of Interest Rates: A Model Based on Two Correlated Stochastic Processes with Closed Form Solutions for Bond and Option Prices \u201d Working Paper No. 87\u201016 University of Waterloo."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331300"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.613"},{"key":"e_1_2_1_12_1","unstructured":"Chen R. andScott L.(1993): \u201cMulti\u2010Factor Cox\u2014Ingersol\u2014Ross Models of the Term Structure of Interest Rates: Estimates and Tests Using a Kalman Filter \u201d Working Paper Rutgers University and University of Georgia."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.531"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330930"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Cox J. Ingersoll J. andRoss (1981): \u201cThe Relation Between Forward Prices and Futures Prices \u201dJournal of Financial Economics 321\u2013346.","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90020-X"},{"key":"e_1_2_1_19_1","unstructured":"Dybvig P.(1989 February): \u201cBond and Bond Option Pricing Based on the Current Term Structure \u201d Working Paper Washington University."},{"issue":"3","key":"e_1_2_1_20_1","doi-asserted-by":"crossref","first-page":"619","DOI":"10.1093\/rfs\/5.3.619","article-title":"A Test of the Cox, Ingersoll, and Ross Model of the Term Structure","volume":"6","author":"Gibbons M.","year":"1993","journal-title":"Review of Financial Studies"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"e_1_2_1_23_1","unstructured":"Heston S.(1989): \u201cTesting Continuous Time Models of the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation \u201d Working Paper Carnegie Mellon University."},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb02528.x"},{"key":"e_1_2_1_25_1","volume-title":"Options, Futures, and Derivative Securities","author":"Hull J.","year":"1993"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"e_1_2_1_27_1","unstructured":"Jamshidian F.(1987): \u201cPricing of Contingent Claims in the One\u2010Factor Term Structure Model \u201d Working Paper Merrill Lynch Capital Markets."},{"key":"e_1_2_1_28_1","doi-asserted-by":"crossref","unstructured":"Jamshidian F.(1989 March): \u201cAn Exact Bond Option Formula \u201dJournal of Finance.","DOI":"10.1111\/j.1540-6261.1989.tb02413.x"},{"key":"e_1_2_1_29_1","volume-title":"A Second Course in Stochastic Processes","author":"Karlin S.","year":"1981"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","unstructured":"Kraus A. andSmith M.(1993 June): \u201cA Simple Multi\u2010factor Term Structure Model \u201dJournal of Fixed Income 19\u201323.","DOI":"10.3905\/jfi.1993.408069"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2327182"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1991.692347"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90056-1"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04657.x"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_36_1","unstructured":"Pearson N. andSun T. (1989 January): \u201cA Test of the Cox Ingersoll and Ross Model of the Term Structure of Interest Rates Using the Method of Maximum Likelihood \u201d Working Paper Massachusetts Institute of Technology."},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90019-3"},{"key":"e_1_2_1_38_1","unstructured":"Sharp K.(1987): \u201cApplications of Stochastic Models of Interest Rates \u201d Unpublished Dissertation University of Waterloo."},{"key":"e_1_2_1_39_1","unstructured":"Stoll H. andWhaley R.(1993):Futures and Option: Theory and Applications. South\u2010Western."},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.87"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150305","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150305","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T03:38:42Z","timestamp":1698377922000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150305"}},"issued":{"date-parts":[[1995,5]]},"references-count":40,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1995,5]]}},"alternative-id":["10.1002\/fut.3990150305"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150305","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,5]]}},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:59:25Z","timestamp":1761818365801,"version":"build-2065373602"},"reference-count":82,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2025,7,9]],"date-time":"2025-07-09T00:00:00Z","timestamp":1752019200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,10]]},"abstract":"ABSTRACT<\/jats:title>\n This paper investigates the predictability of delta\u2010hedged commodity option returns using 103 predictors. We estimate several linear and nonlinear machine learning models and forecast ensembles using futures options data on seven commodities. There is strong evidence of out\u2010of\u2010sample return predictability for horizons of 1 week to 1 month ahead. We show how a machine learning\u2010informed long\u2010short option trading strategy generates positive returns after transaction costs for most commodities. Among the groups of predictors, options\u2010based characteristics are the most informative, but macroeconomic variables typically improve forecasts. A nonlinear ensemble forecast provides the best results, while the best single model is the Random Forest. Some machine learning models perform poorly. Finally, we document strong evidence for increased predictability in periods of high volatility.<\/jats:p>","DOI":"10.1002\/fut.22614","type":"journal-article","created":{"date-parts":[[2025,7,9]],"date-time":"2025-07-09T15:30:27Z","timestamp":1752075027000},"page":"1544-1578","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Commodity Option Return Predictability"],"prefix":"10.1002","volume":"45","author":[{"given":"Constant","family":"Aka","sequence":"first","affiliation":[{"name":"Department of Finance and Insurance, FSA Business School Universit\u00e9 Laval Quebec Canada"}]},{"given":"Marie\u2010H\u00e9l\u00e8ne","family":"Gagnon","sequence":"additional","affiliation":[{"name":"Department of Finance and Insurance, FSA Business School Universit\u00e9 Laval Quebec Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5495-7252","authenticated-orcid":false,"given":"Gabriel J.","family":"Power","sequence":"additional","affiliation":[{"name":"Department of Finance and Insurance, FSA Business School Universit\u00e9 Laval Quebec Canada"}]}],"member":"311","published-online":{"date-parts":[[2025,7,9]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.02.009"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12181"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.08.025"},{"key":"e_1_2_12_8_1","unstructured":"Baker M. andJ.Wurgler.2020.Investor Sentiment Data. Available online athttps:\/\/pages.stern.nyu.edu\/~jwurgler\/data\/SENTIMENT.xlsx."},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhad017"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.014"},{"key":"e_1_2_12_13_1","unstructured":"Bali T. G. A.Goyal D.Huang F.Jiang andQ.Wen.2021. \u201cPredicting Corporate Bond Returns: Merton Meets Machine Learning.\u201d Working paper Swiss Finance Institute Research Paper No. 20\u2013110. Available athttps:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3686164."},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000410"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000480"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa062"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.03.023"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2021.101408"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1010933404324"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp032"},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.12.007"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.06.004"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.11.010"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.004"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03808.x"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.2010.125.3.1145"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3933070"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2016.24.2.008"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100289"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00352"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12544"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.10.010"},{"key":"e_1_2_12_36_1","unstructured":"Filippou I. D.Rapach M. P.Taylor andG.Zhou.2020. \u201cExchange Rate Prediction With Machine Learning and a Smart Carry Portfolio.\u201d working paper."},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1013203451"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2939649"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.01.001"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"volume-title":"The Joint Cross Section of Option and Stock Returns Predictability With Big Data and Machine Learning","year":"2021","author":"Goyenko R.","key":"e_1_2_12_41_1"},{"volume-title":"Diverging Roads: Theory\u2010Based vs. machine Learning\u2010Implied Stock Risk Premia","year":"2020","author":"Grammig J.","key":"e_1_2_12_42_1"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx019"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa009"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2019.04.077"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1080\/00401706.1970.10488634"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2010139221500178"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2021.100171"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/0893-6080(89)90020-8"},{"volume-title":"Options, Futures, and Other Derivatives","year":"2018","author":"Hull J.","key":"e_1_2_12_50_1"},{"key":"e_1_2_12_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2022.106687"},{"key":"e_1_2_12_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/2348005"},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/0169-7439(93)85002-X"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2021.100675"},{"key":"e_1_2_12_55_1","unstructured":"Karakaya M.2013. \u201cCharacteristics and Expected Returns in Individual Equity Options.\u201d PhD thesis University of Chicago."},{"key":"e_1_2_12_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.05.001"},{"key":"e_1_2_12_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2019.03.001"},{"key":"e_1_2_12_58_1","first-page":"1097","article-title":"Imagenet Classification With Deep Convolutional Neural Network","volume":"25","author":"Krizhevsky A.","year":"2012","journal-title":"Advances in Neural Information Processing Systems"},{"key":"e_1_2_12_59_1","unstructured":"Lakshminarayanan B. A.Pritzel andC.Blundell.2016. \u201cSimple and Scalable Predictive Uncertainty Estimation Using Deep Ensembles.\u201d arXiv."},{"key":"e_1_2_12_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.017"},{"key":"e_1_2_12_61_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11079-021-09632-8"},{"key":"e_1_2_12_62_1","doi-asserted-by":"crossref","unstructured":"Lou Y. R.Caruana andJ.Gehrke.2012. \u201cIntelligible Models for Classification and Regression.\u201d inProceedings of the 18th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining KDD \u201912. NY 150\u2013158. ACM.","DOI":"10.1145\/2339530.2339556"},{"key":"e_1_2_12_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102299"},{"key":"e_1_2_12_64_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa010"},{"key":"e_1_2_12_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2024.103791"},{"key":"e_1_2_12_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.008"},{"key":"e_1_2_12_67_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2023.4734"},{"key":"e_1_2_12_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.102063"},{"key":"e_1_2_12_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2023.101433"},{"key":"e_1_2_12_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.03.006"},{"key":"e_1_2_12_71_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp063"},{"key":"e_1_2_12_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_12_73_1","doi-asserted-by":"crossref","unstructured":"Rosipal R. andN.Kramer.2006. \u201cOverview and Recent Advances in Partial Least Squares.\u201d InSubspace Latent Structure and Feature Selection: Statistical and Optimization Perspectives Workshop (SLSFS 2005) Revised Selected Papers. Vol. Lecture Notes in Computer Science 3940: 34\u201351. Springer\u2010Verlag.","DOI":"10.1007\/11752790_2"},{"key":"e_1_2_12_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2019.03.002"},{"key":"e_1_2_12_75_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21597"},{"key":"e_1_2_12_76_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"volume-title":"MATLAB Version: 9.13.0 (R2022a)","year":"2022","author":"The MathWorks Inc","key":"e_1_2_12_77_1"},{"key":"e_1_2_12_78_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2517-6161.1996.tb02080.x"},{"key":"e_1_2_12_79_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp036"},{"key":"e_1_2_12_80_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901700076X"},{"key":"e_1_2_12_81_1","unstructured":"Weerts H. J. P. C. M.Andreas andJ.Vanschoren.2020. \u201cImportance of Tuning Hyperparameters of Machine Learning Algorithms.\u201dCoRRabs\/2007.07588."},{"key":"e_1_2_12_82_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhab067"},{"key":"e_1_2_12_83_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2005.00503.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22614","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:56:45Z","timestamp":1761818205000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22614"}},"issued":{"date-parts":[[2025,7,9]]},"references-count":82,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2025,10]]}},"alternative-id":["10.1002\/fut.22614"],"URL":"https:\/\/doi.org\/10.1002\/fut.22614","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7,9]]},"assertion":[{"value":"2024-04-19","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-24","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-09","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,9,26]],"date-time":"2025-09-26T04:53:54Z","timestamp":1758862434323},"reference-count":18,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2001,6,7]],"date-time":"2001-06-07T00:00:00Z","timestamp":991872000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,8]]},"abstract":"Abstract<\/jats:title>The comovements of spot and futures prices are characterized by six binary variables, including the term structure curvature of futures prices. These variables are used to uniquely identify 48 possible comovement patterns. Among them, 24 cases are associated with mean reversion,<\/jats:italic> which is defined as a state when spreads between futures and spot prices are shrinking. These pattern frequencies are then calculated on a daily basis with the futures prices of 10 commodities, including precious metal, agricultural, and financial commodities. The results are further compared to simulation output from three data\u2010generating processes: a bivariate pure random walk, a mixed random walk with first\u2010order autoregression (AR(1)), and an error\u2010correction representation. The mean\u2010reverting frequencies for all 10 commodities are about 50%. Around half of the time, spot and futures prices are moving toward each other, and the rest of the time they move in the same direction. The symmetry of these results implies that the existence of substantial shocks originated from futures markets; thus, this is consistent with the risk premium view of futures trading. Also, although all simulation models produce similar mean\u2010reversion frequencies, the patterns of comovements of spot and futures prices are different, and the price dynamics depend heavily on whether the market is dominant contango or backwardation. Furthermore, the error\u2010correction model outperforms the random\u2010walk model for agricultural commodities, and the mixed random walk with AR(1) is hardly distinguishable from the pure random walk. \u00a9 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:769\u2013796, 2001<\/jats:p>","DOI":"10.1002\/fut.1804","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T20:35:44Z","timestamp":1030307744000},"page":"769-796","source":"Crossref","is-referenced-by-count":4,"title":["Mean Reversion and the Comovement of Equilibrium Spot and Futures Prices: Implications from Alternative Data\u2010Generating Processes"],"prefix":"10.1002","volume":"21","author":[{"given":"Tian","family":"Zeng","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,6,7]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05178.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950090103"},{"key":"e_1_2_1_4_1","first-page":"50","article-title":"The theory of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_1_5_1","first-page":"399","article-title":"Mean reversion in equilibrium asset prices","volume":"80","author":"Cecchetti S.","year":"1990","journal-title":"American Economic Review"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830176"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/261535"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/296338"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_1_14_1","article-title":"A new definition for time\u2010dependent mean reversion in commodity markets","author":"Kocagil A. E.","journal-title":"Economic Letters."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.41"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05149.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90021-9"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_19_1","first-page":"1254","article-title":"The theory of price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.1804","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.1804","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T10:50:22Z","timestamp":1700304622000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.1804"}},"issued":{"date-parts":[[2001,6,7]]},"references-count":18,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2001,8]]}},"alternative-id":["10.1002\/fut.1804"],"URL":"https:\/\/doi.org\/10.1002\/fut.1804","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,6,7]]}},{"indexed":{"date-parts":[[2025,10,4]],"date-time":"2025-10-04T22:29:25Z","timestamp":1759616965614},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6421,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,2]]},"DOI":"10.1002\/(sici)1096-9934(199802)18:1<35::aid-fut2>3.0.co;2-9","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"35-51","source":"Crossref","is-referenced-by-count":8,"title":["The mispricing of callable U.S. treasury bonds: A closer look"],"prefix":"10.1002","volume":"18","author":[{"given":"Bradford D.","family":"Jordan","sequence":"first","affiliation":[]},{"given":"Susan D.","family":"Jordan","sequence":"additional","affiliation":[]},{"given":"David R.","family":"Kuipers","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199802)18:1%3C35::AID-FUT2%3E3.0.CO;2-9","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199802)18:1%3C35::AID-FUT2%3E3.0.CO;2-9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:32:30Z","timestamp":1625131950000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199802)18:1<35::AID-FUT2>3.0.CO;2-9"}},"issued":{"date-parts":[[1998,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1998,2]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199802)18:1<35::aid-fut2>3.0.co;2-9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,2]]}},{"indexed":{"date-parts":[[2025,10,2]],"date-time":"2025-10-02T15:51:33Z","timestamp":1759420293480,"version":"3.37.3"},"reference-count":21,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2014,5,13]],"date-time":"2014-05-13T00:00:00Z","timestamp":1399939200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100000038","name":"Natural Sciences and Engineering Research Council of Canada","doi-asserted-by":"publisher","award":["20240"],"award-info":[{"award-number":["20240"]}],"id":[{"id":"10.13039\/501100000038","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,9]]},"abstract":"This study considers the class of double mixtures<\/jats:italic> to model a general dependence structure beyond the typical conditional independence assumption among the entities in a homogeneous credit portfolio. The two mixing components are (i) the marginal distributions of the systemic and idiosyncratic factors and (ii) the conditional probability measure that incorporates the further dependence structure among the idiosyncratic factors, given the systemic factor. For a large portfolio, the fair spread of a structured retail credit tranche is expressed in terms of the sums of single integrals, which can be easily computed numerically. We discuss the behaviors of tranche spreads under several double mixture models, and calibrate these models to market data. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:849\u2013867, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21684","type":"journal-article","created":{"date-parts":[[2014,5,13]],"date-time":"2014-05-13T17:38:41Z","timestamp":1400002721000},"page":"849-867","source":"Crossref","is-referenced-by-count":2,"title":["Valuing Retail Credit Tranches with Structural, Double Mixture Models"],"prefix":"10.1002","volume":"35","author":[{"given":"Taehan","family":"Bae","sequence":"first","affiliation":[{"name":"Taehan Bae is an Assistant Professor at the Department of Mathematics and Statistics University of Regina Regina Saskatchewan Canada"}]},{"given":"Ian","family":"Iscoe","sequence":"additional","affiliation":[{"name":"Ian Iscoe is a Lead Mathematician at Risk Analytics, IBM Inc. Toronto Ontario Canada"}]},{"given":"Changki","family":"Kim","sequence":"additional","affiliation":[{"name":"Changki Kim is an Assistant Professor at the Korea University Business School Seoul Korea"}]}],"member":"311","published-online":{"date-parts":[[2014,5,13]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"crossref","unstructured":"Albrecher H. Ladoucette S. &Schoutens W.(2006). A generic one factor L\u00e9vy model for pricing synthetic CDOs. Technical report K.U. Leuven. Available at:http:\/\/www.defaultrisk.com.","DOI":"10.1007\/978-0-8176-4545-8_14"},{"key":"e_1_2_9_3_1","first-page":"248","article-title":"Correlations under stress","volume":"2","author":"Bae T.","year":"2010","journal-title":"International Review of Applied Financial Issues and Economics"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1155\/2014\/838625"},{"key":"e_1_2_9_5_1","unstructured":"Basel Committee on Banking Supervision. (2006). International convergence of capital measurement and capital standards: A revised framework. Available at:http:\/\/www.bis.org\/publ\/bcbs128a.pdf."},{"volume-title":"An introduction to credit risk modeling","year":"2003","author":"Bluhm C.","key":"e_1_2_9_6_1"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2008.02.005"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.2143\/AST.40.1.2049222"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00265-0"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2003.089"},{"key":"e_1_2_9_11_1","doi-asserted-by":"crossref","unstructured":"Garcia J. &Goossens S.(2008).One factor models for the ABS correlation market pricing TABX tranches. Available athttp:\/\/ssrn.com\/abstract=1274808orhttp:\/\/dx.doi.org\/10.2139\/ssrn.1274808.","DOI":"10.2139\/ssrn.1274808"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2004.450964"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12029"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.38.11.1665"},{"key":"e_1_2_9_15_1","unstructured":"KMV\u2010Corporation. (1997). Modelling default risk. Available at:http:\/\/www.moodysanalytics.com."},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2000.319253"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.05.002"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.3905\/JFI.2010.19.3.066"},{"key":"e_1_2_9_20_1","unstructured":"RiskMetrics\u2010Group. (1997). CreditMetrics\u2014Technical Document. Available at:http:\/\/www.defaultrisk.com."},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb05062.x"},{"key":"e_1_2_9_22_1","unstructured":"Vasicek O.(1987). Probability of loss on loan portfolio. Technical report KMV Corporation. Available at:http:\/\/www.moodysanalytics.com."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21684","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21684","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T10:03:51Z","timestamp":1696586631000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21684"}},"issued":{"date-parts":[[2014,5,13]]},"references-count":21,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2015,9]]}},"alternative-id":["10.1002\/fut.21684"],"URL":"https:\/\/doi.org\/10.1002\/fut.21684","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2014,5,13]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T15:44:45Z","timestamp":1761579885282},"reference-count":37,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6909,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,10]]},"DOI":"10.1002\/(sici)1096-9934(199610)16:7<829::aid-fut6>3.0.co;2-q","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:24:55Z","timestamp":1031700295000},"page":"829-857","source":"Crossref","is-referenced-by-count":6,"title":["Announcement versus nonannouncement: A study of intraday transaction price paths of Deutsche mark and Japanese yen futures"],"prefix":"10.1002","volume":"16","author":[{"given":"Hsiaohua","family":"Leng","sequence":"first","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB1","doi-asserted-by":"crossref","first-page":"533","DOI":"10.1111\/j.1540-6261.1987.tb04567.x","volume":"42","author":"Amihud","year":"1987","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB2","doi-asserted-by":"crossref","first-page":"451","DOI":"10.1016\/0165-1889(92)90045-G","volume":"16","author":"Brock","year":"1992","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB3","doi-asserted-by":"crossref","first-page":"225","DOI":"10.1002\/fut.3990090305","volume":"9","author":"Brosen","year":"1989","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB4","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1093\/rfs\/4.4.657","volume":"4","author":"Chan","year":"1991","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB5","doi-asserted-by":"crossref","first-page":"135","DOI":"10.2307\/1913889","volume":"41","author":"Clark","year":"1973","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB6","volume-title":"Futures Markets","author":"Duffie","year":"1989","unstructured":"(1989): Futures Markets. Englewood Cliffs, NJ: Prentice-Hall."},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB7","doi-asserted-by":"crossref","first-page":"1161","DOI":"10.1111\/j.1540-6261.1993.tb04750.x","volume":"48","author":"Ederington","year":"1993","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB8","doi-asserted-by":"crossref","first-page":"111","DOI":"10.1007\/BF02425192","volume":"1","author":"Ederington","year":"1994","journal-title":"Financial Engineering and the Japanese Markets"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB9","doi-asserted-by":"crossref","first-page":"117","DOI":"10.2307\/2331256","volume":"30","author":"Ederington","year":"1995","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB10","author":"Ferguson","year":"1993","unstructured":", and (1993): \u201cConcentrated Trading in the Foreign Exchange Futures Markets: Discretionary Liquidity Trading or Market Closure?\u201d Working Paper."},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB11","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1086\/296072","volume":"53","author":"Garman","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB12","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1016\/0304-405X(86)90044-9","volume":"16","author":"Harris","year":"1986","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB13","doi-asserted-by":"crossref","first-page":"127","DOI":"10.2307\/2330708","volume":"22","author":"Harris","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB14","doi-asserted-by":"crossref","first-page":"269","DOI":"10.2307\/2331067","volume":"23","author":"Jain","year":"1988","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB15","volume-title":"Understanding Futures Markets","author":"Kolb","year":"1991","unstructured":"(1991): Understanding Futures Markets, Miami, FL: Kolb Publishing Company."},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB16","doi-asserted-by":"crossref","first-page":"409","DOI":"10.1002\/fut.3990130407","volume":"13","author":"Kuserk","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB17","doi-asserted-by":"crossref","first-page":"543","DOI":"10.1016\/0261-5606(93)90039-E","volume":"12","author":"Laux","year":"1993","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB18","doi-asserted-by":"crossref","first-page":"345","DOI":"10.1093\/rfs\/6.2.345","volume":"6","author":"Lee","year":"1993","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB19","author":"Leng","year":"1992","unstructured":"(1992): \u201cThe Further Tests of the Martingale Hypothesis for Foreign Currency Futures,\u201d mimeo."},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB20","doi-asserted-by":"crossref","first-page":"591","DOI":"10.1111\/j.1540-6261.1990.tb03705.x","volume":"45","author":"Lockwood","year":"1990","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB21","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1002\/fut.3990120504","volume":"12","author":"Ma","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB22","doi-asserted-by":"crossref","first-page":"193","DOI":"10.1016\/0378-4266(91)90046-O","volume":"15","author":"McInish","year":"1992","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB23","doi-asserted-by":"crossref","first-page":"753","DOI":"10.1111\/j.1540-6261.1992.tb04408.x","volume":"47","author":"McInish","year":"1992","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB24","doi-asserted-by":"crossref","first-page":"631","DOI":"10.2307\/2297912","volume":"61","author":"Newey","year":"1994","journal-title":"Review of Economic Studies"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB25","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1086\/296071","volume":"53","author":"Parkinson","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB26","doi-asserted-by":"crossref","first-page":"101","DOI":"10.2307\/2331193","volume":"29","author":"Richardson","year":"1994","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB27","doi-asserted-by":"crossref","first-page":"1127","DOI":"10.1111\/j.1540-6261.1984.tb03897.x","volume":"39","author":"Roll","year":"1984","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB28","doi-asserted-by":"crossref","first-page":"937","DOI":"10.1111\/j.1540-6261.1984.tb03886.x","volume":"39","author":"Siber","year":"1984","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB29","doi-asserted-by":"crossref","first-page":"437","DOI":"10.1002\/fut.3990140406","volume":"14","author":"Smith","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB30","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1111\/j.1540-6261.1989.tb02407.x","volume":"44","author":"Stoll","year":"1989","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB31","doi-asserted-by":"crossref","first-page":"485","DOI":"10.2307\/1912002","volume":"51","author":"Tauchen","year":"1983","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB32","first-page":"110","volume":"7","author":"Thompson","year":"1988","journal-title":"Review of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB33","doi-asserted-by":"crossref","first-page":"837","DOI":"10.1002\/fut.3990140706","volume":"14","author":"Wang","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB34","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1002\/fut.3990140106","volume":"14","author":"Webb","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB35","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/1912934","volume":"48","author":"White","year":"1980","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB36","doi-asserted-by":"crossref","first-page":"723","DOI":"10.1111\/j.1540-6261.1985.tb04996.x","volume":"40","author":"Wood","year":"1985","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q-BIB37","author":"Working","year":"1954","unstructured":"(1954): \u201cPrice Effects of Scalping and Day Trading,\u201d Proceedings of The Chicago Board of Trade Annual Symposium, 114\u2013139."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199610)16:7%3C829::AID-FUT6%3E3.0.CO;2-Q","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199610)16:7%3C829::AID-FUT6%3E3.0.CO;2-Q","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:35:19Z","timestamp":1625132119000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199610)16:7<829::AID-FUT6>3.0.CO;2-Q"}},"issued":{"date-parts":[[1996,10]]},"references-count":37,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1996,10]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199610)16:7<829::aid-fut6>3.0.co;2-q","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,10]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T11:01:24Z","timestamp":1761562884095,"version":"3.37.3"},"reference-count":46,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2022,5,24]],"date-time":"2022-05-24T00:00:00Z","timestamp":1653350400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,8]]},"abstract":"Abstract<\/jats:title>We show that a positive risk premium from holding high\u2010beta stocks (vs. low\u2010beta stocks) and small\u2010cap stocks (vs. large\u2010cap stocks) is reliably earned only after the expected stock\u2010market volatility breaches a high threshold at about the 80th percentile. When exceeding this threshold at month , then sizable positive average returns from beta and size exposure are persistently evident over months to ; otherwise the premia are near zero. Conversely, we find no comparable threshold behavior for the Fama\u2013French HML, RMW, and CMA factors. Our investigation suggests several economic channels as likely contributors behind these threshold risk\u2010return findings.<\/jats:p>","DOI":"10.1002\/fut.22343","type":"journal-article","created":{"date-parts":[[2022,5,24]],"date-time":"2022-05-24T09:35:31Z","timestamp":1653384931000},"page":"1491-1517","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Beta and size equity premia following a high\u2010VIX threshold"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0437-5443","authenticated-orcid":false,"given":"Naresh","family":"Bansal","sequence":"first","affiliation":[{"name":"Richard A. Chaifetz School of Business Saint Louis University Saint Louis Missouri USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9283-4066","authenticated-orcid":false,"given":"Robert A.","family":"Connolly","sequence":"additional","affiliation":[{"name":"Warrington College of Business University of Florida Gainesville Florida USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9580-2182","authenticated-orcid":false,"given":"Chris","family":"Stivers","sequence":"additional","affiliation":[{"name":"College of Business University of Louisville Louisville Kentucky USA"}]}],"member":"311","published-online":{"date-parts":[[2022,5,24]]},"reference":[{"key":"e_1_2_10_2_1","unstructured":"Adrian T. andBoyarchenko N.(2015).Intermediary leverage cycles and financial stability. Staff Report 567 Federal Reserve Bank of New York."},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12776"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12189"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2008.12.002"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.02.005"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.05.006"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v67.n1.4"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht074"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.007"},{"key":"e_1_2_10_13_1","unstructured":"Barroso P. Detzel A. &Maio P.(2021).Managing the risk of the beta anomaly. Working Paper University of New South Wales University of Denver and Hanken School of Economics."},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn098"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/250059"},{"key":"e_1_2_10_17_1","unstructured":"Center for Research in Security Prices (CRSP). (2018).Daily stock file.http:\/\/www.crsp.org\/."},{"key":"e_1_2_10_18_1","unstructured":"Chicago Board Option Exchange. (2021).VIX historical values.https:\/\/www.cboe.com\/tradable_products\/vix\/vix_historical_data\/."},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018001606"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.10.010"},{"key":"e_1_2_10_22_1","unstructured":"Federal Reserve Economic Data (FRED). (2018).Bond yield data.https:\/\/fred.stlouisfed.org\/."},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00148"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.10.005"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.03.008"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.08.002"},{"key":"e_1_2_10_27_1","unstructured":"He Kelly and Manela. (2017).\u2018Intermediary Capital Ratio' Data.https:\/\/apps.olin.wustl.edu\/faculty\/manela\/data.html."},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdr036"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.2.732"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.06.006"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy104"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05201.x"},{"key":"e_1_2_10_33_1","unstructured":"Kenneth French Data Library. (2021).Historical factor portfolio return data.https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/data_library.html."},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13120"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.01.003"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12513"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg007"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw045"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs066"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_10_42_1","first-page":"624","article-title":"Liquidity risk and expected stock returns","volume":"103","author":"Pastor L.","year":"2003","journal-title":"Journal of Political Economy"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.04.005"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.235793"},{"key":"e_1_2_10_45_1","unstructured":"Souza T. d.O.(2018).Why conditional size premium tests?Working Paper University of Southern Denmark."},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.05.009"},{"key":"e_1_2_10_47_1","doi-asserted-by":"crossref","unstructured":"Vayanos D.(2004).Flight to quality flight to liquidity and the pricing of risk. Working Paper 10327 National Bureau of Economic Research.","DOI":"10.3386\/w10327"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22343","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22343","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22343","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T11:09:09Z","timestamp":1692875349000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22343"}},"issued":{"date-parts":[[2022,5,24]]},"references-count":46,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2022,8]]}},"alternative-id":["10.1002\/fut.22343"],"URL":"https:\/\/doi.org\/10.1002\/fut.22343","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,5,24]]},"assertion":[{"value":"2022-02-07","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-05-02","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-05-24","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:32:42Z","timestamp":1761561162073},"reference-count":36,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2007,5,31]],"date-time":"2007-05-31T00:00:00Z","timestamp":1180569600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,7]]},"abstract":"Abstract<\/jats:title>This study examines whether the aggregate order imbalance for index stocks can explain the arbitrage spread between index futures and the underlying cash index. The study covers the period of the Asian financial crisis and includes wide variations in order imbalance and the indexfutures basis. The analysis controls for realistic trading costs and actual dividend payments. The results indicate that the arbitrage spread is positively related to the aggregate order imbalance in the underlying index stocks; negative order\u2010imbalance has a stronger impact than positive order imbalance. Violations of the upper no\u2010arbitrage bound are related to positive order imbalance; of the lower no\u2010arbitrage bound to negative order imbalance. Asymmetric response times to negative and positive spreads can be attributed to the difficulty, cost, and risk of short stock arbitrage when the futures are below their no\u2010arbitrage value. The significant relationship between order imbalance and arbitrage spread confirms that index arbitrageurs are important providers of liquidity in the futures market when the stock market is in disequilibrium. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:697\u2013717, 2007<\/jats:p>","DOI":"10.1002\/fut.20264","type":"journal-article","created":{"date-parts":[[2007,5,31]],"date-time":"2007-05-31T22:16:25Z","timestamp":1180649785000},"page":"697-717","source":"Crossref","is-referenced-by-count":18,"title":["Order imbalance and the pricing of index futures"],"prefix":"10.1002","volume":"27","author":[{"given":"Joseph K.W.","family":"Fung","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,5,31]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100405"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02626.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.48.4.470.210"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(93)90006-Y"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05136.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00057-X"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05174.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330769"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10107"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"issue":"2","key":"e_1_2_1_14_1","doi-asserted-by":"crossref","first-page":"695","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H","article-title":"Index arbitrage opportunities and short sales constraints","volume":"10","author":"Fung J.K.W.","year":"1999","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-5957.00254"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296433"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02405.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.4.653"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2001.tb00020.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/41.1-2.133"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110405"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199812)18:8<903::AID-FUT2>3.0.CO;2-V"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/296582"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03997.x"},{"key":"e_1_2_1_26_1","volume-title":"Specification searches: Ad\u2010hoc inference with nonexperimental data","author":"Leamer E.E.","year":"1978"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950080103"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05149.x"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331359"},{"key":"e_1_2_1_32_1","doi-asserted-by":"crossref","unstructured":"Roll R. Schwartz E. &Subrahmanyam A.(2005).Liquidity and the law of one price: The case of the futures\/cash basis (working paper). Los Angeles: Anderson School University of California Los Angeles.","DOI":"10.2139\/ssrn.615721"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407871"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100603"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00026-3"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20264","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20264","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T04:35:25Z","timestamp":1700022925000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20264"}},"issued":{"date-parts":[[2007,5,31]]},"references-count":36,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2007,7]]}},"alternative-id":["10.1002\/fut.20264"],"URL":"https:\/\/doi.org\/10.1002\/fut.20264","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,5,31]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:12:41Z","timestamp":1762521161562},"reference-count":21,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6720,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,4]]},"abstract":"Abstract<\/jats:title>A cattle feedlot marketing simulation model was developed and used to evaluate the performance of various feedlot marketing strategies. The marketing analysis included corn, feeder cattle, and fed cattle integrated marketing alternatives. A variety of strategies were compared including hedging and put option purchasing as signaled via profit margins or price forecasts. The results indicate that cattle feeders could have historically increased profitability and decreased the variability of profits through selective marketing by using either profit margins or price forecasts to signal market positions as compared to cash marketing strategies. In addition, several strategies were found that stochastically dominated cash marketing.<\/jats:p>","DOI":"10.1002\/fut.3990080203","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:48:51Z","timestamp":1183628931000},"page":"141-156","source":"Crossref","is-referenced-by-count":13,"title":["Comparison of selective hedging and options strategies in cattle feedlot risk management"],"prefix":"10.1002","volume":"8","author":[{"given":"Ted C.","family":"Schroeder","sequence":"first","affiliation":[]},{"given":"Marvin L.","family":"Hayenga","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912176"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1744-7976.1982.tb01984.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349071"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_7_1","article-title":"Economic Analysis of Impacts on the Lender Risk of Selected Hedging Strategies","volume":"775","author":"Davis Melvin","year":"1985","journal-title":"Okla. St. Univ. Agr. Exp. Stn. Bull."},{"key":"e_1_2_1_8_1","first-page":"15","article-title":"Selective Hedging Strategies for Cattle Feeders","volume":"18","author":"Erickson Steven P.","year":"1978","journal-title":"Ill. Agr. Econ."},{"key":"e_1_2_1_9_1","unstructured":"\u201cEstimated Returns from Cattle Feeding in Iowa under Two Alternative Feeding Programs\u201d (1985 October): Iowa St. Univ. Cooperative Ext. Publ. M\u20101229 (Rev.)."},{"key":"e_1_2_1_10_1","unstructured":"Franzmann John R. andShields Mike E.(1982 October): \u201cManaging Feedlot Price Risks: Fed Cattle Feeder Cattle and Corn \u201d Okla. St. Univ. Agric. Exp. Stn. Bull.B\u2010759."},{"key":"e_1_2_1_11_1","first-page":"199","article-title":"Empirical Evaluation of Selected Hedging Strategies for Cattle Feeders","volume":"7","author":"Gorman William D.","year":"1982","journal-title":"Western J. Agr. Econ."},{"key":"e_1_2_1_12_1","first-page":"104","article-title":"Hedging on the Live Cattle Futures Contract","volume":"22","author":"Gum Russell","year":"1970","journal-title":"Agr. Econ. Res."},{"key":"e_1_2_1_13_1","first-page":"123","article-title":"Mean\u2010Variance Analysis of Alternative Hedging Strategies","volume":"4","author":"Holland David","year":"1972","journal-title":"S. J. Agr. Econ."},{"key":"e_1_2_1_14_1","unstructured":"Hudson M. A. Hauser R. J. andFortenbery T. R.(1985 May): \u201cCommodity Futures Versus Commodity Options: An Analysis of Price Risk Management Strategies for Commercial Cattle Feeders\u201d paper presented at the NCR\u2010134 conference on Applied Commodity Price Analysis Forecasting and Market Risk Management Chicago."},{"key":"e_1_2_1_15_1","volume-title":"Option Pricing","author":"Jarrow Robert A.","year":"1983"},{"key":"e_1_2_1_16_1","first-page":"56","volume-title":"International Futures Trading Seminar","author":"Leuthold Raymond M.","year":"1980"},{"key":"e_1_2_1_17_1","first-page":"1","article-title":"Valuing American Options on Commodity Futures Contracts","volume":"37","author":"Plato Gerald","year":"1985","journal-title":"Agr. Econ. Res."},{"key":"e_1_2_1_18_1","unstructured":"Pluhar Darwin M. Shafer Carl E. andSporleder Thomas L.(1985 February): \u201cHelmuth's Trading Technique: Further Evidence and Implications for Cattle Hedging Strategies 1975\u20131982 \u201d Texas A&M Univ. Dept. of Agr. Econ. Staff Paper 6."},{"key":"e_1_2_1_19_1","first-page":"85","article-title":"The Impact of Selected Hedging Strategies on the Cash Flow Position of Cattle Feeders","volume":"12","author":"Purcell W. D.","year":"1980","journal-title":"S. J. Agr. Econ."},{"key":"e_1_2_1_20_1","unstructured":"Russell James R. Ikerd John E. andDickey Matthew C.(1983 June): \u201cUsing Profit Objectives in a Hedging Program for High Plains Fed Cattle\u2010Opportunities Timing and Empirical Validation \u201d Okla. St. Univ. Dept. Agr. Econ. Working Paper A. E. 8354."},{"key":"e_1_2_1_21_1","first-page":"34","article-title":"Integrated Cattle Feeding Hedging Strategies, 1972\u20131976","volume":"10","author":"Shafer Carl E.","year":"1978","journal-title":"S. J. Agr. Econ."},{"key":"e_1_2_1_22_1","first-page":"31","article-title":"A Prehedging Strategy for the Feedlot Operation","volume":"6","author":"Spahr Ronald W.","year":"1981","journal-title":"W. J. Agr. Econ."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080203","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080203","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:47:22Z","timestamp":1697921242000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080203"}},"issued":{"date-parts":[[1988,4]]},"references-count":21,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1988,4]]}},"alternative-id":["10.1002\/fut.3990080203"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080203","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,4]]}},{"indexed":{"date-parts":[[2025,11,19]],"date-time":"2025-11-19T17:06:40Z","timestamp":1763572000224},"reference-count":19,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6172,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,10]]},"DOI":"10.1002\/fut.3990090504","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:46:24Z","timestamp":1183639584000},"page":"393-419","source":"Crossref","is-referenced-by-count":35,"title":["Forecasting efficiency of energy futures prices"],"prefix":"10.1002","volume":"9","author":[{"given":"Cindy W.","family":"Ma","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1109\/TAC.1974.1100705"},{"key":"e_1_2_1_3_1","volume-title":"Time Series Analysis: Forecasting and Control","author":"Box G. E. P.","year":"1976"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2287575"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(77)90022-8"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884543"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"},{"key":"e_1_2_1_9_1","first-page":"393","article-title":"On the Impossibility of Informational Efficient Markets","volume":"70","author":"Grossman S. J.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_1_10_1","volume-title":"Time Series Models","author":"Harvey A. C.","year":"1981"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(84)90027-5"},{"key":"e_1_2_1_12_1","first-page":"989","article-title":"Hedging and the Competitive Firm under Price Uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238343"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238755"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391384"},{"key":"e_1_2_1_16_1","unstructured":"Cindy W.Ma(1988): \u201cEnergy Futures: An Overview and Empirical Study \u201d Unpublished Ph.D. thesis Columbia University."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(83)90017-X"},{"key":"e_1_2_1_18_1","volume-title":"Exchange Rates and International Economics","author":"Meese R. A.","year":"1983"},{"key":"e_1_2_1_19_1","first-page":"902","article-title":"The prediction performance of the FRB\u2010MIT\u2010PENN model of the U.S. economy","volume":"62","author":"Nelson C. R.","year":"1972","journal-title":"American Economic Review"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924093"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090504","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090504","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:28:31Z","timestamp":1697992111000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090504"}},"issued":{"date-parts":[[1989,10]]},"references-count":19,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1989,10]]}},"alternative-id":["10.1002\/fut.3990090504"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090504","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,10]]}},{"indexed":{"date-parts":[[2025,11,22]],"date-time":"2025-11-22T10:58:27Z","timestamp":1763809107841},"reference-count":19,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2012,2,7]],"date-time":"2012-02-07T00:00:00Z","timestamp":1328572800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,1]]},"abstract":"Equity options have a significant influence on the price discovery process. This study presents unique evidence of substantial price clustering in individual equity options contracts. A particular contribution arises from investigating competing hypotheses on the roles of moneyness and maturity as determinants of option price clustering. We assert that options price clustering can be decomposed to price level, moneyness, and maturity effects. After controlling for other factors, price clustering has an inverse relation with time\u2010to\u2010maturity. This supports the negotiation hypothesis, but not the price resolution hypothesis. Price clustering also tends to be inversely related to moneyness. This effect is linked to the intrinsic value component of option price. Both the maturity and moneyness effects act in an opposite direction to what would be anticipated on the basis of price level alone; hence, these two effects are identified as additional influences on option price clustering. It is also found that the designated market maker scheme at NYSE E<\/jats:styled-content>uronext L<\/jats:styled-content>ondon I<\/jats:styled-content>nternational F<\/jats:styled-content>inancial F<\/jats:styled-content>utures E<\/jats:styled-content>xchange (LIFFE<\/jats:styled-content>) has little influence on trade price clustering. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:55\u201376, 2013<\/jats:p>","DOI":"10.1002\/fut.21547","type":"journal-article","created":{"date-parts":[[2012,2,7]],"date-time":"2012-02-07T14:54:18Z","timestamp":1328626458000},"page":"55-76","source":"Crossref","is-referenced-by-count":10,"title":["Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level"],"prefix":"10.1002","volume":"33","author":[{"given":"Owain ap","family":"Gwilym","sequence":"first","affiliation":[{"name":"Owain ap Gwilym is a Professor of Finance at the Bangor Business School, Bangor University, Bangor, United Kingdom"}]},{"given":"Thanos","family":"Verousis","sequence":"additional","affiliation":[{"name":"Thanos Verousis is a Lecturer of Finance at the Bangor Business School, Bangor University, Bangor, United Kingdom"}]}],"member":"311","published-online":{"date-parts":[[2012,2,7]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-538X(96)00016-9"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2005.12.002"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00054-5"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-4431(98)00045-6"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050105"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(94)90008-6"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100600949218"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20152"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04782.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20196"},{"key":"e_1_2_7_13_1","unstructured":"Goodhart C. &Curcio R.(1991).The clustering of bid\/ask prices and the spread in the foreign exchange market. Financial Market Group London School of Economics Discussion Paper 110."},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.389"},{"key":"e_1_2_7_15_1","volume-title":"Options, futures and other derivatives","author":"Hull J.","year":"2008"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2007.02051.x"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.08.005"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2005.07.017"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10129"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05152.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21547","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21547","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T09:49:45Z","timestamp":1698659385000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21547"}},"issued":{"date-parts":[[2012,2,7]]},"references-count":19,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2013,1]]}},"alternative-id":["10.1002\/fut.21547"],"URL":"https:\/\/doi.org\/10.1002\/fut.21547","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,2,7]]}},{"indexed":{"date-parts":[[2025,12,15]],"date-time":"2025-12-15T13:47:23Z","timestamp":1765806443748},"reference-count":30,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5844,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,9]]},"DOI":"10.1002\/(sici)1096-9934(199909)19:6<695::aid-fut4>3.0.co;2-h","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T19:31:01Z","timestamp":1100460661000},"page":"695-715","source":"Crossref","is-referenced-by-count":67,"title":["Mispricing of index futures contracts and short sales constraints"],"prefix":"10.1002","volume":"19","author":[{"given":"Joseph K. W.","family":"Fung","sequence":"first","affiliation":[]},{"given":"Paul","family":"Draper","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB1","doi-asserted-by":"crossref","first-page":"367","DOI":"10.1002\/fut.3990100405","volume":"10","author":"Bhatt","year":"1990","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB2","doi-asserted-by":"crossref","first-page":"7","DOI":"10.1086\/296491","volume":"63","author":"Brennan","year":"1990","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB3","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1016\/0304-405X(89)90063-9","volume":"23","author":"Brenner","year":"1989","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB4","doi-asserted-by":"crossref","first-page":"14","DOI":"10.2469\/faj.v46.n2.14","volume":"46","author":"Brenner","year":"1990","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB5","first-page":"687","volume":"14","author":"Brown","year":"1985","journal-title":"Journal of Financial Economics"},{"year":"1996","author":"Chance","key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB6","unstructured":"& (1996). Dividend uncertainty and the pricing of stock index options and futures. Working paper, FMA."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB7","doi-asserted-by":"crossref","first-page":"447","DOI":"10.1111\/j.1475-6803.1998.tb00697.x","volume":"21","author":"Cheng","year":"1998","journal-title":"Journal of Financial Research"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB8","doi-asserted-by":"crossref","first-page":"1791","DOI":"10.1111\/j.1540-6261.1991.tb04644.x","volume":"46","author":"Chung","year":"1991","journal-title":"Journal of Finance"},{"year":"1994","author":"Chung","key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB9","unstructured":"& (1994). Index futures arbitrage in Japan. Working paper."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB10","volume-title":"Statistical analysis: Applications to business and economics","author":"Hawkins","year":"1980","unstructured":"& (1980), Statistical analysis: Applications to business and economics. New York: Harper & Row."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB11","doi-asserted-by":"crossref","first-page":"675","DOI":"10.1111\/j.1540-6261.1983.tb02496.x","volume":"38","author":"Cornell","year":"1983","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB12","doi-asserted-by":"crossref","first-page":"797","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<797::AID-FUT4>3.0.CO;2-I","volume":"17","author":"Fung","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB13","doi-asserted-by":"crossref","first-page":"37","DOI":"10.3905\/jod.1997.407990","volume":"Winter","author":"Fung","year":"1997","journal-title":"The Journal of Derivatives"},{"year":"1997","author":"Fung","key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB14","unstructured":"& (1997b). A study of the futures-spot relationship of an exchange traded futures contract: A note. Working paper, Hong Kong Baptist University."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB15","doi-asserted-by":"crossref","first-page":"227","DOI":"10.1111\/1468-5957.00254","volume":"26","author":"Fung","year":"1999","journal-title":"Journal of Business Finance and Accounting"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB16","first-page":"413","volume":"11","author":"Ho","year":"1992","journal-title":"Review of Futures Markets"},{"year":"1998","author":"Kempf","key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB17","unstructured":"(1998). Short selling, unwinding, and mispricing. The Journal of Futures Markets, forthcoming."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB18","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1002\/fut.3990110304","volume":"11","author":"Klemkosky","year":"1991","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB19","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1002\/fut.3990120204","volume":"12","author":"Lim","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB20","doi-asserted-by":"crossref","first-page":"137","DOI":"10.1093\/rfs\/1.2.137","volume":"1","author":"MacKinlay","year":"1988","journal-title":"Review of Financial Studies"},{"year":"1996","author":"Mak","key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB21","unstructured":"& (1996). Will a narrower tick size increase market turnover? BRC working paper series on derivatives, Hong Kong Baptist University."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB22","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1002\/fut.3990030103","volume":"3","author":"Modest","year":"1983","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB23","doi-asserted-by":"crossref","first-page":"541","DOI":"10.2307\/2331359","volume":"31","author":"Neal","year":"1996","journal-title":"Journal of Financial and Qquantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB24","doi-asserted-by":"crossref","first-page":"15","DOI":"10.3905\/jod.1994.407895","author":"Pope","year":"1994","journal-title":"Journal of Derivatives"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB25","doi-asserted-by":"crossref","first-page":"304","DOI":"10.1016\/0377-2217(93)90187-R","volume":"68","author":"Puttonen","year":"1993","journal-title":"European Journal of Operational Research"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB26","doi-asserted-by":"crossref","first-page":"6","DOI":"10.3905\/jod.1993.407871","author":"Sofianos","year":"1993","journal-title":"The Journal of Derivatives"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB27","volume-title":"Exchange fact book","author":"Stock Exchange of Hong Kong","year":"1993","unstructured":"Stock Exchange of Hong Kong (1993, 1994, & 1995). Exchange fact book. Hong Kong: Stock Exchange of Hong Kong."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB28","volume-title":"Stock index futures: Theories and international evidence","author":"Sutcliffe","year":"1997","unstructured":"(1997). Stock index futures: Theories and international evidence (2nd ed.). USA: International Thomson Business Press."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB29","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1002\/fut.3990100603","volume":"10","author":"Yadav","year":"1990","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H-BIB30","doi-asserted-by":"crossref","first-page":"921","DOI":"10.1016\/0378-4266(94)00026-3","volume":"18","author":"Yadav","year":"1994","journal-title":"Journal of Banking and Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199909)19:6%3C695::AID-FUT4%3E3.0.CO;2-H","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199909)19:6%3C695::AID-FUT4%3E3.0.CO;2-H","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:08:14Z","timestamp":1625134094000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H"}},"issued":{"date-parts":[[1999,9]]},"references-count":30,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1999,9]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199909)19:6<695::aid-fut4>3.0.co;2-h","ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[1999,9]]}},{"indexed":{"date-parts":[[2025,12,11]],"date-time":"2025-12-11T07:34:04Z","timestamp":1765438444074,"version":"3.37.3"},"reference-count":36,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2016,8,19]],"date-time":"2016-08-19T00:00:00Z","timestamp":1471564800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,5]]},"abstract":"Beginning with VIX futures in 2004, followed by VIX options in 2006 and VIX ETPs in 2009, the daily open interest in volatility contracts is now in the tens of billions of dollars. Given this growth, it is important to develop a better understanding of price discovery and the supply\/demand dynamics in each market. Some of the price relations are linked by arbitrage. Others are not. In particular, the relation between the VIX cash index and the VIX futures is not arbitraged, and we show that, where once VIX changes led VIX futures price changes, the VIX futures now leads. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:431\u2013451, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21805","type":"journal-article","created":{"date-parts":[[2016,8,19]],"date-time":"2016-08-19T07:02:48Z","timestamp":1471590168000},"page":"431-451","source":"Crossref","is-referenced-by-count":50,"title":["Tail Wags Dog: Intraday Price Discovery in VIX Markets"],"prefix":"10.1002","volume":"37","author":[{"given":"Nicolas P.B.","family":"Bollen","sequence":"first","affiliation":[{"name":"Nicolas P.B. Bollen is Frank K. Houston Professor of Finance in Vanderbilt University Nashville, Tennessee"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2824-2883","authenticated-orcid":false,"given":"Michael J.","family":"O'Neill","sequence":"additional","affiliation":[{"name":"Michael J. O'Neill is Adjunct Associate Professor in Bond University Queensland, Australia"}]},{"given":"Robert E.","family":"Whaley","sequence":"additional","affiliation":[{"name":"Robert E. Whaley is Valere Blair Potter Professor of Finance and Director of the Financial Markets Research Center in Vanderbilt University Nashville, Tennessee"}]}],"member":"311","published-online":{"date-parts":[[2016,8,19]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"Barndorff\u2010NielsenO. E. &Shephard N. (2005). Measuring the impact of jumps in multivariate price processes using bipower covariation. Discussion paper Nueld College Oxford University."},{"key":"e_1_2_9_3_1","unstructured":"Bibinger M. Mykland &PerA.(2013). Inference for multi\u2010dimensional high\u2010frequency data: Equivalence of methods central limit theorems and an application to conditional independence testing.arXiv 1301.2074online athttp:\/\/arxiv.org\/pdf\/1301.2074.pdf."},{"key":"e_1_2_9_4_1","first-page":"177","article-title":"Studies of stock price volatility changes","author":"Black F","year":"1976","journal-title":"Proceedings of the Business and Economics Section of the American Statistical Association"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00169-7"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05136.x"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.05.001"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00056-1"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150403"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(01)00043-2"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00009-1"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(97)00058-2"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286325"},{"key":"e_1_2_9_15_1","article-title":"On the intraday relation between the VIX and its futures","author":"Frijns B.","year":"2015","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21715"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(00)00042-9"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1116340299"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.3150\/11-BEJ407"},{"key":"e_1_2_9_21_1","unstructured":"Hou K. Barberis N. &Chen X. (2007). Information diffusion and asymmetric cross\u2010autocorrelations in stock returns. Working paperhttp:\/\/citeseerx.ist.psu.edu\/viewdoc\/download?doi=10.1.1.8.6147&rep=rep1&."},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.01.003"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992483"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.2.175"},{"key":"e_1_2_9_26_1","unstructured":"Mason S.& Onur E. (2014). Volatility derivatives in practice: Activity and impact CFTC research report."},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-5957.00081"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2012.743671"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90041-1"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20506"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2010.08342"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407868"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2013.40.1.095"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20448"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21805","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21805","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21805","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,5]],"date-time":"2023-10-05T21:42:11Z","timestamp":1696542131000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21805"}},"issued":{"date-parts":[[2016,8,19]]},"references-count":36,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2017,5]]}},"alternative-id":["10.1002\/fut.21805"],"URL":"https:\/\/doi.org\/10.1002\/fut.21805","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2016,8,19]]}},{"indexed":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T15:49:30Z","timestamp":1765295370613,"version":"3.37.3"},"reference-count":54,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2023,4,5]],"date-time":"2023-04-05T00:00:00Z","timestamp":1680652800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,10]]},"abstract":"Abstract<\/jats:title>This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under\u2010 and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that after this adjustment framework is applied, the forecasting performance of various risk models generally improves, as verified by a battery of backtesting methods. Additionally, our method also lessens the risk model disagreement among post\u2010adjusted risk forecasts.<\/jats:p>","DOI":"10.1002\/fut.22412","type":"journal-article","created":{"date-parts":[[2023,4,5]],"date-time":"2023-04-05T15:34:26Z","timestamp":1680708866000},"page":"1332-1372","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Less disagreement, better forecasts: Adjusted risk measures in the energy futures market"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1896-6888","authenticated-orcid":false,"given":"Ning","family":"Zhang","sequence":"first","affiliation":[{"name":"Department of Finance, International Business School Suzhou Xi'an Jiaotong\u2010Liverpool University Suzhou China"}]},{"given":"Yujing","family":"Gong","sequence":"additional","affiliation":[{"name":"Systemic Risk Centre London School of Economics London UK"},{"name":"Accounting and Finance Group Management School, University of Liverpool Liverpool UK"}]},{"given":"Xiaohan","family":"Xue","sequence":"additional","affiliation":[{"name":"Finance Group, Norwich Business School University of East Anglia Norwich UK"}]}],"member":"311","published-online":{"date-parts":[[2023,4,5]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2014.10.032"},{"key":"e_1_2_12_5_1","unstructured":"Basel Committee on Banking Supervision. (2019).Minimum capital requirements for market risk.https:\/\/www.bis.org\/bcbs\/publ\/d457.pdf"},{"key":"e_1_2_12_6_1","unstructured":"Basel Committee on Banking Supervision. (2021).Revisions to market risk disclosure requirements.https:\/\/www.bis.org\/bcbs\/publ\/d529.pdf"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbaa013"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_12_10_1","first-page":"64","article-title":"The best of both worlds: a hybrid approach to calculating value at risk","volume":"11","author":"Boudoukh J.","year":"1998","journal-title":"Risk"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.1024151"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22017"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbm019"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527341"},{"volume-title":"Elements of financial risk management","year":"2012","author":"Christoffersen P. F.","key":"e_1_2_12_15_1"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2016.02.002"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pone.0260289"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-8551.12359"},{"key":"e_1_2_12_20_1","first-page":"93","article-title":"Regression percentiles using asymmetric squared error loss","volume":"1","author":"Efron B.","year":"1991","journal-title":"Statistica Sinica"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1201\/9780429246593"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.48550\/arXiv.1312.1645"},{"key":"e_1_2_12_23_1","unstructured":"Energy Futures Pricing Data(2021). Not publicly available; data set can be acquired by paying a data license fee at Bloomberg."},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000370"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07063"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2020.101753"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1214\/16-AOS1439"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22154"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_12_31_1","unstructured":"Hedegaard E.(2014).Causes and consequences of margin levels in futures markets.Arizona State University."},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22048"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12845"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1999.10473882"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.11.002"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407942"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.07.009"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.05.017"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbaa029"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(00)00012-8"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106248"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20224"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911031"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2015.08.003"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1214\/17-AOAS1041"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10693-014-0212-8"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105452"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.10.008"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.04.016"},{"key":"e_1_2_12_50_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22388"},{"key":"e_1_2_12_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20293"},{"key":"e_1_2_12_52_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbn001"},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2017.1281815"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2022.106519"},{"key":"e_1_2_12_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22118"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22412","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T17:36:51Z","timestamp":1693676211000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22412"}},"issued":{"date-parts":[[2023,4,5]]},"references-count":54,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2023,10]]}},"alternative-id":["10.1002\/fut.22412"],"URL":"https:\/\/doi.org\/10.1002\/fut.22412","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2023,4,5]]},"assertion":[{"value":"2022-12-13","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-03-05","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-04-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,25]],"date-time":"2026-02-25T06:29:16Z","timestamp":1772000956670,"version":"3.50.1"},"reference-count":47,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2002,11,21]],"date-time":"2002-11-21T00:00:00Z","timestamp":1037836800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,1]]},"abstract":"Abstract<\/jats:title>This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We\nfind that after controlling for market risk factors, speculators are contrarians, but respond positively to market\nsentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also\nfind that trades of speculators (hedgers) are positively (negatively) correlated with\nsubsequent abnormal returns; however, it does not appear that speculators possess superior forecasting power.\nTherefore, hedging pressure effects likely explain the negative relation between the performance of speculators and\nhedgers. The positive feedback trading by hedgers together with their negative performance suggests that hedgers\nhave a destabilizing impact on futures prices. \u00a9 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1\u201331,\n2003<\/jats:p>","DOI":"10.1002\/fut.10056","type":"journal-article","created":{"date-parts":[[2002,11,25]],"date-time":"2002-11-25T13:59:48Z","timestamp":1038232788000},"page":"1-31","source":"Crossref","is-referenced-by-count":89,"title":["The behavior and performance of major types of futures traders"],"prefix":"10.1002","volume":"23","author":[{"given":"Changyun","family":"Wang","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,11,21]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676192"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90017-R"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1244432"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_8_1","first-page":"19","article-title":"Futures funds and price volatility","volume":"61","author":"Brorsen B. W.","year":"1987","journal-title":"Review of Futures Market"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04944.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(97)00007-1"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/338706"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/296392"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90095-0"},{"key":"e_1_2_1_16_1","first-page":"999","article-title":"Market liquidity, hedging, and crashes","volume":"80","author":"Gennotte G.","year":"1990","journal-title":"American Economic Review"},{"key":"e_1_2_1_17_1","volume-title":"Commodity fund activity and the world cocoa market","author":"Gilbert C. L.","year":"1994"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00878-1"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00044-6"},{"key":"e_1_2_1_20_1","first-page":"1088","article-title":"Momentum investment strategies, portfolio performance, and herding: A study of mutual fund\nbehavior","volume":"85","author":"Grinblatt M.","year":"1995","journal-title":"American Economic Review"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/296433"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/261418"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/261516"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/296525"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938209"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00184"},{"key":"e_1_2_1_28_1","volume-title":"Options, futures, and other derivatives","author":"Hull J. C.","year":"2000"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/joi.1998.408450"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04702.x"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90023-Q"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1086\/296641"},{"key":"e_1_2_1_35_1","article-title":"Dynamic volumereturn relation of individual stocks","author":"Llorente G.","journal-title":"Journal of Finance"},{"key":"e_1_2_1_36_1","article-title":"Portfolio choices and equity characteristics: Characterizing the hedging demands induced return\npredictability","author":"Lynch A. W.","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913811"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04565.x"},{"key":"e_1_2_1_39_1","unstructured":"Mitchell D. O. &Gilbert C.(1997).Do hedge funds and commodity funds affect commodity prices?DECnote World Bank."},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00188"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00072"},{"key":"e_1_2_1_42_1","doi-asserted-by":"crossref","first-page":"287","DOI":"10.1111\/j.1540-6261.1985.tb05002.x","article-title":"The disposition to sell winners too early and ride losers too long: Theory and evidence","volume":"40","author":"Shefrin H.","year":"1985","journal-title":"Journal of Finance"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.2307\/2534436"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.2.307"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1086\/261508"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2003"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1086\/261924"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10056","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10056","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T23:56:00Z","timestamp":1700265360000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10056"}},"issued":{"date-parts":[[2002,11,21]]},"references-count":47,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2003,1]]}},"alternative-id":["10.1002\/fut.10056"],"URL":"https:\/\/doi.org\/10.1002\/fut.10056","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,11,21]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T20:09:18Z","timestamp":1771013358781,"version":"3.50.1"},"reference-count":96,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2001,3,12]],"date-time":"2001-03-12T00:00:00Z","timestamp":984355200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,5]]},"abstract":"Abstract<\/jats:title>The contemporary press frequently makes mention of, and identifies significance with, specific numerical values in financial markets. This focus has been suggested to result in clustering. Furthermore, these symbolic numbers are often referred to as psychological barriers<\/jats:italic>. These effects are identified as a widespread phenomenon permeating into the economic decision making and financial market environments. This article outlines various arguments and rationale from the cultural, economic, and behavioral literature why clustering and other effects such as psychological barriers may be expected in financial markets. Evidence across a variety of literatures suggests that financial market clustering derives from a variety of sources. There is evidence from a cultural and conventional basis to suggest that number preference exists and that there is a natural tendency to round that derives from the development of the modern decimal system. The literature also provides valid behavioral and economic reasons as to why these effects may occur. However, no evidence is found to support the notion that clustering or barriers in financial markets would occur as a result of a natural order or as a product of the number progression or simply from the numbers themselves. \u00a9 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:395\u2013428, 2001<\/jats:p>","DOI":"10.1002\/fut.2","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T21:47:48Z","timestamp":1030312068000},"page":"395-428","source":"Crossref","is-referenced-by-count":92,"title":["Clustering and psychological barriers: the importance of numbers"],"prefix":"10.1002","volume":"21","author":[{"given":"Jason","family":"Mitchell","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,3,12]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-538X(96)00016-9"},{"key":"e_1_2_1_3_1","first-page":"81","article-title":"Charting courses\u2014The golden ratio","author":"Armstrong M.","year":"1991","journal-title":"Personal Investment"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(92)90112-C"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050105"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0030-5073(74)90057-9"},{"key":"e_1_2_1_7_1","volume-title":"Numerology","author":"Bell E. T.","year":"1933"},{"key":"e_1_2_1_8_1","first-page":"551","article-title":"The law of anomalous numbers","volume":"78","author":"Benford F.","year":"1938","journal-title":"Proceedings of the American Philosophical Society"},{"key":"e_1_2_1_9_1","volume-title":"The origins of the number concept","author":"Brainerd C. J.","year":"1979"},{"key":"e_1_2_1_10_1","unstructured":"Buckland C.(1994).An investigation of the prevalence of price clustering on the Australian stock exchange. Unpublished BCom Honours Dissertation Department of Accounting and Finance University of Western Australia."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0001-6918(88)90054-6"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/00223980.1952.9916108"},{"key":"e_1_2_1_13_1","first-page":"35","article-title":"Terminal digit preference in the reading of auto analyser charts","volume":"29","author":"Corns C. M.","year":"1972","journal-title":"Medical Laboratory Technology"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2344381"},{"key":"e_1_2_1_15_1","volume-title":"When support\/resistance levels are broken, can profits be made?: Evidence from the foreign exchange market (Discussion Paper No. 142)","author":"Curcio R.","year":"1992"},{"key":"e_1_2_1_16_1","first-page":"87","article-title":"Psychological barriers in the foreign exchange market","volume":"1","author":"De Grauwe P.","year":"1992","journal-title":"Journal of International and Comparative Economics"},{"key":"e_1_2_1_17_1","volume-title":"International evidence on psychological barriers in asset prices and the efficient market hypothesis (Princeton University Financial Research Center Memorandum No. 116)","author":"Donaldson R. G.","year":"1990"},{"key":"e_1_2_1_18_1","unstructured":"Donaldson R. G. &Kim H. Y.(1991).Pricing barriers in the Dow\u2010Jones industrial average. Unpublished manuscript Woodrow Wilson School Princeton University Princeton NJ."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331416"},{"key":"e_1_2_1_20_1","volume-title":"The nature of numbers","author":"Dubisch R.","year":"1952"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1037\/0096-1523.10.1.40"},{"key":"e_1_2_1_22_1","volume-title":"Fibonacci applications and strategies for traders\u2014Unveiling the secret of the logarithmic spiral","author":"Fischer R.","year":"1993"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-349-20177-8_4"},{"key":"e_1_2_1_24_1","volume-title":"The truth of the stock tape","author":"Gann W. D.","year":"1930"},{"key":"e_1_2_1_25_1","volume-title":"The clustering of bid\/ask prices and the spread in the foreign exchange market (Discussion Paper No. 110)","author":"Goodhart C. A. E.","year":"1991"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1038\/154800a0"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/467365"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00054-5"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-4431(98)00045-6"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-5957.00216"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.389"},{"issue":"5","key":"e_1_2_1_32_1","first-page":"76","article-title":"Recent research in behavioral finance","volume":"3","author":"Heisler J.","year":"1994","journal-title":"Financial Markets, Institutions and Instruments"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2160815"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2974952"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.3758\/BF03202644"},{"issue":"2","key":"e_1_2_1_36_1","doi-asserted-by":"crossref","first-page":"145","DOI":"10.1177\/147078539403600207","article-title":"The influence of prototypic values on the validity of studies using time estimates","volume":"36","author":"Hornik J.","year":"1994","journal-title":"Journal of the Market Research Society"},{"issue":"4","key":"e_1_2_1_37_1","doi-asserted-by":"crossref","first-page":"310","DOI":"10.1080\/00222216.1989.11969807","article-title":"\u201cResponse peaks\u201d as a component of measurement error: Assessment implications for self\u2010reported data in leisure research","volume":"21","author":"Hultsman W. Z.","year":"1989","journal-title":"Journal of Leisure Research"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511809477"},{"issue":"3","key":"e_1_2_1_39_1","first-page":"73","article-title":"Histograms and measurement errors","volume":"31","author":"Keen J.","year":"1966","journal-title":"Quarterly Engineer"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(94)90116-3"},{"key":"e_1_2_1_41_1","volume-title":"Textbook of quantitative inorganic analysis","author":"Kolthoff I. M.","year":"1943"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.3758\/BF03198374"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.3758\/BF03198431"},{"key":"e_1_2_1_44_1","doi-asserted-by":"crossref","unstructured":"Levich R. M. &Thomas L. R.(1991).The significance of technical trading\u2010rule profits in the foreign exchange markets a bootstrap approach (National Bureau of Economic Research Working Paper 3818).","DOI":"10.3386\/w3818"},{"key":"e_1_2_1_45_1","unstructured":"Ley E.(1994).On the peculiar distribution of the U.S. stock indices\u2019 digits. Unpublished manuscript Resources for the Future."},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1080\/758526902"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00129167"},{"key":"e_1_2_1_48_1","volume-title":"Report census of England and Wales 1911","author":"Mallet B.","year":"1913"},{"key":"e_1_2_1_49_1","volume-title":"Financial instruments and markets in Australia","author":"McGrath M.","year":"1994"},{"key":"e_1_2_1_50_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01079211"},{"key":"e_1_2_1_51_1","doi-asserted-by":"publisher","DOI":"10.1037\/h0062702"},{"key":"e_1_2_1_52_1","unstructured":"Mitchell J. D.(1998).Clustering and psychological barriers in Australian dollar exchange rates. Unpublished doctoral thesis University of Western Australia."},{"key":"e_1_2_1_53_1","doi-asserted-by":"publisher","DOI":"10.2307\/1193260"},{"key":"e_1_2_1_54_1","doi-asserted-by":"publisher","DOI":"10.2307\/2369148"},{"key":"e_1_2_1_55_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.13.2.258"},{"key":"e_1_2_1_56_1","doi-asserted-by":"publisher","DOI":"10.1086\/294854"},{"key":"e_1_2_1_57_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1966.10482183"},{"key":"e_1_2_1_58_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.10.3.345"},{"key":"e_1_2_1_59_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911890"},{"key":"e_1_2_1_60_1","doi-asserted-by":"publisher","DOI":"10.1086\/296368"},{"key":"e_1_2_1_61_1","volume-title":"The psychology of judgement and decision making","author":"Plous S.","year":"1993"},{"key":"e_1_2_1_62_1","doi-asserted-by":"publisher","DOI":"10.2307\/2987702"},{"key":"e_1_2_1_63_1","doi-asserted-by":"publisher","DOI":"10.1038\/scientificamerican1269-109"},{"key":"e_1_2_1_64_1","doi-asserted-by":"publisher","DOI":"10.2307\/2319349"},{"key":"e_1_2_1_65_1","article-title":"The estimation of tenths","author":"Richards F. S.","year":"1925","journal-title":"Cairo Scientific Journal"},{"key":"e_1_2_1_66_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04591.x"},{"key":"e_1_2_1_67_1","doi-asserted-by":"publisher","DOI":"10.2307\/2343384"},{"key":"e_1_2_1_68_1","volume-title":"Decision traps","author":"Russo J. E.","year":"1989"},{"key":"e_1_2_1_69_1","volume-title":"The strategy of conflict","author":"Schelling T. C.","year":"1960"},{"key":"e_1_2_1_70_1","volume-title":"The mystery of numbers","author":"Schimmel A.","year":"1993"},{"key":"e_1_2_1_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/0010-0285(75)90006-7"},{"key":"e_1_2_1_72_1","first-page":"56","volume-title":"Knights, raiders and targets","author":"Shiller R. J.","year":"1988"},{"key":"e_1_2_1_73_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884852"},{"key":"e_1_2_1_74_1","first-page":"36","article-title":"How Fibonacci can forecast stock market resistance levels","author":"Slezak G.","year":"1989","journal-title":"Futures"},{"key":"e_1_2_1_75_1","doi-asserted-by":"publisher","DOI":"10.1080\/19485565.1966.9987668"},{"key":"e_1_2_1_76_1","doi-asserted-by":"publisher","DOI":"10.1037\/0096-1523.13.1.89"},{"key":"e_1_2_1_77_1","doi-asserted-by":"publisher","DOI":"10.2307\/2235016"},{"key":"e_1_2_1_78_1","doi-asserted-by":"publisher","DOI":"10.2466\/pms.1995.80.3.819"},{"key":"e_1_2_1_79_1","doi-asserted-by":"publisher","DOI":"10.1080\/01490409309513202"},{"key":"e_1_2_1_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2681(80)90051-7"},{"key":"e_1_2_1_81_1","doi-asserted-by":"publisher","DOI":"10.1287\/mksc.4.3.199"},{"key":"e_1_2_1_82_1","doi-asserted-by":"publisher","DOI":"10.1086\/296366"},{"key":"e_1_2_1_83_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511528316.004"},{"key":"e_1_2_1_84_1","volume-title":"Quasi\u2010rational economics","author":"Thaler R.","year":"1991"},{"key":"e_1_2_1_85_1","volume-title":"The winners\u2019 curse: Paradoxes and anomalies of recent life","author":"Thaler R.","year":"1992"},{"key":"e_1_2_1_86_1","volume-title":"Advances in behavioral finance","author":"Thaler R.","year":"1993"},{"key":"e_1_2_1_87_1","doi-asserted-by":"crossref","first-page":"541","DOI":"10.1177\/001872088102300504","article-title":"An evaluation of alphanumeric, graphic and color information displays","volume":"23","author":"Tullis T. S.","year":"1981","journal-title":"Human Factors"},{"key":"e_1_2_1_88_1","doi-asserted-by":"publisher","DOI":"10.1177\/001872088302500604"},{"key":"e_1_2_1_89_1","volume-title":"The psychology of finance","author":"Tvede L.","year":"1990"},{"key":"e_1_2_1_90_1","doi-asserted-by":"publisher","DOI":"10.1016\/0010-0285(73)90033-9"},{"key":"e_1_2_1_91_1","doi-asserted-by":"publisher","DOI":"10.1126\/science.185.4157.1124"},{"issue":"2","key":"e_1_2_1_92_1","doi-asserted-by":"crossref","first-page":"S251","DOI":"10.1086\/296365","article-title":"Rational choice and the framing of decisions","volume":"59","author":"Tversky A.","year":"1986","journal-title":"Journal of Business"},{"key":"e_1_2_1_93_1","volume-title":"Fibonacci and Lucas numbers, and the Golden Section: Theory and applications","author":"Vajda S.","year":"1989"},{"key":"e_1_2_1_94_1","first-page":"3","article-title":"Fatal attractions for money managers","author":"Wood A. S.","year":"1989","journal-title":"Financial Analysts Journal"},{"key":"e_1_2_1_95_1","volume-title":"The psychology of stock market timing","author":"Wyckoff P.","year":"1963"},{"key":"e_1_2_1_96_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2397-2335.1927.tb01992.x"},{"key":"e_1_2_1_97_1","volume-title":"Dr. Z\u2019s 6\/49 lotto guidebook","author":"Ziemba W. T.","year":"1986"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T11:42:58Z","timestamp":1694605378000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2"}},"issued":{"date-parts":[[2001,3,12]]},"references-count":96,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2001,5]]}},"alternative-id":["10.1002\/fut.2"],"URL":"https:\/\/doi.org\/10.1002\/fut.2","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,3,12]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T14:56:57Z","timestamp":1770994617919,"version":"3.50.1"},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6240,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,8]]},"DOI":"10.1002\/(sici)1096-9934(199808)18:5<581::aid-fut5>3.0.co;2-1","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"581-598","source":"Crossref","is-referenced-by-count":29,"title":["Seasonality in petroleum futures spreads"],"prefix":"10.1002","volume":"18","author":[{"given":"Paul Berhanu","family":"Girma","sequence":"first","affiliation":[]},{"given":"Albert S.","family":"Paulson","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199808)18:5%3C581::AID-FUT5%3E3.0.CO;2-1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199808)18:5%3C581::AID-FUT5%3E3.0.CO;2-1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:35:04Z","timestamp":1625135704000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199808)18:5<581::AID-FUT5>3.0.CO;2-1"}},"issued":{"date-parts":[[1998,8]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1998,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199808)18:5<581::aid-fut5>3.0.co;2-1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,8]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T21:26:55Z","timestamp":1771018015214,"version":"3.50.1"},"reference-count":22,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6414,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,2]]},"DOI":"10.1002\/fut.3990090102","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T11:18:26Z","timestamp":1183634306000},"page":"1-13","source":"Crossref","is-referenced-by-count":62,"title":["A theory of negative prices for storage"],"prefix":"10.1002","volume":"9","author":[{"given":"Brian D.","family":"Wright","sequence":"first","affiliation":[]},{"given":"Jeffrey C.","family":"Williams","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296011"},{"key":"e_1_2_1_3_1","first-page":"50","article-title":"The Supply of Storage","volume":"47","author":"Brennan Michael J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_1_4_1","first-page":"65","article-title":"Speculation and Hedging","volume":"7","author":"Cootner Paul H.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967406"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020105"},{"key":"e_1_2_1_7_1","first-page":"89","article-title":"The Chicago Wheat Futures Market: Recent Problems in Historical Perspective","volume":"18","author":"Gray Roger W.","year":"1981","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_1_9_1","first-page":"125","article-title":"Implications of Private Storage of Grains for Buffer Stock Schemes to Stabilize Prices","volume":"16","author":"Peck Anne E.","year":"1978","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238354"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297674"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070406"},{"key":"e_1_2_1_13_1","first-page":"225","volume-title":"Research in Finance","author":"Stein Jerome L.","year":"1979"},{"key":"e_1_2_1_14_1","volume-title":"The Economics of Futures Markets","author":"Stein Jerome L.","year":"1986"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060404"},{"key":"e_1_2_1_17_1","first-page":"432","volume-title":"The Economics of Cocoa Production and Marketing","author":"Weymar F. Helmut","year":"1974"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511571848"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232420"},{"key":"e_1_2_1_21_1","first-page":"1254","article-title":"The Theory of Price of Storage","volume":"39","author":"Working Holbrook","year":"1949","journal-title":"American Economic Review"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003458"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240923"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090102","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090102","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:07:31Z","timestamp":1697980051000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090102"}},"issued":{"date-parts":[[1989,2]]},"references-count":22,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1989,2]]}},"alternative-id":["10.1002\/fut.3990090102"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090102","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,2]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T19:13:58Z","timestamp":1771010038034,"version":"3.50.1"},"reference-count":24,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5262,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,4]]},"DOI":"10.1002\/fut.3990120205","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:05:35Z","timestamp":1183662335000},"page":"163-175","source":"Crossref","is-referenced-by-count":59,"title":["Hedge period length and Ex\u2010ante futures hedging effectiveness: The case of foreign\u2010exchange risk cross hedges"],"prefix":"10.1002","volume":"12","author":[{"given":"Bruce A.","family":"Benet","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02180.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100307"},{"key":"e_1_2_1_5_1","article-title":"Reduction of Exchange Rate Exposure via Hedge Ratio Adjustment","volume":"9","author":"Benet B. A.","year":"1992","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070505"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010107"},{"key":"e_1_2_1_8_1","first-page":"124","article-title":"Cross\u2010Hedging Foreign Currency Risk","volume":"4","author":"Eaker M. R.","year":"1987","journal-title":"Journal of International Money and Finance"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090103"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030305"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010408"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070404"},{"key":"e_1_2_1_16_1","unstructured":"Levy H.(1991): \u201cAcross Assets Versus across Time Diversification as a Function of the Investment Holding Period\u201d unpublished working paper."},{"key":"e_1_2_1_17_1","volume-title":"Portfolio and Investment Selection: Theory and Practice","author":"Levy H.","year":"1984"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110303"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110106"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1952.tb01525.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060108"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020203"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070602"},{"key":"e_1_2_1_24_1","first-page":"1012","article-title":"The Simultaneous Determination of Spot and Futures Prices","volume":"5","author":"Stein J.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_25_1","first-page":"314","article-title":"Futures Trading and Hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120205","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120205","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,28]],"date-time":"2023-09-28T03:30:27Z","timestamp":1695871827000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120205"}},"issued":{"date-parts":[[1992,4]]},"references-count":24,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1992,4]]}},"alternative-id":["10.1002\/fut.3990120205"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120205","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,4]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T17:36:43Z","timestamp":1771004203406,"version":"3.50.1"},"reference-count":62,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6056,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,2]]},"DOI":"10.1002\/(sici)1096-9934(199902)19:1<31::aid-fut2>3.0.co;2-h","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T19:29:41Z","timestamp":1100460581000},"page":"31-58","source":"Crossref","is-referenced-by-count":30,"title":["Market microstructure of FT-SE 100 index futures: An intraday empirical analysis"],"prefix":"10.1002","volume":"19","author":[{"given":"Yiuman","family":"Tse","sequence":"first","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1093\/rfs\/1.1.3","volume":"1","author":"Admati","year":"1988","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB2","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/0304-405X(80)90020-3","volume":"8","author":"Amihud","year":"1980","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB3","doi-asserted-by":"crossref","first-page":"1765","DOI":"10.1111\/j.1540-6261.1991.tb04643.x","volume":"46","author":"Amihud","year":"1991","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB4","doi-asserted-by":"crossref","first-page":"341","DOI":"10.1111\/j.1540-6261.1997.tb03819.x","volume":"52","author":"Battalio","year":"1997","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB5","doi-asserted-by":"crossref","first-page":"225","DOI":"10.2307\/2331174","volume":"32","author":"Battalio","year":"1997","journal-title":"Journal of Financial Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB6","doi-asserted-by":"crossref","first-page":"763","DOI":"10.1016\/0261-5606(95)00037-2","volume":"14","author":"Becker","year":"1995","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB7","doi-asserted-by":"crossref","first-page":"451","DOI":"10.1016\/0165-1889(92)90045-G","volume":"16","author":"Brock","year":"1992","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB8","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1111\/j.1540-6261.1997.tb03816.x","volume":"52","author":"Brown","year":"1997","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB9","doi-asserted-by":"crossref","first-page":"225","DOI":"10.1002\/fut.3990090305","volume":"3","author":"Brorsen","year":"1989","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB10","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB11","doi-asserted-by":"crossref","first-page":"329","DOI":"10.2307\/2331344","volume":"30","author":"Chan","year":"1995","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB12","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1086\/296652","volume":"68","author":"Chan","year":"1995","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB13","doi-asserted-by":"crossref","first-page":"133","DOI":"10.2307\/2330769","volume":"24","author":"Connolly","year":"1989","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB14","doi-asserted-by":"crossref","first-page":"1457","DOI":"10.1111\/j.1540-6261.1983.tb03834.x","volume":"38","author":"Copeland","year":"1983","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB15","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2307\/1882244","volume":"82","author":"Demsetz","year":"1968","journal-title":"Quarterly Journal of Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB16","doi-asserted-by":"crossref","first-page":"117","DOI":"10.2307\/2331256","volume":"30","author":"Ederington","year":"1995","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB17","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4419-8746-4","volume-title":"Advanced Econometric Methods","author":"Fomby","year":"1984","unstructured":"& (1984). Advanced Econometric Methods, New York: Springer-Verlag."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB18","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1111\/j.1540-6261.1993.tb04706.x","volume":"48","author":"Foster","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB19","doi-asserted-by":"crossref","first-page":"381","DOI":"10.2307\/2331107","volume":"29","author":"Foster","year":"1994","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB20","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1086\/296072","volume":"53","author":"Garman","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB21","doi-asserted-by":"crossref","first-page":"1765","DOI":"10.1111\/j.1540-6261.1992.tb04682.x","volume":"47","author":"Gerety","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB22","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1016\/0304-405X(85)90044-3","volume":"14","author":"Glosten","year":"1985","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB23","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1086\/296591","volume":"66","author":"Gordon","year":"1993","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB24","volume-title":"Econometric Analysis","author":"Greene","year":"1997","unstructured":"(1997). Econometric Analysis (third edition), New Jersey: Prentice Hall."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB25","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1002\/fut.3990060112","volume":"6","author":"Grossman","year":"1986","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB26","doi-asserted-by":"crossref","first-page":"617","DOI":"10.1111\/j.1540-6261.1988.tb04594.x","volume":"43","author":"Grossman","year":"1988","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB27","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1016\/S0304-405X(97)00013-5","volume":"45","author":"Harris","year":"1997","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB28","doi-asserted-by":"crossref","first-page":"179","DOI":"10.1111\/j.1540-6261.1991.tb03749.x","volume":"46","author":"Hasbrouck","year":"1991","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB29","doi-asserted-by":"crossref","first-page":"1565","DOI":"10.1111\/j.1540-6261.1993.tb05121.x","volume":"48","author":"Hasbrouck","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB30","doi-asserted-by":"crossref","first-page":"1251","DOI":"10.2307\/1913827","volume":"46","author":"Hausman","year":"1978","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB31","doi-asserted-by":"crossref","first-page":"47","DOI":"10.1016\/0304-405X(81)90020-9","volume":"9","author":"Ho","year":"1981","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB32","volume-title":"Understanding Futures Markets","author":"Kolb","year":"1997","unstructured":"(1997). Understanding Futures Markets, (fifth edition), Miami: Kolb Publishing."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB33","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1016\/S0261-5606(97)00004-1","volume":"16","author":"Kofman","year":"1997","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB34","author":"Kleidon","year":"1995","unstructured":"& (1995). Effects of Geography and Stock-Market Structure: A Comparison of Cross-Listed Securities. Working Paper No. 1348, Graduate School of Business, Stanford University."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB35","doi-asserted-by":"crossref","first-page":"409","DOI":"10.1002\/fut.3990130407","volume":"4","author":"Kuserk","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB36","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","volume":"53","author":"Kyle","year":"1985","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB37","doi-asserted-by":"crossref","first-page":"621","DOI":"10.1002\/fut.3990120603","volume":"12","author":"Laux","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB38","doi-asserted-by":"crossref","first-page":"345","DOI":"10.1093\/rfs\/6.2.345","volume":"6","author":"Lee","year":"1993","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB39","doi-asserted-by":"crossref","first-page":"229","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<229::AID-FUT5>3.0.CO;2-L","volume":"17","author":"Locke","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB40","doi-asserted-by":"crossref","first-page":"607","DOI":"10.1111\/j.1540-6261.1992.tb04403.x","volume":"47","author":"Madhavan","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB41","doi-asserted-by":"crossref","first-page":"1595","DOI":"10.1111\/j.1540-6261.1993.tb05122.x","volume":"48","author":"Madhavan","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB42","author":"Manaster","year":"1995","unstructured":"& (1995). Sources of Market Making Profit: Man Cannot live by Spread Alone. Working paper, University of Utah."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB43","doi-asserted-by":"crossref","first-page":"953","DOI":"10.1093\/rfs\/9.3.953","volume":"9","author":"Manaster","year":"1996","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB44","doi-asserted-by":"crossref","first-page":"753","DOI":"10.1111\/j.1540-6261.1992.tb04408.x","volume":"47","author":"McInish","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB45","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1007\/BF00122876","volume":"4","author":"Miller","year":"1990","journal-title":"Journal of Financial Services Research"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB46","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB47","doi-asserted-by":"crossref","first-page":"631","DOI":"10.2307\/2297912","volume":"61","author":"Newey","year":"1993","journal-title":"Review of Economic Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB48","volume-title":"Market Microstructure Theory","author":"O'Hara","year":"1995","unstructured":"(1995). Market Microstructure Theory, Cambridge, Massachusetts: Blackwell."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB49","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1086\/296071","volume":"53","author":"Parkinson","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB50","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1093\/rfs\/3.1.77","volume":"45","author":"Schwert","year":"1990","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB51","doi-asserted-by":"crossref","first-page":"937","DOI":"10.1111\/j.1540-6261.1984.tb03886.x","volume":"39","author":"Silber","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB52","doi-asserted-by":"crossref","first-page":"437","DOI":"10.1002\/fut.3990140406","volume":"14","author":"Smith","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB53","doi-asserted-by":"crossref","first-page":"1133","DOI":"10.1111\/j.1540-6261.1978.tb02053.x","volume":"22","author":"Stoll","year":"1978","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB54","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1007\/BF01046119","volume":"6","author":"Stoll","year":"1992","journal-title":"Journal of Financial Services Research"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB55","first-page":"17","volume":"4","author":"Stoll","year":"1990","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB56","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1093\/rfs\/4.1.17","volume":"4","author":"Subrahmanyam","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB57","doi-asserted-by":"crossref","first-page":"129","DOI":"10.1002\/(SICI)1096-9934(199804)18:2<129::AID-FUT1>3.0.CO;2-K","volume":"18","author":"Tse","year":"1998","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB58","doi-asserted-by":"crossref","first-page":"619","DOI":"10.1093\/rfs\/9.2.619","volume":"9","author":"Werner","year":"1996","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB59","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/1912934","volume":"28","author":"White","year":"1980","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB60","doi-asserted-by":"crossref","first-page":"723","DOI":"10.1111\/j.1540-6261.1985.tb04996.x","volume":"40","author":"Wood","year":"1985","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB61","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1177\/002224295401900101","volume":"19","author":"Working","year":"1954","journal-title":"Journal of Marketing"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H-BIB62","author":"Working","year":"1967","unstructured":"(1967). Tests of a Theory Concerning Floor Trading on Commodity Exchanges. Food Research Institute Studies: Supplement."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199902)19:1%3C31::AID-FUT2%3E3.0.CO;2-H","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199902)19:1%3C31::AID-FUT2%3E3.0.CO;2-H","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:15:22Z","timestamp":1625134522000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H"}},"issued":{"date-parts":[[1999,2]]},"references-count":62,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1999,2]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199902)19:1<31::aid-fut2>3.0.co;2-h","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,2]]}},{"indexed":{"date-parts":[[2026,2,16]],"date-time":"2026-02-16T09:03:30Z","timestamp":1771232610798,"version":"3.50.1"},"reference-count":41,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5844,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,9]]},"DOI":"10.1002\/(sici)1096-9934(199909)19:6<619::aid-fut1>3.0.co;2-m","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T19:31:01Z","timestamp":1100460661000},"page":"619-643","source":"Crossref","is-referenced-by-count":195,"title":["Price discovery in the German equity index derivatives markets"],"prefix":"10.1002","volume":"19","author":[{"given":"G. Geoffrey","family":"Booth","sequence":"first","affiliation":[]},{"given":"Raymond W.","family":"So","sequence":"additional","affiliation":[]},{"given":"Yiuman","family":"Tse","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB1","doi-asserted-by":"crossref","first-page":"457","DOI":"10.1002\/fut.3990150405","volume":"15","author":"Abhyankar","year":"1995","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB2","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB3","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1080\/135184799337181","volume":"5","author":"Booth","year":"1999","journal-title":"European Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB4","doi-asserted-by":"crossref","first-page":"833","DOI":"10.1002\/fut.3990150706","volume":"15","author":"B\u00fchler","year":"1995","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB5","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB6","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1111\/j.1468-0084.1993.mp55003003.x","volume":"55","author":"Cheung","year":"1993","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB7","doi-asserted-by":"crossref","first-page":"337","DOI":"10.1023\/A:1009765322522","volume":"1","author":"De Jong","year":"1998","journal-title":"European Finance Review"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB8","first-page":"19","author":"Emmons","year":"1998","journal-title":"Review, Federal Reserve Bank of St. Louis"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB9","doi-asserted-by":"crossref","first-page":"317","DOI":"10.1016\/S0927-5398(98)00002-4","volume":"5","author":"Fleming","year":"1998","journal-title":"Journal of Empirical Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB10","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H","volume":"16","author":"Fleming","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB11","doi-asserted-by":"crossref","first-page":"166","DOI":"10.1006\/jfin.1994.1002","volume":"3","author":"Gr\u00fcnbichler","year":"1994","journal-title":"Journal of Financial Intermediation"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB12","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1080\/07350015.1995.10524576","volume":"13","author":"Gonzalo","year":"1995","journal-title":"Journal of Business & Economic Statistics"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB13","doi-asserted-by":"crossref","first-page":"697","DOI":"10.1016\/0378-4266(89)90038-1","volume":"13","author":"Haller","year":"1989","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB14","doi-asserted-by":"crossref","first-page":"563","DOI":"10.2307\/2331277","volume":"30","author":"Harris","year":"1995","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB15","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1002\/fut.3990070403","volume":"7","author":"Herbst","year":"1987","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB16","doi-asserted-by":"crossref","first-page":"147","DOI":"10.1002\/(SICI)1096-9934(199604)16:2<147::AID-FUT2>3.0.CO;2-K","volume":"16","author":"Iihara","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB17","volume-title":"Emerging stock markets factbook 1995","author":"International Finance Corporation","year":"1995","unstructured":"International Finance Corporation. (1995). Emerging stock markets factbook 1995. Washington, DC: International Finance Corporation."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB18","volume-title":"Geld-brief-spannen deutscher standardwerte","author":"Iversen","year":"1994","unstructured":"(1994). Geld-brief-spannen deutscher standardwerte. Wiesbaden: Deutscher Universitatverlag."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB19","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1016\/0165-1889(88)90041-3","volume":"12","author":"Johansen","year":"1988","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB20","doi-asserted-by":"crossref","first-page":"1551","DOI":"10.2307\/2938278","volume":"59","author":"Johansen","year":"1991","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB21","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1111\/j.1468-0084.1990.mp52002003.x","volume":"52","author":"Johansen","year":"1990","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB22","doi-asserted-by":"crossref","first-page":"1309","DOI":"10.1111\/j.1540-6261.1987.tb04368.x","volume":"42","author":"Kawaller","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB23","first-page":"819","volume":"81","author":"King","year":"1991","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB24","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1002\/(SICI)1096-9934(199602)16:1<55::AID-FUT3>3.0.CO;2-G","volume":"16","author":"Koutmos","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB25","doi-asserted-by":"crossref","first-page":"401","DOI":"10.1016\/S0304-4076(95)01745-3","volume":"73","author":"Lee","year":"1996","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB26","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1093\/biomet\/44.1-2.187","volume":"44","author":"Lindley","year":"1957","journal-title":"Biometrika"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB27","author":"Loistl","year":"1988","unstructured":"& (1988). Transaction costs for different stock exchange pricing systems. Wirtschaftuniversit\u00e4t Wien working paper."},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB28","doi-asserted-by":"crossref","first-page":"477","DOI":"10.1111\/j.1540-6261.1994.tb05149.x","volume":"49","author":"Miller","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB29","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB30","doi-asserted-by":"crossref","first-page":"631","DOI":"10.2307\/2297912","volume":"61","author":"Newey","year":"1993","journal-title":"Review of Economic Studies"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB31","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1111\/j.1468-0084.1992.tb00013.x","volume":"54","author":"Osterwald-Lenum","year":"1992","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB32","first-page":"159","volume":"39","author":"Roll","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB33","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1111\/j.1468-036X.1996.tb00029.x","volume":"1","author":"Schlag","year":"1996","journal-title":"European Financial Management"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB34","doi-asserted-by":"crossref","first-page":"405","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M","volume":"16","author":"Shyy","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB35","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/1912017","volume":"48","author":"Sims","year":"1980","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB36","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1111\/j.1540-6261.1990.tb05087.x","volume":"45","author":"Stephan","year":"1990","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB37","doi-asserted-by":"crossref","first-page":"1097","DOI":"10.1080\/01621459.1988.10478707","volume":"83","author":"Stock","year":"1988","journal-title":"Journal of the American Statistical Association"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB38","doi-asserted-by":"crossref","first-page":"441","DOI":"10.2307\/2331010","volume":"25","author":"Stoll","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB39","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1093\/rfs\/4.1.17","volume":"4","author":"Subrahmanyan","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB40","doi-asserted-by":"crossref","first-page":"128","DOI":"10.1002\/(SICI)1096-9934(199804)18:2<129::AID-FUT1>3.0.CO;2-K","volume":"18","author":"Tse","year":"1998","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M-BIB41","doi-asserted-by":"crossref","first-page":"71","DOI":"10.3905\/jod.1993.407868","author":"Whaley","year":"1993","journal-title":"Journal of Derivatives"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199909)19:6%3C619::AID-FUT1%3E3.0.CO;2-M","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199909)19:6%3C619::AID-FUT1%3E3.0.CO;2-M","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,20]],"date-time":"2024-12-20T01:49:18Z","timestamp":1734659358000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"}},"issued":{"date-parts":[[1999,9]]},"references-count":41,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1999,9]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199909)19:6<619::aid-fut1>3.0.co;2-m","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,9]]}},{"indexed":{"date-parts":[[2026,2,14]],"date-time":"2026-02-14T00:46:31Z","timestamp":1771029991561,"version":"3.50.1"},"reference-count":26,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2012,3,27]],"date-time":"2012-03-27T00:00:00Z","timestamp":1332806400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,4]]},"abstract":"We examine the diversification benefits of using individual<\/jats:italic> futures contracts instead of simply a commodity index. We determine the ex\u2010ante, ex\u2010post, and stability results for optimal M<\/jats:styled-content>arkowitz portfolios, investigate the instability between the ex\u2010ante and ex\u2010post results, and compare our results to traditional and na\u00efve portfolios. The ex\u2010ante complete futures portfolio dominates the traditional and naive portfolios and the ex\u2010post portfolio outperforms the na\u00efve portfolio. The instability between the ex\u2010ante and ex\u2010post results is primarily driven by the time\u2010varying returns of the individual assets rather than by risk. Finally, the S<\/jats:styled-content>harpe portfolio results are essentially identical to the M<\/jats:styled-content>arkowitz results. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:343\u2010368, 2013<\/jats:p>","DOI":"10.1002\/fut.21553","type":"journal-article","created":{"date-parts":[[2012,3,27]],"date-time":"2012-03-27T13:18:12Z","timestamp":1332854292000},"page":"343-368","source":"Crossref","is-referenced-by-count":46,"title":["A M<\/scp>arkowitz Optimization of Commodity Futures Portfolios"],"prefix":"10.1002","volume":"33","author":[{"given":"Leyuan","family":"You","sequence":"first","affiliation":[{"name":"Leyuan You is an Assistant Professor of Finance, Department of Finance and Economics, McCoy College of Business Administration, Texas State University\u2010San Marcos, San Marcos, Texas"}]},{"given":"Robert T.","family":"Daigler","sequence":"additional","affiliation":[{"name":"Robert T. Daigler is Knight Ridder Research Professor of Finance, Florida International University, Miami, Florida"}]}],"member":"311","published-online":{"date-parts":[[2012,3,27]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.1998.407861"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2002.319053"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/JAI.2010.12.3.061"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1993.409440"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1108\/03074350010766729"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110302"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v53.n4.2098"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.009"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1162\/108118201317283644"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407907"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_7_16_1","unstructured":"Kaplan P. D. &Lummer S.(1997).GSCIcollateralized futures as a hedging and diversification tool for institutional portfolios: An update(working paper). Ibbotson Associates."},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070404"},{"key":"e_1_2_7_18_1","unstructured":"Lintner J. K.(1983).The potential role of managed commodity\u2014Financial futures accounts in portfolios of stocks and bonds.Annual Conference of the Financial Analysts Federation Toronto Canada."},{"key":"e_1_2_7_19_1","doi-asserted-by":"crossref","first-page":"103","DOI":"10.21314\/JOR.2005.117","article-title":"Bias and consistency of the maximum Sharpe ratio","volume":"7","author":"Mailer R. A.","year":"2005","journal-title":"The Journal of Risk"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120404"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840500109142"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.3905\/joi.5.1.69"},{"key":"e_1_2_7_24_1","article-title":"The benefits of managed futures","author":"Schneeweis T.","year":"2002","journal-title":"AIMA"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.9.2.277"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-4431(97)00025-5"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2010.00287.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21553","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21553","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T18:31:40Z","timestamp":1698690700000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21553"}},"issued":{"date-parts":[[2012,3,27]]},"references-count":26,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2013,4]]}},"alternative-id":["10.1002\/fut.21553"],"URL":"https:\/\/doi.org\/10.1002\/fut.21553","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,3,27]]}},{"indexed":{"date-parts":[[2026,2,26]],"date-time":"2026-02-26T16:11:03Z","timestamp":1772122263577,"version":"3.50.1"},"reference-count":22,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2004,4,6]],"date-time":"2004-04-06T00:00:00Z","timestamp":1081209600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,6]]},"abstract":"Abstract<\/jats:title>Simulations are conducted to assess the inferential accuracy of statistical event study approaches using daily futures returns. Methods examined include constant mean return models and several regression models\u2014OLS, GARCH(1,1), and a GARCH(1,1) model having an error term with a Student'st<\/jats:italic>distribution. The simulations address four of the most commonly analyzed agricultural futures commodities\u2014corn, soybeans, live cattle, and hogs. In terms of the size of the test statistics, constant mean return models with short normal periods perform poorly, leading to unacceptably high rejection rates of the null hypothesis. Test statistics from constant mean return models with longer normal periods, OLS, and GARCH specifications provide rejection rates largely consistent with those of a unit normal distribution. Test statistics from all models are powerful enough to detect abnormal performance levels below those that would trigger limit locks. At small levels of abnormal performance the GARCH(1,1) model with at<\/jats:italic>distribution was consistently the most powerful model. \u00a9 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:533\u2013555, 2004<\/jats:p>","DOI":"10.1002\/fut.10126","type":"journal-article","created":{"date-parts":[[2004,4,6]],"date-time":"2004-04-06T17:01:42Z","timestamp":1081270902000},"page":"533-555","source":"Crossref","is-referenced-by-count":37,"title":["The performance of event study approaches using daily commodity futures returns"],"prefix":"10.1002","volume":"24","author":[{"given":"Andrew M.","family":"Mckenzie","sequence":"first","affiliation":[]},{"given":"Michael R.","family":"Thomsen","sequence":"additional","affiliation":[]},{"given":"Bruce L.","family":"Dixon","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,4,6]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1008295500105"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1925546"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90042-X"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331331"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/0002-9092.00010"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(92)90076-C"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1068280500003476"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199706)17:4<417::AID-FUT3>3.0.CO;2-K"},{"issue":"2","key":"e_1_2_1_13_1","first-page":"431","article-title":"The effect of E. coli O157:H7 on beef prices","volume":"26","author":"McKenzie A. M.","year":"2001","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070509"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200005)20:5<445::AID-FUT3>3.0.CO;2-W"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349455"},{"issue":"2","key":"e_1_2_1_17_1","doi-asserted-by":"crossref","first-page":"350","DOI":"10.1111\/j.2517-6161.1969.tb00796.x","article-title":"Tests for specification errors in classical linear least\u2010squares regression analysis","volume":"31","author":"Ramsey J. B.","year":"1969","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349595"},{"key":"e_1_2_1_19_1","volume-title":"Estimating the speed of market reactions to news: Market events and lumber futures prices","author":"Rucker R. R.","year":"2001"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349379"},{"key":"e_1_2_1_21_1","volume-title":"Statistical methods","author":"Snedecor G. W.","year":"1967"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.606"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0954-349X(05)80024-4"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10126","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10126","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,15]],"date-time":"2024-12-15T19:43:04Z","timestamp":1734291784000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10126"}},"issued":{"date-parts":[[2004,4,6]]},"references-count":22,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2004,6]]}},"alternative-id":["10.1002\/fut.10126"],"URL":"https:\/\/doi.org\/10.1002\/fut.10126","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,4,6]]}},{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T22:13:56Z","timestamp":1771625636053,"version":"3.50.1"},"reference-count":9,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8851,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,6]]},"DOI":"10.1002\/fut.3990020211","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T20:48:15Z","timestamp":1183582095000},"page":"195-206","source":"Crossref","is-referenced-by-count":35,"title":["Basis speculation in commodity futures: The maturity effect"],"prefix":"10.1002","volume":"2","author":[{"given":"Mark G.","family":"Castelino","sequence":"first","affiliation":[]},{"given":"Jack Clark","family":"Francis","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","article-title":"The Supply of Storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_1_3_1","unstructured":"Castelino Mark G.(1981): \u201cFutures Markets: The Maturity Effect on Risk and Return \u201d unpublished Ph.D dissertation Baruch College CUNY September."},{"key":"e_1_2_1_4_1","volume-title":"Commodity Markets and Futures Prices","author":"Dusak K.","year":"1979"},{"key":"e_1_2_1_5_1","article-title":"The Characteristic Bias in Some Thin Futures Markets","volume":"1","author":"Gray Roger","year":"1960","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936017"},{"key":"e_1_2_1_7_1","unstructured":"Samuelson P. A.(1965): \u201cProof That Properly Anticipated Prices Fluctuate Randomly \u201dIndustrial Management Review Spring:41\u201349."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/294113"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1233368"},{"key":"e_1_2_1_10_1","unstructured":"Working Holbrook (1949): \u201cThe Theory of the Price of Storage \u201dAmerican Economic Review December:1254\u20131262."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020211","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020211","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:19:07Z","timestamp":1699802347000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020211"}},"issued":{"date-parts":[[1982,6]]},"references-count":9,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1982,6]]}},"alternative-id":["10.1002\/fut.3990020211"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020211","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,6]]}},{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T22:14:13Z","timestamp":1771625653036,"version":"3.50.1"},"reference-count":32,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2020,5,12]],"date-time":"2020-05-12T00:00:00Z","timestamp":1589241600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,9]]},"abstract":"Abstract<\/jats:title>The Samuelson hypothesis asserts that futures volatility increases as maturity decreases. On the basis of 10 US commodity futures and by capturing the dynamics of the futures volatility terms structure with three factors, we show that in most markets the slope factor is strongly negative in certain periods and at best only weakly negative in other periods. High inventory levels are found to correspond to flatter volatility term structures in seven futures. This finding is consistent with the linkage between carry arbitrage and the Samuelson hypothesis. We also find that a flatter volatility term structure corresponds to lower absolute futures term premiums.<\/jats:p>","DOI":"10.1002\/fut.22128","type":"journal-article","created":{"date-parts":[[2020,5,12]],"date-time":"2020-05-12T15:04:40Z","timestamp":1589295880000},"page":"1420-1441","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Samuelson hypothesis, arbitrage activity, and futures term premiums"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-2701-837X","authenticated-orcid":false,"given":"Robert","family":"Brooks","sequence":"first","affiliation":[{"name":"Wallace D. Malone Jr. Endowed Chair of Financial Management Culverhouse College of Business, The University of Alabama Tuscaloosa Alabama"}]},{"given":"Pavel","family":"Teterin","sequence":"additional","affiliation":[{"name":"Department of Finance College of Business and Innovation, The University of Toledo Toledo Ohio"}]}],"member":"311","published-online":{"date-parts":[[2020,5,12]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"crossref","unstructured":"Adjemian M. Garcia P. Irwin S. H. &Smith A.(2013). Non\u2010convergence in domestic commodity futures markets: Causes consequences and remedies. USDA\u2010ERS Economic Information Bulletin Number 115.https:\/\/doi.org\/10.2139\/ssrn.2323646","DOI":"10.2139\/ssrn.2323646"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297415"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1987.tb00484.x"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1996.407967"},{"key":"e_1_2_8_7_1","first-page":"197","article-title":"Testing term structure estimation methods","volume":"9","author":"Bliss R. R.","year":"1997","journal-title":"Advances in Futures and Options Research"},{"issue":"1","key":"e_1_2_8_8_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2012.20.2.037"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20373"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020211"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00267.x"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.005"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.017"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.06.011"},{"key":"e_1_2_8_16_1","unstructured":"End of day market data. (1993\u22122017). Commodity Systems Inc. Retrieved from Commodity Systems Inc. www.csidata.com"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199610)16:7<809::AID-FUT5>3.0.CO;2-S"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20477"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.08.009"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20328"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070108"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130403"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.03.026"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060309"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/296409"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936017"},{"key":"e_1_2_8_30_1","doi-asserted-by":"crossref","unstructured":"Sack B. P.(2000).Using Treasury STRIPS to measure the yield curve. FEDS Working Paper No. 2000\u201042.https:\/\/doi.org\/10.17016\/feds.2000.42","DOI":"10.2139\/ssrn.249286"},{"issue":"2","key":"e_1_2_8_31_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"issue":"6","key":"e_1_2_8_33_1","first-page":"1254","article-title":"The theory of price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22128","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22128","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22128","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22128","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T12:31:56Z","timestamp":1693917116000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22128"}},"issued":{"date-parts":[[2020,5,12]]},"references-count":32,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2020,9]]}},"alternative-id":["10.1002\/fut.22128"],"URL":"https:\/\/doi.org\/10.1002\/fut.22128","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,5,12]]},"assertion":[{"value":"2019-07-11","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-04-28","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-05-12","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T15:25:47Z","timestamp":1770477947569,"version":"3.49.0"},"reference-count":18,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5356,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2001,2]]},"DOI":"10.1002\/1096-9934(200102)21:2<173::aid-fut4>3.0.co;2-c","type":"journal-article","created":{"date-parts":[[2004,10,28]],"date-time":"2004-10-28T09:14:36Z","timestamp":1098954876000},"page":"173-196","source":"Crossref","is-referenced-by-count":18,"title":["Volatility, global information, and market conditions: a study in futures markets"],"prefix":"10.1002","volume":"21","author":[{"given":"Hung-Gay","family":"Fung","sequence":"first","affiliation":[]},{"given":"Gary A.","family":"Patterson","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001]]},"reference":[{"key":"BIB1","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1111\/j.1540-6261.1996.tb05206.x","volume":"51","author":"Andersen","year":"1996","journal-title":"Journal of Finance"},{"key":"BIB2","doi-asserted-by":"crossref","first-page":"2015","DOI":"10.1111\/j.1540-6261.1992.tb04695.x","volume":"47","author":"Bessembinder","year":"1992","journal-title":"Journal of Finance"},{"key":"BIB3","doi-asserted-by":"crossref","first-page":"21","DOI":"10.2307\/2331149","volume":"28","author":"Bessembinder","year":"1993","journal-title":"Journal of Quantitative and Financial Analysis"},{"key":"BIB4","doi-asserted-by":"crossref","first-page":"905","DOI":"10.2307\/2118454","volume":"108","author":"Campbell","year":"1993","journal-title":"Quarterly Journal of Economics"},{"key":"BIB5","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1016\/0304-405X(86)90004-8","volume":"17","author":"French","year":"1986","journal-title":"Journal of Financial Economics"},{"key":"BIB6","doi-asserted-by":"crossref","first-page":"199","DOI":"10.1093\/rfs\/5.2.199","volume":"5","author":"Gallant","year":"1992","journal-title":"Review of Financial Studies"},{"key":"BIB7","doi-asserted-by":"crossref","first-page":"543","DOI":"10.1093\/rfs\/4.3.543","volume":"4","author":"Harvey","year":"1991","journal-title":"Review of Financial Studies"},{"key":"BIB8","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1016\/0304-405X(94)90032-9","volume":"36","author":"Jones","year":"1994","journal-title":"Journal of Financial Economics"},{"key":"BIB9","doi-asserted-by":"crossref","first-page":"631","DOI":"10.1093\/rfs\/7.4.631","volume":"7","author":"Jones","year":"1994","journal-title":"Review of Financial Studies"},{"key":"BIB10","doi-asserted-by":"crossref","first-page":"109","DOI":"10.2307\/2330874","volume":"22","author":"Karpoff","year":"1987","journal-title":"Journal of Quantitative and Financial Analysis"},{"key":"BIB11","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1016\/0165-4101(94)90004-3","volume":"17","author":"Kim","year":"1994","journal-title":"Journal of Accounting and Economics"},{"key":"BIB12","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","volume":"53","author":"Kyle","year":"1985","journal-title":"Econometrica"},{"key":"BIB13","doi-asserted-by":"crossref","first-page":"221","DOI":"10.1111\/j.1540-6261.1990.tb05088.x","volume":"45","author":"Lamoureux","year":"1990","journal-title":"Journal of Finance"},{"key":"BIB14","doi-asserted-by":"crossref","first-page":"507","DOI":"10.1093\/rfs\/7.3.507","volume":"7","author":"Lin","year":"1994","journal-title":"Review of Financial Studies"},{"key":"BIB15","doi-asserted-by":"crossref","first-page":"729","DOI":"10.1111\/j.1540-6261.1980.tb03495.x","volume":"35","author":"Oldfield","year":"1980","journal-title":"Journal of Finance"},{"key":"BIB16","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1093\/rfs\/3.1.77","volume":"3","author":"Schwert","year":"1990","journal-title":"Review of Financial Studies"},{"key":"BIB17","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1093\/rfs\/3.1.37","volume":"3","author":"Stoll","year":"1990","journal-title":"Review of Financial Studies"},{"key":"BIB18","doi-asserted-by":"crossref","first-page":"485","DOI":"10.2307\/1912002","volume":"51","author":"Tauchen","year":"1983","journal-title":"Econometrica"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200102)21:2%3C173::AID-FUT4%3E3.0.CO;2-C","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200102)21:2%3C173::AID-FUT4%3E3.0.CO;2-C","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:37:42Z","timestamp":1625135862000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200102)21:2<173::AID-FUT4>3.0.CO;2-C"}},"issued":{"date-parts":[[2001]]},"references-count":18,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2001,2]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200102)21:2<173::aid-fut4>3.0.co;2-c","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001]]}},{"indexed":{"date-parts":[[2026,2,5]],"date-time":"2026-02-05T06:22:29Z","timestamp":1770272549672,"version":"3.49.0"},"reference-count":57,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T00:00:00Z","timestamp":1759449600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,1]]},"abstract":"ABSTRACT<\/jats:title>\n This analysis aims to illuminate the interconnectedness of markets such as oil, gold, silver, palladium, and platinum during the COVID\u201019 pandemic, employing the quantile vector autoregressive (QVAR) and time\u2010varying parameter vector autoregression (TVP\u2010VAR) analysis. These methods are particularly suitable for understanding the evolving dynamics of markets during the pandemic, as they account for varying levels of connectedness and spillover effects among different market segments. Moreover, this study explores spillover effects and conditional volatility among precious metal and oil markets across three distinct regimes: peak, recovery, and the full duration of the pandemic. Results indicate prominent connectedness among markets in all three samples, validating markets' sensitivity toward economic catastrophe like pandemic. Crude oil and gold are dominant shock\u2010transmitters; conversely, silver, palladium, and platinum are prominently considered as shock\u2010receivers across the majority of the quantiles. Furthermore, the results will assist relevant stakeholders to include markets that are less vulnerable to unforeseen shocks or unanticipated events.<\/jats:p>","DOI":"10.1002\/fut.70050","type":"journal-article","created":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T12:59:58Z","timestamp":1759496398000},"page":"101-120","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Untangling Market Links: A QVAR\u2010TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic"],"prefix":"10.1002","volume":"46","author":[{"given":"Syed Ali","family":"Raza","sequence":"first","affiliation":[{"name":"Department of Business Administration IQRA University Karachi Pakistan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2300-4744","authenticated-orcid":false,"given":"Maiyra","family":"Ahmed","sequence":"additional","affiliation":[{"name":"Assistant Director R&P Department Institute of Cost and Management Accountants of Pakistan\u2010ICMA Karachi Pakistan"}]},{"given":"Sajid","family":"Ali","sequence":"additional","affiliation":[{"name":"Department of Public Administration Karachi University Karachi Pakistan"}]}],"member":"311","published-online":{"date-parts":[[2025,10,3]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101926"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106063"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2019.05.006"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.3984"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2022.08.009"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2022.101765"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2020.116351"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/raaa008"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2010.00244.x"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2022.127528"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-92957-2_9"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102282"},{"issue":"2","key":"e_1_2_11_14_1","first-page":"1613","article-title":"Gold and Financial Assets: Are There Any Safe Havens in Bear Markets","volume":"31","author":"Coudert V.","year":"2011","journal-title":"Economics Bulletin"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2023.100327"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101839"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101816"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102101"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.105962"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101703"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106420"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101512"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2522"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100284"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2018.01.002"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.09.013"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01753-4"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/opec.12117"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11079-018-9481-4"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102450"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2021.04.009"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102132"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.egyr.2020.03.002"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102067"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1108\/JEAS-05-2020-0074"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.2307\/2233966"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1177\/0972150920919371"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101843"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.02.014"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101897"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2119"},{"issue":"4","key":"e_1_2_11_46_1","first-page":"1060","article-title":"Financial Market Imperfections, Firm Leverage, and the Cyclicality of Employment","volume":"84","author":"Sharpe S. A.","year":"1994","journal-title":"American Economic Review"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106235"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106498"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2022.2085869"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1108\/IJHMA-11-2022-0166"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbef.2021.100525"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.esr.2021.100761"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm14040186"},{"key":"e_1_2_11_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102916"},{"key":"e_1_2_11_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101783"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102939"},{"key":"e_1_2_11_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101786"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70050","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T13:29:07Z","timestamp":1765286947000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70050"}},"issued":{"date-parts":[[2025,10,3]]},"references-count":57,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2026,1]]}},"alternative-id":["10.1002\/fut.70050"],"URL":"https:\/\/doi.org\/10.1002\/fut.70050","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,10,3]]},"assertion":[{"value":"2024-04-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-19","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-10-03","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,8]],"date-time":"2026-02-08T12:45:29Z","timestamp":1770554729331,"version":"3.49.0"},"reference-count":23,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2007,3,15]],"date-time":"2007-03-15T00:00:00Z","timestamp":1173916800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,5]]},"abstract":"Abstract<\/jats:title>The authors develop a Markov regime\u2010switching time\u2010varying correlation generalized autoregressive conditional heteroscedasticity (RS\u2010TVC GARCH) model for estimating optimal hedge ratios. The RS\u2010TVC nests within it both the time\u2010varying correlation GARCH (TVC) and the constant correlation GARCH (CC). Point estimates based on the Nikkei 225 and the Hang Seng index futures data show that the RS\u2010TVC outperforms the CC and the TVC both in\u2010 and out\u2010of\u2010sample in terms of variance reduction. Based on H. White's (2000) reality check, the null hypothesis of no improvement of the RS\u2010TVC over the TVC is rejected for the Nikkei 225 index contract but is not rejected for the Hang Seng index contract. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:495\u2013516, 2007<\/jats:p>","DOI":"10.1002\/fut.20256","type":"journal-article","created":{"date-parts":[[2007,3,15]],"date-time":"2007-03-15T15:40:07Z","timestamp":1173973207000},"page":"495-516","source":"Crossref","is-referenced-by-count":76,"title":["Optimal hedging with a regime\u2010switching time\u2010varying correlation GARCH model"],"prefix":"10.1002","volume":"27","author":[{"given":"Hsiang\u2010Tai","family":"Lee","sequence":"first","affiliation":[]},{"given":"Jonathan","family":"Yoder","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,3,15]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10130"},{"key":"e_1_2_1_3_1","first-page":"346","article-title":"Estimation of time\u2010varying hedge ratios for corn and soybean: BGARCH and random coeffcient approaches","volume":"59","author":"Bera A. K.","year":"1997","journal-title":"Indian Journal of Statistics"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840210138365"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392087"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150703"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90067-1"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_1_13_1","article-title":"A bivariate Markov regime switching GARCH approach to estimate the time varying minimum variance hedge ratio","author":"Lee H. T.","journal-title":"Applied Economics"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20193"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100110046045"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1994.10476870"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2004.12.011"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.787"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00163"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00040-2"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618496"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00152"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20256","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20256","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T21:07:35Z","timestamp":1699996055000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20256"}},"issued":{"date-parts":[[2007,3,15]]},"references-count":23,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2007,5]]}},"alternative-id":["10.1002\/fut.20256"],"URL":"https:\/\/doi.org\/10.1002\/fut.20256","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,3,15]]}},{"indexed":{"date-parts":[[2026,2,9]],"date-time":"2026-02-09T06:19:44Z","timestamp":1770617984423,"version":"3.49.0"},"reference-count":10,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8578,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,3]]},"DOI":"10.1002\/fut.3990030102","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:48:11Z","timestamp":1183585691000},"page":"1-14","source":"Crossref","is-referenced-by-count":136,"title":["The pricing of stock index futures"],"prefix":"10.1002","volume":"3","author":[{"given":"Bradford","family":"Cornell","sequence":"first","affiliation":[]},{"given":"Kenneth R.","family":"French","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Constantinides G. M.(1983): \u201cCapital Market Equilibrium with Personal Tax \u201dEconometrica forthcoming.","DOI":"10.2307\/1912150"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01074.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Cornell B. andFrench K. R.(1982): \u201cTaxes and the Pricing of Stock Index Futures \u201dJournal of Finance forthcoming.","DOI":"10.2307\/2328076"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_6_1","unstructured":"Elton E. Gruber M. andRentzler J.(1982): \u201cIntra\u2010day Tests of the Efficiency of the Treasury Bill Futures Market \u201d working paper New York University."},{"key":"e_1_2_1_7_1","unstructured":"French K. R.(1982a): \u201cThe Pricing of Futures and Forward Contracts \u201d Ph.D. dissertation University of Rochester."},{"key":"e_1_2_1_8_1","unstructured":"French K. R.(1982b): \u201cA Comparison of Futures and Forward Prices \u201d working paper UCLA."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90004-0"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90003-9"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030102","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030102","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,2,15]],"date-time":"2024-02-15T19:05:36Z","timestamp":1708023936000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030102"}},"issued":{"date-parts":[[1983,3]]},"references-count":10,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1983,3]]}},"alternative-id":["10.1002\/fut.3990030102"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030102","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,3]]}},{"indexed":{"date-parts":[[2026,2,10]],"date-time":"2026-02-10T18:29:29Z","timestamp":1770748169625,"version":"3.49.0"},"reference-count":23,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,10,27]],"date-time":"2015-10-27T00:00:00Z","timestamp":1445904000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,9]]},"abstract":"We study the intraday dynamics of the VIX and VIX futures for the period January 2, 2008 to December 31, 2014. Considering first the results of a Vector Autoregression (VAR) using daily data, we observe that there is some evidence of causality from VIX futures to the VIX. Estimating a VAR using our ultra\u2010high frequency data, we find strong evidence for bi\u2010directional Granger causality between the VIX and the VIX futures. Overall, this effect appears to be stronger from VIX futures to the VIX than the other way around. Impulse response functions and variance decompositions confirm the dominance of the VIX futures. Lastly, we show that the causality from the VIX futures to the VIX has been increasing over our sample period, whereas the reverse causality has been decreasing. We observe that the VIX futures have become increasingly more important in the pricing of volatility. We further document that the VIX futures dominate the VIX more on days with negative returns, and on days with high values of the VIX, suggesting that those are the days when investors use VIX futures to hedge their positions rather than trading in the S&P500 index options. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:870\u2013886, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21762","type":"journal-article","created":{"date-parts":[[2015,10,27]],"date-time":"2015-10-27T14:50:54Z","timestamp":1445957454000},"page":"870-886","source":"Crossref","is-referenced-by-count":54,"title":["On the Intraday Relation Between the VIX and its Futures"],"prefix":"10.1002","volume":"36","author":[{"given":"Bart","family":"Frijns","sequence":"first","affiliation":[{"name":"Bart Frijns and Alireza Tourani\u2010Rad are at Department of Finance Auckland University of Technology Auckland New Zealand"}]},{"given":"Alireza","family":"Tourani\u2010Rad","sequence":"additional","affiliation":[{"name":"Bart Frijns and Alireza Tourani\u2010Rad are at Department of Finance Auckland University of Technology Auckland New Zealand"}]},{"given":"Robert I.","family":"Webb","sequence":"additional","affiliation":[{"name":"Robert I. Webb is at Department of Finance University of Virginia Virginia United States"}]}],"member":"311","published-online":{"date-parts":[[2015,10,27]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"crossref","unstructured":"Alexander C. &Korovilas D.(2011). The hazards of volatility diversification. ICMA Centre Discussion Paper in Finance No. DP2011\u201004.","DOI":"10.2139\/ssrn.1752389"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.2.655"},{"key":"e_1_2_7_4_1","unstructured":"Brenner M. Shu J. &Zhang J.(2008). The market for volatility trading: VIX futures. Working paper New York University Stern School of Business."},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_7_6_1","unstructured":"CBOE (2009). VIX: The CBOE volatility index. White Paper Chicago Board Options Exchange. Available at:www.cboe.com\/VIX."},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.616865"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20148"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/joi.2006.635636"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150303"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2005.500363"},{"key":"e_1_2_7_12_1","unstructured":"Grant M. GregoryM. K. &Lui J.(2007). Volatility as an asset. Goldman Sachs Global Investment Research. November 15 2007. Available at:http:\/\/www.altavra.com\/docs\/thirdparty\/volatility-as-an-asset-class.pdf."},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.02.003"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2009.11.004"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20291"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20415"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/JAI.2009.12.2.054"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20506"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.3905\/JAI.2009.12.2.068"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407868"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2000.319728"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/JPM.2009.35.3.098"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20512"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21762","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21762","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:27:38Z","timestamp":1696573658000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21762"}},"issued":{"date-parts":[[2015,10,27]]},"references-count":23,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2016,9]]}},"alternative-id":["10.1002\/fut.21762"],"URL":"https:\/\/doi.org\/10.1002\/fut.21762","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,10,27]]}},{"indexed":{"date-parts":[[2026,2,10]],"date-time":"2026-02-10T18:42:03Z","timestamp":1770748923903,"version":"3.50.0"},"reference-count":32,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6909,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,10]]},"DOI":"10.1002\/(sici)1096-9934(199610)16:7<735::aid-fut1>3.0.co;2-p","type":"journal-article","created":{"date-parts":[[2004,10,21]],"date-time":"2004-10-21T02:18:07Z","timestamp":1098325087000},"page":"735-755","source":"Crossref","is-referenced-by-count":14,"title":["Time-varying risk premia in the foreign currency futures basis"],"prefix":"10.1002","volume":"16","author":[{"given":"Christopher F.","family":"Baum","sequence":"first","affiliation":[]},{"given":"John","family":"Barkoulas","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB1","doi-asserted-by":"crossref","first-page":"555","DOI":"10.1111\/j.1540-6261.1993.tb04727.x","volume":"48","author":"Bailey","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB2","first-page":"653","volume":"3","author":"Berndt","year":"1974","journal-title":"Annals of Economic and Social Measurement"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB3","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1016\/0304-405X(92)90017-R","volume":"32","author":"Bessembinder","year":"1992","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB4","doi-asserted-by":"crossref","first-page":"167","DOI":"10.2307\/2951782","volume":"61","author":"Bollerslev","year":"1993","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB5","doi-asserted-by":"crossref","first-page":"1028","DOI":"10.1086\/259590","volume":"77","author":"Branson","year":"1969","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB6","doi-asserted-by":"crossref","first-page":"529","DOI":"10.1111\/j.1540-6261.1991.tb02673.x","volume":"46","author":"Chen","year":"1991","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB7","doi-asserted-by":"crossref","first-page":"1035","DOI":"10.1111\/j.1540-6261.1981.tb01074.x","volume":"36","author":"Cornell","year":"1981","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB8","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1016\/0378-4266(81)90043-1","volume":"5","author":"Cosander","year":"1981","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB9","doi-asserted-by":"crossref","first-page":"1057","DOI":"10.2307\/1912517","volume":"49","author":"Dickey","year":"1981","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB10","first-page":"323","volume-title":"Testing for Serial Correlation in the Presence of ARCH","author":"Diebold","year":"1986","unstructured":"(1986): \u201cTesting for Serial Correlation in the Presence of ARCH,\u201d Proceedings of the American Statistical Association, Business and Economic Statistics Section, Washington, DC: American Statistical Association, pp. 323\u2013328."},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB11","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","volume":"50","author":"Engle","year":"1982","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB12","doi-asserted-by":"crossref","first-page":"23","DOI":"10.1016\/0304-405X(89)90095-0","volume":"25","author":"Fama","year":"1988a","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB13","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(88)90020-7","volume":"22","author":"Fama","year":"1988b","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB14","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(93)90023-5","volume":"33","author":"Fama","year":"1993","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB15","first-page":"227","volume-title":"National Saving and Economic Performance","author":"Frankel","year":"1991","unstructured":"(1991): \u201cQuantifying International Capital Mobility in the 1990s,\u201d in National Saving and Economic Performance, and (eds.), Chicago: University of Chicago Press, pp. 227\u2013260."},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB16","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0261-5606(82)90022-5","volume":"1","author":"Fratianni","year":"1982","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB17","doi-asserted-by":"crossref","first-page":"1209","DOI":"10.1086\/260633","volume":"85","author":"Frenkel","year":"1975","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB18","doi-asserted-by":"crossref","first-page":"325","DOI":"10.1086\/260325","volume":"83","author":"Frenkel","year":"1977","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB19","volume-title":"Introduction to Statistical Time Series","author":"Fuller","year":"1976","unstructured":"(1976): Introduction to Statistical Time Series. New York: Wiley."},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB20","doi-asserted-by":"crossref","first-page":"543","DOI":"10.1093\/rfs\/4.3.543","volume":"4","author":"Harvey","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB21","first-page":"1","volume":"22","author":"Hodrick","year":"1987","journal-title":"International Journal of Forecasting"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB22","doi-asserted-by":"crossref","first-page":"113","DOI":"10.1016\/0022-1996(93)90007-K","volume":"35","author":"Hsieh","year":"1993","journal-title":"Journal of International Economics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB23","doi-asserted-by":"crossref","first-page":"357","DOI":"10.1016\/0304-405X(86)90070-X","volume":"17","author":"Keim","year":"1986","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB24","doi-asserted-by":"crossref","first-page":"159","DOI":"10.1016\/0304-4076(92)90104-Y","volume":"54","author":"Kwiatkowski","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB25","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/0014-2921(76)90016-7","volume":"7","author":"Marston","year":"1976","journal-title":"European Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB26","doi-asserted-by":"crossref","first-page":"105","DOI":"10.1016\/0304-3932(94)90016-7","volume":"33","author":"McCallum","year":"1994","journal-title":"Journal of Monetary Economics"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB27","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1093\/rfs\/5.1.65","volume":"5","author":"McCurdy","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB28","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB29","doi-asserted-by":"crossref","first-page":"277","DOI":"10.2307\/1913237","volume":"55","author":"Phillips","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB30","doi-asserted-by":"crossref","first-page":"335","DOI":"10.1093\/biomet\/75.2.335","volume":"75","author":"Phillips","year":"1988","journal-title":"Biometrika"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB31","doi-asserted-by":"crossref","first-page":"429","DOI":"10.2307\/2554178","volume":"54","author":"Taylor","year":"1987","journal-title":"Economica"},{"key":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P-BIB32","doi-asserted-by":"crossref","first-page":"376","DOI":"10.2307\/2234031","volume":"99","author":"Taylor","year":"1989","journal-title":"Economic Journal"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199610)16:7%3C735::AID-FUT1%3E3.0.CO;2-P","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199610)16:7%3C735::AID-FUT1%3E3.0.CO;2-P","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:45:12Z","timestamp":1625132712000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P"}},"issued":{"date-parts":[[1996,10]]},"references-count":32,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1996,10]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199610)16:7<735::aid-fut1>3.0.co;2-p","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,10]]}},{"indexed":{"date-parts":[[2026,3,18]],"date-time":"2026-03-18T18:22:17Z","timestamp":1773858137674,"version":"3.50.1"},"reference-count":17,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6172,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,10]]},"DOI":"10.1002\/fut.3990090505","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:46:24Z","timestamp":1183639584000},"page":"421-437","source":"Crossref","is-referenced-by-count":8,"title":["On the value of the implicit delivery options"],"prefix":"10.1002","volume":"9","author":[{"given":"Shantaram P.","family":"Hegde","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070304"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080502"},{"key":"e_1_2_1_4_1","unstructured":"Chicago Board of Trade. (1980). \u201cUnderstanding the Delivery Process in Financial Futures.\u201d"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01074.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924704"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90042-5"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Hegde S. P.(1988): \u201cAn Empirical Analysis of Implicit Delivery Options in the Treasury Bond Futures Contract \u201dJournal of Banking and Finance(forthcoming).","DOI":"10.1016\/0378-4266(88)90010-6"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Hodrick R. J. andSrivastava S.(1985): \u201cForeign Currency Futures.\u201d NBER Working Paper.","DOI":"10.3386\/w1743"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90004-0"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330963"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04499.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060206"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03611.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330871"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb03397.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90011-3"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090505","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090505","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:28:33Z","timestamp":1697992113000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090505"}},"issued":{"date-parts":[[1989,10]]},"references-count":17,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1989,10]]}},"alternative-id":["10.1002\/fut.3990090505"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090505","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,10]]}},{"indexed":{"date-parts":[[2026,3,13]],"date-time":"2026-03-13T13:23:04Z","timestamp":1773408184924,"version":"3.50.1"},"reference-count":29,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,11]]},"DOI":"10.1002\/fut.20178","type":"journal-article","created":{"date-parts":[[2005,9,16]],"date-time":"2005-09-16T16:17:00Z","timestamp":1126887420000},"page":"1045-1065","source":"Crossref","is-referenced-by-count":45,"title":["Futures and options expiration-day effects: The Indian evidence"],"prefix":"10.1002","volume":"25","member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"key":"10.1002\/fut.20178-BIB1","first-page":"290","volume":"7","author":"Aggarwal","year":"1988","journal-title":"Review of Futures Markets"},{"key":"10.1002\/fut.20178-BIB2","doi-asserted-by":"crossref","first-page":"385","DOI":"10.1080\/09603100410001673612","volume":"14","author":"Alkeback","year":"2004","journal-title":"Applied Financial Economics"},{"key":"10.1002\/fut.20178-BIB3","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1016\/0927-538X(94)90017-5","volume":"2","author":"Bacha","year":"1994","journal-title":"Pacific-Basin Finance Journal"},{"key":"10.1002\/fut.20178-BIB4","author":"Barone-Adesi","year":"1992","unstructured":"& (1992). Effect of expiring index options and futures on the Toronto 35 Index (working paper). Alberta: University of Alberta."},{"key":"10.1002\/fut.20178-BIB5","doi-asserted-by":"crossref","first-page":"67","DOI":"10.2469\/faj.v45.n5.67","volume":"45","author":"Chamberlain","year":"1989","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/fut.20178-BIB6","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20178-BIB7","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1002\/fut.10054","volume":"23","author":"Chow","year":"2003","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20178-BIB8","doi-asserted-by":"crossref","first-page":"905","DOI":"10.1002\/fut.2002","volume":"21","author":"Corredor","year":"2001","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20178-BIB9","doi-asserted-by":"crossref","first-page":"63","DOI":"10.2469\/faj.v44.n1.63","volume":"44","author":"Edwards","year":"1998","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/fut.20178-BIB10","first-page":"1027","volume":"13","author":"Gannon","year":"1994","journal-title":"Review of Futures Markets"},{"key":"10.1002\/fut.20178-BIB11","doi-asserted-by":"crossref","first-page":"323","DOI":"10.1002\/fut.3990100309","volume":"10","author":"Herbst","year":"1990","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20178-BIB12","doi-asserted-by":"crossref","first-page":"751","DOI":"10.1002\/fut.3990110609","volume":"11","author":"Herbst","year":"1991","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20178-BIB13","doi-asserted-by":"crossref","first-page":"107","DOI":"10.1080\/09603100150210318","volume":"11","author":"Kan","year":"2001","journal-title":"Applied Financial Economics"},{"key":"10.1002\/fut.20178-BIB14","doi-asserted-by":"crossref","first-page":"23","DOI":"10.3905\/jod.1996.407969","volume":"4","author":"Karolyi","year":"1996,winter","journal-title":"Journal of Derivatives"},{"key":"10.1002\/fut.20178-BIB15","doi-asserted-by":"crossref","first-page":"1107","DOI":"10.1002\/fut.10100","volume":"23","author":"Lien","year":"2003","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20178-BIB16","author":"Mayhew","year":"2000","unstructured":"(2000). The impact of derivative on cash markets: What have we learned? (working paper). Athens: University of Georgia."},{"key":"10.1002\/fut.20178-BIB17","doi-asserted-by":"crossref","first-page":"541","DOI":"10.2307\/2331359","volume":"31","author":"Neal","year":"1996","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20178-BIB18","author":"Ni","year":"2003","unstructured":", & (2003). Stock price clustering on option expiration dates (working paper). Urbana-Champaign: University of Illinois."},{"key":"10.1002\/fut.20178-BIB19","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1086\/296071","volume":"53","author":"Parkinson","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20178-BIB20","doi-asserted-by":"crossref","first-page":"329","DOI":"10.1111\/j.1468-5957.1992.tb00628.x","volume":"19","author":"Pope","year":"1992","journal-title":"Journal of Business Finance and Accounting"},{"key":"10.1002\/fut.20178-BIB21","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1111\/j.1468-036X.1996.tb00029.x","volume":"1","author":"Schlag","year":"1996","journal-title":"European Financial Management"},{"key":"10.1002\/fut.20178-BIB22","volume-title":"Non parametric statistics for the behavioral sciences","author":"Siegel","year":"1988","unstructured":"& (1988). Non parametric statistics for the behavioral sciences (2nd ed.). New York: McGraw Hill."},{"key":"10.1002\/fut.20178-BIB23","author":"Stoll","year":"1986","journal-title":"Monograph Series in Finance and Economics"},{"key":"10.1002\/fut.20178-BIB24","doi-asserted-by":"crossref","first-page":"16","DOI":"10.2469\/faj.v43.n2.16","volume":"43","author":"Stoll","year":"1987,march\/april","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/fut.20178-BIB25","doi-asserted-by":"crossref","first-page":"s165","DOI":"10.1086\/296499","volume":"63","author":"Stoll","year":"1990","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20178-BIB26","doi-asserted-by":"crossref","first-page":"58","DOI":"10.2469\/faj.v47.n1.58","volume":"47","author":"Stoll","year":"1991","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/fut.20178-BIB27","doi-asserted-by":"crossref","first-page":"139","DOI":"10.1177\/031289629702200202","volume":"22","author":"Stoll","year":"1997","journal-title":"Australian Journal of Management"},{"key":"10.1002\/fut.20178-BIB28","first-page":"177","volume":"3","author":"Swidler","year":"1994","journal-title":"Journal of Financial Engineering"},{"key":"10.1002\/fut.20178-BIB29","author":"Vipul","year":"2004","unstructured":"(2004). Price efficiency of futures in India (Working Paper No. 2004-01). Lucknow, India: Indian Institute of Management."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20178","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20178","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:07:28Z","timestamp":1625166448000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20178"}},"issued":{"date-parts":[[2005]]},"references-count":29,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2005,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20178","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T12:45:53Z","timestamp":1773924353903,"version":"3.50.1"},"reference-count":31,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2002,5,3]],"date-time":"2002-05-03T00:00:00Z","timestamp":1020384000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,7]]},"abstract":"Abstract<\/jats:title>Employing intraday data for futures and cash values for the S&P 500 over the 1993\u20131996 period, we\nattempt to characterize the lead\u2013lag relationship between these two markets and their basis behavior. Our\nfindings show evidence of pronounced futures leadership when markets are rising, with no feedback from the cash\nmarket. However, when markets are falling, futures leadership is less evident and significant feedback from the\ncash market is noted. We also provide evidence of a positive relationship between the basis and return volatility.\nWe offer an explanation, based on trader selectivity, for the leadership\u2010asymmetry and the\nbasis\u2013volatility relationship. \u00a9 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:649\u2013677, 2002<\/jats:p>","DOI":"10.1002\/fut.10026","type":"journal-article","created":{"date-parts":[[2004,6,30]],"date-time":"2004-06-30T16:03:39Z","timestamp":1088611419000},"page":"649-677","source":"Crossref","is-referenced-by-count":21,"title":["Index futures leadership, basis behavior, and trader selectivity"],"prefix":"10.1002","volume":"22","author":[{"given":"Arjun","family":"Chatrath","sequence":"first","affiliation":[]},{"given":"Rohan","family":"Christie\u2010David","sequence":"additional","affiliation":[]},{"given":"Kanwalroop K.","family":"Dhanda","sequence":"additional","affiliation":[]},{"given":"Timothy W.","family":"Koch","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,5,3]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(90)90012-O"},{"key":"e_1_2_1_3_1","unstructured":"Black F.(1976).Studies of stock price volatility changes. In Proceedings of the 1976 Meetings of the Business and Economic Statistics Section (pp177\u2013181). American Statistical Association."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_1_6_1","unstructured":"Brock W. Dechert W. &Scheinkman J.(1987).A test of independence based on the correlation dimension. Manuscript. Madison: University of Wisconsin\u2010Madison; and Chicago: University of Chicago."},{"key":"e_1_2_1_7_1","volume-title":"Nonlinear dynamics,\nchaos, and instability: Statistical theory and economic evidence","author":"Brock W. A.","year":"1993"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.657"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05174.x"},{"key":"e_1_2_1_11_1","first-page":"458","article-title":"The dynamics of the S&P 500 index and S&P 500 futures\nintraday price volatilities","volume":"9","author":"Cheung Y.","year":"1990","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/296591"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n1.48"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00338"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.2.175"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90030-F"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05149.x"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00072"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02401.x"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.17"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10026","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10026","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T12:42:29Z","timestamp":1700311349000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10026"}},"issued":{"date-parts":[[2002,5,3]]},"references-count":31,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2002,7]]}},"alternative-id":["10.1002\/fut.10026"],"URL":"https:\/\/doi.org\/10.1002\/fut.10026","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,5,3]]}},{"indexed":{"date-parts":[[2026,3,25]],"date-time":"2026-03-25T10:43:05Z","timestamp":1774435385349,"version":"3.50.1"},"reference-count":34,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7152,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,2]]},"DOI":"10.1002\/(sici)1096-9934(199602)16:1<1::aid-fut1>3.0.co;2-q","type":"journal-article","created":{"date-parts":[[2004,10,20]],"date-time":"2004-10-20T20:33:10Z","timestamp":1098304390000},"page":"1-27","source":"Crossref","is-referenced-by-count":648,"title":["Energy shocks and financial markets"],"prefix":"10.1002","volume":"16","author":[{"given":"Roger D.","family":"Huang","sequence":"first","affiliation":[]},{"given":"Ronald W.","family":"Masulis","sequence":"additional","affiliation":[]},{"given":"Hans R.","family":"Stoll","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB1","author":"Bailey","year":"1990","unstructured":"and (1990): \u201cEconomic Forces and Commodity Futures Prices: Further Evidence on Time-Varying Risk Premia\u201d Cornell University Working Paper."},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB2","author":"Bodie","year":"1980","unstructured":"and (1980, May\/June): \u201cRisk and Return in Commodity Futures\u201d Financial Analysts' Journal."},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB3","doi-asserted-by":"crossref","first-page":"705","DOI":"10.1002\/fut.3990070609","volume":"7","author":"Bopp","year":"1987","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB4","first-page":"231","volume":"44","author":"Breeden","year":"1989","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB5","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB6","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1093\/rfs\/4.4.657","volume":"4","author":"Chan","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB7","volume-title":"The NYMEX Crude Oil Futures Market: An Analysis of its Performance","author":"Chassard","year":"1986","unstructured":"and (1986): \u201cThe NYMEX Crude Oil Futures Market: An Analysis of its Performance\u201d Oxford Institute for Energy Studies."},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB8","doi-asserted-by":"crossref","first-page":"383","DOI":"10.1086\/296344","volume":"59","author":"Chen","year":"1986","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB9","doi-asserted-by":"crossref","first-page":"501","DOI":"10.1002\/fut.3990070505","volume":"7","author":"Chen","year":"1987","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB10","doi-asserted-by":"crossref","first-page":"597","DOI":"10.1093\/rfs\/4.4.597","volume":"4","author":"Conrad","year":"1991","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB11","first-page":"1307","volume":"87","author":"Dusak","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB12","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/0304-405X(77)90014-9","volume":"5","author":"Fama","year":"1977","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB13","first-page":"557","volume":"7","author":"Gemmill","year":"1988","journal-title":"Review of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB14","doi-asserted-by":"crossref","first-page":"959","DOI":"10.1111\/j.1540-6261.1990.tb05114.x","volume":"45","author":"Gibson","year":"1990","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB15","doi-asserted-by":"crossref","first-page":"111","DOI":"10.1016\/0161-8938(84)90053-X","volume":"6","author":"Gilbert","year":"1984","journal-title":"Journal of Policy Modeling"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB16","author":"Gjolberg","year":"1986","unstructured":"and (1986): \u201cThe Performance of the NYMEX Energy Futures Trade\u201d Center for the Study of Futures Markets, Columbia University, Working Paper 142."},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB17","doi-asserted-by":"crossref","first-page":"424","DOI":"10.2307\/1912791","volume":"37","author":"Granger","year":"1969","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB18","first-page":"483","volume-title":"Japanese Financial Market Research","author":"Hamao","year":"1991","unstructured":", and (1991): \u201cThe Effects of the 1987 Stock Crash on International Financial Integration\u201d in Japanese Financial Market Research, , and (eds.), Amsterdam: North-Holland, pp. 483\u2013502."},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB19","doi-asserted-by":"crossref","first-page":"228","DOI":"10.1086\/261140","volume":"91","author":"Hamilton","year":"1983","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB20","doi-asserted-by":"crossref","first-page":"829","DOI":"10.1086\/260910","volume":"88","author":"Hansen","year":"1980","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB21","author":"Jones","year":"1992","unstructured":"and (1992, November): \u201cOil and the Stock Markets,\u201d Working Paper, University of Michigan."},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB22","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1016\/0304-405X(87)90041-9","volume":"18","author":"Kaul","year":"1987","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB23","doi-asserted-by":"crossref","first-page":"173","DOI":"10.1016\/0304-3932(92)90011-P","volume":"29","author":"Kim","year":"1992","journal-title":"Journal of Monetary Economics"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB24","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1093\/rfs\/1.1.41","volume":"1","author":"Lo","year":"1988","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB25","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1093\/rfs\/3.2.175","volume":"3","author":"Lo","year":"1990","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB26","author":"Miller","year":"1991","unstructured":", and (1991, June 25): \u201cPredictability of S&P 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?\u201d Working Paper, University of Chicago."},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB27","doi-asserted-by":"crossref","first-page":"19","DOI":"10.5547\/ISSN0195-6574-EJ-Vol15-No4-2","volume":"15","author":"Mork","year":"1994","journal-title":"The Energy Journal"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB28","first-page":"250","volume":"3","author":"Ng","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB29","author":"Ng","year":"1992","unstructured":"and (1992, February): \u201cDisequilibrium Adjustment, Volatility, and Price Discovery: Spot-Futures Price Relations in Refined Petroleum Products\u201d Working Paper, University of Michigan."},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB30","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.1540-6261.1989.tb02401.x","volume":"44","author":"Ross","year":"1989","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB31","doi-asserted-by":"crossref","first-page":"5","DOI":"10.3905\/jpm.1982.408884","volume":"8","author":"Sharpe","year":"1982","journal-title":"Journal of Portfolio Management"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB32","first-page":"540","volume":"62","author":"Sims","year":"1972","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB33","doi-asserted-by":"crossref","first-page":"107","DOI":"10.2307\/2534318","volume":"1","author":"Sims","year":"1982","journal-title":"Brookings Papers on Economic Activity"},{"key":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q-BIB34","doi-asserted-by":"crossref","first-page":"441","DOI":"10.2307\/2331010","volume":"25","author":"Stoll","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199602)16:1%3C1::AID-FUT1%3E3.0.CO;2-Q","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199602)16:1%3C1::AID-FUT1%3E3.0.CO;2-Q","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,14]],"date-time":"2024-01-14T18:04:32Z","timestamp":1705255472000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q"}},"issued":{"date-parts":[[1996,2]]},"references-count":34,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1996,2]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199602)16:1<1::aid-fut1>3.0.co;2-q","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,2]]}},{"indexed":{"date-parts":[[2026,3,31]],"date-time":"2026-03-31T07:48:16Z","timestamp":1774943296552,"version":"3.50.1"},"reference-count":97,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2024,8,5]],"date-time":"2024-08-05T00:00:00Z","timestamp":1722816000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,11]]},"abstract":"ABSTRACT<\/jats:title>Existing studies on commodity market risk spillovers recognize the pivotal role of geopolitical risk (GPR), but scarcely address how it drives tail risk spillover networks. This study adopts the Tail\u2010Event driven NETwork methodology to explore high\u2010dimensional Conditional Value at Risk (CoVaR) spillovers within energy and other strategic commodity markets. Our findings indicate that (1) In both lower and upper tail networks, metal and food commodities primarily act as net risk transmitters, whereas energy commodities are mainly net risk receivers. Additionally, these roles undergo short\u2010term reversals during periods of heightened market uncertainty. (2) There exists an asymmetrical pattern of CoVaR co\u2010movements in these commodity markets. The total connectedness (TC) in both the upper and lower tails demonstrates distinct responses to various extreme events. GPR tends to weaken the lower tail TC and strengthen the upper tail. (3) Incorporating GPR substantially improves the effectiveness of Minimum Connectedness Portfolio (MCoP) for these strategic commodities.<\/jats:p>","DOI":"10.1002\/fut.22548","type":"journal-article","created":{"date-parts":[[2024,8,6]],"date-time":"2024-08-06T06:11:13Z","timestamp":1722924673000},"page":"1787-1806","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High\u2010Dimensional CoVaR Model"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-2797-562X","authenticated-orcid":false,"given":"Qingying","family":"Zheng","sequence":"first","affiliation":[{"name":"School of Economics Fujian Normal University Fuzhou China"}]},{"given":"Jintao","family":"Wu","sequence":"additional","affiliation":[{"name":"School of Economics Fujian Normal University Fuzhou China"}]},{"given":"Boqiang","family":"Lin","sequence":"additional","affiliation":[{"name":"China Institute for Studies in Energy Policy, School of Management Xiamen University Xiamen China"}]}],"member":"311","published-online":{"date-parts":[[2024,8,5]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103419"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/10916466.2014.984075"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2023.106279"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102877"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102963"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20120555"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2020.117762"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2015.11.005"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2017.07.017"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.105933"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102679"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106727"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105823"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2022.04.009"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2017.05.002"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102920"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1017\/ajil.2022.53"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-92957-2_9"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.104144"},{"key":"e_1_2_13_21_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20191823"},{"key":"e_1_2_13_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.09.024"},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102874"},{"key":"e_1_2_13_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102577"},{"key":"e_1_2_13_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103296"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22398"},{"key":"e_1_2_13_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106605"},{"key":"e_1_2_13_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103775"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.003"},{"key":"e_1_2_13_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102520"},{"key":"e_1_2_13_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104832"},{"key":"e_1_2_13_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/10242694.2018.1563854"},{"key":"e_1_2_13_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103575"},{"key":"e_1_2_13_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_13_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.104161"},{"key":"e_1_2_13_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103367"},{"key":"e_1_2_13_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106680"},{"key":"e_1_2_13_38_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2020.1857329"},{"key":"e_1_2_13_39_1","doi-asserted-by":"publisher","DOI":"10.5547\/2160-5890.12.1.melg"},{"key":"e_1_2_13_40_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2014.899678"},{"key":"e_1_2_13_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103957"},{"key":"e_1_2_13_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103264"},{"key":"e_1_2_13_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.105962"},{"key":"e_1_2_13_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2012.01.070"},{"key":"e_1_2_13_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103339"},{"key":"e_1_2_13_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101703"},{"key":"e_1_2_13_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106028"},{"key":"e_1_2_13_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103495"},{"key":"e_1_2_13_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103791"},{"key":"e_1_2_13_50_1","doi-asserted-by":"crossref","unstructured":"Guenette J. D. P. G.Kenworthy andC. M.Wheeler 2022.Implications of the War in Ukraine for the Global Economy. World Bank Group.https:\/\/doi.org\/10.1596\/37372.","DOI":"10.1596\/37372"},{"key":"e_1_2_13_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106422"},{"key":"e_1_2_13_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103567"},{"key":"e_1_2_13_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.02.013"},{"key":"e_1_2_13_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101813"},{"key":"e_1_2_13_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.bir.2022.09.005"},{"key":"e_1_2_13_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2022.123320"},{"key":"e_1_2_13_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2023.101905"},{"key":"e_1_2_13_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101617"},{"key":"e_1_2_13_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2023.128449"},{"key":"e_1_2_13_60_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.1053"},{"key":"e_1_2_13_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106787"},{"key":"e_1_2_13_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.107090"},{"key":"e_1_2_13_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102733"},{"key":"e_1_2_13_64_1","doi-asserted-by":"publisher","DOI":"10.1111\/twec.13336"},{"key":"e_1_2_13_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106054"},{"key":"e_1_2_13_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104548"},{"key":"e_1_2_13_67_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pone.0296501"},{"key":"e_1_2_13_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.105083"},{"key":"e_1_2_13_69_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-022-00341-w"},{"key":"e_1_2_13_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104624"},{"key":"e_1_2_13_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102715"},{"key":"e_1_2_13_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102375"},{"key":"e_1_2_13_73_1","doi-asserted-by":"publisher","DOI":"10.1080\/23322039.2022.2049477"},{"key":"e_1_2_13_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2023.129759"},{"key":"e_1_2_13_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106446"},{"key":"e_1_2_13_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2023.06.008"},{"key":"e_1_2_13_77_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105758"},{"key":"e_1_2_13_78_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2015.08.018"},{"key":"e_1_2_13_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2022.101809"},{"key":"e_1_2_13_80_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pone.0290983"},{"key":"e_1_2_13_81_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106564"},{"key":"e_1_2_13_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.bir.2023.05.007"},{"key":"e_1_2_13_83_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2022.05.002"},{"key":"e_1_2_13_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.10.025"},{"key":"e_1_2_13_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103103"},{"key":"e_1_2_13_86_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.105017"},{"key":"e_1_2_13_87_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.105913"},{"key":"e_1_2_13_88_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2018.03.074"},{"key":"e_1_2_13_89_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.renene.2023.119142"},{"key":"e_1_2_13_90_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106235"},{"key":"e_1_2_13_91_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104529"},{"key":"e_1_2_13_92_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.105937"},{"key":"e_1_2_13_93_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103866"},{"key":"e_1_2_13_94_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2022.126564"},{"key":"e_1_2_13_95_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.egyr.2022.05.186"},{"key":"e_1_2_13_96_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106732"},{"key":"e_1_2_13_97_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2021.120050"},{"key":"e_1_2_13_98_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103568"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22548","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,10,9]],"date-time":"2024-10-09T04:49:40Z","timestamp":1728449380000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22548"}},"issued":{"date-parts":[[2024,8,5]]},"references-count":97,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2024,11]]}},"alternative-id":["10.1002\/fut.22548"],"URL":"https:\/\/doi.org\/10.1002\/fut.22548","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,8,5]]},"assertion":[{"value":"2024-02-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-15","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-08-05","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,4,8]],"date-time":"2025-04-08T04:27:02Z","timestamp":1744086422039,"version":"3.40.3"},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2025,4,7]],"date-time":"2025-04-07T00:00:00Z","timestamp":1743984000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,5]]},"DOI":"10.1002\/fut.22521","type":"journal-article","created":{"date-parts":[[2025,4,7]],"date-time":"2025-04-07T23:52:32Z","timestamp":1744069952000},"page":"393-393","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 45, Number 5, May 2025"],"prefix":"10.1002","volume":"45","member":"311","published-online":{"date-parts":[[2025,4,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22521","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,4,7]],"date-time":"2025-04-07T23:52:33Z","timestamp":1744069953000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22521"}},"issued":{"date-parts":[[2025,4,7]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2025,5]]}},"alternative-id":["10.1002\/fut.22521"],"URL":"https:\/\/doi.org\/10.1002\/fut.22521","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,4,7]]},"assertion":[{"value":"2025-04-07","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:11:02Z","timestamp":1698009062096},"reference-count":6,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7390,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,6]]},"DOI":"10.1002\/fut.3990060205","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:36:00Z","timestamp":1183613760000},"page":"223-230","source":"Crossref","is-referenced-by-count":0,"title":["Predicting changes in T\u2010bond futures spreads using implied yields from T\u2010bill futures"],"prefix":"10.1002","volume":"6","author":[{"given":"Charles A.","family":"Akemann","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Akemann C. A.andKeller W. E.(1985): \u201cCash and Carry in Treasury Bond Futures: A Comparison of Two Data Sources\u201d Working Paper 104 Columbia Center for Futures Markets."},{"key":"e_1_2_1_3_1","volume-title":"The Random Character of Stock Market Prices","author":"Cootner P. H.","year":"1964"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb05004.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Lang R. W.andRasche R. H.(1978): \u201cA Comparison of Yields on Futures Contracts and Implied Forward Rates\u201d Federal Reserve Bank of St. Louis Review:21\u201330.","DOI":"10.20955\/r.60.21-30.pgo"},{"key":"e_1_2_1_6_1","first-page":"88","article-title":"The Relationship Between Futures Prices for US Treasury Bonds","volume":"3","author":"Resnick B. G.","year":"1984","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_7_1","unstructured":"Yardeni E. E.(1981): \u201cManaging Interest Rate Risk with Bond Futures \u201d Working Paper 10 Columbia Center for Futures Markets."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060205","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060205","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:00:55Z","timestamp":1697914855000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060205"}},"issued":{"date-parts":[[1986,6]]},"references-count":6,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1986,6]]}},"alternative-id":["10.1002\/fut.3990060205"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060205","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,6]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T04:59:30Z","timestamp":1698037170667},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5687,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,2]]},"DOI":"10.1002\/fut.3990110101","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T16:18:24Z","timestamp":1183652304000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"11","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110101","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110101","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:41:34Z","timestamp":1698014494000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110101"}},"issued":{"date-parts":[[1991,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1991,2]]}},"alternative-id":["10.1002\/fut.3990110101"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110101","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,2]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T04:59:41Z","timestamp":1698037181360},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,2]]},"DOI":"10.1002\/fut.3990100101","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:23:26Z","timestamp":1183641806000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"10","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100101","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100101","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:44:43Z","timestamp":1697993083000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100101"}},"issued":{"date-parts":[[1990,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1990,2]]}},"alternative-id":["10.1002\/fut.3990100101"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100101","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,2]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:10:32Z","timestamp":1697955032260},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6780,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,2]]},"DOI":"10.1002\/fut.3990080112","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:54:50Z","timestamp":1183629290000},"page":"123-126","source":"Crossref","is-referenced-by-count":0,"title":["Futures Bibliography"],"prefix":"10.1002","volume":"8","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080112","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080112","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T23:29:39Z","timestamp":1697930979000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080112"}},"issued":{"date-parts":[[1988,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1988,2]]}},"alternative-id":["10.1002\/fut.3990080112"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080112","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,2]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:40:18Z","timestamp":1697956818768},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6476,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,12]]},"DOI":"10.1002\/fut.3990080609","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T10:48:26Z","timestamp":1183632506000},"page":"737-737","source":"Crossref","is-referenced-by-count":0,"title":["Forthcoming Articles"],"prefix":"10.1002","volume":"8","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080609","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080609","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T03:56:37Z","timestamp":1697860597000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080609"}},"issued":{"date-parts":[[1988,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1988,12]]}},"alternative-id":["10.1002\/fut.3990080609"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080609","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,12]]}},{"indexed":{"date-parts":[[2025,4,28]],"date-time":"2025-04-28T07:05:34Z","timestamp":1745823934355,"version":"3.37.3"},"reference-count":26,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2022,2,28]],"date-time":"2022-02-28T00:00:00Z","timestamp":1646006400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,5]]},"abstract":"Abstract<\/jats:title>In this paper, we first develop a theoretical and model\u2010free VXX\u00a0formula in terms of Volatility Index (VIX) futures in both discrete and continuous forms. The discrete form of VXX can quantify the roll yield of VXX, which can be used to explain VXX's underperformance. Using the log\u2010normal Ornstein\u2013Uhlenbeck (LOU) diffusion model, we show how the number of rolls of VIX futures affects the VXX option pricing formula and its implied volatility (IV). To further verify the nonflat IV of VXX, the VXX option pricing formula under the LOU with stochastic volatility model is also derived. Finally, we analyze their pricing performance, and the ability to forecast implied volatilities.<\/jats:p>","DOI":"10.1002\/fut.22313","type":"journal-article","created":{"date-parts":[[2022,2,28]],"date-time":"2022-02-28T08:49:19Z","timestamp":1646038159000},"page":"888-922","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Pricing VXX options by modeling VIX directly"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-7822-1458","authenticated-orcid":false,"given":"Wei","family":"Lin","sequence":"first","affiliation":[{"name":"School of Mathematics Hangzhou Normal University NO. 2318, Yuhangtang Road, Yuhang District Hangzhou Zhejiang Province China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8556-474X","authenticated-orcid":false,"given":"Jin E.","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Accountancy and Finance, Otago Business School University of Otago Dunedin New Zealand"}]}],"member":"311","published-online":{"date-parts":[[2022,2,28]]},"reference":[{"key":"e_1_2_14_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2012.06.006"},{"key":"e_1_2_14_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_14_4_1","unstructured":"Bloomberg. (2020a). iPath Series B S&P 500 VIX Short\u2010Term Futures ETN.https:\/\/www.bloomberg.com\/"},{"key":"e_1_2_14_5_1","unstructured":"Bloomberg. (2020b). iPath Series S&P 500 VIX Short\u2010Term Futures ETN.https:\/\/www.bloomberg.com\/"},{"key":"e_1_2_14_6_1","unstructured":"Bloomberg. (2020c). VIX Index.https:\/\/www.bloomberg.com\/"},{"key":"e_1_2_14_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22218"},{"key":"e_1_2_14_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq032"},{"key":"e_1_2_14_9_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009814324980"},{"key":"e_1_2_14_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_14_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21913"},{"key":"e_1_2_14_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1646402"},{"key":"e_1_2_14_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22145"},{"key":"e_1_2_14_14_1","doi-asserted-by":"crossref","unstructured":"Grasselli M. Mazzoran A. &Pallavicini A.(2020). A general framework for a joint calibration of VIX and VXX options. Available at SSRN 3749995.","DOI":"10.2139\/ssrn.3749995"},{"key":"e_1_2_14_15_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024920500338"},{"key":"e_1_2_14_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90100-8"},{"key":"e_1_2_14_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_14_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90092-8"},{"key":"e_1_2_14_19_1","unstructured":"OptionMetrics. (2020a). VIX options.https:\/\/optionmetrics.com\/data-products\/"},{"key":"e_1_2_14_20_1","unstructured":"OptionMetrics. (2020b). VXX options.https:\/\/optionmetrics.com\/data-products\/"},{"key":"e_1_2_14_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"key":"e_1_2_14_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22182"},{"key":"e_1_2_14_23_1","doi-asserted-by":"publisher","DOI":"10.3390\/risks6020046"},{"key":"e_1_2_14_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90009-2"},{"key":"e_1_2_14_25_1","doi-asserted-by":"publisher","DOI":"10.1201\/9781420035339"},{"key":"e_1_2_14_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601173444"},{"key":"e_1_2_14_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22313","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22313","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22313","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T19:20:00Z","timestamp":1692991200000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22313"}},"issued":{"date-parts":[[2022,2,28]]},"references-count":26,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2022,5]]}},"alternative-id":["10.1002\/fut.22313"],"URL":"https:\/\/doi.org\/10.1002\/fut.22313","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,2,28]]},"assertion":[{"value":"2021-04-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-01-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-02-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,4,28]],"date-time":"2025-04-28T07:05:51Z","timestamp":1745823951157,"version":"3.37.3"},"reference-count":39,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2024,8,19]],"date-time":"2024-08-19T00:00:00Z","timestamp":1724025600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,11]]},"abstract":"ABSTRACT<\/jats:title>This article studies the pricing of VIX futures and options by directly modeling the dynamics of VIX, based on realized semivariances computed from high\u2010frequency data of VIX. We derive the closed\u2010form pricing formula for both the VIX futures and options. The empirical results show that the new model provides superior pricing performance compared with the model based on conventional unsigned realized variance and the classic Heston\u2010Nandi GARCH model, both in sample and out of sample. Our study confirms that the decomposition of realized variance into upside and downside components helps to improve the pricing performance for VIX futures and options.<\/jats:p>","DOI":"10.1002\/fut.22545","type":"journal-article","created":{"date-parts":[[2024,8,19]],"date-time":"2024-08-19T07:49:07Z","timestamp":1724053747000},"page":"1832-1847","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Pricing VIX Futures and Options With Good and Bad Volatility of Volatility"],"prefix":"10.1002","volume":"44","author":[{"given":"Zhiyu","family":"Guo","sequence":"first","affiliation":[{"name":"School of International Economics China Foreign Affairs University Beijing China"},{"name":"Institute of Digital Finance Peking University Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3336-5706","authenticated-orcid":false,"given":"Zhuo","family":"Huang","sequence":"additional","affiliation":[{"name":"Institute of Digital Finance Peking University Beijing China"},{"name":"China Center for Economic Research, National School of Development Peking University Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3065-5978","authenticated-orcid":false,"given":"Chen","family":"Tong","sequence":"additional","affiliation":[{"name":"Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics (WISE) Xiamen University Xiamen China"},{"name":"Laboratory of Digital Finance Xiamen University Xiamen China"}]}],"member":"311","published-online":{"date-parts":[[2024,8,19]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.02.018"},{"key":"e_1_2_11_3_1","doi-asserted-by":"crossref","unstructured":"Barndorff\u2010Nielsen O. E. S.Kinnebrouk andN.Shephard.2010. \u201cMeasuring Downside Risk: Realised Semivariance.\u201d InVolatility and Time Series Econometrics: Essays in Honor of Robert F. Engle edited by T. Bollerslev J. Russell and M. Watson 117\u2013136. Oxford England: Oxford University Press.","DOI":"10.1093\/acprof:oso\/9780199549498.003.0007"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22157"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000428"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0276"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq032"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000777"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00506.x"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00034-8"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbac033"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs026"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22344"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22092"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10203-011-0124-0"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20291"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20387"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22037"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00503"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22439"},{"key":"e_1_2_11_25_1","first-page":"84","article-title":"VIX Option Pricing in a Jump\u2010Diffusion Model","author":"Sepp A.","year":"2008","journal-title":"Risk Magazine"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.06.024"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2024.105115"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22338"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22201"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2022.1.174"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22278"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105845"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2021.2016592"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21820"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22183"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"},{"key":"e_1_2_11_37_1","unstructured":"CBOE VIX Index.2024. [dataset].https:\/\/www.cboe.com\/tradable_products\/vix\/vix_historical_data\/."},{"key":"e_1_2_11_38_1","unstructured":"CBOE VIX Futures.2024. [dataset].https:\/\/www.cboe.com\/us\/futures\/market_statistics\/historical_data\/."},{"key":"e_1_2_11_39_1","unstructured":"CBOE VIX Options.2024. [dataset]. Option Metrics of Wharton Research Data Services (WRDS).https:\/\/wrds-www.wharton.upenn.edu."},{"key":"e_1_2_11_40_1","unstructured":"High\u2010frequency VIX Data.2023. [dataset].https:\/\/www.tickdata.com."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22545","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,10,9]],"date-time":"2024-10-09T04:49:24Z","timestamp":1728449364000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22545"}},"issued":{"date-parts":[[2024,8,19]]},"references-count":39,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2024,11]]}},"alternative-id":["10.1002\/fut.22545"],"URL":"https:\/\/doi.org\/10.1002\/fut.22545","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2024,8,19]]},"assertion":[{"value":"2024-01-19","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-13","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-08-19","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T05:10:04Z","timestamp":1695964204610},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2008,2,24]],"date-time":"2008-02-24T00:00:00Z","timestamp":1203811200000},"content-version":"vor","delay-in-days":5685,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,8]]},"DOI":"10.1002\/fut.3990120410","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:18:59Z","timestamp":1183663139000},"page":"491-491","source":"Crossref","is-referenced-by-count":0,"title":["Erratum"],"prefix":"10.1002","volume":"12","member":"311","published-online":{"date-parts":[[2008,2,24]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120410","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120410","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120410","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,28]],"date-time":"2023-09-28T02:55:13Z","timestamp":1695869713000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120410"}},"issued":{"date-parts":[[1992,8]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1992,8]]}},"alternative-id":["10.1002\/fut.3990120410"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120410","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,8]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T08:31:31Z","timestamp":1697963491677},"reference-count":14,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7298,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,9]]},"DOI":"10.1002\/fut.3990060303","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:41:35Z","timestamp":1183614095000},"page":"375-383","source":"Crossref","is-referenced-by-count":2,"title":["The effect of monetary surprises on financial futures prices"],"prefix":"10.1002","volume":"6","author":[{"given":"R. S.","family":"Woodward","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/295634"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913889"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1991675"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(82)90015-8"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/296183"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Frenkel J. A.andHardouvelis G. A.(1983 July): \u201cCommodity Prices Overshooting Money Surprises and Fed Credibility \u201d NBER Working Paper No. 1121.","DOI":"10.3386\/w1121"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1991932"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(84)90061-8"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02303.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/295425"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/294980"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992485"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01076.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060303","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060303","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:11:38Z","timestamp":1697915498000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060303"}},"issued":{"date-parts":[[1986,9]]},"references-count":14,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1986,9]]}},"alternative-id":["10.1002\/fut.3990060303"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060303","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,9]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T15:21:56Z","timestamp":1700320916573},"reference-count":8,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,9,15]],"date-time":"2006-09-15T00:00:00Z","timestamp":1158278400000},"content-version":"vor","delay-in-days":6254,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,8]]},"DOI":"10.1002\/fut.3990090404","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:46:55Z","timestamp":1183639615000},"page":"297-305","source":"Crossref","is-referenced-by-count":5,"title":["Evidence on the effect of information and noise trading on intraday gold futures returns"],"prefix":"10.1002","volume":"9","author":[{"given":"Beni","family":"Lauterbach","sequence":"first","affiliation":[]},{"given":"Margaret","family":"Monroe","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,15]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04567.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04513.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Delong B. J.;Shleifer A.;Summers L. H.; andWaldmann R. J.(1987): \u201cThe Economic Consequences of Noise Traders \u201d Center for Research in Security Prices Working Paper #218.","DOI":"10.3386\/w2395"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/294743"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330874"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb03495.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090404","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090404","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:18:01Z","timestamp":1697991481000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090404"}},"issued":{"date-parts":[[1989,8]]},"references-count":8,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1989,8]]}},"alternative-id":["10.1002\/fut.3990090404"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090404","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,8]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:35Z","timestamp":1698043235697},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":9405,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,12]]},"DOI":"10.1002\/fut.v9:6","type":"journal-issue","created":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:11:57Z","timestamp":1697980317000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"9","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v9:6","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v9:6","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:11:57Z","timestamp":1697980317000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/9\/6"}},"issued":{"date-parts":[[1989,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1989,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v9:6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,12]]}},{"indexed":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T04:57:37Z","timestamp":1694667457190},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2017,9,2]],"date-time":"2017-09-02T00:00:00Z","timestamp":1504310400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,10]]},"DOI":"10.1002\/fut.21864","type":"journal-article","created":{"date-parts":[[2017,9,2]],"date-time":"2017-09-02T17:05:46Z","timestamp":1504371946000},"page":"963-963","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"37","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2017,9,2]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21864","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21864","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T16:22:36Z","timestamp":1694622156000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21864"}},"issued":{"date-parts":[[2017,9,2]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2017,10]]}},"alternative-id":["10.1002\/fut.21864"],"URL":"https:\/\/doi.org\/10.1002\/fut.21864","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,9,2]]}},{"indexed":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T17:22:00Z","timestamp":1698254520535},"reference-count":39,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":7633,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,12]]},"DOI":"10.1002\/fut.3990050402","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:33:45Z","timestamp":1183613625000},"page":"505-515","source":"Crossref","is-referenced-by-count":9,"title":["Reexamination of Normal Backwardation Hypothesis in Futures Markets"],"prefix":"10.1002","volume":"5","author":[{"given":"Hun Y.","family":"Park","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/3439350"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010203"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050113"},{"key":"e_1_2_1_5_1","unstructured":"Bodie Z. andRosansky V.(1979): \u201cRisk and Return in Commodity Futures \u201d Working Paper of CSFM Columbia Business School."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_7_1","volume-title":"Futures Market and Commodity Options","author":"Breeden D.","year":"1979"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02182.x"},{"key":"e_1_2_1_9_1","first-page":"2","article-title":"The Treasury Bill Futures Markets and Market Expectations of Interest Rates","volume":"59","author":"Burger A.","year":"1977","journal-title":"Federal Reserve Bank of St. Louis"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/261148"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/258347"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90029-0"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Dusak K.(1973 October): \u201cFutures Trading and Investor Return: An Investigation of Commodity Markets Risk Premiums \u201dJournal of Political Economy 1387\u20131406.","DOI":"10.1086\/260133"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90052-1"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1926062"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Grossman S. andShiller R.(1981 May): \u201cThe Determinants of the Variability of Stock Market Prices \u201dAmerican Economic Review 222\u2013227.","DOI":"10.3386\/w0564"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/261141"},{"key":"e_1_2_1_19_1","volume-title":"Risk and Risk Bearing","author":"Hardy C.","year":"1940"},{"key":"e_1_2_1_20_1","volume-title":"Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory","author":"Hicks J.","year":"1939"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884690"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Houthakker H.(1957 May): \u201cCan Speculators Forecast Prices \u201dReview of Economics and Statistics.","DOI":"10.2307\/1928531"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90004-0"},{"key":"e_1_2_1_24_1","volume-title":"A Treatise on Money","author":"Keynes J.","year":"1930"},{"key":"e_1_2_1_25_1","doi-asserted-by":"crossref","unstructured":"LeRoy S.(1982 March): \u201cExpectations Models of Asset Prices: A Survey of Theory \u201dJournal of Finance 185\u2013217.","DOI":"10.1111\/j.1540-6261.1982.tb01103.x"},{"key":"e_1_2_1_26_1","volume-title":"A Theory of Forward and Futures Prices","author":"Margrabe W.","year":"1978"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020207"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2525780"},{"key":"e_1_2_1_29_1","unstructured":"Park H.(1982): \u201cRelations Among Forward Futures and Expected Spot Prices: A Note \u201d Working paper University of Illinois at Urbana\u2010Champaign."},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050108"},{"key":"e_1_2_1_31_1","unstructured":"Poole W.(1978 Spring): \u201cUsing T\u2010bill Futures to Gauge Interest Rate Expectations \u201dFederal Reserve Bank of San Francisco 7\u201316."},{"key":"e_1_2_1_32_1","doi-asserted-by":"crossref","first-page":"895","DOI":"10.1111\/j.1540-6261.1979.tb03443.x","article-title":"The Efficiency of the Treasury Bill Futures Markets","volume":"36","author":"Rendleman R.","year":"1979","journal-title":"Journal of Finance"},{"key":"e_1_2_1_33_1","unstructured":"Richard S. andSundaresan M.(1979): \u201cA Continuous Time Equilibrium Model of Commodity Prices in a Multigood Economy \u201d Working paper Carnegie\u2010Mellon University."},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90003-9"},{"key":"e_1_2_1_35_1","first-page":"107","article-title":"Normal Backwardation, Forecasting and the Returns to Commodity Futures Traders","volume":"8","author":"Rockwell C.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_36_1","unstructured":"Samuelson P.(1965 Spring): \u201cProof that Properly Anticipated Prices Fluctuate Randomly \u201dIndustrial Management Review 41\u201349."},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010216"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020208"},{"key":"e_1_2_1_40_1","first-page":"314","article-title":"Futures Trading and Hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050402","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050402","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:09:25Z","timestamp":1697774965000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050402"}},"issued":{"date-parts":[[1985,12]]},"references-count":39,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1985,12]]}},"alternative-id":["10.1002\/fut.3990050402"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050402","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,12]]}},{"indexed":{"date-parts":[[2023,9,11]],"date-time":"2023-09-11T21:06:56Z","timestamp":1694466416541},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2019,6,4]],"date-time":"2019-06-04T00:00:00Z","timestamp":1559606400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,7]]},"DOI":"10.1002\/fut.21948","type":"journal-article","created":{"date-parts":[[2019,6,4]],"date-time":"2019-06-04T11:52:24Z","timestamp":1559649144000},"page":"777-778","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 39, Number 7, July 2019"],"prefix":"10.1002","volume":"39","member":"311","published-online":{"date-parts":[[2019,6,4]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21948","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21948","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21948","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T16:18:43Z","timestamp":1694362723000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21948"}},"issued":{"date-parts":[[2019,6,4]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2019,7]]}},"alternative-id":["10.1002\/fut.21948"],"URL":"https:\/\/doi.org\/10.1002\/fut.21948","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,6,4]]},"assertion":[{"value":"2019-06-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T06:10:18Z","timestamp":1698127818122},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5567,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,6]]},"DOI":"10.1002\/fut.3990110301","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T17:26:10Z","timestamp":1183656370000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"11","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110301","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110301","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:25:50Z","timestamp":1698060350000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110301"}},"issued":{"date-parts":[[1991,6]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1991,6]]}},"alternative-id":["10.1002\/fut.3990110301"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110301","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,6]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T15:31:59Z","timestamp":1700321519505},"reference-count":22,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4410,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,8]]},"DOI":"10.1002\/fut.3990140508","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:26:45Z","timestamp":1183685205000},"page":"619-635","source":"Crossref","is-referenced-by-count":16,"title":["Nonconstant optimal hedge ratio estimation and nested hypotheses tests"],"prefix":"10.1002","volume":"14","author":[{"given":"Kevin P.","family":"McNew","sequence":"first","affiliation":[]},{"given":"Paul L.","family":"Fackler","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2298012"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_7_1","volume-title":"Estimation and Inference in Econometrics","author":"Davidson R.","year":"1993"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349486"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060102"},{"key":"e_1_2_1_11_1","first-page":"25","article-title":"Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding","volume":"24","author":"Heifner R. G.","year":"1972","journal-title":"Agricultural Economic Research"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1980.10477450"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240514"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330874"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242663"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110509"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238403"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/71.3.599"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938337"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.2.3.147"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242584"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140508","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140508","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T16:58:15Z","timestamp":1698166695000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140508"}},"issued":{"date-parts":[[1994,8]]},"references-count":22,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1994,8]]}},"alternative-id":["10.1002\/fut.3990140508"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140508","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,8]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T05:19:16Z","timestamp":1698124756573},"reference-count":34,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5322,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,2]]},"DOI":"10.1002\/fut.3990120110","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:57:55Z","timestamp":1183661875000},"page":"105-115","source":"Crossref","is-referenced-by-count":0,"title":["Optimal futures positions for life insurance companies"],"prefix":"10.1002","volume":"12","author":[{"given":"Hamid","family":"Rahman","sequence":"first","affiliation":[]},{"given":"Mohammad","family":"Najand","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2232798"},{"key":"e_1_2_1_3_1","volume-title":"Essays in the Theory of Risk\u2010Bearing","author":"Arrow K.","year":"1970"},{"key":"e_1_2_1_4_1","first-page":"13","article-title":"Duration: Its Development and Use in Bond Portfolio Management","volume":"39","author":"Bierwarg G. O.","year":"1983","journal-title":"Financial Analyst Journal"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/252630"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_7_1","first-page":"30","article-title":"Hedging the Future","volume":"84","author":"Edmonds C. P.","year":"1983","journal-title":"Best's Review (Life\/Health)"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/252556"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/253371"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_11_1","unstructured":"Freifelder L. R.(1976): A Decision Theoretic Approach to Insurance Rate Making Monograph No. 4 S. S. Huebner Foundation Monograph Series Wharton School University of Pennsylvania."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1983.tb00327.x"},{"key":"e_1_2_1_13_1","first-page":"304","article-title":"Authorized Hedging Strategies for Insurance Companies: Status in California, Connecticut, Illinois and New York","volume":"52","author":"Gottlieb P. M.","year":"1985","journal-title":"Insurance Counsel Journal"},{"key":"e_1_2_1_14_1","first-page":"393","article-title":"On the Impossibility of Informationally Efficient Markets","volume":"70","author":"Grossman S.","year":"1980","journal-title":"The American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/251726"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296480"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/251517"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(77)90007-3"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.23.10.1060"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/252329"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04947.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/252514"},{"key":"e_1_2_1_23_1","volume-title":"Life and Life Insurance","author":"Lovelace G. M.","year":"1961"},{"key":"e_1_2_1_24_1","volume-title":"Life Insurance Theory and Practice","author":"Mehr R. I.","year":"1970"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(86)80001-2"},{"key":"e_1_2_1_26_1","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1111\/j.1540-6261.1988.tb02596.x","article-title":"Optimal Futures Positions for Large Banking Firms","volume":"42","author":"Morgan G. E.","year":"1988","journal-title":"Journal of Finance"},{"key":"e_1_2_1_27_1","unstructured":"Rahman H.(1987): \u201cManaging Interest Rate Sensitivity in Life Insurance Companies.\u201d Unpublished Ph. D. dissertation Syracuse University."},{"key":"e_1_2_1_28_1","doi-asserted-by":"crossref","unstructured":"Redington F. M.(1952): \u201cReview of the Principles of Life\u2010Office Valuation \u201dJournal of the Institute of Actuaries 286\u2013315.","DOI":"10.1017\/S0020268100052811"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992092"},{"key":"e_1_2_1_30_1","volume-title":"Financial Futures","author":"Schwarz E. W.","year":"1986"},{"key":"e_1_2_1_31_1","first-page":"64","article-title":"Barriers Insurance Companies Still Face Using Futures","volume":"15","author":"Szala G.","year":"1986","journal-title":"Futures: The Magazine of Commodities and Options"},{"key":"e_1_2_1_32_1","first-page":"263","article-title":"The Matching of Assets and Liabilities","volume":"32","author":"Tilley J. A.","year":"1980","journal-title":"Transactions of the Society of Actuaries"},{"key":"e_1_2_1_33_1","article-title":"The Interest Rate Assumption and the Maturity Structure of the Assets of a Life Insurance Company","volume":"24","author":"Vanderhoof I. T.","year":"1972","journal-title":"Transactions of the Society of Actuaries"},{"key":"e_1_2_1_34_1","series-title":"Salmon Brothers Center Series on Financial Institutions and Markets","first-page":"99","volume-title":"Emerging Financial Service Industry","author":"Weinberger A.","year":"1984"},{"key":"e_1_2_1_35_1","volume-title":"Risk Management and Insurance","author":"Williams A. C.","year":"1989"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120110","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120110","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:25:51Z","timestamp":1698074751000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120110"}},"issued":{"date-parts":[[1992,2]]},"references-count":34,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1992,2]]}},"alternative-id":["10.1002\/fut.3990120110"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120110","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,2]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T00:57:50Z","timestamp":1698281870923},"reference-count":13,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6172,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,10]]},"DOI":"10.1002\/fut.3990090509","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:46:24Z","timestamp":1183639584000},"page":"469-475","source":"Crossref","is-referenced-by-count":12,"title":["Measuring hedging effectiveness with R<\/i>2<\/sup>: A note"],"prefix":"10.1002","volume":"9","author":[{"given":"Mary","family":"Lindahl","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241069"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030406"},{"key":"e_1_2_1_7_1","first-page":"279","volume-title":"Advances in Futures and Options Research","author":"Junkus Joan C.","year":"1987"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030402"},{"key":"e_1_2_1_9_1","first-page":"279","article-title":"A Measure of Ex Ante Hedging Effectiveness for the Treasury Bill and Treasury Bond Futures Markets","volume":"2","author":"Lasser D. J.","year":"1987","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080307"},{"key":"e_1_2_1_11_1","unstructured":"Wilson W. W.(1984): \u201cHedging Effectiveness of U. S. Wheat Futures Markets \u201dReview of Research in Futures Markets 64\u201379."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070204"},{"key":"e_1_2_1_13_1","first-page":"54","article-title":"Hedging Reconsidered","volume":"35","author":"Working. Holbrook","year":"1953","journal-title":"Journal of Farm Economics"},{"key":"e_1_2_1_14_1","first-page":"431","article-title":"New Concepts Concerning Futures Markets and Prices","volume":"52","author":"Working, Holbrook","year":"1962","journal-title":"American Economics Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090509","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090509","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:28:44Z","timestamp":1697992124000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090509"}},"issued":{"date-parts":[[1989,10]]},"references-count":13,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1989,10]]}},"alternative-id":["10.1002\/fut.3990090509"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090509","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,10]]}},{"indexed":{"date-parts":[[2023,11,20]],"date-time":"2023-11-20T00:10:19Z","timestamp":1700439019030},"reference-count":0,"publisher":"Wiley","issue":"9","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,9]]},"DOI":"10.1002\/fut.v21:9","type":"journal-issue","created":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T15:43:07Z","timestamp":1700408587000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"21","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T15:43:08Z","timestamp":1700408588000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/21\/9"}},"issued":{"date-parts":[[2001,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2001,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v21:9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,9]]}},{"indexed":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T09:22:15Z","timestamp":1698225735846},"reference-count":17,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5687,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,2]]},"DOI":"10.1002\/fut.3990110102","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T16:18:24Z","timestamp":1183652304000},"page":"1-8","source":"Crossref","is-referenced-by-count":8,"title":["Index option pricing: Do investors pay for skewness?"],"prefix":"10.1002","volume":"11","author":[{"given":"John S.","family":"Cotner","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Alderfer C. andBierman H.Jr. (1970 July): \u201cChoices with Risk: Beyond the Mean and Variance \u201d Journal of Business.","DOI":"10.1086\/295286"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Beedles W.(1979 Spring): \u201cReturn Dispersion and Skewness: Synthesis and Investment Strategy \u201d The Journal of Financial Research.","DOI":"10.1111\/j.1475-6803.1979.tb00018.x"},{"key":"e_1_2_1_4_1","unstructured":"Borch K.(1974 June): \u201cThe Rationale of the Mean\u2010Standard Deviation Analysis: Comment \u201d American Economic Review."},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Cooley P.(1979 Spring): \u201cOn the Nature of Risk: A Comment \u201d The Journal of Financial Research.","DOI":"10.1111\/j.1475-6803.1979.tb00019.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Cooley P.(1977 March): \u201cA Multidimensional Analysis of Institutional Investor Perception of Risk \u201d The Journal of Finance.","DOI":"10.2307\/2326903"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Evnine J. andRudd A.(1985 July): \u201cIndex Options: The Early Evidence \u201d The Journal of Finance.","DOI":"10.1111\/j.1540-6261.1985.tb04998.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Kahneman D. andTversky A.(1979 March): \u201cProspect Theory: An Analysis of Decision Under Risk \u201d Econometrica.","DOI":"10.2307\/1914185"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Kraus A. andLitzenberger R.(1976 September): \u201cSkewness Preference and the Valuation of Risk Assets \u201d The Journal of Finance.","DOI":"10.2307\/2326275"},{"key":"e_1_2_1_10_1","unstructured":"Levy H.(1974 June): \u201cThe Rationale of the Mean\u2010Standard Deviation Analysis: Comment \u201d American Economic Review."},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Merton R.(1973 Spring): \u201cTheory of Rational Option Pricing \u201d The Bell Journal of Economics and Management Science.","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Prakash A. J. andBear R. M.(1986 September): \u201cA Simplifying Performance Measure Recognizing Skewness \u201d The Financial Review.","DOI":"10.1111\/j.1540-6288.1986.tb01112.x"},{"key":"e_1_2_1_13_1","volume-title":"Options: Theory, Strategy and Applications","author":"Ritchken Peter","year":"1987"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Robichek A.(1969 December): \u201cRisk and the Value of Securities \u201d Journal of Financial and Quantitative Analysis.","DOI":"10.2307\/2330062"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Sears R.Stephen andTrennepohl Gary L.(1983 Fall): \u201cDiversification and Skewness in Option Portfolios \u201d The Journal of Financial Research.","DOI":"10.1111\/j.1475-6803.1983.tb00328.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"Stein Jeremy(1989 September): \u201cOverreactions in the Options Market \u201d The Journal of Finance.","DOI":"10.1111\/j.1540-6261.1989.tb02635.x"},{"key":"e_1_2_1_17_1","unstructured":"Stephens Alan andProffitt Dennis. (1990): \u201cPerformance Measurement When Return Distributions are Non\u2010Symmetric \u201d Quarterly Journal of Business and Economics."},{"key":"e_1_2_1_18_1","unstructured":"Tsaing S.(1972 June): \u201cThe Rationale of the Mean\u2010Standard Deviation Analysis Skewness Preference and the Demand for Money \u201d American Economic Review."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110102","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110102","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:41:07Z","timestamp":1698014467000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110102"}},"issued":{"date-parts":[[1991,2]]},"references-count":17,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1991,2]]}},"alternative-id":["10.1002\/fut.3990110102"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110102","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,2]]}},{"indexed":{"date-parts":[[2023,11,23]],"date-time":"2023-11-23T00:04:00Z","timestamp":1700697840547},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":2069,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,1]]},"DOI":"10.1002\/fut.v30:1","type":"journal-issue","created":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:51:29Z","timestamp":1700653889000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"30","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v30:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:51:29Z","timestamp":1700653889000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/30\/1"}},"issued":{"date-parts":[[2010,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2010,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v30:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,1]]}},{"indexed":{"date-parts":[[2025,5,13]],"date-time":"2025-05-13T15:05:34Z","timestamp":1747148734777,"version":"3.40.5"},"reference-count":31,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2021,8,8]],"date-time":"2021-08-08T00:00:00Z","timestamp":1628380800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["108\u20102410\u2010H\u2010260\u2010007"],"award-info":[{"award-number":["108\u20102410\u2010H\u2010260\u2010007"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,12]]},"abstract":"Abstract<\/jats:title>This study compares the performance of hedged equity index portfolios constructed using either a generalized autoregressive score (GAS) or a realized GAS (GRAS) model. GAS models encompass popular models, and studies indicate that high\u2010frequency data improve a model's forecasting ability. The in\u2010sample estimation results demonstrate that the GRAS model has better explanatory power and more robust time\u2010varying variance and dependence parameters when fat\u2010tailed distributions are accounted for. The out\u2010of\u2010sample comparison confirms its superiority in reducing hedged portfolio variance and accruing economic benefits to highly risk\u2010averse hedgers.<\/jats:p>","DOI":"10.1002\/fut.22254","type":"journal-article","created":{"date-parts":[[2021,8,8]],"date-time":"2021-08-08T19:29:45Z","timestamp":1628450985000},"page":"2023-2045","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Generalized autoregressive score model with high\u2010frequency data for optimal futures hedging"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1344-0817","authenticated-orcid":false,"given":"Yu\u2010Sheng","family":"Lai","sequence":"first","affiliation":[{"name":"Department of Banking and Finance National Chi Nan University Puli Nantou Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2021,8,8]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/asu076"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/338484"},{"key":"e_1_2_7_7_1","first-page":"93","article-title":"Statistical analysis of time series: Some recent developments [with discussion and reply]","volume":"8","author":"Cox D.","year":"1981","journal-title":"Scandinavian Journal of Statistics"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1279"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_7_10_1","unstructured":"Data Citation: [dataset] Tick Data LLC; 2003\u20132019; Spot and futures tick data.https:\/\/www.tickdata.com\/"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00327"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00718.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20345"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100500426515"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2004.06.003"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21735"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22054"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21841"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20444"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100110046045"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2006.00387.x"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-62731-5.00016-6"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.11.008"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912557"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2028"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171956"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22118"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22254","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22254","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22254","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T06:50:08Z","timestamp":1693205408000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22254"}},"issued":{"date-parts":[[2021,8,8]]},"references-count":31,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2021,12]]}},"alternative-id":["10.1002\/fut.22254"],"URL":"https:\/\/doi.org\/10.1002\/fut.22254","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,8,8]]},"assertion":[{"value":"2020-09-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-07-25","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,1,19]],"date-time":"2024-01-19T00:18:25Z","timestamp":1705623505866},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2024,1,8]],"date-time":"2024-01-08T00:00:00Z","timestamp":1704672000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,2]]},"DOI":"10.1002\/fut.22428","type":"journal-article","created":{"date-parts":[[2024,1,8]],"date-time":"2024-01-08T12:00:30Z","timestamp":1704715230000},"page":"149-149","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 44, Number 2, February 2024"],"prefix":"10.1002","volume":"44","member":"311","published-online":{"date-parts":[[2024,1,8]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22428","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,18]],"date-time":"2024-01-18T12:31:08Z","timestamp":1705581068000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22428"}},"issued":{"date-parts":[[2024,1,8]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2024,2]]}},"alternative-id":["10.1002\/fut.22428"],"URL":"https:\/\/doi.org\/10.1002\/fut.22428","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,1,8]]},"assertion":[{"value":"2024-01-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T17:40:39Z","timestamp":1697910039934},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8212,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,3]]},"DOI":"10.1002\/fut.3990040112","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:21:23Z","timestamp":1183591283000},"page":"105-109","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"4","author":[{"given":"Robert T.","family":"Diagler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040112","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040112","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:50:33Z","timestamp":1697802633000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040112"}},"issued":{"date-parts":[[1984,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1984,3]]}},"alternative-id":["10.1002\/fut.3990040112"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040112","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,3]]}},{"indexed":{"date-parts":[[2024,9,12]],"date-time":"2024-09-12T11:13:35Z","timestamp":1726139615802},"reference-count":34,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2010,7,20]],"date-time":"2010-07-20T00:00:00Z","timestamp":1279584000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,12]]},"abstract":"Abstract<\/jats:title>This study empirically tests how and to what extent the choice of the sampling frequency, the realized volatility (RV) measure, the forecasting horizon and the time\u2010series model affect the quality of volatility forecasting. Using highly synchronous executable quotes retrieved from an electronic trading platform, the study avoids the influence of various market microstructure factors in measuring RV with high\u2010frequency intraday data and in inferring implied volatility (IV) from option prices. The study shows that excluding non\u2010trading\u2010time volatility produces significant downward bias of RV by as much as 36%. Quality of prediction is significantly affected by the forecasting horizon and RV model, but is largely immune from the choice of sampling frequency. Consistent with prior research, IV outperforms time\u2010series forecasts; however, the information content of historical volatility critically depends on the choice of RV measure. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20476","type":"journal-article","created":{"date-parts":[[2010,7,20]],"date-time":"2010-07-20T17:17:49Z","timestamp":1279646269000},"page":"1167-1191","source":"Crossref","is-referenced-by-count":4,"title":["Forecasting volatility: Roles of sampling frequency and forecasting horizon"],"prefix":"10.1002","volume":"30","author":[{"given":"Wing Hong","family":"Chan","sequence":"first","affiliation":[]},{"given":"Xin","family":"Cheng","sequence":"additional","affiliation":[]},{"given":"Joseph K.W.","family":"Fung","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,7,20]]},"reference":[{"key":"e_1_2_5_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi016"},{"key":"e_1_2_5_3_1","first-page":"105","article-title":"Great realizations","author":"Andersen T. G.","year":"2000","journal-title":"Risk"},{"key":"e_1_2_5_4_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_5_5_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_5_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.01.005"},{"key":"e_1_2_5_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2008.00474.x"},{"key":"e_1_2_5_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_5_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00068-9"},{"key":"e_1_2_5_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_5_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2009.01249.x"},{"key":"e_1_2_5_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0391-5026.2001.00053.x"},{"key":"e_1_2_5_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00128-X"},{"key":"e_1_2_5_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90024-4"},{"key":"e_1_2_5_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00166-7"},{"key":"e_1_2_5_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20146"},{"key":"e_1_2_5_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0416.00009"},{"key":"e_1_2_5_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(98)00002-4"},{"key":"e_1_2_5_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_5_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi028"},{"key":"e_1_2_5_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_5_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04793.x"},{"key":"e_1_2_5_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2004.04.009"},{"key":"e_1_2_5_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.293"},{"key":"e_1_2_5_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100402"},{"key":"e_1_2_5_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20126"},{"key":"e_1_2_5_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"key":"e_1_2_5_28_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_5_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi027"},{"key":"e_1_2_5_30_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000044"},{"key":"e_1_2_5_31_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_5_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00323-0"},{"key":"e_1_2_5_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00010-8"},{"key":"e_1_2_5_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90029-0"},{"key":"e_1_2_5_35_1","doi-asserted-by":"crossref","unstructured":"Zumbach G. Corsi F. &Trapletti A.(2002).Efficient estimation of volatility using high frequency data. Working paper Olsen & Associate.","DOI":"10.2139\/ssrn.306002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20476","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20476","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,10]],"date-time":"2023-10-10T12:35:25Z","timestamp":1696941325000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20476"}},"issued":{"date-parts":[[2010,7,20]]},"references-count":34,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2010,12]]}},"alternative-id":["10.1002\/fut.20476"],"URL":"https:\/\/doi.org\/10.1002\/fut.20476","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,7,20]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T06:10:10Z","timestamp":1697868610024},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,9,18]],"date-time":"2006-09-18T00:00:00Z","timestamp":1158537600000},"content-version":"vor","delay-in-days":7110,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,4]]},"DOI":"10.1002\/fut.3990070210","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T04:46:19Z","timestamp":1183610779000},"page":"223-229","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"7","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,18]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070210","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070210","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T17:16:03Z","timestamp":1697822163000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070210"}},"issued":{"date-parts":[[1987,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1987,4]]}},"alternative-id":["10.1002\/fut.3990070210"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070210","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,4]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T06:10:10Z","timestamp":1697868610199},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7937,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,12]]},"DOI":"10.1002\/fut.3990040411","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T04:08:05Z","timestamp":1183608485000},"page":"585-586","source":"Crossref","is-referenced-by-count":0,"title":["Legal notes"],"prefix":"10.1002","volume":"4","author":[{"given":"Ronald J.","family":"Horowitz","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040411","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040411","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T06:08:23Z","timestamp":1697782103000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040411"}},"issued":{"date-parts":[[1984,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1984,12]]}},"alternative-id":["10.1002\/fut.3990040411"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040411","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,12]]}},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T00:02:26Z","timestamp":1700352146167},"reference-count":9,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2002,2,6]],"date-time":"2002-02-06T00:00:00Z","timestamp":1012953600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,4]]},"abstract":"Abstract<\/jats:title>In recent years, commercial interest has been expressed in agricultural revenue insurance instruments.\nParticipating parties may look to futures markets to offset assumed positions. In this note, conditions are\nidentified such that revenue futures contracts are perfect substitutes for price futures contracts. If these\nconditions approximate reality, then it would seem questionable whether sufficient interest would exist to\nsustain markets in both futures contracts. \u00a9 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:387\u2013391,\n2002<\/jats:p>","DOI":"10.1002\/fut.10014","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T22:21:43Z","timestamp":1030314103000},"page":"387-391","source":"Crossref","is-referenced-by-count":5,"title":["Substitution between revenue futures and price futures contracts: A note"],"prefix":"10.1002","volume":"22","author":[{"given":"David A.","family":"Hennessy","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,2,6]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Uncertainty, production, choice, and\nagency: The state\u2010contingent approach","author":"Chambers R. G.","year":"2000"},{"issue":"2","key":"e_1_2_1_3_1","first-page":"432","article-title":"Implications of\ncrop yield and revenue insurance for producer hedging","volume":"25","author":"Coble K. H.","year":"2000","journal-title":"Journal of Agricultural and Applied Economics"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.1603"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1244441"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(82)90117-3"},{"key":"e_1_2_1_7_1","unstructured":"Mahul O. &Wright B. D.(2000 July\u2013August).Designing optimal crop revenue insurance. Paper presented at the annual meetings of the American Agricultural Economics Association Tampa FL."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527271"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242925"},{"key":"e_1_2_1_10_1","unstructured":"U.S. Department of Agriculture Risk Management Agency. (2001).http:\/\/www.rma.usda.gov\/policies\/ visited September 26."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10014","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10014","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T08:40:23Z","timestamp":1700296823000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10014"}},"issued":{"date-parts":[[2002,2,6]]},"references-count":9,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2002,4]]}},"alternative-id":["10.1002\/fut.10014"],"URL":"https:\/\/doi.org\/10.1002\/fut.10014","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,2,6]]}},{"indexed":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T14:42:11Z","timestamp":1693665731311},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2021,3,16]],"date-time":"2021-03-16T00:00:00Z","timestamp":1615852800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,4]]},"DOI":"10.1002\/fut.22135","type":"journal-article","created":{"date-parts":[[2021,3,16]],"date-time":"2021-03-16T23:20:21Z","timestamp":1615936821000},"page":"437-437","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 41, Number 4, April 2021"],"prefix":"10.1002","volume":"41","member":"311","published-online":{"date-parts":[[2021,3,16]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22135","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22135","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T18:01:16Z","timestamp":1693591276000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22135"}},"issued":{"date-parts":[[2021,3,16]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2021,4]]}},"alternative-id":["10.1002\/fut.22135"],"URL":"https:\/\/doi.org\/10.1002\/fut.22135","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,3,16]]},"assertion":[{"value":"2021-03-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T00:27:47Z","timestamp":1700353667312},"reference-count":0,"publisher":"Wiley","issue":"9","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,9]]},"DOI":"10.1002\/fut.v22:9","type":"journal-issue","created":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T12:28:23Z","timestamp":1700310503000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"22","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T12:28:23Z","timestamp":1700310503000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/22\/9"}},"issued":{"date-parts":[[2002,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2002,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v22:9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,9]]}},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:47:19Z","timestamp":1694119639044},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2020,10,1]],"date-time":"2020-10-01T00:00:00Z","timestamp":1601510400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,11]]},"DOI":"10.1002\/fut.22165","type":"journal-article","created":{"date-parts":[[2020,10,1]],"date-time":"2020-10-01T14:38:49Z","timestamp":1601563129000},"page":"1647-1647","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Editor's Note"],"prefix":"10.1002","volume":"40","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2020,10]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22165","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22165","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22165","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T18:09:08Z","timestamp":1693937348000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22165"}},"issued":{"date-parts":[[2020,10]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2020,11]]}},"alternative-id":["10.1002\/fut.22165"],"URL":"https:\/\/doi.org\/10.1002\/fut.22165","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,10]]},"assertion":[{"value":"2020-10-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,8]],"date-time":"2023-09-08T09:42:17Z","timestamp":1694166137920},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2020,1,7]],"date-time":"2020-01-07T00:00:00Z","timestamp":1578355200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,2]]},"DOI":"10.1002\/fut.22089","type":"journal-article","created":{"date-parts":[[2020,1,8]],"date-time":"2020-01-08T04:08:31Z","timestamp":1578456511000},"page":"163-163","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"40","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2020,1,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22089","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22089","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22089","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22089","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T21:58:59Z","timestamp":1694123939000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22089"}},"issued":{"date-parts":[[2020,1,7]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2020,2]]}},"alternative-id":["10.1002\/fut.22089"],"URL":"https:\/\/doi.org\/10.1002\/fut.22089","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,1,7]]},"assertion":[{"value":"2020-01-07","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T08:19:57Z","timestamp":1696666797588},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,3]],"date-time":"2015-09-03T00:00:00Z","timestamp":1441238400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,10]]},"DOI":"10.1002\/fut.21730","type":"journal-article","created":{"date-parts":[[2015,9,4]],"date-time":"2015-09-04T15:06:57Z","timestamp":1441379217000},"page":"893-893","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"35","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2015,9,3]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21730","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21730","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T02:33:57Z","timestamp":1696559637000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21730"}},"issued":{"date-parts":[[2015,9,3]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2015,10]]}},"alternative-id":["10.1002\/fut.21730"],"URL":"https:\/\/doi.org\/10.1002\/fut.21730","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,9,3]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T08:20:50Z","timestamp":1696666850076},"reference-count":14,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,10,19]],"date-time":"2015-10-19T00:00:00Z","timestamp":1445212800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,8]]},"abstract":"This paper proposes a unique framework for the determination of the exercise boundary of American put option utilizing the mean value theorem for integration. We have isolated the path\u2010dependent feature of the problem through a small term, and formulated an iteration procedure that avoids an explicit integration over the exercise boundary in the integral representation of the pricing. Our method outperforms other methods in the literature in terms of accuracy and efficiency for the pricing of American put options with maturity in the region of most practical uses. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:793\u2013815, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21758","type":"journal-article","created":{"date-parts":[[2015,10,19]],"date-time":"2015-10-19T11:34:46Z","timestamp":1445254486000},"page":"793-815","source":"Crossref","is-referenced-by-count":1,"title":["Pricing American Put Options Using the Mean Value Theorem"],"prefix":"10.1002","volume":"36","author":[{"given":"Humphrey K.K.","family":"Tung","sequence":"first","affiliation":[{"name":"Dr. Humphrey K. K. Tung is a Visiting Assistant Professor in the Department of Economics and Finance at City University of Hong Kong"}]}],"member":"311","published-online":{"date-parts":[[2015,10,19]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00289"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1992.tb00040.x"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2007.00328.x"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2005.00228.x"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04921.x"},{"key":"e_1_2_10_8_1","doi-asserted-by":"crossref","unstructured":"Giovanni Barone\u2010Adesi (2005). The saga of the American put. Journal of Banking & Finance 29 2909\u20132918.","DOI":"10.1016\/j.jbankfin.2005.02.001"},{"key":"e_1_2_10_9_1","volume-title":"Computer Approximations","author":"Hart J. F.","year":"1968"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.277"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1991.tb00007.x"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.3.627"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.547"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1050689604"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024907004615"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21758","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21758","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T04:08:18Z","timestamp":1696565298000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21758"}},"issued":{"date-parts":[[2015,10,19]]},"references-count":14,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2016,8]]}},"alternative-id":["10.1002\/fut.21758"],"URL":"https:\/\/doi.org\/10.1002\/fut.21758","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,10,19]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T08:20:22Z","timestamp":1696666822759},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,7,14]],"date-time":"2015-07-14T00:00:00Z","timestamp":1436832000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,8]]},"DOI":"10.1002\/fut.21725","type":"journal-article","created":{"date-parts":[[2015,7,14]],"date-time":"2015-07-14T12:50:02Z","timestamp":1436878202000},"page":"695-695","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"35","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2015,7,14]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21725","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21725","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:51:48Z","timestamp":1696575108000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21725"}},"issued":{"date-parts":[[2015,7,14]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2015,8]]}},"alternative-id":["10.1002\/fut.21725"],"URL":"https:\/\/doi.org\/10.1002\/fut.21725","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,7,14]]}},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T00:47:44Z","timestamp":1700095664856},"reference-count":0,"publisher":"Wiley","issue":"4","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,4]]},"DOI":"10.1002\/fut.v26:4","type":"journal-issue","created":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T13:56:06Z","timestamp":1700056566000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"26","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T13:56:07Z","timestamp":1700056567000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/26\/4"}},"issued":{"date-parts":[[2006,4]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2006,4]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v26:4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,4]]}},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T22:43:13Z","timestamp":1700174593392},"reference-count":14,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2004,3,8]],"date-time":"2004-03-08T00:00:00Z","timestamp":1078704000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,5]]},"abstract":"Abstract<\/jats:title>Here we consider the hedging roles of a price futures contract versus a revenue futures contract. In the\nabsence of idiosyncratic output risk, the revenue contract almost always dominates the price contract.\nIdiosyncratic output risk provides conditions under which the price contract should dominate. When production\nrisk\nis largely idiosyncratic, a producer with an anticipated long actuals position might combine a long revenue\nfutures position with a short price futures position. \u00a9 2004 Wiley Periodicals, Inc. Jrl Fut Mark\n24:503\u2013512, 2004<\/jats:p>","DOI":"10.1002\/fut.10131","type":"journal-article","created":{"date-parts":[[2004,3,9]],"date-time":"2004-03-09T08:00:52Z","timestamp":1078819252000},"page":"503-512","source":"Crossref","is-referenced-by-count":0,"title":["A note on price futures versus revenue futures contracts"],"prefix":"10.1002","volume":"24","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[]},{"given":"David A.","family":"Hennessy","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,3,8]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/210476"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05157.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297923"},{"key":"e_1_2_1_5_1","unstructured":"Edwards W.(2002). Revenue insurance for hog producers. Retrieved July 8 2003 from Department of Economics Iowa State University Web site:http:\/\/www.extension.iastate.edu\/Publications\/FM1871.pdf"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/0002-9092.00184"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10014"},{"key":"e_1_2_1_8_1","unstructured":"Lehman D.(1997 April 17). Testimony to United States Senate Agriculture Committee. Retrieved July 8 2003 fromhttp:\/\/www.senate.gov\/\u223cagriculture\/Hearings\/Hearings_1997\/lehman.htm"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.8.2.133"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6419.00172"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243954"},{"key":"e_1_2_1_12_1","first-page":"93","article-title":"Freeze risk and adoption of technology by orange producers","volume":"17","author":"Rimal A.","year":"1999","journal-title":"Journal of Agribusiness"},{"key":"e_1_2_1_13_1","unstructured":"Risk Management Agency United States Department of Agriculture. (2003). Retrieved July 8 2003 fromhttp:\/\/www.rma.usda.gov"},{"key":"e_1_2_1_14_1","first-page":"861","article-title":"Orange juice and weather","volume":"74","author":"Roll R.","year":"1984","journal-title":"Journal of Finance"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/141405"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10131","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10131","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T22:27:01Z","timestamp":1700173621000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10131"}},"issued":{"date-parts":[[2004,3,8]]},"references-count":14,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2004,5]]}},"alternative-id":["10.1002\/fut.10131"],"URL":"https:\/\/doi.org\/10.1002\/fut.10131","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,3,8]]}},{"indexed":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T13:02:32Z","timestamp":1700053352849},"reference-count":8,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8212,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,3]]},"DOI":"10.1002\/fut.3990040108","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:21:23Z","timestamp":1183591283000},"page":"65-73","source":"Crossref","is-referenced-by-count":3,"title":["Techniques for making decisions under uncertainty"],"prefix":"10.1002","volume":"4","author":[{"given":"Fred","family":"Gehm","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"213","volume-title":"The Scientist Speculates","author":"Good I. J.","year":"1962"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1907435"},{"key":"e_1_2_1_4_1","article-title":"Scenario Forecasting: Necessity, not Choice","volume":"10","author":"Edesess M.","year":"1980","journal-title":"Journal of Portfolio Management"},{"key":"e_1_2_1_5_1","unstructured":"Hurwicz L.(1951): \u201cOptimal Criteria for Decision Making Under Ignorance \u201d Cowles Commission Discussion Paper Statistics No. 370."},{"key":"e_1_2_1_6_1","first-page":"287","volume-title":"Games and Decisions","author":"Luce R. D.","year":"1957"},{"key":"e_1_2_1_7_1","volume-title":"The Art of Contrary Opinion","author":"Neil H. B.","year":"1963"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1080\/01621459.1951.10500768","article-title":"The Theory of Statistical Decision","volume":"46","author":"Savage L. J.","year":"1951","journal-title":"Journal of American Statistical Association"},{"key":"e_1_2_1_9_1","volume-title":"Analysis of Decisions under Uncertainty","author":"Schlaifer R.","year":"1969"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040108","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040108","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:50:31Z","timestamp":1697802631000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040108"}},"issued":{"date-parts":[[1984,3]]},"references-count":8,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1984,3]]}},"alternative-id":["10.1002\/fut.3990040108"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040108","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,3]]}},{"indexed":{"date-parts":[[2025,8,6]],"date-time":"2025-08-06T13:10:53Z","timestamp":1754485853745},"reference-count":21,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,2]]},"DOI":"10.1002\/fut.3990100102","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:23:26Z","timestamp":1183641806000},"page":"1-12","source":"Crossref","is-referenced-by-count":25,"title":["An empirical analysis of bank hedging in futures markets"],"prefix":"10.1002","volume":"10","author":[{"given":"G. D.","family":"Koppenhaver","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030206"},{"key":"e_1_2_1_3_1","unstructured":"Booth J. Smith R. andStolz R.(1984 ): Spring \u201cUse of Interest Rate Futures by Financial Institutions \u201d Journal of Bank Research 15\u201320."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1986.tb00457.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330966"},{"key":"e_1_2_1_6_1","first-page":"19","volume-title":"Economic Review","author":"Drabenstott M.","year":"1982"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04924.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330944"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1986.tb00433.x"},{"key":"e_1_2_1_11_1","first-page":"4","volume-title":"Economic Review","author":"Koch D.","year":"1982"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00057.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04947.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050304"},{"key":"e_1_2_1_15_1","first-page":"144","article-title":"Regulating Financial Intermediary Use of Futures and Options Contracts: Policies and Issues","volume":"6","author":"Koppenhaver G. D.","year":"1987","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511810176"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02596.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060107"},{"key":"e_1_2_1_19_1","first-page":"221","volume-title":"Financial Futures and Options in the U. S. Economy","author":"Parkinson P.","year":"1986"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330894"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030304"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100102","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100102","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:44:12Z","timestamp":1697993052000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100102"}},"issued":{"date-parts":[[1990,2]]},"references-count":21,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1990,2]]}},"alternative-id":["10.1002\/fut.3990100102"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100102","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,2]]}},{"indexed":{"date-parts":[[2024,3,28]],"date-time":"2024-03-28T00:52:11Z","timestamp":1711587131943},"reference-count":14,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2009,7,27]],"date-time":"2009-07-27T00:00:00Z","timestamp":1248652800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,4]]},"abstract":"Abstract<\/jats:title>By Jensen's inequality, a model's forecasts of the variance and standard deviation of returns cannot both be unbiased. This study explores the bias in GARCH type model forecasts of the standard deviation of returns, which we argue is the more appropriate volatility measure for most financial applications. For a wide variety of markets, the GARCH, EGARCH, and GJR (or TGARCH) models tend to persistently over\u2010estimate the standard deviation of returns, whereas the ARLS model of L. Ederington and W. Guan (2005a) does not. Furthermore, the GARCH and GJR forecasts are especially biased following high volatility days, which cause a large jump in forecast volatility, which is rarely fully realized. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:305\u2013323, 2010<\/jats:p>","DOI":"10.1002\/fut.20417","type":"journal-article","created":{"date-parts":[[2009,7,27]],"date-time":"2009-07-27T14:36:37Z","timestamp":1248705397000},"page":"305-323","source":"Crossref","is-referenced-by-count":4,"title":["The bias in time series volatility forecasts"],"prefix":"10.1002","volume":"30","author":[{"given":"Louis H.","family":"Ederington","sequence":"first","affiliation":[]},{"given":"Wei","family":"Guan","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,27]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Volatility and correlation forecasting","author":"Andersen T.","year":"2006"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_1_5_1","first-page":"109","article-title":"Horizon problems and extreme events in financial risk management","volume":"4","author":"Christoffersen P.","year":"1998","journal-title":"Federal Reserve Bank of New York Economic Policy Review"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20146"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.05.037"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Ederington L. &Guan W.(2009).Longer\u2010term time series volatility forecasts. The Journal of Financial and Quantitative Analysis (forthcoming).","DOI":"10.1017\/S0022109010000372"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/260910"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(94)00821-H"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00323-0"},{"key":"e_1_2_1_15_1","volume-title":"Modeling financial time series","author":"Taylor S.","year":"1986"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20417","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20417","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:53:07Z","timestamp":1700653987000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20417"}},"issued":{"date-parts":[[2009,7,27]]},"references-count":14,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2010,4]]}},"alternative-id":["10.1002\/fut.20417"],"URL":"https:\/\/doi.org\/10.1002\/fut.20417","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,27]]}},{"indexed":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T17:36:24Z","timestamp":1759512984905},"reference-count":10,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,10,4]],"date-time":"2006-10-04T00:00:00Z","timestamp":1159920000000},"content-version":"vor","delay-in-days":7703,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,9]]},"DOI":"10.1002\/fut.3990050311","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:30:43Z","timestamp":1183613443000},"page":"425-432","source":"Crossref","is-referenced-by-count":14,"title":["Testing futures market efficiency\u2014A restatement"],"prefix":"10.1002","volume":"5","author":[{"given":"Edwin D.","family":"Maberly","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,4]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030307"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_4_1","volume-title":"Introduction To The Theory And Practice Of Econometrics","author":"Judge D. D.","year":"1982"},{"key":"e_1_2_1_5_1","volume-title":"Elements of Econometrics","author":"Kmenta J.","year":"1971"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238343"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Krasker W. S. andWelsch R. E.(1983): \u201cThe Use Of Bounded\u2010Influence Regression In Data Analysis: Theory Computation and Graphics \u201dComputer Science and Statistics Proceedings of the 14th Symposium on the Inteface pp.45\u201351.","DOI":"10.1007\/978-1-4612-5545-1_9"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238755"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239434"},{"key":"e_1_2_1_10_1","first-page":"242","article-title":"Forecasts of Futures Prices, Unbiased Markets, and Martingale Models","volume":"39","author":"Mandelbrot B.","year":"1966","journal-title":"Journal of Finance"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050311","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050311","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T23:24:29Z","timestamp":1695770669000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050311"}},"issued":{"date-parts":[[1985,9]]},"references-count":10,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1985,9]]}},"alternative-id":["10.1002\/fut.3990050311"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050311","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,9]]}},{"indexed":{"date-parts":[[2025,10,7]],"date-time":"2025-10-07T12:10:09Z","timestamp":1759839009924},"reference-count":32,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2016,5,6]],"date-time":"2016-05-06T00:00:00Z","timestamp":1462492800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,1]]},"abstract":"Abstract<\/jats:title>This article compares alternative binomial approximation schemes for computing the option hedge ratios studied by Chung and Shackleton (2002), Chung, Hung, Lee, and Shih (2011), and Pelsser and Vorst (1994) under the lognormal assumption, but now considering the constant elasticity of variance (CEV) process proposed by Cox (1975) and using the continuous\u2010time analytical Greeks recently offered by Larguinho, Dias, and Braumann (2013) as the benchmarks. Among all the binomial models considered in this study, we conclude that an extended tree binomial CEV model with the smooth and monotonic convergence property is the most efficient method for computing Greeks under the CEV diffusion process because one can apply the two\u2010point extrapolation formula suggested by Chung et al. (2011). \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:90\u2013104, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21791","type":"journal-article","created":{"date-parts":[[2016,5,6]],"date-time":"2016-05-06T21:39:15Z","timestamp":1462570755000},"page":"90-104","source":"Crossref","is-referenced-by-count":6,"title":["The Binomial CEV Model and the Greeks"],"prefix":"10.1002","volume":"37","author":[{"given":"Aricson","family":"Cruz","sequence":"first","affiliation":[{"name":"Aricson Cruz and Jos\u00e9 Carlos Dias are at the Instituto Universit\u00e1rio de Lisboa (ISCTE\u2010IUL) Lisboa Portugal"}]},{"given":"Jos\u00e9 Carlos","family":"Dias","sequence":"additional","affiliation":[{"name":"Aricson Cruz and Jos\u00e9 Carlos Dias are at the Instituto Universit\u00e1rio de Lisboa (ISCTE\u2010IUL) Lisboa Portugal"}]}],"member":"311","published-online":{"date-parts":[[2016,5,6]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.05.017"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.1"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-9473(02)00283-9"},{"key":"e_1_2_6_5_1","unstructured":"Black F.(1976).Studies of stock price volatility changes. Proceedings of the Meetings of the American Statistical Association Business and Economics Statistics Division pp.177\u2013181."},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.4.1211"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050208"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2211"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20127"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.05.016"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20484"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.08.019"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2013.20.4.023"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1996.015"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.47.7.949.9804"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594989"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20468"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2014.971049"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330906"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00024-0"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.3905\/JAI.2009.11.3.065"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2013.765958"},{"key":"e_1_2_6_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_6_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.3.393"},{"key":"e_1_2_6_28_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009990329"},{"key":"e_1_2_6_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.05.003"},{"key":"e_1_2_6_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407888"},{"key":"e_1_2_6_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.07.019"},{"key":"e_1_2_6_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02414.x"},{"key":"e_1_2_6_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2014.04.004"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21791","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21791","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21791","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,5]],"date-time":"2023-10-05T22:34:59Z","timestamp":1696545299000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21791"}},"issued":{"date-parts":[[2016,5,6]]},"references-count":32,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2017,1]]}},"alternative-id":["10.1002\/fut.21791"],"URL":"https:\/\/doi.org\/10.1002\/fut.21791","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,5,6]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:27:01Z","timestamp":1760524021025,"version":"3.37.3"},"reference-count":52,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2020,6,19]],"date-time":"2020-06-19T00:00:00Z","timestamp":1592524800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,10]]},"abstract":"Abstract<\/jats:title>We develop a model for the VXX, the most actively traded VIX futures exchange\u2010traded note, using Duffie, Pan, and Singleton's affine jump diffusion framework, where the volatility process has jumps and a stochastic long\u2010term mean. We calibrate the model parameters using the VIX term structure data and show that our model provides the theoretical link between the VIX, VIX futures, and the VXX. Our model can be used for pricing VIX futures, the VXX and other short\u2010term VIX futures exchange\u2010traded products (ETPs). Our model could be extended to price options on the VXX and other short\u2010term VIX futures ETPs.<\/jats:p>","DOI":"10.1002\/fut.22145","type":"journal-article","created":{"date-parts":[[2020,6,19]],"date-time":"2020-06-19T12:29:50Z","timestamp":1592569790000},"page":"1508-1534","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Modeling VXX under jump diffusion with stochastic long\u2010term mean"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3251-9275","authenticated-orcid":false,"given":"Sebastian A.","family":"Gehricke","sequence":"first","affiliation":[{"name":"Department of Accountancy and Finance, Otago Business School University of Otago Dunedin New Zealand"}]},{"given":"Jin E.","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Accountancy and Finance, Otago Business School University of Otago Dunedin New Zealand"}]}],"member":"311","published-online":{"date-parts":[[2020,6,19]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_9_2_1","DOI":"10.3905\/jai.2013.16.2.052"},{"doi-asserted-by":"publisher","key":"e_1_2_9_3_1","DOI":"10.1016\/j.jimonfin.2016.03.002"},{"doi-asserted-by":"publisher","key":"e_1_2_9_4_1","DOI":"10.1111\/1540-6261.00460"},{"unstructured":"Banerji G.(2017). Wells Fargo to compensate customers for risky ETP recommendations.The Wall Street Journal.https:\/\/www.wsj.com\/articles\/wells\u2010fargo\u2010to\u2010compensate\u2010clients\u2010for\u2010volatility\u2010etps\u2010after\u2010charges\u2010by\u2010regulator\u20101508186070","key":"e_1_2_9_5_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_6_1","DOI":"10.1016\/j.ejor.2012.06.006"},{"doi-asserted-by":"publisher","key":"e_1_2_9_7_1","DOI":"10.1016\/j.jfineco.2018.09.008"},{"doi-asserted-by":"publisher","key":"e_1_2_9_8_1","DOI":"10.1016\/S0304-4076(99)00021-4"},{"doi-asserted-by":"publisher","key":"e_1_2_9_9_1","DOI":"10.1016\/j.jfineco.2012.03.004"},{"doi-asserted-by":"publisher","key":"e_1_2_9_10_1","DOI":"10.1002\/fut.21805"},{"doi-asserted-by":"publisher","key":"e_1_2_9_11_1","DOI":"10.1002\/fut.21786"},{"unstructured":"Branger N. Kraftschik A. &V\u00f6lkert C.(2016). The fine structure of variance: Pricing vix derivatives in consistent and log\u2010VIX models Available at SSRN 2028285.https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2028285","key":"e_1_2_9_12_1"},{"key":"e_1_2_9_13_1","article-title":"Tiny hedge fund just made 8,600% on a VIX bet","author":"Burger D.","year":"2018","journal-title":"Bloomberg"},{"doi-asserted-by":"publisher","key":"e_1_2_9_14_1","DOI":"10.1093\/rfs\/hhn038"},{"doi-asserted-by":"publisher","key":"e_1_2_9_15_1","DOI":"10.1287\/mnsc.1090.1065"},{"doi-asserted-by":"publisher","key":"e_1_2_9_16_1","DOI":"10.1002\/fut.20532"},{"doi-asserted-by":"publisher","key":"e_1_2_9_17_1","DOI":"10.1111\/j.1467-9965.2011.00492.x"},{"unstructured":"Data VIX Term Structure. (2018a). Publicly available; data can be retrieved for free from the Chicago Board Option Exchange website. Retrieved fromhttp:\/\/www.cboe.com\/trading\u2010tools\/strategy\u2010planning\u2010tools\/term\u2010structure\u2010data#1","key":"e_1_2_9_18_1"},{"unstructured":"Data VXX. (2018b). Not publicly available; data can be obtained from Bloomberg by paying a data license fee.","key":"e_1_2_9_19_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_20_1","DOI":"10.3905\/jii.2012.3.3.035"},{"doi-asserted-by":"publisher","key":"e_1_2_9_21_1","DOI":"10.1017\/S0022109017000783"},{"doi-asserted-by":"publisher","key":"e_1_2_9_22_1","DOI":"10.1111\/1468-0262.00164"},{"doi-asserted-by":"publisher","key":"e_1_2_9_23_1","DOI":"10.1002\/fut.20471"},{"doi-asserted-by":"publisher","key":"e_1_2_9_24_1","DOI":"10.1017\/S0022109010000463"},{"doi-asserted-by":"publisher","key":"e_1_2_9_25_1","DOI":"10.1016\/j.jfineco.2017.04.007"},{"doi-asserted-by":"publisher","key":"e_1_2_9_26_1","DOI":"10.1002\/fut.21907"},{"doi-asserted-by":"publisher","key":"e_1_2_9_27_1","DOI":"10.1002\/fut.21762"},{"unstructured":"Gehricke S. A. &Zhang J. E.(2017).The VIX futures ETN market(Working paper) University of Otago.","key":"e_1_2_9_28_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_29_1","DOI":"10.1002\/fut.21913"},{"doi-asserted-by":"publisher","key":"e_1_2_9_30_1","DOI":"10.5430\/afr.v2n3p53"},{"doi-asserted-by":"publisher","key":"e_1_2_9_31_1","DOI":"10.1093\/rfs\/6.2.327"},{"doi-asserted-by":"publisher","key":"e_1_2_9_32_1","DOI":"10.1017\/S0022109018001436"},{"doi-asserted-by":"publisher","key":"e_1_2_9_33_1","DOI":"10.1002\/fut.21550"},{"unstructured":"Jakab S.(2018). How the bull market's greatest trade Went bust.The Wall Street Journal.https:\/\/www.wsj.com\/articles\/how\u2010the\u2010bull\u2010markets\u2010greatest\u2010trade\u2010went\u2010bust\u20101517938518","key":"e_1_2_9_34_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_35_1","DOI":"10.1016\/j.jbankfin.2012.07.012"},{"doi-asserted-by":"publisher","key":"e_1_2_9_36_1","DOI":"10.1007\/s10203-011-0124-0"},{"doi-asserted-by":"publisher","key":"e_1_2_9_37_1","DOI":"10.1002\/fut.20291"},{"doi-asserted-by":"publisher","key":"e_1_2_9_38_1","DOI":"10.3905\/jot.2012.7.1.043"},{"doi-asserted-by":"publisher","key":"e_1_2_9_39_1","DOI":"10.1002\/fut.20415"},{"doi-asserted-by":"publisher","key":"e_1_2_9_40_1","DOI":"10.1002\/fut.21572"},{"doi-asserted-by":"publisher","key":"e_1_2_9_41_1","DOI":"10.1016\/j.jfineco.2012.12.003"},{"doi-asserted-by":"publisher","key":"e_1_2_9_42_1","DOI":"10.1080\/14697688.2013.814923"},{"doi-asserted-by":"publisher","key":"e_1_2_9_43_1","DOI":"10.1002\/fut.20506"},{"unstructured":"S&P Dow Jones Indices. (2012). S&P 500 VIX futures indices methodology.","key":"e_1_2_9_44_1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_45_1","DOI":"10.1093\/rfs\/hhp035"},{"doi-asserted-by":"publisher","key":"e_1_2_9_46_1","DOI":"10.1002\/fut.20466"},{"doi-asserted-by":"publisher","key":"e_1_2_9_47_1","DOI":"10.3905\/jpm.2013.40.1.095"},{"doi-asserted-by":"publisher","key":"e_1_2_9_48_1","DOI":"10.1002\/fut.20400"},{"doi-asserted-by":"publisher","key":"e_1_2_9_49_1","DOI":"10.1002\/fut.20448"},{"doi-asserted-by":"publisher","key":"e_1_2_9_50_1","DOI":"10.1002\/fut.21801"},{"doi-asserted-by":"publisher","key":"e_1_2_9_51_1","DOI":"10.1002\/fut.20209"},{"doi-asserted-by":"publisher","key":"e_1_2_9_52_1","DOI":"10.1002\/fut.20512"},{"key":"e_1_2_9_53_1","article-title":"Stock swings sink popular trade","author":"Zuckermann G.","year":"2018","journal-title":"Wall Street"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22145","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22145","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22145","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22145","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T14:23:42Z","timestamp":1693923822000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22145"}},"issued":{"date-parts":[[2020,6,19]]},"references-count":52,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2020,10]]}},"alternative-id":["10.1002\/fut.22145"],"URL":"https:\/\/doi.org\/10.1002\/fut.22145","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,6,19]]},"assertion":[{"value":"2020-01-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-05-18","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-06-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,31]],"date-time":"2025-10-31T07:26:56Z","timestamp":1761895616402},"reference-count":46,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2013,2,14]],"date-time":"2013-02-14T00:00:00Z","timestamp":1360800000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,4]]},"abstract":"Abstract<\/jats:title>This study estimates linear and nonlinear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing nonlinearities through a regime\u2010switching model, we can obtain more efficient hedge ratios and superior hedging performance in both an in\u2010sample and an out\u2010sample analysis compared to the other methodologies (constant hedge ratios and linear GARCH). Moreover, nonlinear models also reflect the different patterns followed by the dynamic relationship between the volatility of spot and futures returns during low\u2010 and high\u2010volatility periods. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:374\u2013398, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21598","type":"journal-article","created":{"date-parts":[[2013,2,14]],"date-time":"2013-02-14T12:20:38Z","timestamp":1360844438000},"page":"374-398","source":"Crossref","is-referenced-by-count":18,"title":["Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime\u2010Switching Approach"],"prefix":"10.1002","volume":"34","author":[{"given":"Enrique","family":"Salvador","sequence":"first","affiliation":[{"name":"Department of Accounting and Finance Universitat Jaume I Castellon de La Plana Spain"}]},{"given":"Vicent","family":"Arag\u00f3","sequence":"additional","affiliation":[{"name":"Department of Accounting and Finance Universitat Jaume I Castellon de La Plana Spain"}]}],"member":"311","published-online":{"date-parts":[[2013,2,14]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10130"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.020"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00068"},{"key":"e_1_2_7_5_1","volume-title":"Multivariate simultaneous generalized ARCH","author":"Baba Y.","year":"1990"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/338484"},{"key":"e_1_2_7_8_1","unstructured":"Capiello L. &Fearnley T.(2000).International CAPM with regime\u2010switching parameters FAME Research Paper Series 2000 rp17. International Center for Financial Asset Management and Engineering Geneva Switzerland."},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20373"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20465"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(02)00191-6"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100106"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20212"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_7_16_1","doi-asserted-by":"crossref","first-page":"1749","DOI":"10.1111\/j.1540-6261.1993.tb05127.x","article-title":"Measuring and testing the impact of news on volatility","volume":"5","author":"Engle R. F.","year":"1993","journal-title":"Journal of Finance"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130703"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90067-1"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(80)90024-5"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_7_24_1","volume-title":"Value at risk: The new benchmark for managing financial risk","author":"Jorion P.","year":"2000"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_7_26_1","first-page":"397","volume-title":"Pacific\u2010basin capital markets research, 2","author":"Kroner K.","year":"1991"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20394"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.12.001"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.05.009"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20256"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840500438970"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20193"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199610)16:7<773::AID-FUT3>3.0.CO;2-L"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2007.07.004"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20520"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6419.00172"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.2.175"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.2202\/1558-3708.1145"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10099"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242663"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20401"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X"},{"key":"e_1_2_7_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/1099-1158(200010)5:4<265::AID-IJFE132>3.0.CO;2-H"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21598","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21598","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T14:48:26Z","timestamp":1696603706000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21598"}},"issued":{"date-parts":[[2013,2,14]]},"references-count":46,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2014,4]]}},"alternative-id":["10.1002\/fut.21598"],"URL":"https:\/\/doi.org\/10.1002\/fut.21598","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,2,14]]}},{"indexed":{"date-parts":[[2025,12,1]],"date-time":"2025-12-01T15:24:12Z","timestamp":1764602652572},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6362,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,4]]},"DOI":"10.1002\/(sici)1096-9934(199804)18:2<167::aid-fut3>3.0.co;2-g","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T23:22:40Z","timestamp":1030317760000},"page":"167-175","source":"Crossref","is-referenced-by-count":22,"title":["Valuation of a European futures option in the BIFFEX market"],"prefix":"10.1002","volume":"18","author":[{"given":"Jostein","family":"Tvedt","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199804)18:2%3C167::AID-FUT3%3E3.0.CO;2-G","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199804)18:2%3C167::AID-FUT3%3E3.0.CO;2-G","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:44:49Z","timestamp":1625132689000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199804)18:2<167::AID-FUT3>3.0.CO;2-G"}},"issued":{"date-parts":[[1998,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1998,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199804)18:2<167::aid-fut3>3.0.co;2-g","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,4]]}},{"indexed":{"date-parts":[[2025,12,4]],"date-time":"2025-12-04T05:51:35Z","timestamp":1764827495917},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5753,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,12]]},"DOI":"10.1002\/(sici)1096-9934(199912)19:8<911::aid-fut4>3.3.co;2-h","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T18:05:58Z","timestamp":1030298758000},"page":"911-930","source":"Crossref","is-referenced-by-count":13,"title":["Price discovery and volatility spillovers in the DJIA index and futures markets"],"prefix":"10.1002","volume":"19","author":[{"given":"Yiuman","family":"Tse","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199912)19:8%3C911::AID-FUT4%3E3.3.CO;2-H","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T17:04:42Z","timestamp":1507655082000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199912%2919%3A8%3C911%3A%3AAID-FUT4%3E3.3.CO%3B2-H"}},"issued":{"date-parts":[[1999,12]]},"references-count":0,"journal-issue":{"issue":"8"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199912)19:8<911::aid-fut4>3.3.co;2-h","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,12]]}},{"indexed":{"date-parts":[[2024,7,21]],"date-time":"2024-07-21T09:50:55Z","timestamp":1721555455137},"reference-count":38,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,18]],"date-time":"2015-09-18T00:00:00Z","timestamp":1442534400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,7]]},"abstract":"We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)\u2010U.S. dollar spot and forward exchange rates during the managed\u2010floating period of 2005\u20132013. We find that the RMB market has exhibited different dynamic relationships between spot and forward exchange rates over time, apparently due to significant policy changes. Offshore forward rates with either shorter or longer maturities can substantially explain the in\u2010sample variation of the onshore spot exchange rate at longer horizons, while only the offshore forward rate with a shorter maturity can significantly predict RMB onshore spot rate changes out\u2010of\u2010sample. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:695\u2013718, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21753","type":"journal-article","created":{"date-parts":[[2015,9,18]],"date-time":"2015-09-18T15:27:34Z","timestamp":1442590054000},"page":"695-718","source":"Crossref","is-referenced-by-count":7,"title":["Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi"],"prefix":"10.1002","volume":"36","author":[{"given":"Jiadong","family":"Tong","sequence":"first","affiliation":[{"name":"Jiadong Tong is a Professor of International Economics at School of Economics Nankai University Tianjin P.R. China"}]},{"given":"Zijun","family":"Wang","sequence":"additional","affiliation":[{"name":"Zijun Wang is an Associate Professor of Finance at the College of Business University of Texas at San Antonio San Antonio Texas USA"}]},{"given":"Jian","family":"Yang","sequence":"additional","affiliation":[{"name":"Jian Yang is a Professor of Finance at the Business School, University of Colorado Denver, Denver, Colorado, and the Honorary Director at Center for Commodity Markets and Behavioral Decision Research Dongbei University of Finance and Economics Dalian Liaoning P.R. China"}]}],"member":"311","published-online":{"date-parts":[[2015,9,18]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935833"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9781139164863.010"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(99)00039-2"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609990326"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2007.01.002"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2014.05.012"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465397556827"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(02)00059-4"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00071-9"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90029-0"},{"key":"e_1_2_8_12_1","doi-asserted-by":"crossref","unstructured":"Daniel K. Hodrick R. J. &Lu Z. (2014). The carry trade: Risks and drawdowns. NBER Working paper 20433.","DOI":"10.3386\/w20433"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2009.01.004"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21575"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(84)90046-1"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2009.11.004"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chieco.2004.03.004"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036847300000003"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2012.09.002"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/260910"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(96)00719-4"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_8_25_1","volume-title":"Unit roots, cointegration and structural change","author":"Maddala G.S","year":"1998"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(83)90017-X"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0147-5967(89)90008-5"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20211"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171845"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912017"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2014.01.002"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2006.05.007"},{"key":"e_1_2_8_34_1","unstructured":"Wang Z.(2013). A model selection approach to testing for structural breaks in cointegrated systems. Working paper Texas A&M University."},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200103)21:3<279::AID-FUT5>3.0.CO;2-L"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.889"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/cep\/19.3.347"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.04.003"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00031-0"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21753","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21753","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:59:20Z","timestamp":1696586360000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21753"}},"issued":{"date-parts":[[2015,9,18]]},"references-count":38,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2016,7]]}},"alternative-id":["10.1002\/fut.21753"],"URL":"https:\/\/doi.org\/10.1002\/fut.21753","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,9,18]]}},{"indexed":{"date-parts":[[2025,3,19]],"date-time":"2025-03-19T12:27:33Z","timestamp":1742387253992},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6605,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,8]]},"DOI":"10.1002\/(sici)1096-9934(199708)17:5<515::aid-fut2>3.0.co;2-i","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:24:55Z","timestamp":1031700295000},"page":"515-541","source":"Crossref","is-referenced-by-count":17,"title":["A comparison of futures pricing models in a new market: The case of individual share futures"],"prefix":"10.1002","volume":"17","author":[{"given":"T.J.","family":"Brailsford","sequence":"first","affiliation":[]},{"given":"A.J.","family":"Cusack","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199708)17:5%3C515::AID-FUT2%3E3.0.CO;2-I","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199708)17:5%3C515::AID-FUT2%3E3.0.CO;2-I","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:25:56Z","timestamp":1625131556000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199708)17:5<515::AID-FUT2>3.0.CO;2-I"}},"issued":{"date-parts":[[1997,8]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1997,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199708)17:5<515::aid-fut2>3.0.co;2-i","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,8]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:52Z","timestamp":1740104572505,"version":"3.37.3"},"reference-count":50,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2019,11,14]],"date-time":"2019-11-14T00:00:00Z","timestamp":1573689600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,8]]},"abstract":"Abstract<\/jats:title>Many corporations face price and quantity uncertainty in commodities for which existing futures and options contracts permit corporations to hedge their risks. Finance theory has demonstrated frictions in capital markets are equivalent to risk\u2010averse decision\u2010making: Taking prices and volatilities as exogenous, decision\u2010makers make optimal hedge decisions as a trade\u2010off between risk and return. In modeling risk aversion, we use mean\u2010variance and mean\u2010value at risk\u2010utility functions. With options quantified as delta\u2010equivalent futures, using data from the Commodity Futures Trading Commission and gold companies, we document empirically corporations' hedge ratios appear to respond to changing prices and volatilities in accordance with utility\u2010function prescriptions.<\/jats:p>","DOI":"10.1002\/fut.22072","type":"journal-article","created":{"date-parts":[[2019,11,14]],"date-time":"2019-11-14T12:05:43Z","timestamp":1573733143000},"page":"1264-1281","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Characterizing the hedging policies of commodity price\u2010sensitive corporations"],"prefix":"10.1002","volume":"40","author":[{"given":"Rapha\u00ebl H.","family":"Boroumand","sequence":"first","affiliation":[{"name":"Department of Applied Economics Paris School of Business Paris France"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5206-866X","authenticated-orcid":false,"given":"St\u00e9phane","family":"Goutte","sequence":"additional","affiliation":[{"name":"Department of Economics and Business Information Universit\u00e9 Paris 8 Saint\u2010Denis France"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4588-6995","authenticated-orcid":false,"given":"Ehud I.","family":"Ronn","sequence":"additional","affiliation":[{"name":"Department of Finance, McCombs School of Business University of Texas at Austin Austin Texas"}]}],"member":"311","published-online":{"date-parts":[[2019,11,14]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00108"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02180.x"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00068"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_11_6_1","doi-asserted-by":"crossref","unstructured":"Bessembinder H. &Lemmon M. L.(2002).Equilibrium pricing and optimal hedging in electricity forward markets(Working paper) University of Utah.","DOI":"10.1111\/1540-6261.00463"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1283"},{"key":"e_1_2_11_9_1","first-page":"193","article-title":"Returns to speculators and the theory of normal backwardation","volume":"40","author":"Chang E. C.","year":"1985","journal-title":"Journal of Political Economy"},{"key":"e_1_2_11_10_1","doi-asserted-by":"crossref","unstructured":"Cheng I.\u2010H. &Xiong W.(2013).The financialization of commodity markets(NBER Working Paper No. 19642).","DOI":"10.3386\/w19642"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00471"},{"key":"e_1_2_11_12_1","unstructured":"Commmitment of Traders Reports. Commodity Futures Trading Commission; (2018) websiteshttp:\/\/www.cftc.gov\/MarketReports\/CommitmentsofTraders\/index.htmandhttp:\/\/www.cftc.gov\/OCE\/WEB\/data.htm"},{"key":"e_1_2_11_13_1","unstructured":"Doran J. S. &Ronn E. I.(2003).On the market price of volatility risk(Working Paper) University of Texas at Austin."},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_11_15_1","unstructured":"Dincerler C. &Ronn E. I.(2001).Risk premia and price dynamics in electric power markets(Working paper) University of Texas at Austin."},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00121"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_11_18_1","unstructured":"Fehle F. &Tsyplakov S.(2004). Dynamic risk management: Theory and evidence.Working paper."},{"key":"e_1_2_11_19_1","first-page":"1503","article-title":"Risk management: Coordinating corporate investment and financing policies","volume":"47","author":"Froot K.","year":"1992","journal-title":"Journal of Finance"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10061"},{"key":"e_1_2_11_21_1","doi-asserted-by":"crossref","DOI":"10.1111\/jacf.12044","article-title":"Fine\u2010tuning a corporate hedging portfolio\u2014The case of an airline company","author":"Gerner M.","year":"2013","journal-title":"Journal of Applied Corporate Finance"},{"key":"e_1_2_11_22_1","unstructured":"Goldstein I. &Yang L.(2017).Commodity financialization and information transmission(Working Paper) Wharton School."},{"volume-title":"Financial markets and corporate strategy","year":"2001","author":"Grinblatt M.","key":"e_1_2_11_23_1"},{"key":"e_1_2_11_24_1","unstructured":"Gold hedge data Ted Reeve; 1993; Data on gold risk management positions from 1991 through 1993; Cited inJournal of Financearticle by Peter Tufano."},{"key":"e_1_2_11_25_1","unstructured":"Gold prices. Implied volatility extracted from option on Gold futures; CL2WTI oil futures prices; CL2 WTI implied volatilities from options on oil futures contracts Bloomberg L.P.; 2018; Alternate keystrokes on Bloomberg system."},{"volume-title":"The complete guide to option pricing formulas","year":"2006","author":"Haug E. G.","key":"e_1_2_11_26_1"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938209"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb02314.x"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1928531"},{"key":"e_1_2_11_31_1","unstructured":"Huang C.\u2010F. &Litzenberger R. H.(1988). Foundations for financial economics Prentice Hall."},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.10.008"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240514"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00019"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242884"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10068"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00682.x"},{"key":"e_1_2_11_39_1","unstructured":"Kolos S. P. &Ronn E. I.(2008).Managing long and short price\u2010and\u2010quantity exposure at the corporate level(Working paper) University of Texas at Austin."},{"key":"e_1_2_11_40_1","unstructured":"Medova E. A. &Sembos A.(2000).Price protection strategies for an oil company(Working Paper) Centre for Financial Research Judge Institute of Management University of Cambridge."},{"volume-title":"Futures markets: Modelling, managing, and monitoring futures trading","year":"1983","author":"Newbery D. M.","key":"e_1_2_11_41_1"},{"key":"e_1_2_11_42_1","unstructured":"Ehud I. Ronn 2012"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.46.7.893.12034"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2004"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04064.x"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00042"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243816"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22072","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22072","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22072","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22072","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,26]],"date-time":"2024-07-26T22:33:39Z","timestamp":1722033219000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22072"}},"issued":{"date-parts":[[2019,11,14]]},"references-count":50,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2020,8]]}},"alternative-id":["10.1002\/fut.22072"],"URL":"https:\/\/doi.org\/10.1002\/fut.22072","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,11,14]]},"assertion":[{"value":"2019-10-13","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-10-22","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-11-14","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:33Z","timestamp":1740104553257,"version":"3.37.3"},"reference-count":41,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2017,4,28]],"date-time":"2017-04-28T00:00:00Z","timestamp":1493337600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001691","name":"Japan Society for the Promotion of Science","doi-asserted-by":"publisher","award":["JP16K03603"],"award-info":[{"award-number":["JP16K03603"]}],"id":[{"id":"10.13039\/501100001691","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,11]]},"abstract":"This article proposes an indirect method for forecasting the volatility of futures returns, based on the relationship between futures and the underlying asset for the returns and time\u2010varying volatility. The paper considers the stochastic volatility model with asymmetry and long memory, using high frequency data of the underlying asset, for forecasting its volatility. The empirical results for Nikkei 225 futures indicate that the adjusted R<\/jats:italic>2<\/jats:sup> supports the appropriateness of the indirect method, and that the new method based on stochastic volatility models with asymmetry and long memory outperforms the forecasting model based on the direct method using the pseudo long time series.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21847","type":"journal-article","created":{"date-parts":[[2017,4,28]],"date-time":"2017-04-28T09:43:01Z","timestamp":1493372581000},"page":"1141-1152","source":"Crossref","is-referenced-by-count":2,"title":["Forecasting the volatility of Nikkei 225 futures"],"prefix":"10.1002","volume":"37","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6682-4622","authenticated-orcid":false,"given":"Manabu","family":"Asai","sequence":"first","affiliation":[{"name":"Faculty of Economics Soka University Tokyo Japan"}]},{"given":"Michael","family":"McAleer","sequence":"additional","affiliation":[{"name":"Department of Quantitative Finance National Tsing Hua University Taiwan China"},{"name":"Department of Econometrics Netherlands Erasmus Universiteit Rotterdam Rotterdam The Netherlands"},{"name":"Department of Quantitative Economics Complutense University of Madrid Madrid Spain"},{"name":"Institute of Advanced Sciences Yokohama National University Yokohama Japan"}]}],"member":"311","published-online":{"date-parts":[[2017,4,28]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.028"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00004-2"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00572.x"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbr015"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6495"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.12.001"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01736-4"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq071"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2012.663261"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00327"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00259-3"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/500685"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21715"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1234"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90044-9"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21696"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04793.x"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21735"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20444"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10016"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2009.01.010"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6419.2010.00640.x"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_7_36_1","doi-asserted-by":"crossref","unstructured":"Oehmke M. (2009). Gradual arbitrage. Working paper Columbia University New York USA.","DOI":"10.2139\/ssrn.1364126"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2006.04.005"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.09.014"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10042"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912002"},{"key":"e_1_2_7_41_1","doi-asserted-by":"crossref","first-page":"723","DOI":"10.1111\/j.1540-6261.1985.tb04996.x","article-title":"An investigation of transaction data for NYSE stocks","volume":"25","author":"Wood R. A.","year":"1985","journal-title":"Journal of Finance"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21847","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21847","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T17:17:51Z","timestamp":1696612671000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21847"}},"issued":{"date-parts":[[2017,4,28]]},"references-count":41,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2017,11]]}},"alternative-id":["10.1002\/fut.21847"],"URL":"https:\/\/doi.org\/10.1002\/fut.21847","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,4,28]]}},{"indexed":{"date-parts":[[2024,5,1]],"date-time":"2024-05-01T00:28:40Z","timestamp":1714523320552},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2024,4,30]],"date-time":"2024-04-30T00:00:00Z","timestamp":1714435200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,6]]},"DOI":"10.1002\/fut.22432","type":"journal-article","created":{"date-parts":[[2024,4,30]],"date-time":"2024-04-30T07:26:48Z","timestamp":1714462008000},"page":"877-877","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 44, Number 6, June 2024"],"prefix":"10.1002","volume":"44","member":"311","published-online":{"date-parts":[[2024,4,30]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22432","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,4,30]],"date-time":"2024-04-30T07:27:33Z","timestamp":1714462053000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22432"}},"issued":{"date-parts":[[2024,4,30]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2024,6]]}},"alternative-id":["10.1002\/fut.22432"],"URL":"https:\/\/doi.org\/10.1002\/fut.22432","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,4,30]]},"assertion":[{"value":"2024-04-30","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:38:47Z","timestamp":1761561527209},"reference-count":32,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2011,4,20]],"date-time":"2011-04-20T00:00:00Z","timestamp":1303257600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,4]]},"abstract":"Abstract<\/jats:title>We characterize conditions under which the regime switching (RS) hedge strategy will perform better than the ordinary least squares (OLS) hedge strategy. The result can be extended to the case where the GARCH effects prevail. Specifically, these conditions would allow the RS\u2010GARCH hedge strategy to dominate both OLS and GARCH hedge strategies. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20520","type":"journal-article","created":{"date-parts":[[2011,4,20]],"date-time":"2011-04-20T16:20:19Z","timestamp":1303316419000},"page":"389-396","source":"Crossref","is-referenced-by-count":9,"title":["A note on the performance of regime switching hedge strategy"],"prefix":"10.1002","volume":"32","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[{"name":"University of Texas San Antonio Texas"}]}],"member":"311","published-online":{"date-parts":[[2011,4,20]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2007.674793"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10130"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.020"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282805774669574"},{"key":"e_1_2_7_6_1","unstructured":"Bos C. S. &Gould P.(2007).Dynamic correlations and optimal hedge ratios. Department of Econometrics & Operations Research Vrije Universiteit Amsterdam The Netherlands."},{"key":"e_1_2_7_7_1","doi-asserted-by":"crossref","unstructured":"Chen F. &Sutcliffe C.(2007).Better cross hedges with composite hedging?Hedging equity portfolios using financial and commodity futures. ICMA Centre Discussion Papers in Finance No. DP2007\u201004 University of Reading United Kingdom.","DOI":"10.2139\/ssrn.985959"},{"key":"e_1_2_7_8_1","doi-asserted-by":"crossref","unstructured":"Chiriac R. &Voev V.(2010).Modelling and forecasting multivariate realized volatility. Journal of Applied Econometrics article published online in Wiley Online Library; DOI: 10.1002\/jae.1152.","DOI":"10.1002\/jae.1152"},{"key":"e_1_2_7_9_1","volume-title":"Hedging effectiveness in the index futures market (Working Paper October 2006)","author":"Copeland L.","year":"2006"},{"key":"e_1_2_7_10_1","unstructured":"Cotter J. &Hanley J.(2007).Hedging effectiveness under conditions of asymmetry. MPRA Paper No. 3501 Department of Banking and Finance University College Dublin Ireland."},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2009.02170.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20444"},{"key":"e_1_2_7_14_1","unstructured":"Le Pan Y. &Sevi B.(2007).Optimal hedging in European electricity forward markets. Universite de Nantes et LEN Paris France."},{"key":"e_1_2_7_15_1","unstructured":"Lee H.\u2010T.(2010).Hedging foreign currency portfolios under switching regimes. National Chi Nan University Taiwan."},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840500438970"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20256"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20193"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2004.11.001"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20172"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20222"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2007.01.002"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20297"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20329"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2007.07.004"},{"key":"e_1_2_7_26_1","doi-asserted-by":"crossref","unstructured":"Lien D.(2010).A note on the relationship between the variability of the hedge ratio and hedging performance. Journal of Futures Markets article published online in Wiley Online Library; DOI: 10.1002\/fut.20455.","DOI":"10.1002\/fut.20455"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2006.12.002"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6419.00172"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1057-5219(01)00060-6"},{"key":"e_1_2_7_30_1","first-page":"33","article-title":"Realized hedge ratio properties, performance and implications for risk management: Evidence from the Spanish IBEX 35 spot and futures markets","volume":"12","author":"McMillan D. G.","year":"2010","journal-title":"Journal of Risk"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1744-7976.1998.tb00358.x"},{"key":"e_1_2_7_32_1","volume-title":"On the economic evaluation of volatility forecasts (working paper)","author":"Voev V.","year":"2010"},{"key":"e_1_2_7_33_1","volume-title":"Hedging ideally with realized covariance (working paper)","author":"Yeh J.\u2010H.","year":"2008"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20520","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20520","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T16:52:14Z","timestamp":1698684734000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20520"}},"issued":{"date-parts":[[2011,4,20]]},"references-count":32,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2012,4]]}},"alternative-id":["10.1002\/fut.20520"],"URL":"https:\/\/doi.org\/10.1002\/fut.20520","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,4,20]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T20:28:31Z","timestamp":1761596911376},"reference-count":23,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,7]]},"DOI":"10.1002\/fut.20161","type":"journal-article","created":{"date-parts":[[2005,5,9]],"date-time":"2005-05-09T23:16:48Z","timestamp":1115680608000},"page":"643-660","source":"Crossref","is-referenced-by-count":19,"title":["Technical analysis and genetic programming: Constructing and testing a commodity portfolio"],"prefix":"10.1002","volume":"25","author":[{"given":"Matthew C.","family":"Roberts","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"key":"10.1002\/fut.20161-BIB1","first-page":"338","volume-title":"The random character of stock market changes","author":"Alexander","year":"1964","unstructured":"(1964). Price movements in speculative markets: Trends or random walks, no. 2. In (Ed.), The random character of stock market changes (pp. 338-372). Cambridge, MA: MIT Press."},{"key":"10.1002\/fut.20161-BIB2","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1016\/S0304-405X(98)00052-X","volume":"51","author":"Allen","year":"1999","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20161-BIB3","doi-asserted-by":"crossref","first-page":"1731","DOI":"10.1111\/j.1540-6261.1992.tb04681.x","volume":"47","author":"Brock","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20161-BIB4","first-page":"118","volume":"7","author":"Brorsen","year":"1987","journal-title":"Review of Futures Markets"},{"key":"10.1002\/fut.20161-BIB5","doi-asserted-by":"crossref","DOI":"10.1515\/9781400830213","volume-title":"The econometrics of financial markets","author":"Campbell","year":"1997","unstructured":"& (1997). The econometrics of financial markets. Princeton, NJ: Princeton University Press."},{"key":"10.1002\/fut.20161-BIB6","author":"Cooper","year":"2001,november","unstructured":"& (2001, November). Is time-series based predictability evident in real-time? Working paper, Purdue University, Krannert School of Management."},{"key":"10.1002\/fut.20161-BIB7","doi-asserted-by":"crossref","first-page":"226","DOI":"10.1086\/294849","volume":"3","author":"Fama","year":"1966","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20161-BIB8","volume-title":"Genetic programming: On the programming of computers by means of natural selection","author":"Koza","year":"1992","unstructured":"(1992). Genetic programming: On the programming of computers by means of natural selection. Cambridge, MA: MIT Press."},{"key":"10.1002\/fut.20161-BIB9","doi-asserted-by":"crossref","first-page":"535","DOI":"10.1016\/S0261-5606(98)00011-4","volume":"17","author":"Lui","year":"1998","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/fut.20161-BIB10","doi-asserted-by":"crossref","first-page":"593","DOI":"10.1111\/j.1540-6288.1990.tb01300.x","volume":"25","author":"Lukac","year":"1990","journal-title":"The Financial Review"},{"key":"10.1002\/fut.20161-BIB11","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.3990080102","volume":"8","author":"Lukac","year":"1988a","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20161-BIB12","doi-asserted-by":"crossref","first-page":"623","DOI":"10.1080\/00036848800000113","volume":"20","author":"Lukac","year":"1988b","journal-title":"Applied Economics"},{"key":"10.1002\/fut.20161-BIB13","volume-title":"A random walk down Wall Street","author":"Malkiel","year":"1985","unstructured":"(1985). A random walk down Wall Street (4th ed.). New York: Norton."},{"key":"10.1002\/fut.20161-BIB14","first-page":"127","volume-title":"New Palgrave dictionary of money and finance","author":"Malkiel","year":"1992","unstructured":"(1992). Efficient markets hypothesis. In & (Eds.), New Palgrave dictionary of money and finance (pp. 127-134). London: Macmillan."},{"key":"10.1002\/fut.20161-BIB15","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1002\/(SICI)1099-1158(199710)2:4<307::AID-JFE54>3.0.CO;2-8","volume":"2","author":"Menkhoff","year":"1997","journal-title":"International Journal of Finance and Economics"},{"key":"10.1002\/fut.20161-BIB16","volume-title":"Technical analysis of the financial markets","author":"Murphy","year":"1999","unstructured":"(1999). Technical analysis of the financial markets (rev. ed.). New York: New York Institute of Finance."},{"key":"10.1002\/fut.20161-BIB17","doi-asserted-by":"crossref","first-page":"405","DOI":"10.2307\/2331231","volume":"32","author":"Neely","year":"1997","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20161-BIB18","doi-asserted-by":"crossref","first-page":"81","DOI":"10.1002\/ijfe.145","volume":"6","author":"Oberlechner","year":"2001","journal-title":"International Journal of Finance and Economics"},{"key":"10.1002\/fut.20161-BIB19","author":"Osler","year":"1998","unstructured":"(1998). Identifying noise traders: The head-and-shoulders pattern in U.S. equities (Staff Report No. 42). New York: Federal Reserve Bank of New York."},{"key":"10.1002\/fut.20161-BIB20","doi-asserted-by":"crossref","first-page":"1647","DOI":"10.1111\/0022-1082.00163","volume":"54","author":"Sullivan","year":"1999","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20161-BIB21","doi-asserted-by":"crossref","first-page":"285","DOI":"10.2307\/2331068","volume":"23","author":"Sweeney","year":"1988","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20161-BIB22","doi-asserted-by":"crossref","first-page":"304","DOI":"10.1016\/0261-5606(92)90048-3","volume":"11","author":"Taylor","year":"1992","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/fut.20161-BIB23","doi-asserted-by":"crossref","first-page":"1097","DOI":"10.1111\/1468-0262.00152","volume":"68","author":"White","year":"2000","journal-title":"Econometrica"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20161","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20161","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:01:34Z","timestamp":1625166094000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20161"}},"issued":{"date-parts":[[2005]]},"references-count":23,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2005,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20161","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:32:52Z","timestamp":1761561172585},"reference-count":10,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5201,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,6]]},"DOI":"10.1002\/fut.3990120303","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:09:12Z","timestamp":1183662552000},"page":"265-273","source":"Crossref","is-referenced-by-count":42,"title":["Estimating the volatility of S&P 500 futures prices using the extreme\u2010value method"],"prefix":"10.1002","volume":"12","author":[{"given":"James B.","family":"Wiggins","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/296188"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080404"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90026-7"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/296544"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120303","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120303","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T13:05:21Z","timestamp":1698066321000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120303"}},"issued":{"date-parts":[[1992,6]]},"references-count":10,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1992,6]]}},"alternative-id":["10.1002\/fut.3990120303"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120303","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,6]]}},{"indexed":{"date-parts":[[2025,11,1]],"date-time":"2025-11-01T17:13:42Z","timestamp":1762017222341},"reference-count":25,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4532,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,4]]},"DOI":"10.1002\/fut.3990140207","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:57:37Z","timestamp":1183683457000},"page":"215-235","source":"Crossref","is-referenced-by-count":63,"title":["Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples"],"prefix":"10.1002","volume":"14","author":[{"given":"Stephen J.","family":"Taylor","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"7","article-title":"Price Movements in Speculative Markets: Trends or Random Walks?","volume":"2","author":"Alexander S. S.","year":"1961","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","first-page":"235","DOI":"10.1111\/j.1540-6261.1980.tb02151.x","article-title":"On the Dynamic Behavior of Prices in Disequilibrium","volume":"34","author":"Beja A.","year":"1980","journal-title":"Journal of Finance"},{"key":"e_1_2_1_4_1","first-page":"257","volume-title":"The Currency\u2010Hedging Debate","author":"Bilson J. F. O.","year":"1990"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04681.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330812"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Harvey A. C. Ruiz E. andShephard N. G.(1994): \u201cMultivariate Stochastic Variance Models \u201dReview of Economic Studies forthcoming.","DOI":"10.2307\/2297980"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(87)90020-1"},{"key":"e_1_2_1_10_1","first-page":"264","article-title":"DO Technical Analysts Have Holes in Their Shoes?","volume":"3","author":"Irwin S. H.","year":"1984","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_11_1","unstructured":"Kim C. M.(1989): \u201cVolatility Effect on Time Series Behavior of Exchange Rate Changes \u201d Working Paper University of Chicago and Korea Institute for International Economic Policy."},{"key":"e_1_2_1_12_1","unstructured":"LeBaron B.(1991): \u201cTechnical Trading Rules and Regime Shifts in Foreign Exchange \u201d Working Paper Social Systems Research Institute University of Wisconsin."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296565"},{"key":"e_1_2_1_14_1","unstructured":"Lukac L. P. Brorsen B. W. andIrwin S. H.(1986): \u201cA Comparison of Twelve Technical Trading Systems with Market Efficiency Implications \u201d Unpublished manuscript Department of Agricultural Economics Purdue University."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036848800000113"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1990.tb01300.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90074-8"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90100-8"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/296551"},{"key":"e_1_2_1_20_1","unstructured":"Sentana E. andWadhwani S.(1990): \u201cFeedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data \u201d Working Paper London School of Economics."},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04497.x"},{"key":"e_1_2_1_22_1","volume-title":"Modelling Financial Time Series","author":"Taylor S. J.","year":"1986"},{"key":"e_1_2_1_23_1","first-page":"574","article-title":"How Efficient are the Most Liquid Futures Contracts?\u2014A Study of Treasury Bond Futures","volume":"7","author":"Taylor S. J.","year":"1988","journal-title":"The Review of Futures Markets"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-4932.1992.tb02298.x"},{"key":"e_1_2_1_25_1","first-page":"109","volume-title":"Rational Expectations and Ejficiency in Futures Markets","author":"Taylor S. J.","year":"1992"},{"key":"e_1_2_1_26_1","unstructured":"Taylor S. J.(1994): \u201cModelling Stochastic Volatility \u201dMathematical Finance forthcoming."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140207","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140207","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T07:01:36Z","timestamp":1698217296000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140207"}},"issued":{"date-parts":[[1994,4]]},"references-count":25,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1994,4]]}},"alternative-id":["10.1002\/fut.3990140207"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140207","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,4]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:27:59Z","timestamp":1762522079498,"version":"3.37.3"},"reference-count":34,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2017,11,14]],"date-time":"2017-11-14T00:00:00Z","timestamp":1510617600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,3]]},"abstract":"This study provides evidence of the importance of a well\u2010defined and functioning spot market for the success of the associated futures market. Our analysis of hedging effectiveness and hedge ratio persistence shows that none of the United States (US) spot market indices may be hedged effectively with the Chicago Mercantile Exchange nonfat dry milk futures at short hedging horizons, whereas the New Zealand (NZ) Stock Exchange whole milk powder futures contract is an effective hedge for the Global Dairy Trade spot pricing benchmark. Four important dimensions of spot market design are identified\u2014timeliness, market\u2010based measurement, forward\u2010spot separation, and inclusiveness.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21883","type":"journal-article","created":{"date-parts":[[2017,11,14]],"date-time":"2017-11-14T05:54:43Z","timestamp":1510638883000},"page":"373-389","source":"Crossref","is-referenced-by-count":19,"title":["Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1066-7688","authenticated-orcid":false,"given":"J\u0119drzej","family":"Bia\u0142kowski","sequence":"first","affiliation":[{"name":"Department of Economics and Finance University of Canterbury Christchurch New Zealand"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3912-2526","authenticated-orcid":false,"given":"Jan","family":"Koeman","sequence":"additional","affiliation":[{"name":"PhD Candidate, Department of Economics and Finance University of Canterbury Christchurch New Zealand"}]}],"member":"311","published-online":{"date-parts":[[2017,11,14]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.06.011"},{"key":"e_1_2_11_3_1","doi-asserted-by":"crossref","unstructured":"Bekkerman A. &Tejeda H. A.(2013). Revisiting the determinants of futures contracts: The curious case of distillers' dried grains. Available at SSRN 2274912.","DOI":"10.2139\/ssrn.2274912"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/13657300701370317"},{"key":"e_1_2_11_5_1","doi-asserted-by":"crossref","unstructured":"BhardwajG. GortonG. RouwenhorstG. (2015). Facts and fantasies about commodity futures ten years later (June 2015). NBER Working Paper No. w21243. Retrieved from SSRNhttp:\/\/ssrn.com\/abstract\u2009=\u20092615649","DOI":"10.3386\/w21243"},{"issue":"2","key":"e_1_2_11_6_1","doi-asserted-by":"crossref","first-page":"29","DOI":"10.3905\/jod.2012.19.3.029","article-title":"Determinants of trading activity on the single\u2010stock futures market: Evidence from the Eurex exchange","volume":"19","author":"Bia\u0142kowski J.","year":"2012","journal-title":"Journal of Derivatives"},{"key":"e_1_2_11_7_1","unstructured":"Bignell A. A. S.(2013).Characteristics of spot\u2010market rate indexes for truckload transportation. Doctoral dissertation Massachusetts Institute of Technology."},{"volume-title":"Success and failure of futures contracts: Theory and empirical evidence","year":"1986","author":"Black G. D.","key":"e_1_2_11_8_1"},{"issue":"2","key":"e_1_2_11_9_1","first-page":"129","article-title":"Success and failure of agricultural futures contracts","volume":"19","author":"Brorsen B. W.","year":"2001","journal-title":"Journal of Agribusiness"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040302"},{"key":"e_1_2_11_11_1","unstructured":"Cohen L. &Gorham M.(1985). The projected impact of cash\u2010settled commodity contracts on cash\/futures price relationships. InConference on Applied Commodity Price Analysis Forecasting and Market Risk Management(Vol. 2)."},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_11_13_1","unstructured":"Erba E. &Novakovic A. M.(1995).The Evolution of Milk Pricing and Government Intervention in Dairy Markets(Vol. 95 No. 5). Department of Agricultural Resource and Managerial Economics College of Agriculture and Life Sciences Cornell University."},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199705)17:3<279::AID-FUT2>3.0.CO;2-F"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aau067"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130703"},{"key":"e_1_2_11_17_1","unstructured":"Gray R. W. (1978). Why does futures trading succeed or fail: An analysis of selected commodities. Futures Trading Seminar. Retrieved fromhttp:\/\/www.farmdoc.illinois.edu\/irwin\/archive\/books\/Views_From_the_Trade\/Section6_4.pdf"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090302"},{"key":"e_1_2_11_19_1","first-page":"200","article-title":"Basic milk pricing concepts for dairy farmers","volume":"180","author":"Jesse E.","year":"2008","journal-title":"Economic Research"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/2.1.1"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20544"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/03088830600783152"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070308"},{"key":"e_1_2_11_24_1","first-page":"93","article-title":"Impact of cash settlement on feeder cattle basis","volume":"1991","author":"Kenyon D.","year":"1991","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6419.00172"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20329"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20355"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2009.11.001"},{"key":"e_1_2_11_29_1","unstructured":"Paul A. Kahl K. &Tomek W.(1981). Performance of futures markets: The case of potatoes. U.S. Department of Agriculture National Economics Division: Economics and Statistics Service Technical Bulletin No.1636 January."},{"key":"e_1_2_11_30_1","unstructured":"Perversi S. Feuz D. M. &Umberger W. J.(2002). Basis variability on the feeder cattle contract versus the failed stocker contract. In 2002 Western Agricultural Economics Association Annual Meetings (July 28\u201331 2002: Long Beach California). Western Agricultural Economics Association."},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/209671"},{"issue":"1","key":"e_1_2_11_32_1","first-page":"65","article-title":"Hedging spot corn: An examination of the Minneapolis Grain Exchange's cash settled corn contract","volume":"21","author":"Sanders D. R.","year":"2003","journal-title":"Journal of Agribusiness"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/1062-9769(95)90012-8"},{"key":"e_1_2_11_34_1","doi-asserted-by":"crossref","unstructured":"Till H. F.(2014). Why some commodity (and financial) futures contracts succeed and others fail: A survey of relevant research. Available at SSRN 2573894.","DOI":"10.2139\/ssrn.2573894"},{"key":"e_1_2_11_35_1","unstructured":"Webb R.(2015). What drives success in futures markets. Keynote speech 2015 Derivative Markets Conference."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21883","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21883","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,27]],"date-time":"2023-09-27T12:00:51Z","timestamp":1695816051000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21883"}},"issued":{"date-parts":[[2017,11,14]]},"references-count":34,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2018,3]]}},"alternative-id":["10.1002\/fut.21883"],"URL":"https:\/\/doi.org\/10.1002\/fut.21883","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,11,14]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:20:57Z","timestamp":1762521657334},"reference-count":37,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2014,4,3]],"date-time":"2014-04-03T00:00:00Z","timestamp":1396483200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"985 Engineering Innovation Base, Fudan University"},{"name":"Australian Centre for Financial Studies"},{"name":"National Nature Science Funds of China","award":["71073026; 71173096"],"award-info":[{"award-number":["71073026; 71173096"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,8]]},"abstract":"The financialization of commodities documented in [Tang and Xiong (2012) Financial Analyst Journal<\/jats:italic>, 68:54\u201374] has led commodity prices to exhibit not only time\u2010varying volatility, but also price and volatility jumps. Using the class of stochastic volatility (SV) models, we incorporate such extreme price movements to generate out\u2010of\u2010sample hedge ratios. In\u2010sample estimation on China's copper (CU) and aluminum (AL) spot and futures markets confirms the presence of price jumps and price\u2010volatility jump correlations. Out\u2010of\u2010sample hedge ratios from the [Bates (1996) Review of Financial Studies<\/jats:italic>, 9:69\u2013107] SV with price jumps model deliver the greatest risk reduction on the unhedged positions at 59.55% for CU and 49.85% for AL. But it is the [Duffie, Pan, and Singleton (2000) Econometrica<\/jats:italic>, 68:1343\u20131376] SV model with correlated price and volatility jumps that produces hedge ratios which yield the largest Sharpe Ratios of 0.644 for CU and 0.886 for AL. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 34:704\u2013730, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21671","type":"journal-article","created":{"date-parts":[[2014,4,3]],"date-time":"2014-04-03T16:27:08Z","timestamp":1396542428000},"page":"704-730","source":"Crossref","is-referenced-by-count":17,"title":["Hedging Industrial Metals With Stochastic Volatility Models"],"prefix":"10.1002","volume":"34","author":[{"given":"Qingfu","family":"Liu","sequence":"first","affiliation":[{"name":"Qingfu Liu and Dongxia Xu are at Institute for Financial Studies, School of Economics Fudan University Shanghai China"}]},{"given":"Michael T.","family":"Chng","sequence":"additional","affiliation":[{"name":"Michael T. Chng is at International Business School Suzhou Xian\u2010Jiaotong Liverpool University Suzhou China"},{"name":"School of Accounting, Economics and Finance Deakin University Melbourne VIC Australia"}]},{"given":"Dongxia","family":"Xu","sequence":"additional","affiliation":[{"name":"Qingfu Liu and Dongxia Xu are at Institute for Financial Studies, School of Economics Fudan University Shanghai China"}]}],"member":"311","published-online":{"date-parts":[[2014,4,3]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_7_3_1","doi-asserted-by":"crossref","first-page":"2003","DOI":"10.1111\/j.1540-6261.1997.tb02749.x","article-title":"Empirical performance of alternative option pricing models","volume":"53","author":"Bakshi G.","year":"1997","journal-title":"Journal of Finance"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20379"},{"key":"e_1_2_7_6_1","first-page":"177","article-title":"Studies in stock price volatility changes. Proceedings of the 1976 meeting of the business and economic statistics section","author":"Black F.","year":"1976","journal-title":"American Statistical Association"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618513"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20190"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1027384330827"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20474"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1109\/TPAMI.1984.4767596"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/57.1.97"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331378"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100600735302"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.09.001"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20175"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0002-9092.2004.00650.x"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_7_28_1","first-page":"27","article-title":"Day\u2010of\u2010the\u2010week effects in the US and Chinese commodity futures markets","volume":"18","author":"Lee K.","year":"2009","journal-title":"Review of Futures Markets"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2011.05.006"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.06.015"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1063\/1.1699114"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_7_35_1","first-page":"1012","article-title":"The simultaneous determination of spot and futures prices","volume":"51","author":"Stein J.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_7_37_1","first-page":"314","article-title":"Futures trading and hedging","author":"Working H.","year":"1953","journal-title":"American Economic Review"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10031"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21671","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21671","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:43:49Z","timestamp":1696599829000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21671"}},"issued":{"date-parts":[[2014,4,3]]},"references-count":37,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2014,8]]}},"alternative-id":["10.1002\/fut.21671"],"URL":"https:\/\/doi.org\/10.1002\/fut.21671","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,4,3]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T09:53:48Z","timestamp":1762509228129,"version":"3.40.3"},"reference-count":67,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2025,2,9]],"date-time":"2025-02-09T00:00:00Z","timestamp":1739059200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,5]]},"abstract":"ABSTRACT<\/jats:title>This paper investigates the interplay between speculative and price volatility in the energy futures markets over various cycles, utilizing wavelet coherence and a double\u2010layer network approach. Contrary to conventional wisdom, we find that long\u2010term price volatility in individual futures markets, driven by extreme events, persistently leads to increased speculative trading, partly associated with increased hedging and risk management activity. The connectedness of the two\u2010layer network system is dominated by speculation and volatility spillovers in the short and long term, respectively. The cross\u2010layer spillover effects between price volatility and speculation are more pronounced in the long term. The direct and network effects of speculation reinterpret the interaction patterns among various futures markets. Specifically, the crude oil market, as a net receiver of spillover effects, exhibits an impact of speculation on price volatility driven primarily by network effects. However, the natural gas market is dominated by the direct effects of speculation.<\/jats:p>","DOI":"10.1002\/fut.22570","type":"journal-article","created":{"date-parts":[[2025,2,11]],"date-time":"2025-02-11T07:21:37Z","timestamp":1739258497000},"page":"407-428","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets"],"prefix":"10.1002","volume":"45","author":[{"given":"Jianmin","family":"Liu","sequence":"first","affiliation":[{"name":"School of Finance Nankai University Tianjin China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4780-7293","authenticated-orcid":false,"given":"Zeguang","family":"Li","sequence":"additional","affiliation":[{"name":"School of Finance Nankai University Tianjin China"}]},{"given":"Bluford","family":"Putnam","sequence":"additional","affiliation":[{"name":"University of Maryland Global Campus Maryland USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1259-120X","authenticated-orcid":false,"given":"Arthur","family":"Yu","sequence":"additional","affiliation":[{"name":"University of Pennsylvania Philadelphia Pennsylvania USA"}]}],"member":"311","published-online":{"date-parts":[[2025,2,9]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.008"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02511.x"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.3984"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109012000592"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.002"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2016.01.011"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm079"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nby001"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.4068"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.05.010"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01400.x"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2019.01.007"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101748"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110613-034432"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.08.005"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01310.x"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhw027"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1038\/ncomms7868"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20141271"},{"key":"e_1_2_11_22_1","doi-asserted-by":"crossref","unstructured":"Ellington M. andJ.Barun\u00edk.2020.Dynamic Networks in Large Financial and Economic Systems.https:\/\/doi.org\/10.2139\/ssrn.3651134.","DOI":"10.2139\/ssrn.3651134"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2012.07.022"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aau069"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00019-1"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04665.x"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060102"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13165"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101790"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102359"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy048"},{"issue":"3","key":"e_1_2_11_33_1","first-page":"393","article-title":"On the Impossibility of Informationally Efficient Markets","volume":"70","author":"Grossman S. J.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1086\/261418"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2021.102412"},{"volume-title":"Value and Capital: An Inquiry Into Some Fundamental Principles of Economic Theory","year":"1939","author":"Hicks J. R.","key":"e_1_2_11_36_1"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.21.2.109"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1142\/8431"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aas122"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2322"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.5"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20140033"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/rfe.1143"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01483.x"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22269"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00373"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.1914"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.04.008"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2021.120209"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.07.001"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102172"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.08.027"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht038"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2017.06.005"},{"key":"e_1_2_11_55_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_11_56_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfx039"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2014.06.005"},{"key":"e_1_2_11_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106632"},{"key":"e_1_2_11_59_1","unstructured":"Putnam B.2020.An Introduction to the Market Sentiment Meter: Reimagining Probability Distributions To Calibrate Event Risk. CME Group website.https:\/\/www.cmegroup.com\/education\/files\/an-introduction-to-the-market-sentiment-meter.pdf."},{"key":"e_1_2_11_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.09.009"},{"key":"e_1_2_11_61_1","doi-asserted-by":"publisher","DOI":"10.1086\/378531"},{"key":"e_1_2_11_62_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_11_63_1","doi-asserted-by":"publisher","DOI":"10.1175\/1520-0442(1999)012<2679:ICITEM>2.0.CO;2"},{"key":"e_1_2_11_64_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21984"},{"key":"e_1_2_11_65_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj033"},{"key":"e_1_2_11_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2020.01.004"},{"key":"e_1_2_11_67_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22270"},{"key":"e_1_2_11_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.006"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22570","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,4,7]],"date-time":"2025-04-07T23:53:40Z","timestamp":1744070020000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22570"}},"issued":{"date-parts":[[2025,2,9]]},"references-count":67,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2025,5]]}},"alternative-id":["10.1002\/fut.22570"],"URL":"https:\/\/doi.org\/10.1002\/fut.22570","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,2,9]]},"assertion":[{"value":"2024-04-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-01-20","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-02-09","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,20]],"date-time":"2025-12-20T21:51:59Z","timestamp":1766267519497,"version":"3.37.3"},"reference-count":66,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2020,4,13]],"date-time":"2020-04-13T00:00:00Z","timestamp":1586736000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,7]]},"abstract":"Abstract<\/jats:title>This paper evaluates the ability of alternative option\u2010implied volatility measures to forecast crude\u2010oil return volatility. We find that a corridor implied volatility measure that aggregates information from a narrow range of option contracts consistently outperforms forecasts obtained by the popular Black\u2013Scholes and model\u2010free volatility expectations, as well as those generated by a realized volatility model. This measure ranks favorably in regression\u2010based tests, delivers the lowest forecast errors under different loss functions, and generates economically significant gains in volatility timing exercises. Our results also show that the Chicago Board Options Exchange's \u201coil\u2010VIX\u201d index performs poorly, as it routinely produces the least accurate forecasts.<\/jats:p>","DOI":"10.1002\/fut.22114","type":"journal-article","created":{"date-parts":[[2020,4,13]],"date-time":"2020-04-13T10:35:25Z","timestamp":1586774125000},"page":"1127-1159","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Volatility forecasts embedded in the prices of crude\u2010oil options"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7039-762X","authenticated-orcid":false,"given":"Dudley","family":"Gilder","sequence":"first","affiliation":[{"name":"Department of Accounting and Finance, Cardiff Business School Cardiff University Cardiff UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4154-4210","authenticated-orcid":false,"given":"Leonidas","family":"Tsiaras","sequence":"additional","affiliation":[{"name":"Department of Economics, Finance and Entrepreneurship, Aston Business School Aston University Birmingham UK"}]}],"member":"311","published-online":{"date-parts":[[2020,4,13]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.11.001"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2013.03.006"},{"key":"e_1_2_10_4_1","first-page":"105","article-title":"Great realizations","volume":"13","author":"Andersen T. G.","year":"2000","journal-title":"RISK"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_10_7_1","first-page":"141","volume-title":"Volatility as an asset class","author":"Andersen T. G.","year":"2007"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv033"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07205"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(81)90032-7"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00637.x"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy041"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.10.007"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/296404"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"issue":"2","key":"e_1_2_10_21_1","first-page":"247","article-title":"Combining multivariate volatility forecasts: An economic\u2010based approach","volume":"15","author":"Caldeira J. F.","year":"2017","journal-title":"Journal of Financial Econometrics"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-011-0157-9"},{"key":"e_1_2_10_23_1","first-page":"417","article-title":"Towards a theory of volatility trading","volume":"29","author":"Carr P.","year":"1998","journal-title":"Volatility: New Estimation Techniques for Pricing Derivatives"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90030-2"},{"key":"e_1_2_10_26_1","first-page":"581","volume-title":"Handbook of economic forecasting","author":"Christoffersen P.","year":"2013"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_10_28_1","unstructured":"Crude\u2010oil Futures Options.Bloomberg;1996\u20132016. Retrieved fromwww.Bloomberg.com"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407876"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319129"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21738"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbx020"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1108\/eb013646"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1986.tb00516.x"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx085"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi028"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.05.026"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu091"},{"key":"e_1_2_10_40_1","unstructured":"Intraday Crude\u2010oil Futures Prices. TickDataTM;1996\u20132016.\u00a0Retrieved fromwww.tickdata.com"},{"key":"e_1_2_10_41_1","unstructured":"Intraday USO ETF Prices. TickDataTM;2007\u20132016. Retrieved fromwww.tickdata.com"},{"key":"e_1_2_10_42_1","doi-asserted-by":"crossref","unstructured":"Jiang G. J. &Tian Y. S.(2005).The model\u2010free implied volatility and its information content.Review of Financial Studies 18(4).1305\u20101342. Retrieved fromhttps:\/\/academic.oup.com\/rfs\/article\/18\/4\/1305\/1595745.https:\/\/doi.org\/10.1093\/rfs\/hhi027","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.09.006"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01892.x"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.008"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<229::AID-FUT5>3.0.CO;2-L"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20126"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.689"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331318"},{"key":"e_1_2_10_50_1","first-page":"3","volume-title":"Economic forecasts and expectations Economic forecasts and expectations","author":"Mincer J.","year":"1969"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_36"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00503"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.12.002"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21759"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2006.04.005"},{"key":"e_1_2_10_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2014.01.019"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_10_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00323-0"},{"volume-title":"Asset price dynamics, volatility, and prediction","year":"2005","author":"Taylor S. J.","key":"e_1_2_10_61_1"},{"key":"e_1_2_10_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.09.015"},{"key":"e_1_2_10_63_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp035"},{"key":"e_1_2_10_64_1","first-page":"93","article-title":"A test of option market efficiency using a random\u2010walk valuation model","volume":"29","author":"Trippi R.","year":"1977","journal-title":"Journal of Economics and Business"},{"key":"e_1_2_10_65_1","unstructured":"USO ETF Options.Bloomberg;2007\u20132016. Retrieved fromwww.Bloomberg.com"},{"key":"e_1_2_10_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.05.004"},{"key":"e_1_2_10_67_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22114","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22114","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22114","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22114","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T01:15:15Z","timestamp":1693962915000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22114"}},"issued":{"date-parts":[[2020,4,13]]},"references-count":66,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2020,7]]}},"alternative-id":["10.1002\/fut.22114"],"URL":"https:\/\/doi.org\/10.1002\/fut.22114","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,4,13]]},"assertion":[{"value":"2018-06-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-02-26","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-04-13","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T15:31:58Z","timestamp":1759937518823},"reference-count":23,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2014,3,19]],"date-time":"2014-03-19T00:00:00Z","timestamp":1395187200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,6]]},"abstract":"A random field LIBOR market model (RFLMM) is proposed by extending the LIBOR market model, with interest rate uncertainties modeled via a random field. First, closed\u2010form formulas for pricing caplet and swaption are derived. Then the random field LIBOR market model is integrated with the lognormal\u2010mixture model to capture the implied volatility skew\/smile. Finally, the model is calibrated to cap volatility surface and swaption volatilities. Numerical results show that the random field LIBOR market model can potentially outperform the LIBOR market model in capturing caplet volatility smile and the pricing of swaptions, in addition to possessing other advantages documented in the previous literature (no need of frequent recalibration or to specify the number of factors in advance). \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 34:580\u2013606, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21654","type":"journal-article","created":{"date-parts":[[2014,3,20]],"date-time":"2014-03-20T03:21:47Z","timestamp":1395285707000},"page":"580-606","source":"Crossref","is-referenced-by-count":5,"title":["A Random Field LIBOR Market Model"],"prefix":"10.1002","volume":"34","author":[{"given":"Tao L.","family":"Wu","sequence":"first","affiliation":[{"name":"Tao L. Wu is at Illinois Institute of Technology Chicago, Illinois"}]},{"given":"Shengqiang","family":"Xu","sequence":"additional","affiliation":[{"name":"Shengqiang Xu is at Northern Trust Corporation Chicago, Illinois"}]}],"member":"311","published-online":{"date-parts":[[2014,3,19]]},"reference":[{"key":"e_1_2_7_2_1","volume-title":"Geometry of random fields","author":"Adler R. J.","year":"1981"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/135048600450275"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2005.127"},{"key":"e_1_2_7_5_1","article-title":"Random field and affine models for interest rates: An empirical comparison","author":"Bester C. A.","year":"2004","journal-title":"Working paper"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00028"},{"key":"e_1_2_7_7_1","author":"Brigo D.","year":"2006","journal-title":"Interest rate models: Theory and practice, with smile, inflation and credit"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024902001511"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2005.02.002"},{"key":"e_1_2_7_10_1","author":"Gikhman I. I.","year":"1996","journal-title":"Introduction to the theory of random processes"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.2.365"},{"key":"e_1_2_7_12_1","first-page":"84","article-title":"Managing smile risk","volume":"9","author":"Hagan P.","year":"2002","journal-title":"Wilmott Magazine"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2000.319268"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050026"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/3\/6\/305"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1994.tb00094.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00026"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/b97363"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00399"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03823.x"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01574151"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.3934\/jimo.2006.2.199"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21552"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21654","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21654","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T22:51:34Z","timestamp":1698447094000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21654"}},"issued":{"date-parts":[[2014,3,19]]},"references-count":23,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2014,6]]}},"alternative-id":["10.1002\/fut.21654"],"URL":"https:\/\/doi.org\/10.1002\/fut.21654","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,3,19]]}},{"indexed":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T22:12:16Z","timestamp":1759529536710},"reference-count":31,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7062,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,5]]},"DOI":"10.1002\/(sici)1096-9934(199605)16:3<289::aid-fut3>3.0.co;2-f","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:24:07Z","timestamp":1031700247000},"page":"289-311","source":"Crossref","is-referenced-by-count":7,"title":["An empirical test of the effect of basis risk on cash market positions"],"prefix":"10.1002","volume":"16","author":[{"given":"Janet S.","family":"Netz","sequence":"first","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB1","doi-asserted-by":"crossref","first-page":"1182","DOI":"10.1086\/261028","volume":"89","author":"Anderson","year":"1981","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB2","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1002\/fut.3990120207","volume":"12","author":"Castelino","year":"1992","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB3","volume-title":"Crop Production","author":"Crop Reporting Board","year":"1981","unstructured":"Crop Reporting Board (January, 1981 to December, 1989): Crop Production, Washington, DC: United States Department of Agriculture."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB4","volume-title":"Feed Situation and Outlook Yearbook","author":"Economic Research Service","year":"1993","unstructured":"Economic Research Service (March, 1993): Feed Situation and Outlook Yearbook, Washington, DC: United States Department of Agriculture."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB5","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","volume":"34","author":"Ederington","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB6","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","volume":"39","author":"Figlewski","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB7","volume-title":"Introduction to Statistical Time Series","author":"Fuller","year":"1976","unstructured":"(1976): Introduction to Statistical Time Series, New York: Wiley."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB8","doi-asserted-by":"crossref","first-page":"499","DOI":"10.2307\/1240929","volume":"66","author":"Garcia","year":"1984","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB9","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/2967593","volume":"7","author":"Kaldor","year":"1939","journal-title":"Review of Economic Studies"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB10","doi-asserted-by":"crossref","first-page":"435","DOI":"10.2307\/2648757","volume":"24","author":"Kawaii","year":"1983","journal-title":"International Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB11","doi-asserted-by":"crossref","first-page":"311","DOI":"10.2307\/1925511","volume":"68","author":"Kenen","year":"1986","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB12","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1002\/fut.3990120108","volume":"12","author":"Kolb","year":"1992","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB13","volume-title":"Stocks of Grain at Selected Terminal and Elevator Sites","author":"Livestock and Grain Market News Branch","year":"1981","unstructured":"Livestock and Grain Market News Branch (January 1981 to December 1989): Stocks of Grain at Selected Terminal and Elevator Sites, Washington, DC: United States Department of Agriculture."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB14","doi-asserted-by":"crossref","first-page":"107","DOI":"10.2307\/1239477","volume":"62","author":"Martin","year":"1980","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB15","doi-asserted-by":"crossref","first-page":"457","DOI":"10.1002\/fut.3990100503","volume":"10","author":"Moser","year":"1990","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB16","author":"Netz","year":"1992","unstructured":"(1992): \u201cRisk and Futures Markets and their Impact on Spot Price, Storage and Exports,\u201d unpublished Ph.D. thesis, University of Michigan."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB17","doi-asserted-by":"crossref","first-page":"182","DOI":"10.2307\/1243900","volume":"77","author":"Netz","year":"1995","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB18","doi-asserted-by":"crossref","first-page":"547","DOI":"10.1002\/fut.3990090608","volume":"9","author":"Paroush","year":"1989","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB19","doi-asserted-by":"crossref","first-page":"831","DOI":"10.2307\/2234580","volume":"102","author":"Paroush","year":"1992","journal-title":"The Economic Journal"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB20","doi-asserted-by":"crossref","first-page":"410","DOI":"10.2307\/1238403","volume":"57","author":"Peck","year":"1975","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB21","author":"Peck","year":"1982","unstructured":"(1982): \u201cFutures Markets, Food Imports and Food Security,\u201d AGREP Division Working Paper No. 43, World Bank, September."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB22","doi-asserted-by":"crossref","first-page":"80","DOI":"10.1111\/j.1465-7295.1984.tb00668.x","volume":"22","author":"Sarris","year":"1984","journal-title":"Economic Inquiry"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB23","first-page":"1012","volume":"51","author":"Stein","year":"1961","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB24","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1086\/258036","volume":"66","author":"Telser","year":"1958","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB25","volume-title":"Weather in U.S. Agriculture","author":"Teigen","year":"1992","unstructured":"(1992): Weather in U.S. Agriculture, computer file No. 92008B, Washington, DC: Economic Research Service, U.S. Department of Agriculture."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB26","doi-asserted-by":"crossref","first-page":"929","DOI":"10.2307\/1241935","volume":"70","author":"Tilley","year":"1988","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB27","doi-asserted-by":"crossref","first-page":"1363","DOI":"10.2307\/1912279","volume":"51","author":"Turnovsky","year":"1983","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB28","doi-asserted-by":"crossref","first-page":"277","DOI":"10.2307\/2526584","volume":"26","author":"Turnovsky","year":"1985","journal-title":"International Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB29","doi-asserted-by":"crossref","first-page":"179","DOI":"10.1017\/S0081305200013698","volume":"9","author":"Vollink","year":"1977","journal-title":"Southern Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB30","doi-asserted-by":"crossref","first-page":"71","DOI":"10.2307\/1239610","volume":"59","author":"Ward","year":"1977","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F-BIB31","first-page":"1254","volume":"39","author":"Working","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199605)16:3%3C289::AID-FUT3%3E3.0.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199605)16:3%3C289::AID-FUT3%3E3.0.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:03:04Z","timestamp":1625133784000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199605)16:3<289::AID-FUT3>3.0.CO;2-F"}},"issued":{"date-parts":[[1996,5]]},"references-count":31,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1996,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199605)16:3<289::aid-fut3>3.0.co;2-f","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,5]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:05:29Z","timestamp":1761015929048},"reference-count":25,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5997,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,4]]},"DOI":"10.1002\/(sici)1096-9934(199904)19:2<153::aid-fut2>3.0.co;2-s","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T21:33:58Z","timestamp":1030311238000},"page":"153-174","source":"Crossref","is-referenced-by-count":51,"title":["A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures"],"prefix":"10.1002","volume":"19","author":[{"given":"Gerald D.","family":"Gay","sequence":"first","affiliation":[]},{"given":"Dae Y.","family":"Jung","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB1","doi-asserted-by":"crossref","first-page":"283","DOI":"10.1002\/fut.3990090403","volume":"9","author":"Bailey","year":"1989","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB2","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB3","doi-asserted-by":"crossref","first-page":"515","DOI":"10.1002\/(SICI)1096-9934(199708)17:5<515::AID-FUT2>3.0.CO;2-I","volume":"17","author":"Brailsford","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB4","doi-asserted-by":"crossref","first-page":"s7","DOI":"10.1086\/296491","volume":"63","author":"Brennan","year":"1990","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB5","doi-asserted-by":"crossref","first-page":"14","DOI":"10.2469\/faj.v46.n2.14","volume":"46","author":"Brenner","year":"1990","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB6","doi-asserted-by":"crossref","first-page":"441","DOI":"10.1002\/fut.3990110404","volume":"11","author":"Cakici","year":"1991","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB7","doi-asserted-by":"crossref","first-page":"89","DOI":"10.1002\/fut.3990050109","volume":"5","author":"Cornell","year":"1985","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB8","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.3990030102","volume":"3","author":"Cornell","year":"1983","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB9","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1016\/0304-405X(81)90002-7","volume":"9","author":"Cox","year":"1981","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB10","doi-asserted-by":"crossref","first-page":"410","DOI":"10.2307\/1909547","volume":"38","author":"Durbin","year":"1970","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB11","doi-asserted-by":"crossref","first-page":"43","DOI":"10.2469\/faj.v40.n4.43","volume":"40","author":"Figlewski","year":"1984","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB12","doi-asserted-by":"crossref","first-page":"311","DOI":"10.1016\/0304-405X(83)90052-1","volume":"12","author":"French","year":"1983","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB13","doi-asserted-by":"crossref","first-page":"1293","DOI":"10.2307\/1913829","volume":"46","author":"Godfrey","year":"1978","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB14","doi-asserted-by":"crossref","first-page":"48","DOI":"10.2469\/faj.v44.n1.48","volume":"44","author":"Gould","year":"1988","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB15","doi-asserted-by":"crossref","first-page":"287","DOI":"10.2307\/2331208","volume":"28","author":"Hemler","year":"1991","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB16","author":"Jung","year":"1996","unstructured":"& (1996). The effect of dividends on the pricing of the KOSPI 200 futures. Working paper, Hanwha Economic Research Institute (in Korean)."},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB17","author":"Lee","year":"1997","unstructured":"& (1997). Estimating market impact costs of KOSPI 200 component stocks. Korea Securities Research Institute (in Korean)."},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB18","doi-asserted-by":"crossref","first-page":"152","DOI":"10.1002\/fut.3990120204","volume":"12","author":"Lim","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB19","doi-asserted-by":"crossref","first-page":"137","DOI":"10.1093\/rfs\/1.2.137","volume":"1","author":"MacKinlay","year":"1988","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB20","doi-asserted-by":"crossref","first-page":"51","DOI":"10.3905\/jpm.1984.408973","volume":"10","author":"Modest","year":"1984","journal-title":"Journal of Portfolio Management"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB21","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1002\/fut.3990030103","volume":"3","author":"Modest","year":"1983","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB22","doi-asserted-by":"crossref","first-page":"52","DOI":"10.3905\/jpm.1985.409021","volume":"11","author":"Peters","year":"1985","journal-title":"Journal of Portfolio Management"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB23","doi-asserted-by":"crossref","first-page":"159","DOI":"10.1016\/0165-1765(91)90125-5","volume":"37","author":"Puttonen","year":"1991","journal-title":"Economic Letters"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB24","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/1912934","volume":"48","author":"White","year":"1980","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S-BIB25","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1002\/fut.3990100603","volume":"10","author":"Yadav","year":"1990","journal-title":"The Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199904)19:2%3C153::AID-FUT2%3E3.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199904)19:2%3C153::AID-FUT2%3E3.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:10:47Z","timestamp":1625134247000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S"}},"issued":{"date-parts":[[1999,4]]},"references-count":25,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1999,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199904)19:2<153::aid-fut2>3.0.co;2-s","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,4]]}},{"indexed":{"date-parts":[[2025,10,22]],"date-time":"2025-10-22T17:44:23Z","timestamp":1761155063170},"reference-count":25,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4349,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,10]]},"DOI":"10.1002\/fut.3990140707","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T03:54:11Z","timestamp":1183694051000},"page":"861-875","source":"Crossref","is-referenced-by-count":17,"title":["The forecasting performance of livestock futures prices: A comparison to USDA expert predictions"],"prefix":"10.1002","volume":"14","author":[{"given":"Scott H.","family":"Irwin","sequence":"first","affiliation":[]},{"given":"Mary E.","family":"Gerlow","sequence":"additional","affiliation":[]},{"given":"Te\u2010Ru","family":"Liu","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Aldinger L.(1986): \u201cAn Analysis of Iowa State University Cattle Price Forecasts and Prices Indicated by Live Cattle Futures \u201d Working Paper Department of Economics Iowa State University."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912176"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2681(92)90030-F"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3980020306"},{"key":"e_1_2_1_6_1","unstructured":"Chicago Mercantile Exchange Statistical Annul various issues 1980\u20131991."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1037\/0003-066X.34.7.571"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1126\/science.2648573"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241986"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010307"},{"key":"e_1_2_1_11_1","unstructured":"Irwin S. H. andGerlow M. E.(1989): \u201cOn The Value of Outlook Economists' Price Forecasts \u201d in Proceedings of the NCR\u2010134 Conference on Applied Commodity Price Analysis Forecasting and Market Risk Management pp.220\u2013231."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511809477"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030306"},{"key":"e_1_2_1_14_1","first-page":"580","article-title":"Economic Forecast Evaluation: Profits Versus the Conventional Error Measures","volume":"81","author":"Leitch G.","year":"1991","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/758532403"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239434"},{"key":"e_1_2_1_17_1","unstructured":"Livestock and Meat Situation Report. U.S. Department of Agriculture Economic Research Service various issues 1979\u20131991."},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.3.431"},{"key":"e_1_2_1_19_1","first-page":"125","volume-title":"Commodity Markets and Futures Prices","author":"Marquardt R.","year":"1979"},{"key":"e_1_2_1_20_1","first-page":"93","volume-title":"Macroeconomics and Finance: Essays in Honor of Franco Modigliano","author":"Merton R.","year":"1987"},{"key":"e_1_2_1_21_1","unstructured":"Moe J.(1985): \u201cAn Analysis of Iowa State University Hog Price Forecasts and Price Indicated by Live Hog Futures \u201d Working Paper Department of Economics Iowa State University."},{"key":"e_1_2_1_22_1","unstructured":"O'Brian P.(1990):US. Department of Agriculture Economic Research Service personal communication."},{"key":"e_1_2_1_23_1","first-page":"123","article-title":"Are Livestock Futures Prices Rational?","volume":"11","author":"Shonkwiler J. S.","year":"1986","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_24_1","unstructured":"Surls F. andGajewski G.(1990): \u201cHow Accurate Are USDA Forecasts?\u201dAgricultural Outlook October 2\u20135."},{"key":"e_1_2_1_25_1","unstructured":"The Wall Street Journal various issues 1980\u20131991."},{"key":"e_1_2_1_26_1","unstructured":"Williams J.(1993): \u201cThe Forecasting Ability of Futures Markets Compared to Econometric Models \u201d Working Paper Food Research Institute Stanford University."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140707","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140707","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T07:36:21Z","timestamp":1698219381000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140707"}},"issued":{"date-parts":[[1994,10]]},"references-count":25,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1994,10]]}},"alternative-id":["10.1002\/fut.3990140707"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140707","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,10]]}},{"indexed":{"date-parts":[[2025,11,14]],"date-time":"2025-11-14T07:25:43Z","timestamp":1763105143085,"version":"3.32.0"},"reference-count":38,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2005,10,19]],"date-time":"2005-10-19T00:00:00Z","timestamp":1129680000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2005,12]]},"abstract":"Abstract<\/jats:title>Portfolio managers use index futures for a variety of reasons. Regardless of their motivation, they will keep a close eye on the relation between the index futures returns and their stock\u2010portfolio returns. Whenever this relation is perceived to have changed, the manager will decide whether it is worthwhile to rebalance the index futures\u2014portfolio mix accordingly. Exact measures as to when and how much rebalancing should occur have not yet been established. This article proposes a dynamic hedging algorithm based on a reverse order CUSUM\u2010squared (ROC) testing procedure, first discussed in M. H. Pesaran and A. Timmermann (2002). A comparison with standard alternatives (na\u00efve, expanding, EWLS, and rolling estimation windows) finds limited improvements in hedging performance, both in\u2010 and out\u2010of\u2010sample. \u00a9 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1173\u20131202, 2005<\/jats:p>","DOI":"10.1002\/fut.20185","type":"journal-article","created":{"date-parts":[[2005,10,20]],"date-time":"2005-10-20T13:38:12Z","timestamp":1129815492000},"page":"1173-1202","source":"Crossref","is-referenced-by-count":10,"title":["Structurally sound dynamic index futures hedging"],"prefix":"10.1002","volume":"25","author":[{"given":"Paul","family":"Kofman","sequence":"first","affiliation":[]},{"given":"Patrick","family":"McGlenchy","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005,10,19]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Andreou E. &Ghysels E.(2003).Tests for breaks in the conditional comovements of asset returns(discussion paper). Nicosia: University of Cyprus."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.659"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_6_1","first-page":"418","article-title":"Ex\u2010ante reduction of foreign exchange exposure via optimal hedge ratio adjustment","volume":"9","author":"Benet B.","year":"1990","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120205"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(84)90055-3"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331251"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.717"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2104"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1111\/j.2517-6161.1975.tb01532.x","article-title":"Techniques for testing the constancy of regression relationships over time","volume":"37","author":"Brown R. L.","year":"1975","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00134"},{"key":"e_1_2_1_15_1","first-page":"289","article-title":"Hedge effectiveness: Basis risk and minimum\u2010variance hedging","volume":"6","author":"Castelino M. G.","year":"1992","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/56.1.1"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1994.mp56003007.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10085"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb02314.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"volume-title":"Riskmetrics\u2122 technical document","year":"1996","author":"JPMorgan.","key":"e_1_2_1_24_1"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00245-5"},{"key":"e_1_2_1_28_1","first-page":"45","article-title":"Hedging with currency futures: OLS vs. GARCH","volume":"4","author":"Lin J.","year":"1994","journal-title":"Journal of Multinational Financial Management"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10035"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2003.319883"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05149.x"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242663"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00007-5"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470110046153"},{"key":"e_1_2_1_36_1","first-page":"1012","article-title":"The simultaneous determination of spot and futures prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330894"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00040-2"},{"key":"e_1_2_1_39_1","first-page":"314","article-title":"Futures trading and hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20185","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20185","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,1,5]],"date-time":"2025-01-05T02:33:36Z","timestamp":1736044416000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20185"}},"issued":{"date-parts":[[2005,10,19]]},"references-count":38,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2005,12]]}},"alternative-id":["10.1002\/fut.20185"],"URL":"https:\/\/doi.org\/10.1002\/fut.20185","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2005,10,19]]}},{"indexed":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T13:31:53Z","timestamp":1765287113099,"version":"3.46.0"},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T00:00:00Z","timestamp":1765238400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,1]]},"DOI":"10.1002\/fut.70073","type":"journal-article","created":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T13:29:01Z","timestamp":1765286941000},"page":"1-2","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 46, Number 1, January 2026"],"prefix":"10.1002","volume":"46","member":"311","published-online":{"date-parts":[[2025,12,9]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70073","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T13:29:01Z","timestamp":1765286941000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70073"}},"issued":{"date-parts":[[2025,12,9]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2026,1]]}},"alternative-id":["10.1002\/fut.70073"],"URL":"https:\/\/doi.org\/10.1002\/fut.70073","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,12,9]]},"assertion":[{"value":"2025-12-09","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,24]],"date-time":"2026-01-24T15:34:41Z","timestamp":1769268881244,"version":"3.49.0"},"reference-count":25,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1979,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,1]]},"DOI":"10.1002\/fut.20463","type":"journal-article","created":{"date-parts":[[2010,4,1]],"date-time":"2010-04-01T14:55:10Z","timestamp":1270133710000},"page":"1-33","source":"Crossref","is-referenced-by-count":16,"title":["No chills or burns from temperature surprises: An empirical analysis of the weather derivatives market"],"prefix":"10.1002","volume":"31","author":[{"given":"Ludwig","family":"Chincarini","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,4,1]]},"reference":[{"key":"10.1002\/fut.20463-BIB1|cit1","doi-asserted-by":"crossref","first-page":"553","DOI":"10.1080\/14697680601155334","article-title":"The volatility of temperature and pricing of weather derivatives","volume":"7","author":"Benth","year":"2007","journal-title":"Quantitative Finance"},{"key":"10.1002\/fut.20463-BIB2|cit2","volume-title":"Climate risk and the weather market: Financial risk management with weather hedges","author":"Brix","year":"2002"},{"key":"10.1002\/fut.20463-BIB3|cit3","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1111\/j.1540-6296.2005.00052.x","article-title":"Weather derivatives and weather risk management","volume":"8","author":"Brockett","year":"2005","journal-title":"Risk Management and Insurance Review"},{"key":"10.1002\/fut.20463-BIB4|cit4","doi-asserted-by":"crossref","first-page":"189","DOI":"10.1088\/1469-7688\/2\/3\/302","article-title":"Dynamical pricing of weather derivatives","volume":"2","author":"Brody","year":"2002","journal-title":"Quantitative Finance"},{"key":"10.1002\/fut.20463-BIB5|cit5","doi-asserted-by":"crossref","first-page":"6","DOI":"10.1198\/016214504000001051","article-title":"Weather forecasting for weather derivatives","volume":"100","author":"Campbell","year":"2005","journal-title":"Journal of the American Statistical Association"},{"key":"10.1002\/fut.20463-BIB6|cit6","doi-asserted-by":"crossref","first-page":"1089","DOI":"10.1002\/fut.20122","article-title":"Weather derivatives valuation and market price of weather risk","volume":"24","author":"Cao","year":"2004","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20463-BIB7|cit7","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1007\/s11156-005-5327-4","article-title":"Overreaction after controlling for size and book-to-market effects and its mimicking portfolio in Japan","volume":"51","author":"Chiao","year":"2005","journal-title":"Review of Quantitative Finance and Accounting"},{"key":"10.1002\/fut.20463-BIB8|cit8","unstructured":"Chincarini , L. B. 2009 http:\/\/ssrn.com\/abstract=1340761"},{"key":"10.1002\/fut.20463-BIB9|cit9","doi-asserted-by":"crossref","first-page":"793","DOI":"10.1111\/j.1540-6261.1985.tb05004.x","article-title":"Does the stock market overreact?","volume":"40","author":"DeBondt","year":"1985","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20463-BIB10|cit10","doi-asserted-by":"crossref","first-page":"557","DOI":"10.1111\/j.1540-6261.1987.tb04569.x","article-title":"Further evidence on investor overreaction and stock market seasonality","volume":"42","author":"DeBondt","year":"1987","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20463-BIB11|cit11","volume-title":"Climate risk and the weather market","year":"2002"},{"key":"10.1002\/fut.20463-BIB12|cit12","unstructured":"Garman , M. Carlos , B. Erikson , R. 2000 Seeking a standard pricing model"},{"key":"10.1002\/fut.20463-BIB13|cit13","unstructured":"Hardle , W. K. Lopez Cabrera , B. 2009 http:\/\/sfb649.wiwi.hu-berlin.de\/papers\/pdf\/SFB649DP2009-001.pdf"},{"key":"10.1002\/fut.20463-BIB14|cit14","doi-asserted-by":"crossref","first-page":"973","DOI":"10.1093\/rfs\/8.4.973","article-title":"Overreaction, delayed reaction, and contrarian profits","volume":"8","author":"Jegadeesh","year":"1995","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/fut.20463-BIB15|cit15","volume-title":"Weather derivative valuation","author":"Jewson","year":"2007"},{"key":"10.1002\/fut.20463-BIB16|cit16","first-page":"246","article-title":"Using weather derivatives to hedge precipitation exposure","volume":"33","author":"Leggio","year":"2007","journal-title":"Management Finance"},{"key":"10.1002\/fut.20463-BIB17|cit17","doi-asserted-by":"crossref","first-page":"1877","DOI":"10.1111\/j.1540-6261.2004.00682.x","article-title":"Electricity forward prices: A high-frequency empirical analysis","volume":"59","author":"Longstaff","year":"2004","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20463-BIB18|cit18","doi-asserted-by":"crossref","first-page":"1959","DOI":"10.1111\/j.1540-6261.1996.tb05234.x","article-title":"Long-term market overreaction: The effect of low-priced stocks","volume":"51","author":"Loughran","year":"1996","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20463-BIB19|cit19","doi-asserted-by":"crossref","first-page":"50","DOI":"10.1214\/aoms\/1177730491","article-title":"On a test of whether one or two random variables is stochastically larger than the other","volume":"18","author":"Mann","year":"1947","journal-title":"Annals of Mathematical Statistics"},{"key":"10.1002\/fut.20463-BIB20|cit20","doi-asserted-by":"crossref","first-page":"1005","DOI":"10.1111\/j.0002-9092.2004.00649.x","article-title":"Pricing weather derivatives","volume":"86","author":"Richards","year":"2004","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/fut.20463-BIB21|cit21","doi-asserted-by":"crossref","first-page":"100","DOI":"10.1086\/260849","article-title":"Optimal hedging under price and quantity uncertainty: The case of a cocoa producer","volume":"88","author":"Rolfo","year":"1980","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20463-BIB22|cit22","doi-asserted-by":"crossref","first-page":"3337","DOI":"10.1002\/for.917","article-title":"A comparison of temperature density forecasts from GARCH and atmospheric models","volume":"23","author":"Taylor","year":"2004","journal-title":"Journal of Forecasting"},{"key":"10.1002\/fut.20463-BIB23|cit23","doi-asserted-by":"crossref","first-page":"113","DOI":"10.2307\/2330891","article-title":"Long-term market overreaction: The effect of low-priced stocks","volume":"25","author":"Zarowin","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20463-BIB24|cit24","doi-asserted-by":"crossref","first-page":"72","DOI":"10.1108\/eb043449","article-title":"Pricing weather derivatives","volume":"1","author":"Zeng","year":"2000","journal-title":"Journal of Risk Finance"},{"key":"10.1002\/fut.20463-BIB25|cit25","first-page":"58","article-title":"Do investors over- or under-react? Evidence from Hong Kong Stock Market","volume":"11","author":"Zhu","year":"2007","journal-title":"Journal of American Academy of Business"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20463","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20463","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:27:05Z","timestamp":1625164025000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20463"}},"issued":{"date-parts":[[2010,4,1]]},"references-count":25,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2011,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20463","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2010,4,1]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T14:53:03Z","timestamp":1770475983811,"version":"3.49.0"},"reference-count":24,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3349,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2006,7]]},"DOI":"10.1002\/fut.20212","type":"journal-article","created":{"date-parts":[[2006,5,9]],"date-time":"2006-05-09T20:56:07Z","timestamp":1147208167000},"page":"677-702","source":"Crossref","is-referenced-by-count":57,"title":["Reevaluating hedging performance"],"prefix":"10.1002","volume":"26","author":[{"given":"John","family":"Cotter","sequence":"first","affiliation":[]},{"given":"Jim","family":"Hanly","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/fut.20212-BIB1","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1002\/jae.3950060202","volume":"6","author":"Baillie","year":"1991","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/fut.20212-BIB2","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1016\/0304-405X(75)90025-2","volume":"2","author":"Bawa","year":"1975","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20212-BIB3","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20212-BIB4","doi-asserted-by":"crossref","first-page":"498","DOI":"10.2307\/2109358","volume":"72","author":"Bollerslev","year":"1990","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/fut.20212-BIB5","doi-asserted-by":"crossref","first-page":"116","DOI":"10.1086\/261527","volume":"96","author":"Bollerslev","year":"1988","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20212-BIB6","doi-asserted-by":"crossref","first-page":"1043","DOI":"10.1002\/fut.2104","volume":"21","author":"Brooks","year":"2001","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20212-BIB7","doi-asserted-by":"crossref","first-page":"333","DOI":"10.1086\/338484","volume":"75","author":"Brooks","year":"2002","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20212-BIB8","doi-asserted-by":"crossref","first-page":"623","DOI":"10.2307\/1935825","volume":"70","author":"Cecchetti","year":"1988","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/fut.20212-BIB9","doi-asserted-by":"crossref","first-page":"171","DOI":"10.1016\/S1042-444X(02)00042-7","volume":"13","author":"Choudhry","year":"2003","journal-title":"Journal of Multinational Financial Management"},{"key":"10.1002\/fut.20212-BIB10","doi-asserted-by":"crossref","first-page":"597","DOI":"10.1093\/rfs\/4.4.597","volume":"4","author":"Conrad","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20212-BIB11","author":"Cotter","year":"2005","unstructured":"& (2005). Hedging effectiveness under conditions of asymmetry, Centre for Financial Markets Mimeo, University College Dublin."},{"key":"10.1002\/fut.20212-BIB12","doi-asserted-by":"crossref","first-page":"25","DOI":"10.1016\/S1059-0560(02)00144-2","volume":"12","author":"Demirer","year":"2003","journal-title":"International Review of Economics and Finance"},{"key":"10.1002\/fut.20212-BIB13","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1016\/j.mulfin.2003.12.001","volume":"15","author":"Demirer","year":"2005","journal-title":"Journal of Multinational Financial Management"},{"key":"10.1002\/fut.20212-BIB14","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","volume":"34","author":"Ederington","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20212-BIB15","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1214\/aos\/1176344552","volume":"7","author":"Efron","year":"1979","journal-title":"The Annals of Statistics"},{"key":"10.1002\/fut.20212-BIB16","doi-asserted-by":"crossref","first-page":"122","DOI":"10.1017\/S0266466600009063","volume":"11","author":"Engle","year":"1995","journal-title":"Econometric Theory"},{"key":"10.1002\/fut.20212-BIB17","first-page":"116","volume":"67","author":"Fishburn","year":"1977","journal-title":"The American Economic Review"},{"key":"10.1002\/fut.20212-BIB18","doi-asserted-by":"crossref","first-page":"535","DOI":"10.2307\/2331164","volume":"28","author":"Kroner","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20212-BIB19","doi-asserted-by":"crossref","first-page":"25","DOI":"10.1016\/S1059-0560(03)00036-4","volume":"12","author":"Lien","year":"2003","journal-title":"International Review of Economics and Finance"},{"key":"10.1002\/fut.20212-BIB20","doi-asserted-by":"crossref","first-page":"357","DOI":"10.1111\/1467-6419.00172","volume":"16","author":"Lien","year":"2002","journal-title":"Journal of Economic Surveys"},{"key":"10.1002\/fut.20212-BIB21","doi-asserted-by":"crossref","first-page":"791","DOI":"10.1080\/09603100110046045","volume":"12","author":"Lien","year":"2002","journal-title":"Applied Financial Economics"},{"key":"10.1002\/fut.20212-BIB22","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1002\/fut.3990150106","volume":"15","author":"Park","year":"1995","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20212-BIB23","doi-asserted-by":"crossref","first-page":"431","DOI":"10.2307\/1907413","volume":"20","author":"Roy","year":"1952","journal-title":"Econometrica"},{"key":"10.1002\/fut.20212-BIB24","doi-asserted-by":"crossref","first-page":"1519","DOI":"10.1016\/S0378-4266(02)00272-8","volume":"26","author":"Tasche","year":"2002","journal-title":"Journal of Banking and Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20212","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20212","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:31:29Z","timestamp":1625164289000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20212"}},"issued":{"date-parts":[[2006,7]]},"references-count":24,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2006,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20212","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,7]]}},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T20:22:19Z","timestamp":1773951739023,"version":"3.50.1"},"reference-count":17,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2011,5,10]],"date-time":"2011-05-10T00:00:00Z","timestamp":1304985600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,4]]},"abstract":"Abstract<\/jats:title>One of the most widely used option valuation models among practitioners is the ad hoc Black\u2013Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider two rollover strategies (nearest\u2010to\u2010next strategy and next\u2010to\u2010next) used in the AHBS model to investigate their effect on pricing errors. We suggest a new rollover strategy, next\u2010to\u2010next strategy, and demonstrate that our rollover strategy produces more consistent estimates between in\u2010sample market and model option prices. Probably even more important is that our new rollover strategy makes more accurate out\u2010of\u2010sample forecasts for 1\u2010day or 1\u2010week ahead prices. Prior literature has documented some anomalies associated with the use of AHBS model, for example, an overfitting problem. A secondary contribution is that our new rollover strategy does not suffer from this overfitting critique. Third, this study uses the mean square error for out\u2010of\u2010sample pricing and price changes to determine how the options investors are influenced by moneyness. The results indicate that underpricing (or overpricing) by the AHBS model for the near\u2010the\u2010money category is more likely to be maintained for the next several trading days but that such a phenomenon is disappeared for the deep out\u2010of\u2010the\u2010money category. Finally, we suggest the ratio of the number of option contracts to differences in strike prices available for trading between the current day and the previous day(s) as a good categorizing factor for options, such as moneyness. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20522","type":"journal-article","created":{"date-parts":[[2011,5,10]],"date-time":"2011-05-10T16:11:36Z","timestamp":1305043896000},"page":"360-388","source":"Crossref","is-referenced-by-count":7,"title":["Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market"],"prefix":"10.1002","volume":"32","author":[{"given":"Youngsoo","family":"Choi","sequence":"first","affiliation":[{"name":"Department of Mathematics Hankuk University of Foreign Studies Korea"}]},{"given":"SoonChan","family":"Ok","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2011,5,10]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00009-9"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00544"},{"key":"e_1_2_6_5_1","unstructured":"Chicago Board Options Exchange(2003).VIX \u2013 CBOE Volatility Index.http:\/\/www.cboe.com\/micro\/vix\/vixwhite.pdf."},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.02.001"},{"key":"e_1_2_6_7_1","first-page":"32","article-title":"Riding on a smile","volume":"7","author":"Derman E.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_6_10_1","volume-title":"Recovering stochastic processes from option prices (working paper)","author":"Jackwerth J. C.","year":"2001"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(03)00042-8"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20403"},{"key":"e_1_2_6_13_1","unstructured":"Kirgiz I.(2001).An empirical comparison of alternative stochastic volatility option pricing models (working paper). Dubai Group."},{"key":"e_1_2_6_14_1","unstructured":"Korea Exchange. (2009)VKOSPI \u2013 KRX Volatility index.http:\/\/inc.krx.co.kr\/attach\/eng\/sta\/VKOSPI_GUIDE_ENG.pdf."},{"key":"e_1_2_6_15_1","volume-title":"A \u201chorse race\u201d among competing option pricing models using S&P 500 index options (working paper)","author":"Li M.","year":"2007"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_6_17_1","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1111\/j.1540-6261.1994.tb00079.x","article-title":"Implied binomial tree","volume":"49","author":"Rubistein M.","year":"1994","journal-title":"Journal of Finance"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601173444"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20522","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20522","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T16:52:20Z","timestamp":1698684740000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20522"}},"issued":{"date-parts":[[2011,5,10]]},"references-count":17,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2012,4]]}},"alternative-id":["10.1002\/fut.20522"],"URL":"https:\/\/doi.org\/10.1002\/fut.20522","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,5,10]]}},{"indexed":{"date-parts":[[2026,3,13]],"date-time":"2026-03-13T19:12:39Z","timestamp":1773429159301,"version":"3.50.1"},"reference-count":36,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,10,21]],"date-time":"2015-10-21T00:00:00Z","timestamp":1445385600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,8]]},"abstract":"Abstract<\/jats:title>This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high\u2010frequency data on four prominent energy markets, we perform a model\u2010free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in\u2010sample and out\u2010of\u2010sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:758\u2013792, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21759","type":"journal-article","created":{"date-parts":[[2015,10,22]],"date-time":"2015-10-22T07:24:57Z","timestamp":1445498697000},"page":"758-792","source":"Crossref","is-referenced-by-count":117,"title":["Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets"],"prefix":"10.1002","volume":"36","author":[{"given":"Marcel","family":"Prokopczuk","sequence":"first","affiliation":[{"name":"Marcel Prokopczuk is at the Leibniz University Hannover, Koenigsworther Platz 1, 30167 Hannover, Germany. He is also at ICMA Centre, Henley Business School, University of Reading, RG6 6BA, United Kingdom"}]},{"given":"Lazaros","family":"Symeonidis","sequence":"additional","affiliation":[{"name":"Lazaros Symeonidis is at the Norwich Business School, University of East Anglia, Norwich NR4 7TJ, United Kingdom"}]},{"given":"Chardin","family":"Wese Simen","sequence":"additional","affiliation":[{"name":"Chardin Wese Simen is at the University of Liverpool, Chatham Street, Liverpool, L69 7ZH, United Kingdom"}]}],"member":"311","published-online":{"date-parts":[[2015,10,21]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.006"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_8_5_1","unstructured":"Andersen T. G. Bollerslev T. Diebold F. X. &Labys P.(1999).Realized volatility and correlation. Working paper University of Pennsylvania US."},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.029"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.01.011"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10018"},{"key":"e_1_2_8_11_1","doi-asserted-by":"crossref","unstructured":"Bajgrowicz P. Scaillet O. &Treccani A.(2014).Jumps in high\u2010frequency data: Spurious detections dynamics and news. Forthcoming in Management Science. Available at:http:\/\/dx.doi.org\/10.1287\/mnsc.2015.2234.","DOI":"10.1287\/mnsc.2015.2234"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1082552195"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.691"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2006.01.007"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12107"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20532"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.008"},{"key":"e_1_2_8_23_1","unstructured":"Corsi F. &Reno R.(2009).HAR volatility modelling with heterogeneous leverage and jumps. Working paper SSRN."},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00718.x"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20251"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi025"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm056"},{"key":"e_1_2_8_30_1","unstructured":"Maneesoonthorn W. Forbes C. S. &Martin G. M.(2014).Inference on self\u2010exciting jumps in prices and volatility using high frequency measures. Working paper Cornell University Library."},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20126"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00503"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2014.01.019"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.023"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00052-X"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20347"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21759","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21759","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T04:08:33Z","timestamp":1696565313000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21759"}},"issued":{"date-parts":[[2015,10,21]]},"references-count":36,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2016,8]]}},"alternative-id":["10.1002\/fut.21759"],"URL":"https:\/\/doi.org\/10.1002\/fut.21759","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,10,21]]}},{"indexed":{"date-parts":[[2026,3,13]],"date-time":"2026-03-13T13:23:25Z","timestamp":1773408205622,"version":"3.50.1"},"reference-count":29,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2007,9,12]],"date-time":"2007-09-12T00:00:00Z","timestamp":1189555200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,11]]},"abstract":"Abstract<\/jats:title>This study evaluates the forecasting performance of extreme\u2010value volatility estimators for the equity\u2010based Nifty Index using two\u2010scale realized volatility. This benchmark mitigates the effect of microstructure noise in the realized volatility. Extreme\u2010value estimates with relatively simple forecasting methods provide substantially better short\u2010term and long\u2010term forecasts, compared to historical volatility. The higher efficiency of extreme\u2010value estimators is primarily responsible for this improvement. The extent of possible improvement in forecasts is likely to be economically significant for applications like options pricing. By including extremevalue estimators, the forecasting performance of generalized autoregressive conditional heteroscedasticity (GARCH) can also be improved. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1085\u20131105, 2007<\/jats:p>","DOI":"10.1002\/fut.20283","type":"journal-article","created":{"date-parts":[[2007,9,12]],"date-time":"2007-09-12T16:17:03Z","timestamp":1189613823000},"page":"1085-1105","source":"Crossref","is-referenced-by-count":35,"title":["Forecasting performance of extreme\u2010value volatility estimators"],"prefix":"10.1002","volume":"27","author":[{"family":"Vipul","sequence":"first","affiliation":[]},{"given":"Joshy","family":"Jacob","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,9,12]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi016"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"A\u00eft\u2010Sahalia Y. Mykland P.A. &Zhang L.(2005b).Ultra high frequency volatility estimation with dependent microstructure noise. Unpublished manuscript Princeton University Princeton NJ.","DOI":"10.3386\/w11380"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_1_5_1","volume-title":"Handbook of financial econometrics","author":"Andersen T.G.","year":"2002"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00572.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20169"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296188"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90073-Z"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0416.00009"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2004.04.009"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/296570"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90026-7"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10016"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177005835"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20197"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1086\/296544"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120303"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1086\/209650"},{"key":"e_1_2_1_29_1","first-page":"443","volume-title":"Handbook of applied econometrics and statistical inference","author":"Yew X.C.H.","year":"2002"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20283","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20283","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T17:57:37Z","timestamp":1700071057000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20283"}},"issued":{"date-parts":[[2007,9,12]]},"references-count":29,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2007,11]]}},"alternative-id":["10.1002\/fut.20283"],"URL":"https:\/\/doi.org\/10.1002\/fut.20283","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,9,12]]}},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T14:25:01Z","timestamp":1772807101657,"version":"3.50.1"},"reference-count":39,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,9,15]],"date-time":"2006-09-15T00:00:00Z","timestamp":1158278400000},"content-version":"vor","delay-in-days":6254,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,8]]},"DOI":"10.1002\/fut.3990090402","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:46:55Z","timestamp":1183639615000},"page":"273-282","source":"Crossref","is-referenced-by-count":18,"title":["The live cattle futures market and daily cash price movements"],"prefix":"10.1002","volume":"9","author":[{"given":"B. Wade","family":"Brorsen","sequence":"first","affiliation":[]},{"given":"Charles M.","family":"Oellermann","sequence":"additional","affiliation":[]},{"given":"Paul L.","family":"Farris","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,15]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Bagnell Douglas B. \u201cIrish Potato Futures Trading \u201d Hearing before a Subcommittee of the Committee on Agriculture and Forestry U.S. Senate 88th Congress (1st Session September 30) 1963."},{"key":"e_1_2_1_3_1","first-page":"126","article-title":"Dynamics of Regional Fed Cattle Prices","volume":"10","author":"Bailey DeeVon","year":"1985","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02151.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/0471725153"},{"key":"e_1_2_1_6_1","first-page":"767","article-title":"Rational Response to Shocks in a Dynamic Model of Capital Asset Prices","volume":"66","author":"Black S. W.","year":"1976","journal-title":"American Economic Review"},{"key":"e_1_2_1_7_1","unstructured":"Britto Ronald. \u201cFutures Trading and the Level and Volatility of Spot Prices: A Survey \u201d Columbia University: Center for the Study of Futures Markets Working Paper No. 112."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240896"},{"key":"e_1_2_1_9_1","first-page":"205","article-title":"Discussion of \u2018The Effect of Futures Trading on the Municipal Bond Market\u2019","volume":"6","author":"Chance D.","year":"1987","journal-title":"The Review of Futures Markets"},{"key":"e_1_2_1_10_1","unstructured":"Chicago Mercantile Exchange. \u201cThe Impact of the Cattle Futures Market on the Cash Market: An Analysis of Current Concerns \u201d Commodity Research Department July 22 1986."},{"key":"e_1_2_1_11_1","volume-title":"A Study of the Effects on the Economy of Trading in Futures and Options","author":"Committee on Agriculture","year":"1985"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/260509"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(77)90022-8"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237918"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00461.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_18_1","first-page":"273","article-title":"Onions Revisited","volume":"45","author":"Gray Roger W.","year":"1963","journal-title":"American Journal of Agricultural Economics"},{"key":"e_1_2_1_19_1","series-title":"North Central Regional Research Project NC\u2010117, Monograph No. 7","volume-title":"Pricing Problems in the Food Industry (With Emphasis on Thin Markets)","author":"Hayenga Marvin L.","year":"1978"},{"key":"e_1_2_1_20_1","unstructured":"Hudson M. A.andW. D.Purcell. \u201cPrice Discovery Processes in the Cattle Compex: An Investigation of Cash\u2010Futures Interactions \u201d Virginia Agricultural Experiment Station Bulletin 85\u201312 Fall1985."},{"key":"e_1_2_1_21_1","first-page":"264","article-title":"Do Technical Analysts Have Holes in Their Shoes?","volume":"3","author":"Irwin Scott H.","year":"1984","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_22_1","unstructured":"Johnson A. C. \u201cEffects of Futures Trading on Price Performance in the Cash Onion Market \u201d Economic Research Service U.S. Department of Agriculture Publication No. 1470 1968."},{"key":"e_1_2_1_23_1","doi-asserted-by":"crossref","first-page":"1302","DOI":"10.1111\/j.1540-6261.1987.tb04368.x","article-title":"The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index","volume":"42","author":"Kawaller L. G.","year":"1987","journal-title":"Journal of Finance"},{"key":"e_1_2_1_24_1","unstructured":"Koontz Stephen R. Michael A.Hudson andPhilipGarcia. \u201cDominant\u2010Satellite Relationships Between Futures and Selected Cash Prices for Live Cattle \u201d Proceedings of the NCR\u2010134 Conference on Applied Commodity Price Analysis Forecasting and Market Risk Management Chicago IL April 22\u201323 1987 pp.331\u201345."},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/65.2.297"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913837"},{"key":"e_1_2_1_27_1","first-page":"250","article-title":"Detecting Spot Price Forecasts in Futures Prices Using Causality Tests","volume":"6","author":"Ng Nancy.","year":"1987","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050404"},{"key":"e_1_2_1_29_1","first-page":"17","article-title":"The Adequacy of Speculation on the Wheat, Corn, and Soybean Futures Markets","volume":"2","author":"Peck Anne E.","year":"1981","journal-title":"Research in Domestic and International Agribusiness Management"},{"key":"e_1_2_1_30_1","unstructured":"Phillips B. Personal communication. Omaha Livestock Co. Omaha NB.1986."},{"key":"e_1_2_1_31_1","first-page":"460","article-title":"Does Futures Trading Reduce Price Fluctuations in the Cash Markets?","volume":"60","author":"Powers Mark J.","year":"1970","journal-title":"American Economic Review"},{"key":"e_1_2_1_32_1","first-page":"41","article-title":"Proof That Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_33_1","first-page":"183","volume-title":"SAS\/ETS User's Guide, Version 5 Edition","author":"SAS Institute, Inc.","year":"1984"},{"issue":"1","key":"e_1_2_1_34_1","article-title":"The Influence of Futures Trading on Cash Cattle Price Variations","author":"Taylor Gregory S.","year":"1974","journal-title":"Food Research Insititute Studies"},{"key":"e_1_2_1_35_1","volume-title":"Modelling Financial Time Series","author":"Taylor S.","year":"1986"},{"issue":"1","key":"e_1_2_1_36_1","article-title":"A Note on Historical Wheat Prices and Futures Trading","author":"Tomek William G.","year":"1971","journal-title":"Food Research Insititute Studies"},{"key":"e_1_2_1_37_1","first-page":"351","article-title":"Futures Trading and Market Information: Some New Evidence","volume":"17","author":"Tomek William G.","year":"1979","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_38_1","unstructured":"Whittaker Gregg Linda E.Bowyer andDaniel P.Klein. \u201cThe Effect of Futures Trading on the Municipal Bond Market \u201dReview of Research in Futures Markets1988 forthcoming."},{"key":"e_1_2_1_39_1","unstructured":"Wise T. A. \u201cDo You Have a Future in Commodity Futures? \u201dFortune(April1962):120\u2013121 200\u2013206."},{"issue":"1","key":"e_1_2_1_40_1","article-title":"Price Effects of Futures Trading","author":"Working, Holbrook","year":"1960","journal-title":"Food Research Institute Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090402","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090402","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:17:56Z","timestamp":1697991476000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090402"}},"issued":{"date-parts":[[1989,8]]},"references-count":39,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1989,8]]}},"alternative-id":["10.1002\/fut.3990090402"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090402","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,8]]}},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T12:47:06Z","timestamp":1772801226419,"version":"3.50.1"},"reference-count":54,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5384,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,12]]},"DOI":"10.1002\/fut.3990110606","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:58:57Z","timestamp":1183661937000},"page":"711-728","source":"Crossref","is-referenced-by-count":84,"title":["\u201cChaos\u201d in futures markets? A nonlinear dynamical analysis"],"prefix":"10.1002","volume":"11","author":[{"given":"Steven C.","family":"Blank","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"252","article-title":"Testing Nonlinear Dynamics","volume":"11","author":"Abraham N.","year":"1984","journal-title":"Physica"},{"key":"e_1_2_1_3_1","first-page":"365","article-title":"GARCH Time\u2010Series Models: An Application to Retail Livestock Prices","volume":"13","author":"Aradhyula S.","year":"1988","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526783"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330824"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511664342.012"},{"key":"e_1_2_1_7_1","volume-title":"Evolutionary Dynamics and Nonlinear Economics","author":"Barnett W.","year":"1991"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.3.1.77"},{"key":"e_1_2_1_9_1","volume-title":"Futures and Options Markets: Trading Commodities and Financials","author":"Blank S.","year":"1991"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(82)90035-6"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Booth G. Kaen F. andKoveos P.(1982b): \u201cPersistent Dependence in Gold Prices \u201dJournal of Financial Research 85\u201393.","DOI":"10.1111\/j.1475-6803.1982.tb00628.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(86)90014-1"},{"key":"e_1_2_1_14_1","volume-title":"Differential Equations, Stability, and Chaos in Dynamic Economics","author":"Brock W. A.","year":"1988"},{"key":"e_1_2_1_15_1","volume-title":"The Economy as an Evolving Complex System","author":"Brock W. A.","year":"1988"},{"key":"e_1_2_1_16_1","volume-title":"Dynamic Econometric Modeling","author":"Brock W.","year":"1991"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(88)90170-5"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(86)90046-1"},{"key":"e_1_2_1_19_1","unstructured":"Cheung Y. andNg L.(in press): \u201cThe Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities \u201dThe Review of Futures Markets."},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040407"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1885621"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(86)90004-9"},{"key":"e_1_2_1_23_1","first-page":"16","article-title":"Universal Behavior in Nonlinear Systems","volume":"7","author":"Feigenbaum M. J.","year":"1983","journal-title":"Physica"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297500"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1017\/S008130520002570X"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198283350.001.0001"},{"key":"e_1_2_1_27_1","first-page":"189","article-title":"Measuring the Strangeness of Strange Attractors","volume":"9","author":"Grassberger P.","year":"1983","journal-title":"Physica"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90006-X"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050209"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040408"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391691"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1086\/296466"},{"key":"e_1_2_1_33_1","first-page":"168","article-title":"Classical Chaos","volume":"75","author":"Jensen R. V.","year":"1987","journal-title":"American Scientist"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239555"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070108"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391985"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2681(87)90052-7"},{"key":"e_1_2_1_38_1","volume-title":"The Fractal Geometry of Nature","author":"Mandelbrot B.","year":"1977"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.2307\/1891123"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.2307\/1060611"},{"key":"e_1_2_1_41_1","volume-title":"Non\u2010Linear and Non\u2010Stationary Time Series Analysis","author":"Priestly M. B.","year":"1988"},{"key":"e_1_2_1_42_1","volume-title":"The Statistical Properties of Dimension Calculations Using Small Data Sets","author":"Ramsey J.","year":"1987"},{"key":"e_1_2_1_43_1","first-page":"861","article-title":"Orange Juice and Weather","volume":"74","author":"Roll R.","year":"1984","journal-title":"American Economic Review"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080303"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090604"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1086\/296465"},{"key":"e_1_2_1_47_1","volume-title":"Applied Statistical Time Series Analysis","author":"Shumway R. H.","year":"1988"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1970.tb00414.x"},{"key":"e_1_2_1_49_1","first-page":"3","article-title":"Observations of Order and Chaos in Nonlinear Systems","volume":"7","author":"Swinney H. L.","year":"1983","journal-title":"Physica"},{"key":"e_1_2_1_50_1","doi-asserted-by":"publisher","DOI":"10.1007\/BFb0075637"},{"key":"e_1_2_1_51_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239345"},{"key":"e_1_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/2232978"},{"key":"e_1_2_1_53_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400858156.273"},{"key":"e_1_2_1_54_1","volume-title":"Statistical Physics and Chaos in Fusion Plasmas","author":"Wolf A.","year":"1984"},{"key":"e_1_2_1_55_1","first-page":"285","article-title":"Determining Lyapunov Exponents from a Time Series","volume":"16","author":"Wolf A.","year":"1985","journal-title":"Physica"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110606","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110606","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:39:56Z","timestamp":1698014396000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110606"}},"issued":{"date-parts":[[1991,12]]},"references-count":54,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1991,12]]}},"alternative-id":["10.1002\/fut.3990110606"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110606","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,12]]}},{"indexed":{"date-parts":[[2026,2,26]],"date-time":"2026-02-26T13:25:48Z","timestamp":1772112348174,"version":"3.50.1"},"reference-count":11,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5875,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,8]]},"DOI":"10.1002\/(sici)1096-9934(199908)19:5<541::aid-fut3>3.0.co;2-7","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:30:12Z","timestamp":1030303812000},"page":"541-564","source":"Crossref","is-referenced-by-count":17,"title":["A comprehensive examination of the compass rose pattern in futures markets"],"prefix":"10.1002","volume":"19","author":[{"given":"Chun I.","family":"Lee","sequence":"first","affiliation":[]},{"given":"Kimberly C.","family":"Gleason","sequence":"additional","affiliation":[]},{"given":"Ike","family":"Mathur","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB1","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1016\/0304-4076(92)90064-X","volume":"52","author":"Bollerslev","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB2","author":"Brock","year":"1987","unstructured":"& (1987). A test for independence based upon the correlation dimension. Discussion paper, University of Wisconsin."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB3","author":"Chang","year":"1995","unstructured":"& (1995). Head and shoulders: Not just a flaky pattern. Federal Reserve Bank of New York Staff Reports, #4."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB4","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1016\/S1042-444X(97)00008-X","volume":"7","author":"Chen","year":"1997","journal-title":"Journal of Multinational Financial Management"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB5","doi-asserted-by":"crossref","first-page":"489","DOI":"10.1002\/(SICI)1096-9934(199708)17:5<489::AID-FUT1>3.0.CO;2-B","volume":"17","author":"Clyde","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB6","first-page":"751","volume":"51","author":"Crack","year":"1996","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB7","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1002\/(SICI)1096-9934(199702)17:1<75::AID-FUT4>3.0.CO;2-D","volume":"17","author":"Fujihara","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB8","doi-asserted-by":"crossref","first-page":"389","DOI":"10.1093\/rfs\/4.3.389","volume":"4","author":"Harris","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB9","doi-asserted-by":"crossref","first-page":"113","DOI":"10.1016\/S0165-1765(97)00020-7","volume":"54","author":"Kramer","year":"1997","journal-title":"Economics Letters"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB10","doi-asserted-by":"crossref","first-page":"1559","DOI":"10.1016\/S0378-4266(98)00073-9","volume":"22","author":"Szpiro","year":"1998","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7-BIB11","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1002\/fut.3990140207","volume":"14","author":"Taylor","year":"1994","journal-title":"The Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199908)19:5%3C541::AID-FUT3%3E3.0.CO;2-7","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199908)19:5%3C541::AID-FUT3%3E3.0.CO;2-7","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:26:35Z","timestamp":1625135195000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199908)19:5<541::AID-FUT3>3.0.CO;2-7"}},"issued":{"date-parts":[[1999,8]]},"references-count":11,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1999,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199908)19:5<541::aid-fut3>3.0.co;2-7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,8]]}},{"indexed":{"date-parts":[[2026,2,25]],"date-time":"2026-02-25T06:29:44Z","timestamp":1772000984076,"version":"3.50.1"},"reference-count":55,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2019,8,2]],"date-time":"2019-08-02T00:00:00Z","timestamp":1564704000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,10]]},"abstract":"Abstract<\/jats:title>We find that Treasury futures volume contains information about future economic and financial market conditions. Short\u2010 and long\u2010term volumes are economically different: A relatively higher volume in short\u2010term (long\u2010term) Treasury futures is counter\u2010cyclical (procyclical), preceding worse (better) economic and financial conditions. Further, we construct a single factor from futures volumes of different maturities that forecasts the performances of Treasury securities and the corporate debt and equity markets, as well as macroeconomic conditions. Our results are consistent with the notion that futures volumes from different market segments reflect differences in beliefs and contain different information about future financial and economic activity.<\/jats:p>","DOI":"10.1002\/fut.22039","type":"journal-article","created":{"date-parts":[[2019,8,3]],"date-time":"2019-08-03T04:49:38Z","timestamp":1564807778000},"page":"1301-1321","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Does maturity matter? The case of treasury futures volume"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6490-5146","authenticated-orcid":false,"given":"Doina","family":"Chichernea","sequence":"first","affiliation":[{"name":"Reiman School of Finance, Daniels College of Business University of Denver Denver Colorado"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7141-3668","authenticated-orcid":false,"given":"Kershen","family":"Huang","sequence":"additional","affiliation":[{"name":"Department of Finance and Economics, Huizenga College of Business and Entrepreneurship Nova Southeastern University Fort Lauderdale Florida"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4785-5324","authenticated-orcid":false,"given":"Alex","family":"Petkevich","sequence":"additional","affiliation":[{"name":"Neff Department of Finance, College of Business and Innovation University of Toledo Toledo Ohio"}]}],"member":"311","published-online":{"date-parts":[[2019,8,2]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2016.08.007"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.032"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01570.x"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04695.x"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331149"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04424.x"},{"key":"e_1_2_8_1_9_1","volume-title":"The chastening: Inside the crisis that rocked the global financial system and humbled the IMF","author":"Blustein P.","year":"2003"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20275"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150606"},{"key":"e_1_2_8_1_12_1","unstructured":"Buraschi A. &Whelan P.(2018).Speculation Sentiment and Interest Rates (Working Paper). Imperial College London."},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2018.03.013"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2009.00209.x"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.06.007"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2014.08.001"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12023"},{"key":"e_1_2_8_1_18_1","unstructured":"Crump R. K. Eusepi S. &Moench E.(2018).The term structure of expectations and bond yields(Working Paper Staff Report No.775). New York: Federal Reserve Bank of New York."},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12544"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00461.x"},{"key":"e_1_2_8_1_21_1","unstructured":"Galston W. A.(2013 September 24). Policy uncertainty paralyzes the economy.Wall Street Journal Politics and Ideas."},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.56021\/9781421407944"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"crossref","unstructured":"Gorton G. B. Metrick A. &Xie L.(2014).The flight from maturity(Working paper NBER is No. 20027). National Bureau of Economic Research.","DOI":"10.3386\/w20027"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(75)90035-4"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296900"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time series analysis","author":"Hamilton J. D.","year":"1994"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00184"},{"key":"e_1_2_8_1_28_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.21.2.109"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.005"},{"key":"e_1_2_8_1_30_1","unstructured":"Ip G.(1998 October 19). Illiquidity is crippling the world of bonds.Wall Street Journal Credit Markets."},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb02531.x"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.24.1.3"},{"key":"e_1_2_8_1_33_1","unstructured":"Lagarde C.(2016a). January 5).The transitions of 2016. Project Syndicate.https:\/\/www.project\u2010syndicate.org\/onpoint\/china\u2010and\u2010fed\u20102016\u2010growth\u2010outlook\u2010by\u2010christine\u2010lagarde\u20102016\u201001"},{"key":"e_1_2_8_1_34_1","unstructured":"Lagarde C.(2016b January 6).What does 2016 hold for the global economy?Cologny Switzerland: World Economic Forum."},{"key":"e_1_2_8_1_35_1","doi-asserted-by":"publisher","DOI":"10.1086\/386528"},{"key":"e_1_2_8_1_36_1","volume-title":"When genius failed: The rise and fall of long\u2010term capital management","author":"Lowenstein R.","year":"2000"},{"key":"e_1_2_8_1_37_1","unstructured":"Menkveld A. J. Sarkar A. &Van DerWel M.(2007).Macro news risk\u2010freerates and the intermediary: Customer orders for thirty\u2010year Treasury futures(Working Paper Staff Reports 30). Federal Reserve Bank of New York."},{"key":"e_1_2_8_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(82)90046-1"},{"key":"e_1_2_8_1_39_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951751"},{"key":"e_1_2_8_1_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110509"},{"key":"e_1_2_8_1_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_8_1_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01746.x"},{"key":"e_1_2_8_1_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2010.07.001"},{"key":"e_1_2_8_1_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.12.001"},{"key":"e_1_2_8_1_45_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.101.5.1676"},{"key":"e_1_2_8_1_46_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_8_1_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.10.006"},{"key":"e_1_2_8_1_48_1","volume-title":"The fed, killing economic growth softly","author":"Shelton J.","year":"2015"},{"key":"e_1_2_8_1_49_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000384"},{"key":"e_1_2_8_1_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(99)00027-6"},{"key":"e_1_2_8_1_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2005.02.003"},{"key":"e_1_2_8_1_52_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04951.x"},{"key":"e_1_2_8_1_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jet.2003.12.008"},{"key":"e_1_2_8_1_54_1","unstructured":"Vojdani M.(2015 September 14). Long\u2010term thinking about short\u2010term interest rates.U.S. News & World Report Money The Smart Investor."},{"key":"e_1_2_8_1_55_1","first-page":"314","article-title":"Futures trading and hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"},{"key":"e_1_2_8_1_56_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp091"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22039","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22039","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22039","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T04:42:14Z","timestamp":1694320934000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22039"}},"issued":{"date-parts":[[2019,8,2]]},"references-count":55,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2019,10]]}},"alternative-id":["10.1002\/fut.22039"],"URL":"https:\/\/doi.org\/10.1002\/fut.22039","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,8,2]]},"assertion":[{"value":"2018-05-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-06-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-08-02","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T10:57:34Z","timestamp":1770980254543,"version":"3.50.1"},"reference-count":19,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2019,12,20]],"date-time":"2019-12-20T00:00:00Z","timestamp":1576800000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100005416","name":"Norges Forskningsr\u00e5d","doi-asserted-by":"publisher","award":["233836"],"award-info":[{"award-number":["233836"]}],"id":[{"id":"10.13039\/501100005416","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,4]]},"abstract":"Abstract<\/jats:title>This paper uses transaction data to examine hedging efficiency in a new futures exchange; the Fish Pool salmon futures exchange in Norway. The paper utilizes data on firm\u2010level exporter\/importer transaction prices to quantify firm\u2010level futures hedging efficiency. This allows us to address heterogeneity in hedging efficiency and basis risk at the firm level. The main result of this paper shows that larger firms with greater trade partner diversification have lower basis risk. Such firms align their internal transaction price closer to the common spot price in the market, which encourages greater futures market participation. Results are discussed in light of recent declines in participation in the salmon futures exchange.<\/jats:p>","DOI":"10.1002\/fut.22088","type":"journal-article","created":{"date-parts":[[2019,12,20]],"date-time":"2019-12-20T12:37:49Z","timestamp":1576845469000},"page":"617-631","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":24,"title":["Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8448-625X","authenticated-orcid":false,"given":"Atle","family":"Oglend","sequence":"first","affiliation":[{"name":"Department of Industrial Economics University of Stavanger Stavanger Norway"}]},{"given":"Hans\u2010Martin","family":"Straume","sequence":"additional","affiliation":[{"name":"Department of Economics BI Norwegian Business School Bergen Norway"}]}],"member":"311","published-online":{"date-parts":[[2019,12,20]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/13657305.2016.1156192"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aax048"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21679"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2937860"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355304772839542"},{"issue":"2","key":"e_1_2_12_7_1","first-page":"129","article-title":"Success and failure of agricultural futures contracts","volume":"19","author":"Brorsen B. W.","year":"2001","journal-title":"Journal of Agribusiness"},{"key":"e_1_2_12_8_1","unstructured":"Gray R. W.(1966).Why does futures trading succeed or fail: An analysis of selected commodities. Paper presented at the Futures Trading Seminar."},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-54314-1.00003-3"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21959"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199912)19:8<957::AID-FUT6>3.0.CO;2-Z"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00467"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/13657305.2016.1212123"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/13657305.2013.812155"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/13657305.2018.1554722"},{"issue":"6","key":"e_1_2_12_17_1","first-page":"300","article-title":"Research in agricultural futures markets: Integrating the finance and marketing approach","volume":"52","author":"Pennings J. M. E.","year":"2003","journal-title":"German Journal of Agricultural Economics"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199708)17:5<599::AID-FUT5>3.0.CO;2-A"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1520-6297(199705\/06)13:3<295::AID-AGR4>3.0.CO;2-W"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282802762024566"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22088","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22088","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22088","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22088","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T17:26:06Z","timestamp":1694021166000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22088"}},"issued":{"date-parts":[[2019,12,20]]},"references-count":19,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2020,4]]}},"alternative-id":["10.1002\/fut.22088"],"URL":"https:\/\/doi.org\/10.1002\/fut.22088","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,12,20]]},"assertion":[{"value":"2019-02-11","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-12-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-12-20","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T12:31:27Z","timestamp":1770985887954,"version":"3.50.1"},"reference-count":0,"publisher":"Wiley","issue":"6","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,6]]},"DOI":"10.1002\/fut.v38.6","type":"journal-issue","created":{"date-parts":[[2018,5,4]],"date-time":"2018-05-04T07:18:14Z","timestamp":1525418294000},"source":"Crossref","is-referenced-by-count":2,"prefix":"10.1002","volume":"38","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v38.6","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,23]],"date-time":"2023-09-23T20:58:56Z","timestamp":1695502736000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/38\/6"}},"issued":{"date-parts":[[2018,6]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2018,6]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v38.6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,6]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T09:24:25Z","timestamp":1770974665826,"version":"3.50.1"},"reference-count":47,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2025,12,14]],"date-time":"2025-12-14T00:00:00Z","timestamp":1765670400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2025,12,14]],"date-time":"2025-12-14T00:00:00Z","timestamp":1765670400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"funder":[{"DOI":"10.13039\/501100000038","name":"Natural Sciences and Engineering Research Council of Canada","doi-asserted-by":"publisher","award":["RGPIN\u20102019\u201004029"],"award-info":[{"award-number":["RGPIN\u20102019\u201004029"]}],"id":[{"id":"10.13039\/501100000038","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/100012767","name":"HEC Montr\u00e9al","doi-asserted-by":"publisher","id":[{"id":"10.13039\/100012767","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100000038","name":"Natural Sciences and Engineering Research Council of Canada","doi-asserted-by":"publisher","award":["RGPIN\u20102024\u201004593"],"award-info":[{"award-number":["RGPIN\u20102024\u201004593"]}],"id":[{"id":"10.13039\/501100000038","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,3]]},"abstract":"ABSTRACT<\/jats:title>\n This paper develops a dynamic joint model of the implied volatility (IV) surface and its underlying asset which is tractable and seamless to estimate. The model combines an asymptotically well\u2010behaved, parametric IV surface representation with a two\u2010component variance, and non\u2010Gaussian asymmetric GARCH specification for the underlying asset returns. Estimated on S&P 500 index return and option data for the 1996\u20132020 period, the model captures the IV surface movements well and uses them to obtain an improved fit on index returns. It also proves to be an effective risk management tool, producing reliable Value\u2010at\u2010Risk estimates for straddle and strangle positions, and accurate forecasts of the VIX distribution.<\/jats:p>","DOI":"10.1002\/fut.70068","type":"journal-article","created":{"date-parts":[[2025,12,15]],"date-time":"2025-12-15T07:31:14Z","timestamp":1765783874000},"page":"545-561","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0164-0467","authenticated-orcid":false,"given":"Pascal","family":"Fran\u00e7ois","sequence":"first","affiliation":[{"name":"Department of Finance HEC Montr\u00e9al Montreal Qu\u00e9bec Canada"}]},{"given":"R\u00e9mi","family":"Galarneau\u2010Vincent","sequence":"additional","affiliation":[{"name":"Department of Decision Sciences HEC Montr\u00e9al Montreal Qu\u00e9bec Canada"}]},{"given":"Genevi\u00e8ve","family":"Gauthier","sequence":"additional","affiliation":[{"name":"Department of Decision Sciences and GERAD HEC Montr\u00e9al Montreal Qu\u00e9bec Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5097-5269","authenticated-orcid":false,"given":"Fr\u00e9d\u00e9ric","family":"Godin","sequence":"additional","affiliation":[{"name":"Department of Mathematics and Statistics Concordia University Montreal Qu\u00e9bec Canada"}]}],"member":"311","published-online":{"date-parts":[[2025,12,14]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.06.005"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2021.1983200"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050032"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-0197-7"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-111720-091255"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01695.x"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01241.x"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00171-5"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.004"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12894"},{"key":"e_1_2_12_16_1","unstructured":"CBOE.2010. The CBOE Skew Index \u2010 SKEW.White Paper."},{"key":"e_1_2_12_17_1","unstructured":"CBOE.2014. The CBOE Volatility Index \u2010 VIX.White Paper."},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp078"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2013.21.2.008"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.12.003"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/1\/304"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2023.2277960"},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601087883"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1995.10524599"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.005"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_12_28_1","volume-title":"Semiparametric Modeling of Implied Volatility","author":"Fengler M. R.","year":"2006"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22364"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2013.819986"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1137\/120900320"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbac033"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21821"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_12_39_1","doi-asserted-by":"crossref","unstructured":"Israelov R. andB. T.Kelly.2017. Forecasting the Distribution of Option Returns.Available at SSRN 3033242.","DOI":"10.2139\/ssrn.3033242"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4614-7138-7"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407942"},{"key":"e_1_2_12_42_1","unstructured":"Ledoit O. P.Santa\u2010Clara andS.Yan.2002. \u201cRelative Pricing of Options With Stochastic Volatility.\u201d University of California\u2010Los Angeles finance working paper."},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(05)80005-4"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2022.106718"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1098\/rsta.1999.0418"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.011"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024998000163"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70068","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70068","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70068","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T07:59:30Z","timestamp":1770969570000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70068"}},"issued":{"date-parts":[[2025,12,14]]},"references-count":47,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2026,3]]}},"alternative-id":["10.1002\/fut.70068"],"URL":"https:\/\/doi.org\/10.1002\/fut.70068","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,12,14]]},"assertion":[{"value":"2025-07-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-11-25","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-12-14","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T09:24:10Z","timestamp":1770974650550,"version":"3.50.1"},"reference-count":88,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2025,12,8]],"date-time":"2025-12-08T00:00:00Z","timestamp":1765152000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2025,12,8]],"date-time":"2025-12-08T00:00:00Z","timestamp":1765152000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,3]]},"abstract":"ABSTRACT<\/jats:title>\n \n Language models have emerged as powerful tools for measuring textual sentiment. Do sentiment indices derived from language models and textual data truly capture richer informational content? Drawing on a theoretical model, this paper illustrates how market sentiment embedded in news\u2010texts shapes investors' risk aversion and influences their inclination to speculation. This dynamic drives more frequent trading activities, ultimately exerting an impact on the options market. Using news data from\n The Wall Street Journal<\/jats:italic>\n as the corpus, we employ language models to construct a market sentiment index. Our findings validate the predictions of the theoretical model: market sentiment exerts a significant direct effect on option prices and indirectly influences them through risk aversion as a mediating variable. Furthermore, empirical evidence reveals that uncertainty significantly moderates both the direct and mediated channels linking market sentiment to option prices. Capturing market sentiment precisely, language models are indispensable for asset pricing sentiment analysis.\n <\/jats:p>","DOI":"10.1002\/fut.70066","type":"journal-article","created":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T05:55:12Z","timestamp":1765259712000},"page":"489-510","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1804-6678","authenticated-orcid":false,"given":"Enmao","family":"Liu","sequence":"first","affiliation":[{"name":"School of Maritime Economics and Management Dalian Maritime University Dalian China"},{"name":"Collaborative Innovation Center for Transport Studies Dalian Maritime University Dalian China"}]},{"given":"Cong","family":"Sui","sequence":"additional","affiliation":[{"name":"School of Maritime Economics and Management Dalian Maritime University Dalian China"},{"name":"Collaborative Innovation Center for Transport Studies Dalian Maritime University Dalian China"}]}],"member":"311","published-online":{"date-parts":[[2025,12,8]]},"reference":[{"key":"e_1_2_15_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106711"},{"key":"e_1_2_15_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.05.010"},{"key":"e_1_2_15_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2016.07.003"},{"key":"e_1_2_15_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_15_6_1","doi-asserted-by":"publisher","DOI":"10.3386\/w28687"},{"key":"e_1_2_15_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_15_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.21.2.129"},{"key":"e_1_2_15_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_15_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00050-1"},{"key":"e_1_2_15_11_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.4068"},{"key":"e_1_2_15_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.008"},{"key":"e_1_2_15_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2020.100816"},{"key":"e_1_2_15_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbef.2021.100542"},{"key":"e_1_2_15_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104966"},{"key":"e_1_2_15_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2022.05.005"},{"key":"e_1_2_15_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy083"},{"key":"e_1_2_15_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_15_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13377"},{"key":"e_1_2_15_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhad042"},{"key":"e_1_2_15_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.11.009"},{"key":"e_1_2_15_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.70047"},{"key":"e_1_2_15_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2024.103178"},{"key":"e_1_2_15_24_1","first-page":"417","article-title":"Towards a Theory of Volatility Trading","volume":"29","author":"Carr P.","year":"1998","journal-title":"Volatility: New Estimation Techniques for Pricing Derivatives"},{"key":"e_1_2_15_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_15_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2016.10.003"},{"key":"e_1_2_15_27_1","unstructured":"Chen Y. B. T.Kelly andD.Xiu.2022. \u201cExpected Returns and Large Language Models.\u201d"},{"key":"e_1_2_15_28_1","doi-asserted-by":"crossref","unstructured":"Chen J. G.Tang G.Zhou andW.Zhu.2023. \u201cChatGPT Stock Market Predictability and Links to the Macroeconomy.\u201d Olin Business School Center for Finance & Accounting Research Paper.","DOI":"10.2139\/ssrn.4660148"},{"key":"e_1_2_15_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhab011"},{"key":"e_1_2_15_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2023.101881"},{"key":"e_1_2_15_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00393"},{"key":"e_1_2_15_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2021.101510"},{"key":"e_1_2_15_33_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1070.0704"},{"key":"e_1_2_15_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.101048"},{"key":"e_1_2_15_35_1","doi-asserted-by":"publisher","DOI":"10.1080\/01605682.2021.1936668"},{"key":"e_1_2_15_36_1","doi-asserted-by":"crossref","unstructured":"Du J. andN.Kapadia.2012. \u201cThe Tail in the Volatility Index.\u201d Working Paper. University of Massachusetts Amherst.","DOI":"10.2139\/ssrn.1787344"},{"key":"e_1_2_15_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01444.x"},{"key":"e_1_2_15_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.01.011"},{"key":"e_1_2_15_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhac011"},{"key":"e_1_2_15_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy027"},{"key":"e_1_2_15_41_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2949"},{"key":"e_1_2_15_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22568"},{"key":"e_1_2_15_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2023.101954"},{"key":"e_1_2_15_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12027"},{"key":"e_1_2_15_45_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109019000127"},{"key":"e_1_2_15_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2024.103816"},{"key":"e_1_2_15_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2024.103440"},{"key":"e_1_2_15_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2010.11.009"},{"key":"e_1_2_15_49_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20181470"},{"key":"e_1_2_15_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm071"},{"key":"e_1_2_15_51_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2024.2347619"},{"key":"e_1_2_15_52_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu080"},{"key":"e_1_2_15_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/1911-3846.12832"},{"key":"e_1_2_15_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106247"},{"key":"e_1_2_15_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2024.107465"},{"key":"e_1_2_15_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.002"},{"key":"e_1_2_15_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/acfi.12373"},{"key":"e_1_2_15_58_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2021.1947843"},{"key":"e_1_2_15_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1149"},{"key":"e_1_2_15_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103957"},{"key":"e_1_2_15_61_1","unstructured":"Liu Y. M.Ott N.Goyal et al.2019. \u201cRoBERTa: A Robustly Optimized Bert Pretraining Approach.\u201d"},{"key":"e_1_2_15_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2020.101259"},{"key":"e_1_2_15_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102541"},{"key":"e_1_2_15_64_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01625.x"},{"key":"e_1_2_15_65_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20190171"},{"key":"e_1_2_15_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.032"},{"key":"e_1_2_15_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2016.07.001"},{"key":"e_1_2_15_68_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-50158"},{"key":"e_1_2_15_69_1","doi-asserted-by":"publisher","DOI":"10.1207\/s15427579jpfm0603_4"},{"key":"e_1_2_15_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.06.002"},{"key":"e_1_2_15_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2024.107606"},{"key":"e_1_2_15_72_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rft037"},{"key":"e_1_2_15_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2019.03.007"},{"key":"e_1_2_15_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104595"},{"key":"e_1_2_15_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.10.035"},{"key":"e_1_2_15_76_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02401.x"},{"key":"e_1_2_15_77_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.04.026"},{"key":"e_1_2_15_78_1","doi-asserted-by":"publisher","DOI":"10.1080\/23322039.2019.1600233"},{"key":"e_1_2_15_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.010"},{"key":"e_1_2_15_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.001"},{"key":"e_1_2_15_81_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2015.2379"},{"key":"e_1_2_15_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.tre.2024.103651"},{"key":"e_1_2_15_83_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01232.x"},{"key":"e_1_2_15_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2005.04.019"},{"key":"e_1_2_15_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2022.106458"},{"key":"e_1_2_15_86_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106969"},{"key":"e_1_2_15_87_1","doi-asserted-by":"publisher","DOI":"10.1111\/irfi.12234"},{"key":"e_1_2_15_88_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22256"},{"key":"e_1_2_15_89_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2777"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70066","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70066","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70066","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T07:59:41Z","timestamp":1770969581000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70066"}},"issued":{"date-parts":[[2025,12,8]]},"references-count":88,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2026,3]]}},"alternative-id":["10.1002\/fut.70066"],"URL":"https:\/\/doi.org\/10.1002\/fut.70066","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,12,8]]},"assertion":[{"value":"2024-12-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-11-10","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-12-08","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,14]],"date-time":"2026-02-14T02:05:15Z","timestamp":1771034715155,"version":"3.50.1"},"reference-count":41,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2016,8,8]],"date-time":"2016-08-08T00:00:00Z","timestamp":1470614400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,5]]},"abstract":"Abstract<\/jats:title>We propose a model\u2010independent method to account for the early exercise premiums in American options on non\u2010dividend paying stocks. We find that our estimates of early exercise premium are generally larger than the estimates by existing methods. Given the American options on the Exchange\u2010Traded Funds (ETFs) of gold, silver, natural gas, and crude oil, we find strong empirical evidence of variance risk premiums for these commodities, over a volatility term structure up to 18 months. Furthermore, we show that volatility indexes constructed by using existing methods tend to overestimate the risk\u2010neutral variance, and consequently the magnitude of variance risk premium. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:452\u2013472, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21802","type":"journal-article","created":{"date-parts":[[2016,8,8]],"date-time":"2016-08-08T19:50:36Z","timestamp":1470685836000},"page":"452-472","source":"Crossref","is-referenced-by-count":9,"title":["Variance Risk Premiums of Commodity ETFs"],"prefix":"10.1002","volume":"37","author":[{"given":"Chyng Wen","family":"Tee","sequence":"first","affiliation":[{"name":"Chyng Wen Tee is Assistant Professor of Quantitative Finance, Lee Kong Chian School of Business, Singapore Management University 50 Stamford Road, Singapore"}]},{"given":"Christopher","family":"Ting","sequence":"additional","affiliation":[{"name":"Christopher Ting is Associate Professor of Quantitative Finance, Lee Kong Chian School of Business, Singapore Management University 50 Stamford Road, Singapore 178899"}]}],"member":"311","published-online":{"date-parts":[[2016,8,8]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"crossref","unstructured":"A\u00eft\u2010Sahalia Y. Karaman M. &Mancini L.(2013).The term structure of variance swaps risk premia and the expectation hypothesis. Working paper Available at SSRN:http:\/\/ssrn.com\/abstract=2136820.","DOI":"10.2139\/ssrn.2136820"},{"key":"e_1_2_8_3_1","unstructured":"Allen P. Einchcomb S. &Granger N.(2006).Variance swaps. European Equity Derivatives Research Investment Strategies No.\u00a028 JP Morgan UK."},{"key":"e_1_2_8_4_1","doi-asserted-by":"crossref","unstructured":"Andersen T. G. &Bondarenko O.(2007).Construction and interpretation of model\u2010free implied volatility. Working paper US: National Bureau of Economic Research 13449.","DOI":"10.3386\/w13449"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00050-1"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1060.0579"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.008"},{"key":"e_1_2_8_9_1","unstructured":"Black F.(1976).Studies in Stock Price Volatility Changes. InProceedings of the meetings of the American Statistical Association. Alexandria VA: Business and Economics Statistics Section 177\u2013181."},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jot.2006.628190"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/296349"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21721"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev.financial.050808.114304"},{"key":"e_1_2_8_16_1","unstructured":"Carr P. &Madan D.(1998) Towards a theory of volatility trading. Handbooks in Mathematical Finance: Option Pricing Interest Rates and Risk Management. Cambridge University Press (UK) 2001 417\u2013427."},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.616865"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_8_19_1","unstructured":"CBOE. (2009).The CBOE volatility index \u2013VIX. US: Chicago Board of Options Exchange White paper."},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2005.608034"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319129"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.48.7.917.2815"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01467.x"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000463"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb02319.x"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330809"},{"key":"e_1_2_8_29_1","unstructured":"Kang S. B. &Pan X.(2015).Commodity variance risk premia and expected futures returns: Evidence from the crude oil market. Working paper. Available at SSRN:http:\/\/ssrn.com\/abstract=2296932."},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2012.751493"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297912"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009990329"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21592"},{"key":"e_1_2_8_35_1","doi-asserted-by":"crossref","unstructured":"Pan X. &Kang S.(2011). Do the variance risk premia predict commodity futures returns? Evidence from the crude oil market. Working Paper McGill University.","DOI":"10.2139\/ssrn.1844710"},{"key":"e_1_2_8_36_1","doi-asserted-by":"crossref","unstructured":"Prokopczuk M. &Wese Simen C.(2013).Variance risk premia in commodity markets. WFA Meetings paper. Western Finance Association US.","DOI":"10.2139\/ssrn.2195691"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.12.002"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.3905\/JAI.2009.12.2.068"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2010.17.3.015"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20527"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407868"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331247"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21802","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21802","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21802","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,5]],"date-time":"2023-10-05T21:41:59Z","timestamp":1696542119000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21802"}},"issued":{"date-parts":[[2016,8,8]]},"references-count":41,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2017,5]]}},"alternative-id":["10.1002\/fut.21802"],"URL":"https:\/\/doi.org\/10.1002\/fut.21802","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,8,8]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T20:03:00Z","timestamp":1771012980399,"version":"3.50.1"},"reference-count":15,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2001,11,8]],"date-time":"2001-11-08T00:00:00Z","timestamp":1005177600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,1]]},"abstract":"Abstract<\/jats:title>This paper analyzes the hedging decisions for firms facing price and basis risk. Two conditions assumed in\nmost models on optimal hedging are relaxed. Hence, (i) the spot price is not necessarily linear in\nboth the settlement price and the basis risk and (ii) futures contracts and options on futures at\ndifferent strike prices are available. The design of the first\u2010best hedging instrument is first derived\nand then it is used to examine the optimal hedging strategy in futures and options markets. The role of options\nas useful hedging tools is highlighted from the shape of the first\u2010best solution. \u00a9 2002 John Wiley\n& Sons, Inc. Jrl Fut Mark 22:59\u201372, 2002<\/jats:p>","DOI":"10.1002\/fut.2207","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T16:24:03Z","timestamp":1030292643000},"page":"59-72","source":"Crossref","is-referenced-by-count":21,"title":["Hedging in Futures and Options Markets with Basis Risk"],"prefix":"10.1002","volume":"22","author":[{"given":"Olivier","family":"Mahul","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,11,8]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(83)90076-9"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040206"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(93)90103-H"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","first-page":"1629","DOI":"10.1111\/j.1540-6261.1993.tb05123.x","article-title":"Risk\nmanagement: Coordinating investment and financing policies","volume":"68","author":"Froot K. A.","year":"1993","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2118496"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938334"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951719"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(94)00575-M"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(82)90117-3"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527271"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090608"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130405"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913738"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2207","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2207","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T12:52:31Z","timestamp":1700311951000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2207"}},"issued":{"date-parts":[[2001,11,8]]},"references-count":15,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2002,1]]}},"alternative-id":["10.1002\/fut.2207"],"URL":"https:\/\/doi.org\/10.1002\/fut.2207","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,11,8]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T08:32:10Z","timestamp":1770971530503,"version":"3.50.1"},"reference-count":36,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4867,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,5]]},"DOI":"10.1002\/fut.3990130305","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:58:36Z","timestamp":1183683516000},"page":"279-298","source":"Crossref","is-referenced-by-count":7,"title":["The distribution of standardized futures price changes"],"prefix":"10.1002","volume":"13","author":[{"given":"Meenakshi","family":"Venkateswaran","sequence":"first","affiliation":[]},{"given":"B. Wade","family":"Brorsen","sequence":"additional","affiliation":[]},{"given":"Joyce A.","family":"Hall","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110206"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/295634"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1925546"},{"key":"e_1_2_1_6_1","volume-title":"Applied Commodity Price Analysis, Forecasting, and Market Risk Management","author":"Brorsen B. W.","year":"1989"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610919008812928"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913889"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Cornew R. W. Town D. F. andCrowson L. D.(1984): \u201cStable Distributions Futures Prices and the Measurement of Trading Performance \u201dThe Journal of Futures Markets 4531\u2013557.","DOI":"10.1002\/fut.3990040407"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992480"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912726"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/294633"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2283875"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","first-page":"331","DOI":"10.1080\/01621459.1971.10482264","article-title":"Parameter Estimates for Symmetric Stable Distributions","volume":"66","author":"Fama E. F.","year":"1971","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_15_1","volume-title":"An Zntroduction to Probability Theory and Its Applications","author":"Feller W.","year":"1958"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","first-page":"28","DOI":"10.1080\/01621459.1983.10477918","article-title":"Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns","volume":"78","author":"Fielitz B. D.","year":"1983","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100606"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Gribbin D. W. Harris R. W. andLau H.\u2010S.(1992): \u201cFutures Prices are Not Stable\u2010Paretian Distributed \u201dThe Journal of Futures Markets forthcoming.","DOI":"10.1002\/fut.3990120408"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330751"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330708"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070305"},{"key":"e_1_2_1_22_1","unstructured":"Liu S.\u2010M. andBrorsen B. W.(1992): \u201cMaximum Likelihood Estimation of the Stable Distribution with a Time\u2010Varying Scale Parameter \u201d Unpublished Working Paper Purdue University."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/294632"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(85)90066-4"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610918608812563"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1983.tb00373.x"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/295881"},{"key":"e_1_2_1_28_1","doi-asserted-by":"crossref","first-page":"807","DOI":"10.1080\/01621459.1972.10481297","article-title":"The Distribution of Stock Returns","volume":"67","author":"Officer R. R.","year":"1972","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330919"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/295425"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/294980"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110205"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/1937906"},{"key":"e_1_2_1_34_1","volume-title":"Modelling Financial Time Series","author":"Taylor S. J.","year":"1986"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330254"},{"key":"e_1_2_1_36_1","unstructured":"Yang S. R.(1989): \u201cThe Distribution of Speculative Price Changes \u201d Unpublished Ph.D. Dissertation Purdue University."},{"key":"e_1_2_1_37_1","unstructured":"Yang S. R. andBrorsen B. W.(1992): \u201cNonlinear Dynamics of Daily Futures Prices: Conditional Heteroskedasticity or Chaos?\u201d Unpublished Working Paper North Dakota State University."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130305","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130305","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T16:57:01Z","timestamp":1698253021000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130305"}},"issued":{"date-parts":[[1993,5]]},"references-count":36,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1993,5]]}},"alternative-id":["10.1002\/fut.3990130305"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130305","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,5]]}},{"indexed":{"date-parts":[[2026,2,19]],"date-time":"2026-02-19T08:48:11Z","timestamp":1771490891586,"version":"3.50.1"},"reference-count":68,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2021,11,18]],"date-time":"2021-11-18T00:00:00Z","timestamp":1637193600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,3]]},"abstract":"Abstract<\/jats:title>In this study, I analyze the effect of central clearing on credit default swap\u00a0(CDS) market breadth, depth, and resiliency using a regression discontinuity design. I find evidence for a decrease in absolute bid\u2013ask spreads and bid\u2013ask spread resiliency and an increase in gross trading volume with the beginning of central clearing. However, we observe positive effects of central clearing on CDS market liquidity only for CDS contracts of high fundamental and liquidity risk. Further results indicate that lower trading frictions, that is, counterparty risk and regulatory capital charges, may explain the positive effects of central clearing on CDS market liquidity.<\/jats:p>","DOI":"10.1002\/fut.22288","type":"journal-article","created":{"date-parts":[[2021,11,18]],"date-time":"2021-11-18T20:24:42Z","timestamp":1637267082000},"page":"446-471","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["The man in the middle\u2014liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-5150-3490","authenticated-orcid":false,"given":"Gregor Helmut","family":"Schoenemann","sequence":"first","affiliation":[{"name":"Institute of Financial Management University of Hohenheim Stuttgart Baden\u2010Wuerttemberg Germany"},{"name":"RMC Risk Management Consulting Frankfurt am Main Germany"}]}],"member":"311","published-online":{"date-parts":[[2021,11,18]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2016.10.002"},{"key":"e_1_2_9_3_1","doi-asserted-by":"crossref","unstructured":"Aitken J. &Singh M.(2009).Counterparty risk impact on collateral flows and role for central counterparties(IMF Working Paper).","DOI":"10.2139\/ssrn.1457596"},{"key":"e_1_2_9_4_1","doi-asserted-by":"crossref","unstructured":"Akari M.\u2010A. Ben\u2010Abdullah R. Breton M. &Dionne G.(2019).The impact of central clearing on the market for single\u2010name credit default swaps. (ICD Working Paper \u00a018(03)).","DOI":"10.2139\/ssrn.3171253"},{"key":"e_1_2_9_5_1","unstructured":"Aldasoro I. &Ehlers T.(2018 June).The credit default swap market: What a difference a decade makes.BIS Quarterly Review 1\u201314."},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.9.2763"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2016.09.001"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1987.mp49004006.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.10.001"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1136\/bmjopen-2021-049721"},{"key":"e_1_2_9_11_1","doi-asserted-by":"crossref","unstructured":"Bellia M. Panzica R. Pelizzon L. &Peltonen T. A.(2018).The demand for central clearing: To clear or not to clear that is the question\u00a0(SAFE Working Paper 193).","DOI":"10.2139\/ssrn.3116261"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1257\/pol.6.3.1"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.22.2.217"},{"key":"e_1_2_9_14_1","volume-title":"Statistical release: OTC derivatives statistics at end\u2010June 2020","author":"BIS","year":"2020"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.06.008"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00798.x"},{"key":"e_1_2_9_17_1","unstructured":"Bloomberg (daily) November 2008 and December 2017 Credit Market Analysis.https:\/\/www.bloomberg.com\/professional\/solution\/content-and-data\/"},{"key":"e_1_2_9_18_1","unstructured":"Bloomberg (daily) November 2008 and December 2017 Stock and Option Data.https:\/\/www.bloomberg.com\/professional\/solution\/content-and-data\/"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.1.5"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01630.x"},{"key":"e_1_2_9_21_1","volume-title":"The long and short of it: The post\u2010crisis corporate CDS market","author":"Boyarchenko N.","year":"2020"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn098"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA11757"},{"key":"e_1_2_9_24_1","volume-title":"An analysis of CDS transactions: Implications for public reporting","author":"Chen K.","year":"2011"},{"key":"e_1_2_9_25_1","unstructured":"CLARUS.(2018).CCP market share statistics.https:\/\/www.clarusft.com\/2018-ccp-market-share-statistics\/"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1515\/strm-2013-1161"},{"key":"e_1_2_9_27_1","unstructured":"Degryse H. Mendoza J. &Wuyts G.(2017).The impact of clearing fees on market quality\u00a0(Working paper)."},{"key":"e_1_2_9_28_1","unstructured":"Degryse H. vanAchter M. &Wuyts G.(2016).Plumbing of securities markets: The impact of post\u2010trade fees on trading and welfare(Working Paper)."},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1882244"},{"key":"e_1_2_9_30_1","unstructured":"Depository Trust & Clearing Corporation (weekly) November 2008 and December 2017 Trade Information Warehouse Reports.https:\/\/www.dtcc.com\/repository-otc-data"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2009.19.2.043"},{"key":"e_1_2_9_32_1","doi-asserted-by":"crossref","unstructured":"Dick\u2010Nielsen J.(2014).How to clean enhanced trace data(Working Paper).","DOI":"10.2139\/ssrn.2337908"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2362.00072"},{"key":"e_1_2_9_34_1","unstructured":"DTCC.(2019).DTCC CDS kinetics.https:\/\/www.dtcc.com\/data-services\/liquidity-and-benchmark-analytics\/cds-kinetics"},{"key":"e_1_2_9_35_1","unstructured":"Du W. Gadgil S. Gordy M. B. &Vega C.(2019).Counterparty risk and counterparty choice in the credit default swap market(Working Paper)."},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.12.006"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/rar001"},{"key":"e_1_2_9_38_1","unstructured":"Federal Financial Institutions Examination Council (quarterly) January 2015 and December 2017 Bank Holding Company Performance Reports.https:\/\/www.ffiec.gov\/npw\/Institution\/TopHoldings"},{"key":"e_1_2_9_39_1","unstructured":"Federal Financial Institutions Examination Council (quarterly) January 2015 and December 2017 FR Y\u20109C Consolidated Financial Statements for Holding Companies.https:\/\/www.ffiec.gov\/npw\/Institution\/TopHoldings"},{"key":"e_1_2_9_40_1","unstructured":"Financial Industry Regulatory Authority (intradaily) November 2008 and December 2017 Trade Repository and Compliance Engine.https:\/\/www.finra.org\/filing-reporting\/trace"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01240.x"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2017.1366909"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90034-7"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl020"},{"key":"e_1_2_9_45_1","doi-asserted-by":"crossref","unstructured":"Hasan I. &Wu D.(2016).How large banks use CDS to manage risk: Bank\u2010firm\u2010level evidence(Bank of Finland Research Discussion Paper).","DOI":"10.2139\/ssrn.2772965"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-resource-121517-033306"},{"key":"e_1_2_9_47_1","unstructured":"Heller D. &Vause N.(2012).Collateral requirements for mandatory central clearing of over\u2010the\u2010counter derivatives(BIS Working Paper 373)."},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdr043"},{"key":"e_1_2_9_49_1","unstructured":"Kempf A. Mayston D. Gehde\u2010Trapp M. &Yadav P. K.(2015).Resiliency: A dynamic view of liquidity\u00a0(Working Paper)."},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2015.1087786"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.019"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.12.001"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0084.0610s1631"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2013.12023.x"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2016.02.002"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10693-008-0046-3"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911408"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.06.011"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhw068"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02695.x"},{"key":"e_1_2_9_61_1","doi-asserted-by":"crossref","unstructured":"Shan S. C. Tang D. Y. &Yan H.(2017).Credit default swaps and bank regulatory capital(HKIMR Working Paper).","DOI":"10.2139\/ssrn.3038730"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12423"},{"key":"e_1_2_9_63_1","unstructured":"Sidanius C. &Zikes F.(2012).OTC derivatives reform and collateral demand impact(Financial Stability Paper 18\u20102012)."},{"key":"e_1_2_9_64_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21906"},{"key":"e_1_2_9_65_1","doi-asserted-by":"crossref","unstructured":"Singh M.(2010).Collateral netting and systemic risk on the OTC derivatives markets(IMF Working Paper).","DOI":"10.2139\/ssrn.1590712"},{"key":"e_1_2_9_66_1","doi-asserted-by":"crossref","unstructured":"Slive J. Witmer J. &Woodman E.(2012).Liquidity and central clearing: Evidence from the CDS market(Bank of Canada Staff Working Paper).","DOI":"10.21314\/JFMI.2013.021"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_9_68_1","doi-asserted-by":"crossref","unstructured":"Tang D. Y. &Yan H.(2007).Liquidity liquidity spillover and credit default swap spreads(Working Paper).","DOI":"10.2139\/ssrn.891263"},{"key":"e_1_2_9_69_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10693-006-7626-x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22288","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22288","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22288","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T02:49:29Z","timestamp":1693190969000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22288"}},"issued":{"date-parts":[[2021,11,18]]},"references-count":68,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2022,3]]}},"alternative-id":["10.1002\/fut.22288"],"URL":"https:\/\/doi.org\/10.1002\/fut.22288","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,11,18]]},"assertion":[{"value":"2020-11-03","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-11-06","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-11-18","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T21:07:13Z","timestamp":1773090433617,"version":"3.50.1"},"reference-count":57,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2022,8,4]],"date-time":"2022-08-04T00:00:00Z","timestamp":1659571200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,12]]},"abstract":"Abstract<\/jats:title>Given that jumps in the implied volatility index (VIX) lead to rapid changes in the level of volatility, they may contain significant predictive information for the realized variance (RV) of stock returns. Against this backdrop, the present study proposes to extend the heterogeneous autoregressive (HAR) model using the information content of time\u2010varying jumps occurring in VIX. We find that jumps in VIX have positive impacts on the RV of S&P 500 index and that the proposed HAR\u2010RV approach generates more accurate volatility forecasts than do the existing HAR\u2010RV type models. Importantly, these results hold for short\u2010, medium\u2010, and long\u2010term volatility components.<\/jats:p>","DOI":"10.1002\/fut.22372","type":"journal-article","created":{"date-parts":[[2022,8,4]],"date-time":"2022-08-04T07:16:05Z","timestamp":1659597365000},"page":"2165-2189","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":35,"title":["Forecasting realized volatility: New evidence from time\u2010varying jumps in VIX"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-4971-3258","authenticated-orcid":false,"given":"Anupam","family":"Dutta","sequence":"first","affiliation":[{"name":"School of Accounting and Finance University of Vaasa Vaasa Finland"}]},{"given":"Debojyoti","family":"Das","sequence":"additional","affiliation":[{"name":"Finance & Accounting Area Indian Institute of Management Bangalore Bengaluru Karnataka India"}]}],"member":"311","published-online":{"date-parts":[[2022,8,4]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2018.02.008"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbv024"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/296451"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.029"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2013.868631"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.05.007"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.12.004"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2005.10.002"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6419.1993.tb00170.x"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1925546"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(05)80018-2"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00015-1"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.616865"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2013.09.038"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618513"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.04.007"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297611"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2017.01.005"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.008"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90073-Z"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002118"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(90)90056-8"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1826"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.004"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0416.00009"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbl010"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-131X(199604)15:3<229::AID-FOR620>3.0.CO;2-3"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2005.500363"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.710"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.04.003"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20251"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.06.006"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2015.1096004"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407912"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407942"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2014.03.007"},{"key":"e_1_2_10_49_1","unstructured":"Mincer J. A. &Zarnowitz V.(1969). The evaluation of economic forecasts Economic forecasts and expectations: Analysis of forecasting behavior and performance (pp. 3\u201346). NBER."},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90065-Y"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2017.1403557"},{"key":"e_1_2_10_54_1","unstructured":"Thomson Reuters DataStream database. Oxford\u2010Man Institute's Realized Library version 0.3."},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2021.2016592"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22183"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.06.017"},{"key":"e_1_2_10_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2019.01.003"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22372","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22372","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22372","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T10:40:04Z","timestamp":1692614404000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22372"}},"issued":{"date-parts":[[2022,8,4]]},"references-count":57,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2022,12]]}},"alternative-id":["10.1002\/fut.22372"],"URL":"https:\/\/doi.org\/10.1002\/fut.22372","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,8,4]]},"assertion":[{"value":"2022-02-25","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-07-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-08-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,26]],"date-time":"2026-03-26T07:08:51Z","timestamp":1774508931639,"version":"3.50.1"},"reference-count":104,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2023,3,13]],"date-time":"2023-03-13T00:00:00Z","timestamp":1678665600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71903097"],"award-info":[{"award-number":["71903097"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72201265"],"award-info":[{"award-number":["72201265"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004608","name":"Natural Science Foundation of Jiangsu Province","doi-asserted-by":"publisher","award":["BK20190767"],"award-info":[{"award-number":["BK20190767"]}],"id":[{"id":"10.13039\/501100004608","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,6]]},"abstract":"Abstract<\/jats:title>This paper proposes a new network topology approach to identify the contemporaneous and noncontemporaneous idiosyncratic spillovers of lower\u2010moment and higher\u2010moment risks in commodity futures markets using high\u2010frequency data. Our results show that contemporaneous information has more explanatory power in constructing a network than noncontemporaneous information, especially for higher\u2010moment risk spillover networks. In contemporaneous spillover networks, the role of one commodity future and the structure of the networks vary across different realized estimators. Specifically, gold, silver, and wheat are the main volatility and kurtosis risk transmitters, while corn and silver are the main skewness spillover transmitters. Agricultural futures markets are relatively closed in the volatility and kurtosis risk spillover networks, while in the skewness network, they become closer to precious metal futures. Furthermore, crisis events can enlarge the idiosyncratic volatility spillovers in commodity markets. The total spillover effects of higher\u2010moment risk are stronger than those of lower\u2010moment risk.<\/jats:p>","DOI":"10.1002\/fut.22407","type":"journal-article","created":{"date-parts":[[2023,3,14]],"date-time":"2023-03-14T06:35:23Z","timestamp":1678775723000},"page":"705-733","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":32,"title":["Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach"],"prefix":"10.1002","volume":"43","author":[{"given":"Xu","family":"Zhang","sequence":"first","affiliation":[{"name":"Department of Finance, School of Management Engineering Nanjing University of Information Science & Technology Nanjing China"},{"name":"Post\u2010doctoral Mobile Station Nanjing Yangzi State\u2010owned Investment Group Co., Ltd. Nanjing China"}]},{"given":"Xian","family":"Yang","sequence":"additional","affiliation":[{"name":"Department of Finance, School of Management Engineering Nanjing University of Information Science & Technology Nanjing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0155-5732","authenticated-orcid":false,"given":"Jianping","family":"Li","sequence":"additional","affiliation":[{"name":"School of Economics and Management University of Chinese Academy of Sciences Beijing China"},{"name":"MOE Social Science Laboratory of Digital Economic Forecasts and Policy Simulation University of Chinese Academy of Sciences Beijing China"}]},{"given":"Jun","family":"Hao","sequence":"additional","affiliation":[{"name":"School of Economics and Management University of Chinese Academy of Sciences Beijing China"},{"name":"MOE Social Science Laboratory of Digital Economic Forecasts and Policy Simulation University of Chinese Academy of Sciences Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2023,3,13]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104741"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-2231(01)00030-6"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.02.009"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.3984"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm13040084"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2015.05.003"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07205"},{"key":"e_1_2_10_10_1","doi-asserted-by":"crossref","unstructured":"Baker S. R. Bloom N. Davis S. J. Kost K. J. Sammon M. C. &Viratyosin T.(2020).The unprecedented stock market impact of COVID\u201019. National Bureau of economic research (No. w26945).","DOI":"10.3386\/w26945"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.06.001"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nby001"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2010.00244.x"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs097"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.006"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102060"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2021.01.006"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-92957-2_9"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.03.012"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03978.x"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.04.012"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmse.2021.02.011"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10888-011-9207-y"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.3390\/ijerph182412955"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110613-034432"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000765"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/654451"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.red.2004.10.009"},{"key":"e_1_2_10_31_1","doi-asserted-by":"crossref","unstructured":"Cotter J. Hallam M. &Yilmaz K.(2017).Mixed\u2010frequency macro\u2010financial spillovers(EconStor Working Paper No. 1704).","DOI":"10.2139\/ssrn.2904536"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2021.112428"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2585"},{"key":"e_1_2_10_34_1","doi-asserted-by":"crossref","unstructured":"Diebold F. X. Liu L. &Yilmaz K.(2017).Commodity connectedness(NBER working paper No. w23685).","DOI":"10.3386\/w23685"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.2008.02208.x"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00627.x"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_10_41_1","first-page":"1","article-title":"Accounting for income inequality and its change: A new method, with application to the distribution of earnings in the United States","volume":"35","author":"Fields G. S.","year":"2003","journal-title":"Research in Labor Economics"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660809052X"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2634"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214504000002050"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2017.04.002"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-319-28201-5_9"},{"key":"e_1_2_10_47_1","first-page":"83","article-title":"Speculation or real demand? A multi\u2010vision economic analysis of the international commodity prices impact factors","volume":"12","author":"Han L.","year":"2012","journal-title":"Economic Research Journal"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2021.01.019"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2021.102412"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi023"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22001"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10888-006-9036-6"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2021.100907"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00697.x"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.08.015"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.02.005"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.12.011"},{"key":"e_1_2_10_58_1","unstructured":"Kibot. (2021). Futures historical data; Kibot intraday data.http:\/\/www.kibot.com\/Historical_Data\/Continuous_Futures_Historical_Intraday_Data.aspx"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.1504\/IJEBR.2011.040950"},{"key":"e_1_2_10_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2020.02.002"},{"key":"e_1_2_10_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101822"},{"key":"e_1_2_10_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbusres.2014.11.044"},{"key":"e_1_2_10_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2020.101318"},{"key":"e_1_2_10_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101745"},{"key":"e_1_2_10_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104711"},{"key":"e_1_2_10_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101637"},{"key":"e_1_2_10_67_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2014.920471"},{"key":"e_1_2_10_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.10.031"},{"key":"e_1_2_10_69_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2577"},{"key":"e_1_2_10_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.105083"},{"key":"e_1_2_10_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.10.025"},{"key":"e_1_2_10_72_1","volume-title":"Portfolio selection: Efficient diversification of investments","author":"Markovitz H. M.","year":"1959"},{"key":"e_1_2_10_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.03.004"},{"key":"e_1_2_10_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2021.100878"},{"key":"e_1_2_10_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00071-4"},{"key":"e_1_2_10_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104914"},{"key":"e_1_2_10_77_1","first-page":"107","article-title":"Time\u2010varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications","volume":"29","author":"Nakajima J.","year":"2011","journal-title":"Monetary and Economic Studies"},{"key":"e_1_2_10_78_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2018.02.003"},{"key":"e_1_2_10_79_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2005.00353.x"},{"key":"e_1_2_10_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.102063"},{"key":"e_1_2_10_81_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04591.x"},{"key":"e_1_2_10_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2018.03.074"},{"key":"e_1_2_10_83_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22125"},{"key":"e_1_2_10_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102379"},{"key":"e_1_2_10_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101453"},{"key":"e_1_2_10_86_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.10.008"},{"key":"e_1_2_10_87_1","doi-asserted-by":"publisher","DOI":"10.3390\/math8071077"},{"key":"e_1_2_10_88_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1916"},{"key":"e_1_2_10_89_1","first-page":"136","article-title":"Volatility spillovers between energy market and international financial markets","volume":"12","author":"Tsakalos I.","year":"2017","journal-title":"Investment Management & Financial Innovations"},{"key":"e_1_2_10_90_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2509"},{"key":"e_1_2_10_91_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22018"},{"key":"e_1_2_10_92_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22086"},{"key":"e_1_2_10_93_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.01.014"},{"key":"e_1_2_10_94_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22270"},{"key":"e_1_2_10_95_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2021.100185"},{"key":"e_1_2_10_96_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2018.08.012"},{"key":"e_1_2_10_97_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.01.009"},{"key":"e_1_2_10_98_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.08.003"},{"key":"e_1_2_10_99_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100275"},{"key":"e_1_2_10_100_1","first-page":"1","article-title":"Multiscale systemic risk and its spillover effects in the cryptocurrency market","volume":"2021","author":"Zhang X.","year":"2021","journal-title":"Complexity"},{"key":"e_1_2_10_101_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2022.101672"},{"key":"e_1_2_10_102_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2022.101766"},{"key":"e_1_2_10_103_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22326"},{"key":"e_1_2_10_104_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101786"},{"key":"e_1_2_10_105_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.05.023"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22407","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22407","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22407","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,10]],"date-time":"2024-01-10T11:25:55Z","timestamp":1704885955000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22407"}},"issued":{"date-parts":[[2023,3,13]]},"references-count":104,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2023,6]]}},"alternative-id":["10.1002\/fut.22407"],"URL":"https:\/\/doi.org\/10.1002\/fut.22407","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,3,13]]},"assertion":[{"value":"2022-08-10","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-02-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-03-13","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,31]],"date-time":"2026-03-31T02:18:21Z","timestamp":1774923501676,"version":"3.50.1"},"reference-count":35,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2021,9,27]],"date-time":"2021-09-27T00:00:00Z","timestamp":1632700800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71571106"],"award-info":[{"award-number":["71571106"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71703111"],"award-info":[{"award-number":["71703111"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72001119"],"award-info":[{"award-number":["72001119"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,12]]},"abstract":"Abstract<\/jats:title>This study examines the volatility connectedness of commodity futures markets by decomposing connectedness at high, medium, and low frequencies using a LASSO\u2010VAR model. The total volatility connectedness across commodities is substantial and fluctuates within the range of 30%\u201360%, which is largely driven by low\u2010frequency volatility connectedness. Energy futures as a group and crude oil and soybeans as individual commodities play dominant roles as net senders of volatility shocks in the system of 25 commodities. Commodity volatility spillovers at medium and particularly low frequency account for over 40% of the total volatility connectedness, which can be significantly explained by economic factors related to broad economic conditions; however, this is not the case at high frequency. This finding implies that the effect of the financialization of commodities might be more limited than previously assumed.<\/jats:p>","DOI":"10.1002\/fut.22270","type":"journal-article","created":{"date-parts":[[2021,9,28]],"date-time":"2021-09-28T01:58:13Z","timestamp":1632794293000},"page":"1959-1987","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":52,"title":["Volatility spillovers in commodity futures markets: A network approach"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4073-9796","authenticated-orcid":false,"given":"Jian","family":"Yang","sequence":"first","affiliation":[{"name":"J.P. Morgan Center for Commodities, The Business School University of Colorado Denver Denver Colorado USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9798-6835","authenticated-orcid":false,"given":"Zheng","family":"Li","sequence":"additional","affiliation":[{"name":"School of Finance Tianjin University of Finance and Economics Tianjin China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7502-7433","authenticated-orcid":false,"given":"Hong","family":"Miao","sequence":"additional","affiliation":[{"name":"Department of Finance, College of Business Colorado State University Fort Collins Colorado USA"}]}],"member":"311","published-online":{"date-parts":[[2021,9,27]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07205"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2007.08.004"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.euroecorev.2004.09.002"},{"issue":"2","key":"e_1_2_10_5_1","first-page":"157","article-title":"Total, asymmetric and frequency connectedness between oil and forex markets","volume":"40","author":"Barun\u00edk J.","year":"2019","journal-title":"Energy Journal"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2015.09.003"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nby001"},{"key":"e_1_2_10_8_1","unstructured":"Bloomberg. (2019). January 1 2006\u2013December 31 Daily Closing Prices for 25 Commodities Futures Traded on Various Exchanges in the US and the UK."},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105761"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110613-034432"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000765"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2019.100111"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2585"},{"key":"e_1_2_10_15_1","doi-asserted-by":"crossref","unstructured":"Diebold F. X. Liu L. &Yilmaz K.(2017).Commodity connectedness(NBER Working Paper No. 23685).http:\/\/www.nber.org\/papers\/w23685","DOI":"10.3386\/w23685"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.2008.02208.x"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.34.3.2"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.09.022"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/erae\/jbt020"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22147"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.12.011"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aas122"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.005"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2322"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20140033"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2017.01.003"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20120"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.102063"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02647.x"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22125"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22086"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2019.101222"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110217-022737"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22270","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22270","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22270","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T06:50:46Z","timestamp":1693205446000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22270"}},"issued":{"date-parts":[[2021,9,27]]},"references-count":35,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2021,12]]}},"alternative-id":["10.1002\/fut.22270"],"URL":"https:\/\/doi.org\/10.1002\/fut.22270","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,9,27]]},"assertion":[{"value":"2021-01-26","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-10","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T18:21:35Z","timestamp":1775154095557,"version":"3.50.1"},"reference-count":41,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2022,4,27]],"date-time":"2022-04-27T00:00:00Z","timestamp":1651017600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,7]]},"abstract":"Abstract<\/jats:title>This study proposes a direct estimation method for recovering subjective probability distributions from option prices. We find that the subjective cumulative distribution function and subjective statistics are represented as static portfolios composed of plain vanilla options. The portfolio weights of the options are determined by the levels of the reciprocal of the pricing kernel and their differentiation. Using options data, we investigate the historical behavior of subjective probability distributions of returns on the S&P 500 index. We also analyze subjective equity risk premiums and subjective variance risk premiums, which can be regarded as ex ante risk premiums.<\/jats:p>","DOI":"10.1002\/fut.22328","type":"journal-article","created":{"date-parts":[[2022,4,27]],"date-time":"2022-04-27T09:55:49Z","timestamp":1651053349000},"page":"1234-1263","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Recovering subjective probability distributions"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1103-2900","authenticated-orcid":false,"given":"Akira","family":"Yamazaki","sequence":"first","affiliation":[{"name":"Graduate School of Business Administration Hosei University Chiyoda\u2010ku Tokyo Japan"},{"name":"The Research Institute for Innovation Management Hosei University Chiyoda\u2010ku Tokyo Japan"}]}],"member":"311","published-online":{"date-parts":[[2022,4,27]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00016-0"},{"key":"e_1_2_11_4_1","doi-asserted-by":"crossref","unstructured":"Audrino F. Huitema R. &Ludwig M.(2015). An empirical analysis of the Ross recovery theorem. Available at SSRN 2433170.","DOI":"10.2139\/ssrn.2433170"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.03.009"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.008"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00637.x"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/250059"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830213"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/338705"},{"issue":"2","key":"e_1_2_11_13_1","first-page":"67","article-title":"Corridor variance swaps","volume":"17","author":"Carr P.","year":"2004","journal-title":"Risk"},{"key":"e_1_2_11_14_1","first-page":"417","volume-title":"Volatility","author":"Carr P.","year":"1998"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2012.20.1.038"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs014"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.03.009"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht033"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-017-0317-9"},{"key":"e_1_2_11_21_1","unstructured":"Daily Treasury Par Yield Curve Rates.US Department of the Treasury website.https:\/\/home.treasury.gov"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319129"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913778"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.2.433"},{"key":"e_1_2_11_25_1","volume-title":"Option\u2010implied risk\u2010neutral distributions and risk aversion","author":"Jackwerth J. C.","year":"2004"},{"key":"e_1_2_11_26_1","doi-asserted-by":"crossref","unstructured":"Jackwerth J. C. &Menner M.(2018). Does the Ross recovery theorem work empirically? Available at SSRN 2960733","DOI":"10.2139\/ssrn.2960733"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05219.x"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.12.003"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02190.x"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw034"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024911006383"},{"key":"e_1_2_11_32_1","unstructured":"Option EOD Summary.Cboe DataShop website.https:\/\/datashop.cboe.com\/option-eod-summary"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.09.008"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00128-9"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12092"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500401490"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1142\/S021902491100670X"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20339"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20367"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122574"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2017.1388535"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2019.1698057"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22328","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22328","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22328","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T00:27:36Z","timestamp":1692836856000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22328"}},"issued":{"date-parts":[[2022,4,27]]},"references-count":41,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2022,7]]}},"alternative-id":["10.1002\/fut.22328"],"URL":"https:\/\/doi.org\/10.1002\/fut.22328","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,4,27]]},"assertion":[{"value":"2021-11-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-03-28","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-04-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T12:06:45Z","timestamp":1775131605673,"version":"3.50.1"},"reference-count":27,"publisher":"Wiley","license":[{"start":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T00:00:00Z","timestamp":1775088000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T00:00:00Z","timestamp":1775088000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"abstract":"ABSTRACT<\/jats:title>\n This paper examines the effect of trader attention on the response of the natural gas market to weekly US Energy Information Administration announcements regarding changes in natural gas inventories. We find that lower trader attention hinders price discovery in the natural gas futures market. Based on our daily regression estimates, the market responds 74% weaker to inventory announcements released on Fridays, compared to those released on Thursdays. We attribute the findings to lower trader attention in the natural gas market on Fridays compared to other weekdays. The results remain robust after controlling for the withdrawal and injection seasons in the natural gas market.<\/jats:p>","DOI":"10.1002\/fut.70104","type":"journal-article","created":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T11:22:17Z","timestamp":1775128937000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures"],"prefix":"10.1002","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3421-7921","authenticated-orcid":false,"given":"Chen","family":"Gu","sequence":"first","affiliation":[{"name":"Shanghai Business School Research Center of Finance Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4375-3550","authenticated-orcid":false,"given":"Alexander","family":"Kurov","sequence":"additional","affiliation":[{"name":"Department of Finance West Virginia University Morgantown West Virginia"}]},{"given":"Raluca","family":"Stan","sequence":"additional","affiliation":[{"name":"University of Minnesota Duluth Duluth Minnesota USA"}]}],"member":"311","published-online":{"date-parts":[[2026,4,2]]},"reference":[{"issue":"1","key":"e_1_2_9_2_1","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1093\/rfs\/hhu059","article-title":"Investor Attention and Stock Market Volatility","volume":"28","author":"Andrei D.","year":"2015","journal-title":"Review of Financial Studies"},{"issue":"2","key":"e_1_2_9_3_1","doi-asserted-by":"crossref","first-page":"785","DOI":"10.1093\/rfs\/hhm079","article-title":"All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors","volume":"21","author":"Barber B. M.","year":"2008","journal-title":"Review of Financial Studies"},{"issue":"9","key":"e_1_2_9_4_1","doi-asserted-by":"crossref","first-page":"3009","DOI":"10.1093\/rfs\/hhx031","article-title":"It Depends on Where You Search: Institutional Investor Attention and Underreaction to News","volume":"30","author":"Ben\u2010Rephael A.","year":"2017","journal-title":"Review of Financial Studies"},{"issue":"6","key":"e_1_2_9_5_1","doi-asserted-by":"crossref","first-page":"2327","DOI":"10.1017\/S0022109018001357","article-title":"Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences","volume":"54","author":"Boguth O.","year":"2019","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_9_6_1","doi-asserted-by":"crossref","first-page":"59","DOI":"10.1016\/j.jbankfin.2017.05.007","article-title":"Announcing the Announcement","volume":"82","author":"Boulland R.","year":"2017","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_9_7_1","doi-asserted-by":"crossref","first-page":"156","DOI":"10.1016\/j.jimonfin.2013.08.009","article-title":"The Response of U.S. Natural Gas Futures and Spot Prices to Storage Change Surprises: Fundamental Information and the Effect of Escalating Physical Gas Production","volume":"42","author":"Chiou\u2010Wei S. Z.","year":"2014","journal-title":"Journal of International Money and Finance"},{"issue":"4","key":"e_1_2_9_8_1","doi-asserted-by":"crossref","first-page":"1977","DOI":"10.1111\/j.1540-6261.2008.01379.x","article-title":"Economic Links and Predictable Returns","volume":"63","author":"Cohen L.","year":"2008","journal-title":"Journal of Finance"},{"issue":"2","key":"e_1_2_9_9_1","doi-asserted-by":"crossref","first-page":"709","DOI":"10.1111\/j.1540-6261.2009.01447.x","article-title":"Investor Inattention and Friday Earnings Announcements","volume":"64","author":"DellaVigna S.","year":"2009","journal-title":"Journal of Finance"},{"issue":"1","key":"e_1_2_9_10_1","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1111\/jofi.13287","article-title":"Front\u2010Page News: The Effect of News Positioning on Financial Markets","volume":"79","author":"Fedyk A.","year":"2024","journal-title":"Journal of Finance"},{"key":"e_1_2_9_11_1","doi-asserted-by":"crossref","first-page":"451","DOI":"10.1002\/fut.20368","article-title":"Analyst Forecasts and Price Discovery in Futures Markets: The Case of Natural Gas Storage","volume":"29","author":"Gay G. D.","year":"2009","journal-title":"Journal of Futures Markets"},{"issue":"9","key":"e_1_2_9_12_1","doi-asserted-by":"crossref","first-page":"1079","DOI":"10.1002\/fut.21926","article-title":"What Drives Informed Trading before Public Releases? Evidence From Natural Gas Inventory Announcements","volume":"38","author":"Gu C.","year":"2018","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_9_13_1","doi-asserted-by":"crossref","first-page":"911","DOI":"10.1002\/fut.21633","article-title":"Noisy Inventory Announcements and Energy Prices","volume":"34","author":"Halova M. W.","year":"2014","journal-title":"Journal of Futures Markets"},{"issue":"3","key":"e_1_2_9_14_1","doi-asserted-by":"crossref","first-page":"1006","DOI":"10.1016\/j.jfineco.2021.09.012","article-title":"Macro News and Micro News: Complements or Substitutes?","volume":"145","author":"Hirshleifer D.","year":"2022","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"e_1_2_9_15_1","doi-asserted-by":"crossref","first-page":"337","DOI":"10.1016\/j.jacceco.2003.10.002","article-title":"Limited Attention, Information Disclosure, and Financial Reporting","volume":"36","author":"Hirshleifer D.","year":"2003","journal-title":"Journal of Accounting and Economics"},{"issue":"5","key":"e_1_2_9_16_1","doi-asserted-by":"crossref","first-page":"2289","DOI":"10.1111\/j.1540-6261.2009.01501.x","article-title":"Driven to Distraction: Extraneous Events and Underreaction to Earnings News","volume":"64","author":"Hirshleifer D.","year":"2009","journal-title":"Journal of Finance"},{"key":"e_1_2_9_17_1","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1016\/j.frl.2017.07.015","article-title":"Investor Inattention Around Stock Market Holidays","volume":"23","author":"Hood M.","year":"2017","journal-title":"Finance Research Letters"},{"issue":"1","key":"e_1_2_9_18_1","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1111\/0022-1082.00330","article-title":"Contagious Speculation and a Cure for Cancer: A Nonevent That Made Stock Prices Soar","volume":"56","author":"Huberman G.","year":"2001","journal-title":"Journal of Finance"},{"issue":"2","key":"e_1_2_9_19_1","doi-asserted-by":"crossref","first-page":"477","DOI":"10.1007\/s11142-021-09618-4","article-title":"Unexpected Distractions and Investor Attention to Corporate Announcements","volume":"27","author":"Israeli D.","year":"2022","journal-title":"Review of Accounting Studies"},{"key":"e_1_2_9_20_1","volume-title":"Behavioral Finance: Investors, Corporations, and Markets","author":"Lim S. S.","year":"2010"},{"issue":"3","key":"e_1_2_9_21_1","doi-asserted-by":"crossref","first-page":"283","DOI":"10.1002\/fut.10115","article-title":"Natural Gas Prices and the Gas Storage Report: Public News and Volatility in Energy Futures Markets","volume":"24","author":"Linn S. C.","year":"2004","journal-title":"Journal of Futures Markets"},{"issue":"3","key":"e_1_2_9_22_1","doi-asserted-by":"crossref","first-page":"239","DOI":"10.2308\/accr-51556","article-title":"The Effect of Analyst Forecasts During Earnings Announcements on Investor Responses to Reported Earnings","volume":"92","author":"Lobo G. J.","year":"2017","journal-title":"Accounting Review"},{"issue":"10","key":"e_1_2_9_23_1","doi-asserted-by":"crossref","first-page":"1781","DOI":"10.1287\/mnsc.1100.1212","article-title":"Investor Inattention and the Market Reaction to Merger Announcements","volume":"56","author":"Louis H.","year":"2010","journal-title":"Management Science"},{"issue":"1","key":"e_1_2_9_24_1","doi-asserted-by":"crossref","first-page":"329","DOI":"10.1111\/jofi.12196","article-title":"The Pre\u2010FOMC Announcement Drift","volume":"70","author":"Lucca D. O.","year":"2015","journal-title":"Journal of Finance"},{"issue":"1","key":"e_1_2_9_25_1","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1016\/j.jfineco.2016.05.006","article-title":"Are Friday Announcements Special? Overcoming Selection Bias","volume":"122","author":"Michaely R.","year":"2016","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"e_1_2_9_26_1","doi-asserted-by":"crossref","first-page":"563","DOI":"10.1016\/j.jfineco.2005.05.003","article-title":"Investor Attention, Overconfidence and Category Learning","volume":"80","author":"Peng L.","year":"2006","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_9_27_1","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/1912934","article-title":"A Heteroskedasticity\u2010Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity","volume":"48","author":"White H","year":"1980","journal-title":"Econometrica"},{"key":"e_1_2_9_28_1","doi-asserted-by":"crossref","first-page":"642","DOI":"10.1214\/aos\/1176350366","article-title":"High Breakdown\u2010Point and High Efficiency Robust Estimates for Regression","volume":"15","author":"Yohai V. J.","year":"1987","journal-title":"Annals of Statistics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70104","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70104","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70104","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T11:22:21Z","timestamp":1775128941000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70104"}},"issued":{"date-parts":[[2026,4,2]]},"references-count":27,"alternative-id":["10.1002\/fut.70104"],"URL":"https:\/\/doi.org\/10.1002\/fut.70104","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2026,4,2]]},"assertion":[{"value":"2025-09-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-12-19","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-04-02","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"fut.70104"},{"indexed":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T15:43:42Z","timestamp":1693410222543},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2021,7,16]],"date-time":"2021-07-16T00:00:00Z","timestamp":1626393600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,8]]},"DOI":"10.1002\/fut.22249","type":"journal-article","created":{"date-parts":[[2021,7,16]],"date-time":"2021-07-16T17:15:05Z","timestamp":1626455705000},"page":"1179-1179","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"41","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2021,7,16]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22249","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22249","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22249","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T01:22:30Z","timestamp":1693358550000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22249"}},"issued":{"date-parts":[[2021,7,16]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2021,8]]}},"alternative-id":["10.1002\/fut.22249"],"URL":"https:\/\/doi.org\/10.1002\/fut.22249","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,7,16]]},"assertion":[{"value":"2021-07-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:41:32Z","timestamp":1694119292677},"reference-count":0,"publisher":"Wiley","issue":"7","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,7]]},"DOI":"10.1002\/fut.v40.7","type":"journal-issue","created":{"date-parts":[[2020,6,3]],"date-time":"2020-06-03T16:39:57Z","timestamp":1591202397000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"40","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T01:14:24Z","timestamp":1693962864000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/40\/7"}},"issued":{"date-parts":[[2020,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2020,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v40.7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,7]]}},{"indexed":{"date-parts":[[2024,3,21]],"date-time":"2024-03-21T11:22:15Z","timestamp":1711020135230},"reference-count":15,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4167,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,4]]},"DOI":"10.1002\/fut.3990150206","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T05:08:39Z","timestamp":1183698519000},"page":"187-200","source":"Crossref","is-referenced-by-count":17,"title":["Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market"],"prefix":"10.1002","volume":"15","author":[{"given":"Tae H.","family":"Park","sequence":"first","affiliation":[]},{"given":"Lorne N.","family":"Switzer","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","article-title":"Generalized Autoregressive Conditional Heteroscedasticity","volume":"31","author":"Bollerslev T.","year":"1987","journal-title":"Journal of Econometrics"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030102"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924704"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938608800095"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330708"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02405.x"},{"key":"e_1_2_1_11_1","unstructured":"Hill J. Schneeweis T. andMayerson R.(1982): \u201cAn Analysis of the Impact of Marking\u2010to\u2010Market in Hedging with Treasury Bond Futures \u201d Paper presented at the International Research Seminar Chicago Board of Trade."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331067"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","first-page":"1309","DOI":"10.1111\/j.1540-6261.1987.tb04368.x","article-title":"The Intertemporal Price Relationship between S&P 500 Futures and the S&P 500 Index","volume":"5","author":"Kawaller I.","year":"1987","journal-title":"Journal of Finance"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150206","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150206","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T00:57:56Z","timestamp":1698281876000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150206"}},"issued":{"date-parts":[[1995,4]]},"references-count":15,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1995,4]]}},"alternative-id":["10.1002\/fut.3990150206"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150206","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,4]]}},{"indexed":{"date-parts":[[2023,9,27]],"date-time":"2023-09-27T05:20:12Z","timestamp":1695792012166},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":9040,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,12]]},"DOI":"10.1002\/fut.v10:6","type":"journal-issue","created":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T22:17:22Z","timestamp":1695766642000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"10","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v10:6","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v10:6","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T22:17:22Z","timestamp":1695766642000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/10\/6"}},"issued":{"date-parts":[[1990,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1990,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v10:6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,12]]}},{"indexed":{"date-parts":[[2023,10,28]],"date-time":"2023-10-28T16:41:23Z","timestamp":1698511283228},"reference-count":38,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4137,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,5]]},"DOI":"10.1002\/fut.3990150304","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T05:16:31Z","timestamp":1183698991000},"page":"303-344","source":"Crossref","is-referenced-by-count":6,"title":["Some easy\u2010to\u2010implement methods of calculating American futures option prices"],"prefix":"10.1002","volume":"15","author":[{"given":"M. M.","family":"Chaudhury","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Allegretto W. Barone\u2010Adesi G. andElliott R.(1993): \u201cNumerical Evaluation of the Critical Price and American Options \u201d Paper presented to the 1993Northern Finance Association Meetings."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020102"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04553.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-629X.1991.tb00161.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2326779"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330152"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02384.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130102"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1992.tb00040.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140109"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130103"},{"key":"e_1_2_1_16_1","volume-title":"Financial Options: From Theory to Practice","author":"Courtadon G.","year":"1990"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_18_1","volume-title":"Option Markets","author":"Cox J. C.","year":"1985"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(92)90049-K"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04921.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330677"},{"key":"e_1_2_1_22_1","volume-title":"Options, Futures, and Other Derivative Securities","author":"Hull J.","year":"1989"},{"key":"e_1_2_1_23_1","doi-asserted-by":"crossref","unstructured":"Jacka S.(1991): \u201cOptimal Stopping and the American Put \u201d Mathematical Finance (1 & 2):1\u201314.","DOI":"10.1111\/j.1467-9965.1991.tb00007.x"},{"key":"e_1_2_1_24_1","first-page":"73","article-title":"An Analysis of American Options","volume":"11","author":"Jamshidian F.","year":"1992","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.547"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140103"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100402"},{"key":"e_1_2_1_28_1","first-page":"119","article-title":"Analytic Approximation for the American Put Options","volume":"1","author":"MacMillan L. W.","year":"1986","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/295902"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02385.x"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90037-X"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060109"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060407"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330687"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04495.x"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100103"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080105"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040405"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150304","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150304","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T03:38:35Z","timestamp":1698377915000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150304"}},"issued":{"date-parts":[[1995,5]]},"references-count":38,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1995,5]]}},"alternative-id":["10.1002\/fut.3990150304"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150304","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,5]]}},{"indexed":{"date-parts":[[2024,7,13]],"date-time":"2024-07-13T23:38:20Z","timestamp":1720913900875},"reference-count":25,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4591,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,2]]},"DOI":"10.1002\/fut.3990140106","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:36:31Z","timestamp":1183682191000},"page":"51-78","source":"Crossref","is-referenced-by-count":25,"title":["The effect of market opening and closing on the volatility of eurodollar futures prices"],"prefix":"10.1002","volume":"14","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]},{"given":"David G.","family":"Smith","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","first-page":"533","DOI":"10.1111\/j.1540-6261.1987.tb04567.x","article-title":"Trading Mechanisms and Stock Returns: An Empirical Investigation","volume":"3","author":"Amihud Y.","year":"1987","journal-title":"Journal of Finance"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","first-page":"529","DOI":"10.2307\/2328481","article-title":"Noise","volume":"3","author":"Black F.","year":"1986","journal-title":"Journal of Finance"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913889"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(91)90010-B"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03948.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"French K.(1980): \u201cStock Returns and the Weekend Effect \u201dJournal of Financial Economics March:55\u201369.","DOI":"10.1016\/0304-405X(80)90021-5"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Garman M.(1976): \u201cMarket Microstructure\u201d \u201cJournal of Financial Economics\u201d June:257\u2013275.","DOI":"10.1016\/0304-405X(76)90006-4"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Gerety M. S. andMulherin J. H.(1991): \u201cPatterns of Intraday Stock Market Volatility Past and Present \u201dFinancial Analysts Journal September\/October:71\u201379.","DOI":"10.2469\/faj.v47.n5.71"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Gibbons M. andHess P.(1981): \u201cDay of the Week Effects and Asset Returns \u201dJournal of Business October:579\u2013596.","DOI":"10.1086\/296147"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90021-7"},{"key":"e_1_2_1_13_1","first-page":"573","article-title":"On the Impossibility of Informationally Efficient Capital Markets","volume":"70","author":"Grossman S.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_1_14_1","volume-title":"Statistical Analysis for Decision Making","author":"Hamburg M.","year":"1991"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90044-9"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331067"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Keim D. B.(1986): \u201cThe CAPM and Equity Return Regularities \u201dFinancial Analysts Journal May\/June:19\u201334.","DOI":"10.2469\/faj.v42.n3.19"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Keim D. andStambaugh R.(1984): \u201cA Further Investigation of the Weekend Effect \u201dJournal of Finance July:819\u2013835.","DOI":"10.1111\/j.1540-6261.1984.tb03675.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90026-7"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","unstructured":"Rogalski R.(1984): \u201cNew Findings Regarding Day of the Week Returns over Trading and Non\u2010Trading Periods; A Note \u201dJournal of Finance December:1603\u20131614.","DOI":"10.1111\/j.1540-6261.1984.tb04927.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/295444"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.37"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(85)90062-7"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110602"},{"key":"e_1_2_1_25_1","doi-asserted-by":"crossref","first-page":"723","DOI":"10.1111\/j.1540-6261.1985.tb04996.x","article-title":"An Investigation of Transactions Data for NYSE Stocks","volume":"3","author":"Wood R. A.","year":"1985","journal-title":"Journal of Finance"},{"key":"e_1_2_1_26_1","volume-title":"Bayesian Statistics","author":"Zellner A.","year":"1984"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140106","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140106","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T11:14:07Z","timestamp":1698232447000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140106"}},"issued":{"date-parts":[[1994,2]]},"references-count":25,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1994,2]]}},"alternative-id":["10.1002\/fut.3990140106"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140106","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,2]]}},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T00:29:25Z","timestamp":1700353765657},"reference-count":0,"publisher":"Wiley","issue":"8","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,8]]},"DOI":"10.1002\/fut.v22:8","type":"journal-issue","created":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T08:45:43Z","timestamp":1700297143000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"22","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T08:45:44Z","timestamp":1700297144000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/22\/8"}},"issued":{"date-parts":[[2002,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2002,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v22:8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,8]]}},{"indexed":{"date-parts":[[2023,10,11]],"date-time":"2023-10-11T08:41:59Z","timestamp":1697013719974},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2010,10,4]],"date-time":"2010-10-04T00:00:00Z","timestamp":1286150400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,12]]},"DOI":"10.1002\/fut.20490","type":"journal-article","created":{"date-parts":[[2010,10,4]],"date-time":"2010-10-04T21:16:23Z","timestamp":1286226983000},"page":"1107-1107","source":"Crossref","is-referenced-by-count":1,"title":["Editor's note"],"prefix":"10.1002","volume":"30","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,10,4]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20490","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20490","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,10]],"date-time":"2023-10-10T12:35:27Z","timestamp":1696941327000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20490"}},"issued":{"date-parts":[[2010,10,4]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2010,12]]}},"alternative-id":["10.1002\/fut.20490"],"URL":"https:\/\/doi.org\/10.1002\/fut.20490","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,10,4]]}},{"indexed":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T06:41:46Z","timestamp":1698734506761},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1218,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,5]]},"DOI":"10.1002\/fut.2012.32.issue-5","type":"journal-issue","created":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T22:07:00Z","timestamp":1698703620000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"32","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2012.32.issue-5","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T22:07:00Z","timestamp":1698703620000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/32\/5"}},"issued":{"date-parts":[[2012,5]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2012,5]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.2012.32.issue-5","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,5]]}},{"indexed":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T13:11:38Z","timestamp":1700226698389},"reference-count":38,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2003,9,4]],"date-time":"2003-09-04T00:00:00Z","timestamp":1062633600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,11]]},"abstract":"Abstract<\/jats:title>Asian\u2010Basket\u2010type moving\u2010window contracts are an increasingly used risk\u2010management tool in the North American hog\nsector. The moving\u2010window contract is decomposed into a portfolio of a long Asian\u2010Basket put and a short Asian\u2010Basket call\noption. A projected break\u2010even price is used to determine the floor price, and then Monte Carlo simulation methods are used to price both a\nmoving\u2010 and a fixed\u2010window contract. These methods provide unbiased pricing of fixed\u2010 and moving\u2010window\nhog\u2010finishing contracts of 1\u2010year duration. \u00a9 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1047\u20131073, 2003<\/jats:p>","DOI":"10.1002\/fut.10090","type":"journal-article","created":{"date-parts":[[2003,9,5]],"date-time":"2003-09-05T14:43:26Z","timestamp":1062773006000},"page":"1047-1073","source":"Crossref","is-referenced-by-count":3,"title":["The design and pricing of fixed\u2010 and moving\u2010window contracts: An application of Asian\u2010Basket option pricing methods to the hog\u2010finishing sector"],"prefix":"10.1002","volume":"23","author":[{"given":"Renyuan","family":"Shao","sequence":"first","affiliation":[]},{"given":"Brian","family":"Roe","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,9,4]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(96)00057-X"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.2.333"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90005-8"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"issue":"10","key":"e_1_2_1_7_1","article-title":"Beyond average intelligence","volume":"5","author":"Curran M.","year":"1992","journal-title":"Risk Magazine"},{"key":"e_1_2_1_8_1","unstructured":"Dhuyvetter K. &Kasten T.(1998).Forecasting crop basis: Practical alternatives. NCR\u2010134 conference on applied commodity price analysis forecasting and market risk management."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04636.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<421::AID-FUT4>3.0.CO;2-K"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S008130520002570X"},{"key":"e_1_2_1_13_1","unstructured":"Grimes G. &Meyers S.(2001).Hog marketing contract study. University of Missouri and the National Pork Board."},{"key":"e_1_2_1_13_2","unstructured":"Retrieved July 22 2003 fromhttp:\/\/agebb.missouri.edu\/mkt\/vertstud.htm"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.1603"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(96)00719-4"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349364"},{"key":"e_1_2_1_17_1","unstructured":"Hayenga M. Rhodes J. Grimes G. &Lawrence J.(1996).Vertical coordination in hog production. GIPSA\u2010RR 96\u20105."},{"key":"e_1_2_1_18_1","unstructured":"Jiang B. &Hayenga M.(1997).Corn and soybean basis behavior and forecasting: Fundamental and alternative approaches. NCR\u2010134 Conference on Applied Commodity Price Analysis Forecasting and Market Risk Management."},{"key":"e_1_2_1_19_1","first-page":"294","article-title":"Futures\u2010based price forecasts for agricultural producers and business","volume":"23","author":"Kastens T.","year":"1998","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(90)90039-5"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120108"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.293"},{"key":"e_1_2_1_23_1","unstructured":"Lawrence J.(2000).Understanding hog marketing contracts. Working Paper Iowa State University."},{"key":"e_1_2_1_24_1","unstructured":"Lawrence J. &Grimes G.(2001).Production and marketing characteristics of US pork producers 2000. Staff Paper No. 343 Department of Economics Iowa State University."},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(92)90013-N"},{"key":"e_1_2_1_26_1","first-page":"53","article-title":"Average intelligence","volume":"5","author":"Levy E.","year":"1992","journal-title":"Risk Magazine"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331102"},{"key":"e_1_2_1_29_1","unstructured":"Patrick G. Baquet A. Coble K. &Knight T.(2000).Hog risk management survey: Summary and preliminary analysis. Staff Paper Purdue University."},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.39.10.1202"},{"key":"e_1_2_1_31_1","unstructured":"Shao R.(2001).The evaluation and design of price risk management strategies in the U.S. hog industry. Unpublished dissertation proposal Ohio State University Columbus OH."},{"key":"e_1_2_1_32_1","unstructured":"Shao R. &Roe B.(2001).Underpinnings for prospective net revenue forecasting in hog finishing: Characterizing the joint distribution of corn soybean meal and lean hogs time series. American Agricultural Economics Association Annual Conference."},{"key":"e_1_2_1_33_1","first-page":"159","article-title":"A derivative security approach to setting crop revenue coverage insurance premiums","volume":"25","author":"Stokes J.","year":"2000","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331213"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199809)18:6<723::AID-FUT5>3.0.CO;2-S"},{"key":"e_1_2_1_36_1","unstructured":"Wright M.(2001).Informational efficiency and routine bias: Three studies involving corn soybean hog and cattle futures markets. Master's thesis Ohio State University Columbus OH."},{"key":"e_1_2_1_37_1","unstructured":"Zulauf C.(1999).Are hog futures prices biased?National Pork Producers Council Newsletter Pork Report Fall 1999 10\u201311."},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349992"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10090","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10090","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T12:30:17Z","timestamp":1700224217000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10090"}},"issued":{"date-parts":[[2003,9,4]]},"references-count":38,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2003,11]]}},"alternative-id":["10.1002\/fut.10090"],"URL":"https:\/\/doi.org\/10.1002\/fut.10090","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,9,4]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T05:40:29Z","timestamp":1698298829757},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":3984,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,10]]},"DOI":"10.1002\/fut.3990150701","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T07:50:34Z","timestamp":1183708234000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"15","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150701","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150701","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T18:30:42Z","timestamp":1698258642000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150701"}},"issued":{"date-parts":[[1995,10]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1995,10]]}},"alternative-id":["10.1002\/fut.3990150701"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150701","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,10]]}},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T00:47:35Z","timestamp":1700095655282},"reference-count":0,"publisher":"Wiley","issue":"3","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,3]]},"DOI":"10.1002\/fut.v26:3","type":"journal-issue","created":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T08:30:45Z","timestamp":1700037045000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"26","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T08:30:45Z","timestamp":1700037045000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/26\/3"}},"issued":{"date-parts":[[2006,3]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2006,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v26:3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,3]]}},{"indexed":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T05:28:11Z","timestamp":1700630891576},"reference-count":28,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2011,10,23]],"date-time":"2011-10-23T00:00:00Z","timestamp":1319328000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,1]]},"abstract":"A barrier exchange option is an exchange option that is knocked out the first time the prices of two underlying assets become equal. Lindset, S., & Persson, S.\u2010A. (2006) present a simple dynamic replication argument to show that, in the absence of arbitrage, the current value of the barrier exchange option is equal to the difference in the current prices of the underlying assets and that this pricing formula applies irrespective of whether the option is European or American. In this study, we take a closer look at barrier exchange options and show, despite the simplicity of the pricing formula presented by Lindset, S., & Persson, S.\u2010A. (2006), that the barrier exchange option in fact involves a surprising array of key concepts associated with the pricing of derivative securities including: put\u2013call parity, barrier in\u2013out parity, static vs. dynamic replication, martingale pricing, continuous vs. discontinuous price processes, and numeraires. We provide valuable intuition behind the pricing formula which explains its apparent simplicity. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark 33:29\u201343, 2013<\/jats:p>","DOI":"10.1002\/fut.20554","type":"journal-article","created":{"date-parts":[[2011,10,23]],"date-time":"2011-10-23T21:38:52Z","timestamp":1319405932000},"page":"29-43","source":"Crossref","is-referenced-by-count":1,"title":["A Closer Look at Barrier Exchange Options"],"prefix":"10.1002","volume":"33","author":[{"given":"Christine A.","family":"Brown","sequence":"first","affiliation":[{"name":"Christine A. Brown is a Professor of Finance at the Department of Accounting and Finance, Monash University, Victoria, Australia"}]},{"given":"John C.","family":"Handley","sequence":"additional","affiliation":[{"name":"John C. Handley is an Associate Professor of Finance at the Department of Finance, University of Melbourne, Melbourne, Victoria, Australia"}]},{"given":"Ken","family":"Palmer","sequence":"additional","affiliation":[{"name":"Ken Palmer is a Professor of Mathematics at the Department of Financial and Computational Mathematics, Providence University, Taichung, Taiwan and an Adjunct Professor of Mathematics at the Department of Mathematics, National Taiwan University, Taipei, Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2011,10,23]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00035"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00048"},{"key":"e_1_2_7_5_1","volume-title":"Financial modelling with jump processes","author":"Cont R.","year":"2004"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_7_8_1","volume-title":"Options markets","author":"Cox J. C.","year":"1985"},{"key":"e_1_2_7_9_1","volume-title":"American\u2010style derivatives: Valuation and computation","author":"Detemple J.","year":"2006"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20117"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb03396.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(99)00093-7"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/3215299"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90004-7"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(83)90038-8"},{"key":"e_1_2_7_18_1","volume-title":"The complete guide to option pricing formulas","author":"Haug E. G.","year":"2007"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04025.x"},{"key":"e_1_2_7_20_1","volume-title":"Derivative securities","author":"Jarrow R.","year":"1996"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20247"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2006.02.002"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.2143\/AST.39.2.2044649"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb03397.x"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90021-6"},{"key":"e_1_2_7_28_1","first-page":"30","article-title":"One for another","volume":"4","author":"Rubinstein M.","year":"1991","journal-title":"Risk"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.5.1143"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20554","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20554","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T09:49:54Z","timestamp":1698659394000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20554"}},"issued":{"date-parts":[[2011,10,23]]},"references-count":28,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2013,1]]}},"alternative-id":["10.1002\/fut.20554"],"URL":"https:\/\/doi.org\/10.1002\/fut.20554","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,10,23]]}},{"indexed":{"date-parts":[[2022,4,1]],"date-time":"2022-04-01T04:14:44Z","timestamp":1648786484156},"reference-count":24,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,10]]},"DOI":"10.1002\/1096-9934(200010)20:9<823::aid-fut2>3.0.co;2-l","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T20:14:25Z","timestamp":1030306465000},"page":"823-841","source":"Crossref","is-referenced-by-count":1,"title":["Optimal hedging of contingent exposure: the importance of a risk premium"],"prefix":"10.1002","volume":"20","author":[{"given":"Svein-Arne","family":"Persson","sequence":"first","affiliation":[]},{"given":"T\ufffdrres","family":"Trovik","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB1","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1111\/j.1540-6261.1988.tb02594.x","volume":"43","author":"Adler","year":"1988","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB2","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB3","doi-asserted-by":"crossref","first-page":"424","DOI":"10.2307\/1909887","volume":"30","author":"Borch","year":"1962","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB4","doi-asserted-by":"crossref","first-page":"279","DOI":"10.2307\/2330239","volume":"16","author":"Brennan","year":"1981","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB5","doi-asserted-by":"crossref","first-page":"949","DOI":"10.1016\/0014-2921(93)90103-H","volume":"37","author":"Briys","year":"1993","journal-title":"European Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB6","volume-title":"Optimal positioning in derivative securities","author":"Carr","year":"1997","unstructured":"& (1997). Optimal positioning in derivative securities. College Park, MD: University of Maryland."},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB7","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/0022-0531(89)90067-7","volume":"49","author":"Cox","year":"1989","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB8","doi-asserted-by":"crossref","first-page":"221","DOI":"10.1016\/0378-4266(85)90019-6","volume":"9","author":"Eaker","year":"1985","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB9","doi-asserted-by":"crossref","first-page":"1129","DOI":"10.1111\/j.1540-6261.1979.tb00060.x","volume":"34","author":"Feiger","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB10","doi-asserted-by":"crossref","first-page":"89","DOI":"10.1006\/jeth.1998.2420","volume":"82","author":"Franke","year":"1998","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB11","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1016\/S0261-5606(83)80001-1","volume":"2","author":"Garman","year":"1983","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB12","volume-title":"International financial management: theory and application","author":"Giddy","year":"1985","unstructured":"(1985). The foreign exchange option as a hedging tool. In (Ed.), International financial management: theory and application. New York: John Wiley & Sons."},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB13","volume-title":"Fundamentals of pure and applied economics","author":"Hodrick","year":"1987","unstructured":"(1987). The empirical evidence on the efficiency of forward and futures foreign exchange markets. In (Ed.), Fundamentals of pure and applied economics. London: Harwood Academic."},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB14","doi-asserted-by":"crossref","first-page":"565","DOI":"10.2307\/2331413","volume":"26","author":"Kerkvliet","year":"1991","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB15","doi-asserted-by":"crossref","first-page":"66","DOI":"10.2307\/1242884","volume":"20000","author":"Lapan","year":"1991","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB16","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1007\/BF01225932","volume":"59","author":"Lehrbass","year":"1994","journal-title":"Journal of Economics"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB17","doi-asserted-by":"crossref","first-page":"581","DOI":"10.1111\/j.1540-6261.1980.tb02190.x","volume":"35","author":"Leland","year":"1980","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB18","volume-title":"Handbook of international economics","volume":"III","author":"Lewis","year":"1995","unstructured":"(1995). Puzzles in international financial markets. In & (Eds.), Handbook of international economics. Vol. III, New York: Elsevier Science B.V."},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB20","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"Merton","year":"1973","journal-title":"Bell Journal of Economics and Management Science"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB21","doi-asserted-by":"crossref","first-page":"607","DOI":"10.2307\/2527128","volume":"33","author":"Moschini","year":"1992","journal-title":"International Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB22","doi-asserted-by":"crossref","first-page":"1025","DOI":"10.2307\/2527271","volume":"36","author":"Moschini","year":"1995","journal-title":"International Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB23","volume-title":"The new palgrave: finance","author":"Newbery","year":"1989","unstructured":"(1989). Futures markets, hedging and speculation. In and (Eds.), The new palgrave: finance. New York: Macmillan."},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB24","doi-asserted-by":"crossref","first-page":"413","DOI":"10.2307\/2554570","volume":"60","author":"Steil","year":"1993","journal-title":"Economica"},{"key":"10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L-BIB25","doi-asserted-by":"crossref","first-page":"127","DOI":"10.2307\/2330894","volume":"19","author":"Stulz","year":"1984","journal-title":"Journal of Financial and Quantitative Analysis"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200010)20:9%3C823::AID-FUT2%3E3.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200010)20:9%3C823::AID-FUT2%3E3.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:08:38Z","timestamp":1625134118000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200010)20:9<823::AID-FUT2>3.0.CO;2-L"}},"issued":{"date-parts":[[2000]]},"references-count":24,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2000,10]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200010)20:9<823::aid-fut2>3.0.co;2-l","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2022,4,5]],"date-time":"2022-04-05T13:55:47Z","timestamp":1649166947650},"reference-count":3,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6848,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,12]]},"DOI":"10.1002\/(sici)1096-9934(199612)16:8<859::aid-fut1>3.0.co;2-l","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T21:44:44Z","timestamp":1031694284000},"page":"859-863","source":"Crossref","is-referenced-by-count":1,"title":["Interest-rate option pricing revisited"],"prefix":"10.1002","volume":"16","author":[{"given":"Craig","family":"Merrill","sequence":"first","affiliation":[]},{"given":"David","family":"Babbel","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199612)16:8<859::AID-FUT1>3.0.CO;2-L-BIB1","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1002\/fut.3990090105","volume":"9","author":"Boyle","year":"1989","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199612)16:8<859::AID-FUT1>3.0.CO;2-L-BIB2","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1093\/rfs\/3.4.573","volume":"3","author":"Hull","year":"1990","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199612)16:8<859::AID-FUT1>3.0.CO;2-L-BIB3","doi-asserted-by":"crossref","first-page":"87","DOI":"10.1093\/rfs\/4.1.87","volume":"4","author":"Turnbull","year":"1991","journal-title":"The Review of Financial Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199612)16:8%3C859::AID-FUT1%3E3.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199612)16:8%3C859::AID-FUT1%3E3.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:29:40Z","timestamp":1625131780000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199612)16:8<859::AID-FUT1>3.0.CO;2-L"}},"issued":{"date-parts":[[1996,12]]},"references-count":3,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1996,12]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199612)16:8<859::aid-fut1>3.0.co;2-l","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,12]]}},{"indexed":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T08:15:14Z","timestamp":1695975314178},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,2]]},"DOI":"10.1002\/fut.v38.2","type":"journal-issue","created":{"date-parts":[[2018,1,13]],"date-time":"2018-01-13T01:57:36Z","timestamp":1515808656000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"38","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v38.2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,28]],"date-time":"2023-09-28T18:03:30Z","timestamp":1695924210000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/38\/2"}},"issued":{"date-parts":[[2018,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2018,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v38.2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,2]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T07:44:38Z","timestamp":1696664678704},"reference-count":35,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,3,9]],"date-time":"2015-03-09T00:00:00Z","timestamp":1425859200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,1]]},"abstract":"Abstract<\/jats:title>We look at whether monetary decisions constitute a significant macro\u2010finance risk for interest rate options and related implied volatilities. We devise an option\u2010pricing model based on the dynamics of the Federal Reserve's target rate via a regime\u2010shift approach modeled as discrete Markov chain capturing the timing of Federal Open Market Committee meetings. We find that the regime\u2010shift risk is significantly priced and that the downward and stable regimes of the target rate, associated with a decline in real activity, display higher probabilities of occurrence under the risk\u2010neutral measure. We also observe that implied volatilities display a counter\u2010cyclical behavior. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:66\u201387, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21711","type":"journal-article","created":{"date-parts":[[2015,3,9]],"date-time":"2015-03-09T13:37:09Z","timestamp":1425908229000},"page":"66-87","source":"Crossref","is-referenced-by-count":0,"title":["The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime\u2010Shift Pricing Approach"],"prefix":"10.1002","volume":"36","author":[{"given":"Ren\u00e9","family":"Ferland","sequence":"first","affiliation":[{"name":"Ren\u00e9 Ferland is at the Department of Mathematics University du Qu\u00e9bec \u00e0 Montr\u00e9al P.O. Box 8888 Montr\u00e9al Qu\u00e9bec, Canada H3C 3P8"}]},{"given":"Genevi\u00e8ve","family":"Gauthier","sequence":"additional","affiliation":[{"name":"Genevi\u00e8ve Gauthier is at the Department of Management Sciences HEC Montr\u00e9al 3000 Cote\u2010Ste\u2010Catherine Road Montr\u00e9al Qu\u00e9bec, Canada H3T 2A7"}]},{"given":"Simon","family":"Lalancette","sequence":"additional","affiliation":[{"name":"Simon Lalancette is at the Department of Finance HEC Montr\u00e9al 3000 Cote\u2010Ste\u2010Catherine Road Montr\u00e9al Qu\u00e9bec, Canada H3T 2A7"}]}],"member":"311","published-online":{"date-parts":[[2015,3,9]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"crossref","unstructured":"Abdymomunov A. &Kang K. H.(2011). The effects of monetary policy regime shifts on the term structure of interest rates. Unpublished Working paper.","DOI":"10.2139\/ssrn.1972261"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.02.007"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.02.003"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdq006"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07205"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000398"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2006.05.013"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2013.06.003"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00760.x"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.05.004"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/250059"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq090"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355300554692"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm021"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu024"},{"key":"e_1_2_9_18_1","article-title":"Option valuation with macro\u2010finance variables","author":"Dorion C.","year":"2013","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126735"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00426"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2010.01.001"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/262016"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1515\/9780691218632"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01209.x"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconbus.2006.02.002"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00838.x"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1991.692347"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00399"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/296409"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/427466"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21596"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20524"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn040"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20503"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.06.014"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21711","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21711","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:44:05Z","timestamp":1696585445000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21711"}},"issued":{"date-parts":[[2015,3,9]]},"references-count":35,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2016,1]]}},"alternative-id":["10.1002\/fut.21711"],"URL":"https:\/\/doi.org\/10.1002\/fut.21711","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,3,9]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T09:41:51Z","timestamp":1696671711897},"reference-count":0,"publisher":"Wiley","issue":"11","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,11]]},"DOI":"10.1002\/fut.v36.11","type":"journal-issue","created":{"date-parts":[[2016,10,11]],"date-time":"2016-10-11T20:27:21Z","timestamp":1476217641000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"36","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T10:32:35Z","timestamp":1696588355000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/36\/11"}},"issued":{"date-parts":[[2016,11]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2016,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v36.11","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,11]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:45:08Z","timestamp":1709243108448},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5875,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,8]]},"DOI":"10.1002\/(sici)1096-9934(199908)19:5<499::aid-fut1>3.3.co;2-f","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:30:12Z","timestamp":1030303812000},"page":"499-521","source":"Crossref","is-referenced-by-count":1,"title":["Do S&P 500 index options violate the martingale restriction?"],"prefix":"10.1002","volume":"19","author":[{"given":"Norman","family":"Strong","sequence":"first","affiliation":[]},{"given":"Xinzhong","family":"Xu","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199908)19:5%3C499::AID-FUT1%3E3.3.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T15:43:00Z","timestamp":1507650180000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199908%2919%3A5%3C499%3A%3AAID-FUT1%3E3.3.CO%3B2-F"}},"issued":{"date-parts":[[1999,8]]},"references-count":0,"journal-issue":{"issue":"5"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199908)19:5<499::aid-fut1>3.3.co;2-f","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,8]]}},{"indexed":{"date-parts":[[2024,6,13]],"date-time":"2024-06-13T03:04:37Z","timestamp":1718247877682},"reference-count":25,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3530,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2006,8]]},"DOI":"10.1002\/fut.20217","type":"journal-article","created":{"date-parts":[[2006,6,21]],"date-time":"2006-06-21T19:04:27Z","timestamp":1150916667000},"page":"789-808","source":"Crossref","is-referenced-by-count":8,"title":["Liquidity risk and the hedging role of options"],"prefix":"10.1002","volume":"26","author":[{"given":"Kit Pong","family":"Wong","sequence":"first","affiliation":[]},{"given":"Jianguo","family":"Xu","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006]]},"reference":[{"key":"10.1002\/fut.20217-BIB1","doi-asserted-by":"crossref","first-page":"555","DOI":"10.2307\/4126731","volume":"38","author":"Chang","year":"2003","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20217-BIB2","volume-title":"OTC derivatives: Settlement procedures and counterparty risk management","author":"Committee on Payment and Settlement Systems","year":"1998","unstructured":"Committee on Payment and Settlement Systems. (1998). OTC derivatives: Settlement procedures and counterparty risk management. Basel, Switzerland: Bank for International Settlements."},{"key":"10.1002\/fut.20217-BIB3","volume-title":"Options markets","author":"Cox","year":"1985","unstructured":"& (1985). Options markets. Englewood Cliffs, NJ: Prentice-Hall."},{"key":"10.1002\/fut.20217-BIB4","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1016\/0022-0531(78)90124-2","volume":"17","author":"Danthine","year":"1978","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/fut.20217-BIB5","doi-asserted-by":"crossref","first-page":"308","DOI":"10.1016\/0022-0531(72)90044-0","volume":"5","author":"Dr\u00e8ze","year":"1972","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/fut.20217-BIB6","doi-asserted-by":"crossref","first-page":"317","DOI":"10.2307\/1884543","volume":"94","author":"Feder","year":"1980","journal-title":"Quarterly Journal of Economics"},{"key":"10.1002\/fut.20217-BIB7","doi-asserted-by":"crossref","first-page":"693","DOI":"10.1002\/fut.1801","volume":"21","author":"Frechette","year":"2001","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/fut.20217-BIB8","doi-asserted-by":"crossref","DOI":"10.7551\/mitpress\/2622.001.0001","volume-title":"The economics of risk and time","author":"Gollier","year":"2001","unstructured":"(2001). The economics of risk and time. Cambridge, MA: MIT Press."},{"key":"10.1002\/fut.20217-BIB9","first-page":"989","volume":"69","author":"Holthausen","year":"1979","journal-title":"American Economic Review"},{"key":"10.1002\/fut.20217-BIB10","volume-title":"Value at risk: The new benchmark for managing financial risk","author":"Jorion","year":"2001","unstructured":"(2001). Value at risk: The new benchmark for managing financial risk (2nd ed.). New York: McGraw-Hill."},{"key":"10.1002\/fut.20217-BIB11","doi-asserted-by":"crossref","first-page":"53","DOI":"10.2307\/2938334","volume":"58","author":"Kimball","year":"1990","journal-title":"Econometrica"},{"key":"10.1002\/fut.20217-BIB12","doi-asserted-by":"crossref","first-page":"589","DOI":"10.2307\/2951719","volume":"61","author":"Kimball","year":"1993","journal-title":"Econometrica"},{"key":"10.1002\/fut.20217-BIB13","doi-asserted-by":"crossref","first-page":"465","DOI":"10.2307\/1879518","volume":"82","author":"Leland","year":"1968","journal-title":"Quarterly Journal of Economics"},{"key":"10.1002\/fut.20217-BIB14","doi-asserted-by":"crossref","first-page":"286","DOI":"10.2307\/1243630","volume":"76","author":"Lence","year":"1994","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/fut.20217-BIB15","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1002\/fut.10075","volume":"23","author":"Lien","year":"2003","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/fut.20217-BIB16","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1002\/fut.10011","volume":"22","author":"Lien","year":"2002","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/fut.20217-BIB17","doi-asserted-by":"crossref","first-page":"785","DOI":"10.1016\/j.jimonfin.2004.03.003","volume":"23","author":"Lien","year":"2004","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/fut.20217-BIB18","doi-asserted-by":"crossref","first-page":"607","DOI":"10.2307\/2527128","volume":"33","author":"Moschini","year":"1992","journal-title":"International Economic Review"},{"key":"10.1002\/fut.20217-BIB19","doi-asserted-by":"crossref","first-page":"1025","DOI":"10.2307\/2527271","volume":"36","author":"Moschini","year":"1995","journal-title":"International Economic Review"},{"key":"10.1002\/fut.20217-BIB20","doi-asserted-by":"crossref","first-page":"408","DOI":"10.2307\/1242925","volume":"75","author":"Sakong","year":"1993","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/fut.20217-BIB21","first-page":"65","volume":"61","author":"Sandmo","year":"1971","journal-title":"American Economic Review"},{"key":"10.1002\/fut.20217-BIB22","doi-asserted-by":"crossref","first-page":"1295","DOI":"10.1111\/1468-2354.t01-1-00110","volume":"44","author":"Wong","year":"2003a","journal-title":"International Economic Review"},{"key":"10.1002\/fut.20217-BIB23","doi-asserted-by":"crossref","first-page":"833","DOI":"10.1016\/S0014-2921(02)00287-8","volume":"47","author":"Wong","year":"2003b","journal-title":"European Economic Review"},{"key":"10.1002\/fut.20217-BIB24","doi-asserted-by":"crossref","first-page":"697","DOI":"10.1002\/fut.10133","volume":"24","author":"Wong","year":"2004a","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/fut.20217-BIB25","doi-asserted-by":"crossref","first-page":"909","DOI":"10.1002\/fut.20121","volume":"24","author":"Wong","year":"2004b","journal-title":"The Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20217","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20217","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:32:10Z","timestamp":1625164330000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20217"}},"issued":{"date-parts":[[2006]]},"references-count":25,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2006,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20217","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006]]}},{"indexed":{"date-parts":[[2024,4,9]],"date-time":"2024-04-09T00:33:22Z","timestamp":1712622802414},"reference-count":0,"publisher":"Wiley","issue":"5","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,5]]},"DOI":"10.1002\/fut.v44.5","type":"journal-issue","created":{"date-parts":[[2024,4,8]],"date-time":"2024-04-08T11:36:05Z","timestamp":1712576165000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"44","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2024,4,8]],"date-time":"2024-04-08T11:36:05Z","timestamp":1712576165000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/44\/5"}},"issued":{"date-parts":[[2024,5]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2024,5]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v44.5","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,5]]}},{"indexed":{"date-parts":[[2025,3,27]],"date-time":"2025-03-27T19:40:09Z","timestamp":1743104409731},"reference-count":0,"publisher":"Wiley","issue":"12","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,12]]},"DOI":"10.1002\/fut.v37.12","type":"journal-issue","created":{"date-parts":[[2017,11,6]],"date-time":"2017-11-06T10:45:11Z","timestamp":1509965111000},"source":"Crossref","is-referenced-by-count":2,"prefix":"10.1002","volume":"37","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v37.12","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T22:08:05Z","timestamp":1696025285000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/37\/12"}},"issued":{"date-parts":[[2017,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2017,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v37.12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,12]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:54Z","timestamp":1740104574549,"version":"3.37.3"},"reference-count":10,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2020,6,19]],"date-time":"2020-06-19T00:00:00Z","timestamp":1592524800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,10]]},"abstract":"Abstract<\/jats:title>We present a novel method for extracting the risk\u2010neutral probability of default (PD) of a firm from American put option prices. Building on the idea of a default corridor proposed by Carr and Wu, we derive a parsimonious closed\u2010form formula for American put option prices from which the PD can be inferred. The method is easy to implement. Our empirical results based on seven large US firms for the period 2002\u20132010 show that, in some cases, our option\u2010implied PD can provide a more accurate estimate of default probability than the estimates implied from credit default swaps.<\/jats:p>","DOI":"10.1002\/fut.22146","type":"journal-article","created":{"date-parts":[[2020,6,19]],"date-time":"2020-06-19T14:52:02Z","timestamp":1592578322000},"page":"1535-1547","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["A simple method for extracting the probability of default from American put option prices"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3420-7689","authenticated-orcid":false,"given":"Bo Young","family":"Chang","sequence":"first","affiliation":[{"name":"Bank of Canada 234 Wellington Street Ottawa Ontario Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2623-8116","authenticated-orcid":false,"given":"Greg","family":"Orosi","sequence":"additional","affiliation":[{"name":"Department of Mathematics and Statistics American University of Sharjah Sharjah UAE"}]}],"member":"311","published-online":{"date-parts":[[2020,6,19]]},"reference":[{"key":"e_1_2_10_2_1","unstructured":"Bohn J. Arora N. &Korablev I.(2005).Power and level validation of the EDF credit measure in the US market. Moody's KMV White Paper."},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.02.019"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp010"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq129"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21823"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000558"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2012.22.3.079"},{"volume-title":"Mathematics across contemporary sciences","year":"2015","author":"Orosi G.","key":"e_1_2_10_10_1"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2014.22.2.008"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22146","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22146","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22146","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22146","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T14:23:46Z","timestamp":1693923826000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22146"}},"issued":{"date-parts":[[2020,6,19]]},"references-count":10,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2020,10]]}},"alternative-id":["10.1002\/fut.22146"],"URL":"https:\/\/doi.org\/10.1002\/fut.22146","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,6,19]]},"assertion":[{"value":"2019-06-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-05-20","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-06-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,23]],"date-time":"2023-11-23T00:32:46Z","timestamp":1700699566060},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,2]]},"DOI":"10.1002\/fut.v30:2","type":"journal-issue","created":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:58:28Z","timestamp":1700654308000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"30","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:58:29Z","timestamp":1700654309000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/30\/2"}},"issued":{"date-parts":[[2010,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2010,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v30:2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,2]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:34Z","timestamp":1698043234627},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,12,27]],"date-time":"2006-12-27T00:00:00Z","timestamp":1167177600000},"content-version":"vor","delay-in-days":6722,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,8]]},"DOI":"10.1002\/fut.3990080401","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T10:29:34Z","timestamp":1183631374000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"8","member":"311","published-online":{"date-parts":[[2006,12,27]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080401","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080401","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T08:11:50Z","timestamp":1697962310000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080401"}},"issued":{"date-parts":[[1988,8]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1988,8]]}},"alternative-id":["10.1002\/fut.3990080401"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080401","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,8]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:36Z","timestamp":1698043236669},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8978,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,2]]},"DOI":"10.1002\/fut.v11:1","type":"journal-issue","created":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:40:41Z","timestamp":1698014441000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"11","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v11:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v11:1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:40:41Z","timestamp":1698014441000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/11\/1"}},"issued":{"date-parts":[[1991,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1991,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v11:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,2]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:41Z","timestamp":1698043241600},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6537,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,10]]},"DOI":"10.1002\/fut.3990080501","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T10:48:23Z","timestamp":1183632503000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"8","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080501","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080501","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T08:12:33Z","timestamp":1697962353000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080501"}},"issued":{"date-parts":[[1988,10]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1988,10]]}},"alternative-id":["10.1002\/fut.3990080501"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080501","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,10]]}},{"indexed":{"date-parts":[[2023,9,15]],"date-time":"2023-09-15T07:13:16Z","timestamp":1694761996407},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2018,6,7]],"date-time":"2018-06-07T00:00:00Z","timestamp":1528329600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,7]]},"DOI":"10.1002\/fut.21874","type":"journal-article","created":{"date-parts":[[2018,6,7]],"date-time":"2018-06-07T16:20:23Z","timestamp":1528388423000},"page":"755-756","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 38, Number 7, July 2018"],"prefix":"10.1002","volume":"38","member":"311","published-online":{"date-parts":[[2018,6,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21874","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21874","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T03:40:39Z","timestamp":1694662839000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21874"}},"issued":{"date-parts":[[2018,6,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2018,7]]}},"alternative-id":["10.1002\/fut.21874"],"URL":"https:\/\/doi.org\/10.1002\/fut.21874","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,6,7]]},"assertion":[{"value":"2018-06-07","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T09:13:18Z","timestamp":1694337198518},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2019,7,9]],"date-time":"2019-07-09T00:00:00Z","timestamp":1562630400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,8]]},"DOI":"10.1002\/fut.21949","type":"journal-article","created":{"date-parts":[[2019,7,9]],"date-time":"2019-07-09T11:44:52Z","timestamp":1562672692000},"page":"917-918","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 39, Number 8, August 2019"],"prefix":"10.1002","volume":"39","member":"311","published-online":{"date-parts":[[2019,7,9]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21949","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21949","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21949","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T16:10:50Z","timestamp":1694275850000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21949"}},"issued":{"date-parts":[[2019,7,9]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2019,8]]}},"alternative-id":["10.1002\/fut.21949"],"URL":"https:\/\/doi.org\/10.1002\/fut.21949","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,7,9]]},"assertion":[{"value":"2019-07-09","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,7,7]],"date-time":"2024-07-07T20:36:16Z","timestamp":1720384576890},"reference-count":33,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2010,1,20]],"date-time":"2010-01-20T00:00:00Z","timestamp":1263945600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,10]]},"abstract":"Abstract<\/jats:title>In this article, we look at study the dynamics of forward rates with maturities longer than 14 years. We re\u2010document the phenomenon of the downward sloping long forward rate term structure using U.S. Treasury STRIPS data over the period 1988 to 2007. By calibrating Diebold F. X. and Li C.\u2010L.'s (2006<\/jats:ext-link>) dynamic Nelson C. R. and Siegel A. F. (1987<\/jats:ext-link>) and Christensen J. H. E., Diebold F. X., and Rudebusch G. D.'s (2007<\/jats:ext-link>) arbitrage\u2010free Nelson\u2010Siegel models, we find that both models explain the empirical phenomenon very well. Out\u2010of\u2010sample comparison shows that imposing no\u2010arbitrage restriction indeed improves the forecasting performance. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:957\u2013982, 2010<\/jats:p>","DOI":"10.1002\/fut.20447","type":"journal-article","created":{"date-parts":[[2010,1,20]],"date-time":"2010-01-20T15:28:59Z","timestamp":1264001339000},"page":"957-982","source":"Crossref","is-referenced-by-count":2,"title":["The dynamics of long forward rate term structures"],"prefix":"10.1002","volume":"30","author":[{"given":"Xingguo","family":"Luo","sequence":"first","affiliation":[]},{"given":"Jin E.","family":"Zhang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,7,31]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.07.003"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00032-1"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676248"},{"key":"e_1_2_7_5_1","doi-asserted-by":"crossref","unstructured":"Bank for International Settlements. (2005).Zero\u2010coupon yield curve: Technical documentation(BIS Paper No. 25).","DOI":"10.2139\/ssrn.1188514"},{"key":"e_1_2_7_6_1","doi-asserted-by":"crossref","unstructured":"Boudoukh J. Richardson M. &Whitelaw R.(2005).The information in long\u2010maturity forward rates: Implications for exchange rates and the forward premium anomaly(Working Paper No. 11840). National Bureau of Economic Research.","DOI":"10.3386\/w11840"},{"key":"e_1_2_7_7_1","doi-asserted-by":"crossref","unstructured":"Brown R. H. &Schaefer S. M.(2000).Why long term forward interest rates (almost) always slope downwards(working paper). London Business School.","DOI":"10.2139\/ssrn.213390"},{"key":"e_1_2_7_8_1","doi-asserted-by":"crossref","unstructured":"Carverhill A. P.(2001).Predictability and the dynamics of long forward rates(working paper). Hong Kong University of Science and Technology.","DOI":"10.2139\/ssrn.267328"},{"key":"e_1_2_7_9_1","doi-asserted-by":"crossref","unstructured":"Christensen J. H. E. Diebold F. X. &Rudebusch G. D.(2007).The affine arbitrage\u2010free class of Nelson\u2010Siegel term structure models(Working Paper No. 13611). National Bureau of Economic Research.","DOI":"10.3386\/w13611"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100500166152"},{"key":"e_1_2_7_11_1","doi-asserted-by":"crossref","unstructured":"Coroneo L. Nyholm K. &Vidova\u2010Koleva R.(2008).How arbitrage\u2010free is the Nelson\u2010Siegel model?(Working Paper No. 874). European Central Bank.","DOI":"10.2139\/ssrn.1091123"},{"key":"e_1_2_7_12_1","doi-asserted-by":"crossref","unstructured":"Cox J. C. Ingersoll J. E. &Ross S. A.(1985).A theory of the term structure of interest rates. Econometrica 53 385\u2013407.","DOI":"10.2307\/1911242"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00278"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04712.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392263"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.02.002"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.005"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.011"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1008304625054"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00426"},{"key":"e_1_2_7_21_1","unstructured":"Duffee G. R.(2009).Forecasting with the term structure: The role of no\u2010arbitrage restrictions(working paper). Johns Hopkins University."},{"key":"e_1_2_7_22_1","doi-asserted-by":"crossref","unstructured":"Duffie D. &Kan R.(1996).A yield\u2010factor model of interest rates. Mathematical Finance 6 379\u2013406.","DOI":"10.1111\/j.1467-9965.1996.tb00123.x"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/209677"},{"key":"e_1_2_7_24_1","doi-asserted-by":"crossref","unstructured":"Fama E. F.(2006).The behavior of interest rates. Review of Financial Studies 19 359\u2013379.","DOI":"10.1093\/rfs\/hhj019"},{"key":"e_1_2_7_25_1","first-page":"680","article-title":"The information in long\u2010maturity forward rates","volume":"77","author":"Fama E. F.","year":"1987","journal-title":"American Economic Review"},{"key":"e_1_2_7_26_1","doi-asserted-by":"crossref","unstructured":"Hubalek F. Klein I. &Teichmann J.(2002).A general proof of the Dybvig\u2010Ingersoll\u2010Ross theorem: Long forward rates can never fall. Mathematical Finance 12 447\u2013451.","DOI":"10.1111\/1467-9965.12409"},{"key":"e_1_2_7_27_1","first-page":"21","volume":"3","author":"Jordan B. D.","year":"2008","journal-title":"Do long interest rates ever fall? Advances in Financial Planning and Forecasting"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(91)90013-A"},{"key":"e_1_2_7_29_1","unstructured":"Luo X.\u2010G. &Zhang J. E.(2008).The dynamics of interest rate term structure. Paper presented at Quantitative Methods in Finance Conference (QMF) 2008 December 17\u201320 2008 Sydney Australia."},{"key":"e_1_2_7_30_1","unstructured":"McCulloch J. H.(2000).Long forward and zero\u2010coupon rates indeed can never fall but are indeterminate: A comment on Dybvig Ingersoll and Ross(working paper). Ohio State University."},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/296409"},{"key":"e_1_2_7_32_1","doi-asserted-by":"crossref","unstructured":"Sack B.(2000).Using Treasury STRIPS to measure the yield curve(FEDS Working Paper No. 2000\u201042). Board of Governors of the Federal Reserve.","DOI":"10.2139\/ssrn.249286"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1995.408144"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20447","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20447","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,9]],"date-time":"2023-10-09T12:00:53Z","timestamp":1696852853000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20447"}},"issued":{"date-parts":[[2010,7,31]]},"references-count":33,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2010,10]]}},"alternative-id":["10.1002\/fut.20447"],"URL":"https:\/\/doi.org\/10.1002\/fut.20447","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,7,31]]}},{"indexed":{"date-parts":[[2024,7,12]],"date-time":"2024-07-12T10:28:18Z","timestamp":1720780098745},"reference-count":13,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2005,11,16]],"date-time":"2005-11-16T00:00:00Z","timestamp":1132099200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,1]]},"abstract":"Abstract<\/jats:title>This article derives the closed\u2010form formula for a European option on an asset with returns following a continuous\u2010time type of first\u2010order moving average process, which is called an MA(1)\u2010type option. The pricing formula of these options is similar to that of Black and Scholes, except for the total volatility input. Specifically, the total volatility input of MA(1)\u2010type options is the conditional standard deviation of continuous\u2010compounded returns over the option's remaining life, whereas the total volatility input of Black and Scholes is indeed the diffusion coefficient of a geometric Brownian motion times the square root of an option's time to maturity. Based on the result of numerical analyses, the impact of autocorrelation induced by the MA(1)\u2010type process is significant to option values even when the autocorrelation between asset returns is weak. \u00a9 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:85\u2013102, 2006<\/jats:p>","DOI":"10.1002\/fut.20192","type":"journal-article","created":{"date-parts":[[2005,11,16]],"date-time":"2005-11-16T17:07:32Z","timestamp":1132160852000},"page":"85-102","source":"Crossref","is-referenced-by-count":12,"title":["The valuation of European options when asset returns are autocorrelated"],"prefix":"10.1002","volume":"26","author":[{"given":"Szu\u2010Lang","family":"Liao","sequence":"first","affiliation":[]},{"given":"Chao\u2010Chun","family":"Chen","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005,11,16]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1925546"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03776.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.2.281"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.6.2.39"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1142\/p110"},{"key":"e_1_2_1_12_1","volume-title":"Introduction to stochastic calculus applied to finance","author":"Lamberton D.","year":"1996"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05168.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90021-6"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20192","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20192","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T08:18:15Z","timestamp":1700036295000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20192"}},"issued":{"date-parts":[[2005,11,16]]},"references-count":13,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2006,1]]}},"alternative-id":["10.1002\/fut.20192"],"URL":"https:\/\/doi.org\/10.1002\/fut.20192","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005,11,16]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:10:37Z","timestamp":1698009037380},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7298,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,9]]},"DOI":"10.1002\/fut.3990060313","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:41:35Z","timestamp":1183614095000},"page":"503-504","source":"Crossref","is-referenced-by-count":0,"title":["Legal and regulatory developments"],"prefix":"10.1002","volume":"6","author":[{"given":"Frederick L.","family":"White","sequence":"first","affiliation":[]},{"given":"William","family":"Stein","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060313","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060313","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:11:18Z","timestamp":1697915478000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060313"}},"issued":{"date-parts":[[1986,9]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1986,9]]}},"alternative-id":["10.1002\/fut.3990060313"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060313","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,9]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:40:55Z","timestamp":1698010855233},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7298,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,9]]},"DOI":"10.1002\/fut.3990060310","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:41:35Z","timestamp":1183614095000},"page":"461-475","source":"Crossref","is-referenced-by-count":3,"title":["The certificate system for delivery in live cattle: Conceptual issues and measures of performance"],"prefix":"10.1002","volume":"6","author":[{"given":"Wayne D.","family":"Purcell","sequence":"first","affiliation":[]},{"given":"Michael A.","family":"Hudson","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060310","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060310","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:11:21Z","timestamp":1697915481000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060310"}},"issued":{"date-parts":[[1986,9]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1986,9]]}},"alternative-id":["10.1002\/fut.3990060310"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060310","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,9]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T08:30:10Z","timestamp":1697963410413},"reference-count":14,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8303,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,12]]},"DOI":"10.1002\/fut.3990030408","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:16:40Z","timestamp":1183591000000},"page":"429-438","source":"Crossref","is-referenced-by-count":7,"title":["Cross hedging CDs with treasury bill futures"],"prefix":"10.1002","volume":"3","author":[{"suffix":"Jr.","given":"Andrew J.","family":"Senchack","sequence":"first","affiliation":[]},{"given":"John C.","family":"Easterwood","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Capozza D. R. andCornell B.(1978): \u201cTreasury Bill Pricing in the Spot and Futures Markets \u201dReview of Economics and Statistics(November):513\u2013520.","DOI":"10.2307\/1935783"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010310"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010303"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Ederington L. H.(1979): \u201cThe Hedging Performance of the New Futures Markets \u201dJournal of Finance(March):.157\u2013170.","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Franckle C. T.(1980): \u201cThe Hedging Performance of the New Futures Markets: Comment \u201dJournal of Finance(December):1273\u20131279.","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020111"},{"issue":"3","key":"e_1_2_1_8_1","article-title":"The Futures Market for Maine Potatoes: An Appraisal","author":"Gray R. W.","year":"1972","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Johnson L. L.(1960): \u201cThe Theory of Hedging and Speculation in Commodity Futures \u201dReview of Economic Studies(October):139\u2013151.","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Lang R. W. andRasche R. H.(1978): \u201cA Comparison of Yields on Futures Contracts and Implied Forward Rates \u201dReview of the Federal Reserve Bank of St. Louis(December):21\u201330.","DOI":"10.20955\/r.60.21-30.pgo"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010312"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Peck A. E.(1975): \u201cHedging and Income Stability: Concepts Implications and an Example \u201d Journal Paper 5858 Purdue University Agricultural Experiment Station.","DOI":"10.2307\/1238403"},{"key":"e_1_2_1_13_1","unstructured":"Poole W.(1978): \u201cUsing T\u2010Bill Futures to Gauge Interest Rate Expectations \u201dFederal Reserve Bank of San Francisco Economic Review(Spring):7\u201317."},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Rendleman R.andCarabini C. E.(1979): \u201cThe Efficiency of the Treasury Bill Futures Market \u201dJournal of Finance(September):895\u2013914.","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_15_1","unstructured":"Working H.(1962): \u201cNew Concepts Concerning Futures Markets and Prices \u201dAmerican Economic Review(June):431\u2013459."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030408","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030408","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T07:40:53Z","timestamp":1697701253000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030408"}},"issued":{"date-parts":[[1983,12]]},"references-count":14,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1983,12]]}},"alternative-id":["10.1002\/fut.3990030408"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030408","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,12]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:56:33Z","timestamp":1698288993374},"reference-count":15,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6780,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,2]]},"DOI":"10.1002\/fut.3990080107","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:54:50Z","timestamp":1183629290000},"page":"79-87","source":"Crossref","is-referenced-by-count":9,"title":["Risk and return in cattle and hog futures"],"prefix":"10.1002","volume":"8","author":[{"given":"Emmett W.","family":"Elam","sequence":"first","affiliation":[]},{"given":"Daniel","family":"Vaught","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050113"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/261148"},{"key":"e_1_2_1_4_1","unstructured":"Chicago Mercantile Exchange.Yearbook. Issues for 1974\u20131975 through1984."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_6_1","unstructured":"Elia C. J.(1978 May 3): \u201cTighter Monetary Policy Linked by Economist \u201dWall Street Journal p.43."},{"key":"e_1_2_1_7_1","volume-title":"Treatise on Money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1965.tb02930.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/261215"},{"key":"e_1_2_1_10_1","unstructured":"New York Times(1985): Various issues."},{"key":"e_1_2_1_11_1","volume-title":"Selected Writings on Futures Markets: Basic Research in Commodity Markets","author":"Peck A. E.","year":"1983"},{"key":"e_1_2_1_12_1","unstructured":"Prinsky R. D.(1982 January 4): \u201cNew Dow Jones Commodity Spot Indexes \u201dWall Street Journal p.46."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1964.tb02865.x"},{"key":"e_1_2_1_14_1","unstructured":"Standard and Poor's Corporation(1985): \u201cCurrent Statistics\u201d Various issues."},{"key":"e_1_2_1_15_1","unstructured":"Standard and Poor's Corporation(1984):Security Price Index Record."},{"key":"e_1_2_1_16_1","unstructured":"Wall Street Journal(1975\u20131985): Various issues."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080107","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080107","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T23:30:10Z","timestamp":1697931010000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080107"}},"issued":{"date-parts":[[1988,2]]},"references-count":15,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1988,2]]}},"alternative-id":["10.1002\/fut.3990080107"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080107","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,2]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T06:10:19Z","timestamp":1698127819525},"reference-count":14,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5079,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,10]]},"DOI":"10.1002\/fut.3990120506","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:46:31Z","timestamp":1183664791000},"page":"549-562","source":"Crossref","is-referenced-by-count":4,"title":["Optimal weights and international portfolio hedging with U.S. dollar index futures: An empirical investigation"],"prefix":"10.1002","volume":"12","author":[{"given":"Steven","family":"Krull","sequence":"first","affiliation":[]},{"given":"Anoop","family":"Rai","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n4.16"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080202"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100504"},{"key":"e_1_2_1_5_1","first-page":"3","article-title":"The New Dollar Indexes Are No Different from the Old Ones","volume":"11","author":"Hervey J. L.","year":"1987","journal-title":"Economic Perspectives"},{"key":"e_1_2_1_6_1","first-page":"32","article-title":"Inflation and the Dollar Index","volume":"75","author":"Hunter K.","year":"1990","journal-title":"Economic Review"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_8_1","unstructured":"Hedging Global Portfolios with USDX Futures 1988 3 3"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_10_1","first-page":"5","article-title":"The Dollar's Effective Exchange Rate: Assessing the Impact of Alternative Weighting Schemes","volume":"69","author":"Ott M.","year":"1987","journal-title":"Review"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060408"},{"key":"e_1_2_1_12_1","first-page":"12","article-title":"A New Dollar Index: Capturing a More Global Perspective","volume":"71","author":"Rosenweig J. A.","year":"1986","journal-title":"Economic Review"},{"key":"e_1_2_1_13_1","first-page":"4","article-title":"Constructing and Using Exchange Rate Indexes","volume":"72","author":"Rosenweig J. A.","year":"1987","journal-title":"Economic Review"},{"key":"e_1_2_1_14_1","volume-title":"Futures Market","author":"Siegel D. R.","year":"1990"},{"key":"e_1_2_1_15_1","volume-title":"Statistical Methods","author":"Snedecor G.","year":"1967"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120506","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120506","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:14:33Z","timestamp":1698059673000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120506"}},"issued":{"date-parts":[[1992,10]]},"references-count":14,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1992,10]]}},"alternative-id":["10.1002\/fut.3990120506"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120506","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,10]]}},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T16:49:16Z","timestamp":1694105356590},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6209,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,9]]},"DOI":"10.1002\/(sici)1096-9934(199809)18:6<671::aid-fut3>3.0.co;2-1","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"671-704","source":"Crossref","is-referenced-by-count":3,"title":["Assessing inefficiency in the futures markets"],"prefix":"10.1002","volume":"18","author":[{"given":"E.A.","family":"Olszewski","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199809)18:6%3C671::AID-FUT3%3E3.0.CO;2-1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199809)18:6%3C671::AID-FUT3%3E3.0.CO;2-1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:15:24Z","timestamp":1625134524000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199809)18:6<671::AID-FUT3>3.0.CO;2-1"}},"issued":{"date-parts":[[1998,9]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1998,9]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199809)18:6<671::aid-fut3>3.0.co;2-1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,9]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:40:41Z","timestamp":1698010841084},"reference-count":8,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6780,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,2]]},"DOI":"10.1002\/fut.3990080110","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:54:50Z","timestamp":1183629290000},"page":"103-113","source":"Crossref","is-referenced-by-count":0,"title":["Note on trader concentration effects in feeder cattle futures and comparison with live cattle"],"prefix":"10.1002","volume":"8","author":[{"given":"Charles M.","family":"Oellermann","sequence":"first","affiliation":[]},{"given":"Paul L.","family":"Farris","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"The Food Manufacturing Industries: Structure, Strategies, Performance, and Policies","author":"Connor J. M.","year":"1985"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349316"},{"key":"e_1_2_1_6_1","unstructured":"Oellermann C. M.(1985): \u201cFutures and Cash Price Relationships for Beef Cattle\u201d Unpublished Ph. D. thesis Purdue University."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060405"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349274"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080110","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080110","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T23:29:45Z","timestamp":1697930985000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080110"}},"issued":{"date-parts":[[1988,2]]},"references-count":8,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1988,2]]}},"alternative-id":["10.1002\/fut.3990080110"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080110","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,2]]}},{"indexed":{"date-parts":[[2024,7,8]],"date-time":"2024-07-08T18:42:13Z","timestamp":1720464133892},"reference-count":37,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2014,5,13]],"date-time":"2014-05-13T00:00:00Z","timestamp":1399939200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,9]]},"abstract":"The article examines the volatility forecasting and option pricing performance of model\u2010free implied volatility (MFIV) in comparison to that of the forecasts based on model\u2010free realized volatility (RV). There is evidence that the forecasts based on RV are significantly more efficient and less biased than those based on MFIV, whereas the option prices based on MFIV are significantly more efficient and less biased than those based on RV. These contrasting results can be reconciled by accounting for the volatility risk premium (VRP), which is found to follow an autoregressive process in this study. The significant daily returns, observed for various option strategies used to exploit the VRP, are substantially reduced, when the normal transaction costs are accounted for. Although the VRP is priced in the Indian options market, it can provide economic benefits only to those option writers, who have sufficiently low transaction costs. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:795\u2013812, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21680","type":"journal-article","created":{"date-parts":[[2014,5,13]],"date-time":"2014-05-13T17:30:37Z","timestamp":1400002237000},"page":"795-812","source":"Crossref","is-referenced-by-count":6,"title":["Volatility Risk Premium in Indian Options Prices"],"prefix":"10.1002","volume":"35","author":[{"given":"Sonia","family":"Garg","sequence":"first","affiliation":[{"name":"Sonia Garg is an Assistant Professor of Finance LM Thapar School of Management, Thapar University Patiala India"}]},{"family":"Vipul","sequence":"additional","affiliation":[{"name":"Vipul is a Professor of Finance Indian Institute of Management Lucknow India"}]}],"member":"311","published-online":{"date-parts":[[2014,5,13]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2007.09.001"},{"key":"e_1_2_7_8_1","unstructured":"Becker R. Clements A. &Coleman\u2010Fenn C.(2009). Forecast performance of implied volatility and the impact of the volatility risk premium. NCER working paper no. 45 National Center for Economic Research Brisbane\/Sydney Australia."},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2005.10.002"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.11.013"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00068-9"},{"key":"e_1_2_7_13_1","doi-asserted-by":"crossref","unstructured":"Bollerslev T. Gibson M. &Zhou H.(2007). Dynamic estimation of volatility risk premia and investor risk aversion from option\u2010implied and realized volatilities (CREATES research paper no. 2007\u201316). Aarhus Denmark: University of Aarhus.","DOI":"10.2139\/ssrn.1150068"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.018"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_7_17_1","doi-asserted-by":"crossref","unstructured":"Corsi F. Fusari N. &Vecchia D. L.(2011). Realizing smiles: options pricing with realized volatility. NCCR FINRISK working paper no. 678 National Centre of Competence in Research\u2014Financial Valuation and Risk Management Zurich Switzerland.","DOI":"10.2139\/ssrn.1547032"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00352"},{"key":"e_1_2_7_19_1","unstructured":"Demeterfi K. Derman E. Kamal M. &Zou J. Z.(1999). More than you ever wanted to know about volatility swaps (Quantitative strategies research notes). New York: Goldman Sachs."},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20251"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_7_26_1","unstructured":"Jindal S. &Vipul.(2012). Volatility forecasting performance of two\u2010scale realized volatility. Working paper no. 2012\u201313\/05 Indian Institute of Management Lucknow India."},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2004.04.009"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1994.409478"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2003.10.015"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.01.002"},{"key":"e_1_2_7_32_1","volume-title":"Nonparametric statistics for the behavioral sciences","author":"Siegel S.","year":"1988"},{"key":"e_1_2_7_33_1","doi-asserted-by":"crossref","unstructured":"Stentoft L.(2008). Option pricing using realized volatility (CREATES research paper no. 2008\u201313). Aarhus Denmark: University of Aarhus.","DOI":"10.2139\/ssrn.1086226"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20325"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20283"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20386"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392098"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21680","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21680","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T10:03:47Z","timestamp":1696586627000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21680"}},"issued":{"date-parts":[[2014,5,13]]},"references-count":37,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2015,9]]}},"alternative-id":["10.1002\/fut.21680"],"URL":"https:\/\/doi.org\/10.1002\/fut.21680","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,5,13]]}},{"indexed":{"date-parts":[[2025,4,8]],"date-time":"2025-04-08T00:09:20Z","timestamp":1744070960300},"reference-count":0,"publisher":"Wiley","issue":"8","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,8]]},"DOI":"10.1002\/fut.v44.8","type":"journal-issue","created":{"date-parts":[[2024,7,8]],"date-time":"2024-07-08T17:23:46Z","timestamp":1720459426000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"44","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2024,7,8]],"date-time":"2024-07-08T17:23:47Z","timestamp":1720459427000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/44\/8"}},"issued":{"date-parts":[[2024,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2024,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v44.8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,8]]}},{"indexed":{"date-parts":[[2025,5,20]],"date-time":"2025-05-20T11:13:56Z","timestamp":1747739636547,"version":"3.37.3"},"reference-count":24,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2022,12,28]],"date-time":"2022-12-28T00:00:00Z","timestamp":1672185600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71903112","72222013"],"award-info":[{"award-number":["71903112","72222013"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,4]]},"abstract":"Abstract<\/jats:title>This paper aims to investigate how different emotions affect the subsequent index futures returns. We test the forecasting regressions which predict the S&P 500 index futures returns with lagged text\u2010based emotion (anger, joy, fear, optimism, and gloom) indices and find asymmetric forecasting power exists between pessimism and optimism emotion indices. We show that only the text\u2010based anger index could reliably perform at predicting index futures return in\u2010sample and outperform the prevailing unconditional mean out\u2010of\u2010sample. Notably, the predictive power of the text\u2010based anger index persists after controlling for other emotion indices, investor sentiment indices, and fundamental variables known to predict the futures market. And the asset allocation conditioning on text\u2010based anger index can generate substantial economic benefits. Furthermore, the anger index influences the index futures return through both the discount rate and cash flow channels.<\/jats:p>","DOI":"10.1002\/fut.22394","type":"journal-article","created":{"date-parts":[[2022,12,28]],"date-time":"2022-12-28T11:39:22Z","timestamp":1672227562000},"page":"437-454","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Anger in predicting the index futures returns"],"prefix":"10.1002","volume":"43","author":[{"given":"Zhen","family":"Cao","sequence":"first","affiliation":[{"name":"School of Intellectual Property Jiangsu University Zhenjiang China"}]},{"given":"Jiancheng","family":"Shen","sequence":"additional","affiliation":[{"name":"Department of Finance Business School, Soochow University Suzhou China"}]},{"given":"Xinbei","family":"Wei","sequence":"additional","affiliation":[{"name":"Department of Finance School of Economics, Shandong University Jinan China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1509-4674","authenticated-orcid":false,"given":"Qunzi","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Finance School of Economics, Shandong University Jinan China"}]}],"member":"311","published-online":{"date-parts":[[2022,12,28]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"Ahn H.(2010).Modeling and analysis of affective influences on human experience prediction decision making and behavior\u00a0[Ph.D. Thesis Massachusetts Institute of Technology]."},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/ejsp.2420240104"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2002.12.001"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2233809"},{"key":"e_1_2_9_7_1","doi-asserted-by":"crossref","unstructured":"Chen J. Yao J. Zhang Q. &Zhu X.(2022).Global disaster risk matters.Management Science. Advance online publication.https:\/\/doi.org\/10.1287\/mnsc.2022.4328","DOI":"10.1287\/mnsc.2022.4328"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00071-9"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/15427560.2019.1588275"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22341"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu080"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/bdm.724"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v74.n2.4"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21916"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.032"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.10.002"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331130"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0106.12067"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp063"},{"key":"e_1_2_9_22_1","doi-asserted-by":"crossref","unstructured":"Shen J. Griffith J. Najand M. &Sun L.(2021).Predicting stock and bond market returns with emotions: Evidence from futures markets.Journal of Behavioral Finance. Advance online publication.https:\/\/doi.org\/10.1080\/15427560.2021.1975717","DOI":"10.1080\/15427560.2021.1975717"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.006"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.001"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22394","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22394","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22394","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T05:36:55Z","timestamp":1692423415000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22394"}},"issued":{"date-parts":[[2022,12,28]]},"references-count":24,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2023,4]]}},"alternative-id":["10.1002\/fut.22394"],"URL":"https:\/\/doi.org\/10.1002\/fut.22394","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,12,28]]},"assertion":[{"value":"2021-10-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-11-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-12-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,8,12]],"date-time":"2025-08-12T22:15:36Z","timestamp":1755036936539},"reference-count":7,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":3984,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,10]]},"DOI":"10.1002\/fut.3990150705","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T07:50:34Z","timestamp":1183708234000},"page":"805-831","source":"Crossref","is-referenced-by-count":11,"title":["Distortion\u2010free futures price series"],"prefix":"10.1002","volume":"15","author":[{"given":"Charles G.","family":"Geiss","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Lectures on Functional Equations and Their Applications","author":"Aczel J.","year":"1966"},{"key":"e_1_2_1_3_1","volume-title":"The Price Index","author":"Afriat S. N.","year":"1977"},{"key":"e_1_2_1_4_1","volume-title":"The Making of Index Numbers","author":"Fisher I.","year":"1922"},{"key":"e_1_2_1_5_1","first-page":"94","volume-title":"Distortion\u2010Free Time Series Based on Wasting Asset Values","author":"Geiss C.","year":"1994"},{"key":"e_1_2_1_6_1","first-page":"397","article-title":"Hedging Effectiveness and Minimum Risk Hedge Ratios in the Presence of Autocorrelation: Foreign Currency Futures","volume":"4","author":"Herbst A. F.","year":"1989","journal-title":"The Journal of Futures Markets"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120208"},{"key":"e_1_2_1_8_1","volume-title":"Linear Aggregation of Economic Relations","author":"Theil H.","year":"1954"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150705","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150705","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T18:30:34Z","timestamp":1698258634000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150705"}},"issued":{"date-parts":[[1995,10]]},"references-count":7,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1995,10]]}},"alternative-id":["10.1002\/fut.3990150705"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150705","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,10]]}},{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T04:37:40Z","timestamp":1759639060679},"reference-count":8,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7482,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,3]]},"DOI":"10.1002\/fut.3990060112","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:36:44Z","timestamp":1183613804000},"page":"141-166","source":"Crossref","is-referenced-by-count":17,"title":["Economic costs and benefits of the proposed one\u2014minute time bracketing regulation"],"prefix":"10.1002","volume":"6","author":[{"given":"Sanford J.","family":"Grossman","sequence":"first","affiliation":[]},{"given":"Merton H.","family":"Miller","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Chicago Board of Trade \u201cAn Analysis of One\u2010Minute Bracketing \u201d Chicago October1985(mimeo)."},{"key":"e_1_2_1_3_1","unstructured":"Chicago Mercantile Exchange \u201cResponse Respecting Trade Time\u2010Sequencing Standards and Exchange Audit Trail Systems \u201d Chicago May 14 1985(mimeo)."},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Easterbrook F.(1986 April): \u201cMonopoly Manipulation and the Regulation of Futures Markets \u201dJournal of Business Supplement (forthcoming).","DOI":"10.1086\/296341"},{"key":"e_1_2_1_5_1","first-page":"900","article-title":"The Demand for Risky Assets","volume":"65","author":"Friend I.","year":"1975","journal-title":"American Economic Review"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297195"},{"key":"e_1_2_1_7_1","first-page":"222","article-title":"The Determinants of the Variability of Stock Market Prices","volume":"71","author":"Grossman S.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04934.x"},{"key":"e_1_2_1_9_1","unstructured":"Mains N. (1983 March): \u201cFinancial Futures and US Treasury Auctions \u201dFutures World."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060112","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060112","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:56:32Z","timestamp":1697914592000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060112"}},"issued":{"date-parts":[[1986,3]]},"references-count":8,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1986,3]]}},"alternative-id":["10.1002\/fut.3990060112"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060112","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,3]]}},{"indexed":{"date-parts":[[2025,11,1]],"date-time":"2025-11-01T17:17:48Z","timestamp":1762017468442},"reference-count":28,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2010,11,8]],"date-time":"2010-11-08T00:00:00Z","timestamp":1289174400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,9]]},"abstract":"Abstract<\/jats:title>This study examines the interrelation between small traders' open interest and large hedging and speculation in the Canadian dollar, Swiss franc, British pound, and Japanese yen futures markets. The results, based on Granger\u2010causality tests and vector autoregressive models, suggest that small traders' open interest is closely related to large speculators' open interest. Small traders and speculators tend to herd, which means that small traders are long [short] when speculators are long [short] as well. Moreover, small traders and speculators are positive feedback traders whereas hedgers are contrarians. Regarding information flows, speculators lead small traders in three of the four currency futures markets. The results therefore suggest that small traders are small speculators who follow the large speculators, indicating that they are less well informed than the large speculators. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:898\u2013913, 2011<\/jats:p>","DOI":"10.1002\/fut.20495","type":"journal-article","created":{"date-parts":[[2010,11,8]],"date-time":"2010-11-08T13:06:15Z","timestamp":1289221575000},"page":"898-914","source":"Crossref","is-referenced-by-count":12,"title":["Small traders in currency futures markets"],"prefix":"10.1002","volume":"31","author":[{"given":"Andreas","family":"R\u00f6thig","sequence":"first","affiliation":[]},{"given":"Carl","family":"Chiarella","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,11,8]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-5957.00200"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1999.tb00465.x"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100110115183"},{"key":"e_1_2_7_5_1","first-page":"177","article-title":"Price effects of a lack of speculation","volume":"7","author":"Gray R. W.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_7_6_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time series analysis","author":"Hamilton J. D.","year":"1994"},{"key":"e_1_2_7_7_1","volume-title":"Value and capital","author":"Hicks J. R.","year":"1939"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_7_9_1","volume-title":"A treatise on money, II: The applied theory of money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_7_10_1","first-page":"203","article-title":"Estimation of hedging and speculative positions in futures markets","volume":"2","author":"Larson A.","year":"1961","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030202"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-02691-5"},{"key":"e_1_2_7_13_1","volume-title":"Unit roots, cointegration, and structural change","author":"Maddala G. S.","year":"1998"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jebo.2006.08.005"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00188"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240309"},{"key":"e_1_2_7_17_1","first-page":"181","article-title":"Estimation of hedging and speculative positions in futures markets revisited","volume":"18","author":"Peck A. E.","year":"1982","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_7_18_1","article-title":"On speculators and hedgers in currency futures markets: Who leads whom","author":"R\u00f6thig A.","year":"2010","journal-title":"International Journal of Finance and Economics"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20266"},{"key":"e_1_2_7_20_1","first-page":"205","article-title":"Estimation of hedging and speculative positions in futures markets: An alternative approach","volume":"16","author":"Rutledge D. J. S.","year":"1977","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1177\/0148558X9000500211"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20410"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6288.00016"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10021"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/0960310032000129653"},{"key":"e_1_2_7_26_1","first-page":"195","article-title":"The use of agent\u2010based financial market models to test the effectiveness of regulatory policies","volume":"228","author":"Westerhoff F.","year":"2008","journal-title":"Journal of Economics and Statistics"},{"key":"e_1_2_7_27_1","first-page":"314","article-title":"Futures trading and hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1246888"},{"key":"e_1_2_7_29_1","first-page":"185","article-title":"Speculation on hedging markets","volume":"1","author":"Working H.","year":"1960","journal-title":"Food Research Institute Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20495","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20495","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,8]],"date-time":"2023-10-08T19:58:21Z","timestamp":1696795101000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20495"}},"issued":{"date-parts":[[2010,11,8]]},"references-count":28,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2011,9]]}},"alternative-id":["10.1002\/fut.20495"],"URL":"https:\/\/doi.org\/10.1002\/fut.20495","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,11,8]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:32:54Z","timestamp":1761561174168},"reference-count":17,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":3923,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,12]]},"DOI":"10.1002\/fut.3990150802","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T07:53:10Z","timestamp":1183708390000},"page":"861-879","source":"Crossref","is-referenced-by-count":10,"title":["The mispricing of U.S. treasury callable bonds"],"prefix":"10.1002","volume":"15","author":[{"given":"Peter","family":"Carayannopoulos","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"135","article-title":"A Continuous Time Approach to the Pricing of Bonds","volume":"3","author":"Brennan M. J.","year":"1977","journal-title":"Journal of Banking and Finance"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/2.3.297"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04712.x"},{"key":"e_1_2_1_7_1","unstructured":"Edleson M. E. Fehr D. andMason S. P.(1993): \u201cAre Negative Put and Call Option Prices Implicit in Callable Treasury Bonds?\u201d Working Paper Harvard Business School."},{"key":"e_1_2_1_8_1","volume-title":"Bond Markets, Analysis and Strategies","author":"Fabozzi F. J.","year":"1993"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331288"},{"key":"e_1_2_1_11_1","volume-title":"Option Prices Implicit in Callable Treasury Bonds: A Reexamination of the Callable U.S. Treasury Bond Puzzle","author":"Jordan B. D.","year":"1993"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/296586"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/295329"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1975.tb01852.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02552.x"},{"key":"e_1_2_1_16_1","volume-title":"SAS User's Guide: Basics"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330817"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150802","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150802","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T17:33:39Z","timestamp":1698255219000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150802"}},"issued":{"date-parts":[[1995,12]]},"references-count":17,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1995,12]]}},"alternative-id":["10.1002\/fut.3990150802"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150802","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,12]]}},{"indexed":{"date-parts":[[2025,12,19]],"date-time":"2025-12-19T09:17:58Z","timestamp":1766135878074},"reference-count":4,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7482,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,3]]},"DOI":"10.1002\/fut.3990060107","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:36:44Z","timestamp":1183613804000},"page":"71-81","source":"Crossref","is-referenced-by-count":16,"title":["The hedging performance of the CD futures market"],"prefix":"10.1002","volume":"6","author":[{"given":"James A.","family":"Overdahl","sequence":"first","affiliation":[]},{"given":"Dennis R.","family":"Starleaf","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010310"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","first-page":"1157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","article-title":"The Hedging Performance of the New Futures Markets","volume":"34","author":"Ederington L. H.","year":"1979","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_4_1","unstructured":"Hicks S.(1980 October): \u201cThe Hedging Performance of the New Futures Markets: Additional Evidence.\u201d Paper presented at the Financial Management Association 1980 Annual Meeting New Orleans LA."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060107","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060107","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:56:49Z","timestamp":1697914609000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060107"}},"issued":{"date-parts":[[1986,3]]},"references-count":4,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1986,3]]}},"alternative-id":["10.1002\/fut.3990060107"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060107","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,3]]}},{"indexed":{"date-parts":[[2025,12,20]],"date-time":"2025-12-20T21:49:31Z","timestamp":1766267371748,"version":"3.37.3"},"reference-count":28,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2018,5,21]],"date-time":"2018-05-21T00:00:00Z","timestamp":1526860800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71473200"],"award-info":[{"award-number":["71473200"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,9]]},"abstract":"I develop a new class of closed\u2010form option pricing models that incorporate variance risk premium and symmetric or asymmetric double exponential jump diffusion. These models decompose the jump component into upward and downward jumps using two independent exponential distributions and thus capture the impact of good and bad news on asset returns and option prices. The empirical results show that the model with an asymmetric double exponential jump diffusion improves the fit on Shanghai Stock Exchange 50ETF returns and options and provides relatively better in\u2010 and out\u2010of\u2010sample pricing performance.<\/jats:p>","DOI":"10.1002\/fut.21929","type":"journal-article","created":{"date-parts":[[2018,5,21]],"date-time":"2018-05-21T12:07:02Z","timestamp":1526904422000},"page":"1097-1125","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":12,"title":["Good jump, bad jump, and option valuation"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0511-6219","authenticated-orcid":false,"given":"Xinglin","family":"Yang","sequence":"first","affiliation":[{"name":"Institute of Chinese Financial Studies Southwestern University of Finance and Economics Chengdu China"}]}],"member":"311","published-online":{"date-parts":[[2018,5,21]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"crossref","unstructured":"Babaoglu K. Christoffersen P. Heston S. L. &Jacobs K.(2016).Option valuation with volatility components fat tails and non\u2010monotonic pricing kernels(Rotman School of Management Working Paper No. 2690888; Robert H. Smith School Research Paper No. RHS 2690888). Retrieved from SSRN:https:\/\/ssrn.com\/abstract=2690888orhttps:\/\/doi.org\/10.2139\/ssrn.2690888","DOI":"10.2139\/ssrn.2690888"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01241.x"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.05.009"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000428"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.08.002"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht033"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2016.24.2.008"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.017"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_8_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"crossref","unstructured":"Gordon N. J. Salmond D. J. &Smith A. F.(1993).Novel approach to nonlinear\/non\u2010Gaussian bayesian state estimation.IEE Proceedings F (Radar and Signal Processing) 140 107\u2013113.","DOI":"10.1049\/ip-f-2.1993.0015"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.48.8.1086.166"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1030.0163"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.11.009"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"volume-title":"Smooth particle filters for likelihood evaluation and maximisation","year":"2002","author":"Pitt M. K.","key":"e_1_2_8_1_28_1"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-006-0062-y"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21929","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21929","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,18]],"date-time":"2023-09-18T09:34:38Z","timestamp":1695029678000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21929"}},"issued":{"date-parts":[[2018,5,21]]},"references-count":28,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2018,9]]}},"alternative-id":["10.1002\/fut.21929"],"URL":"https:\/\/doi.org\/10.1002\/fut.21929","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,5,21]]},"assertion":[{"value":"2017-09-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-04-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-05-21","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T18:17:56Z","timestamp":1773339476015,"version":"3.50.1"},"reference-count":70,"publisher":"Wiley","license":[{"start":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T00:00:00Z","timestamp":1773273600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"},{"start":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T00:00:00Z","timestamp":1773273600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"abstract":"ABSTRACT<\/jats:title>\n This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high\u2010frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC). The results show that ambiguity significantly affects hedging behavior beyond traditional risk measures. Importantly, different types of hedgers respond to ambiguity in opposing ways: Operational hedgers, who hedge direct exposure to physical prices, reduce their hedging pressure when facing ambiguity, while financial intermediaries, who hedge exposures from client contracts, increasing their hedging pressure. The findings are robust to alternative ambiguity measures, additional controls, and causal identification strategies. Instrument variable evidence supports the intermediary effects; for operational hedgers, results are directionally similar but not longer significant.<\/jats:p>","DOI":"10.1002\/fut.70098","type":"journal-article","created":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T08:18:43Z","timestamp":1773303523000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Why Do Hedgers Hedge? The Role of Ambiguity"],"prefix":"10.1002","author":[{"ORCID":"https:\/\/orcid.org\/0009-0006-8557-5517","authenticated-orcid":false,"given":"Fiona","family":"H\u00f6llmann","sequence":"first","affiliation":[{"name":"Finance Center University of M\u00fcnster M\u00fcnster Germany"}]}],"member":"311","published-online":{"date-parts":[[2026,3,12]]},"reference":[{"issue":"1","key":"e_1_2_12_2_1","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1016\/S0304-405X(01)00055-1","article-title":"The Distribution of Realized Stock Return Volatility","volume":"61","author":"Andersen T. G.","year":"2001","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"e_1_2_12_3_1","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1016\/j.jfineco.2008.11.001","article-title":"The Impact of Risk and Uncertainty on Expected Returns","volume":"94","author":"Anderson E. W.","year":"2009","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"e_1_2_12_4_1","doi-asserted-by":"crossref","first-page":"68","DOI":"10.1162\/154247603322256774","article-title":"A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection","volume":"1","author":"Anderson E. W.","year":"2003","journal-title":"Journal of the European Economic Association"},{"key":"e_1_2_12_5_1","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1016\/j.jbankfin.2015.04.009","article-title":"Ambiguity Aversion and Stock Market Participation: An Empirical Analysis","volume":"58","author":"Antoniou C.","year":"2015","journal-title":"Journal of Banking & Finance"},{"issue":"4","key":"e_1_2_12_6_1","doi-asserted-by":"crossref","first-page":"1618","DOI":"10.1093\/rfs\/hhz082","article-title":"Ambiguity, Volatility, and Credit Risk","volume":"33","author":"Augustin P.","year":"2020","journal-title":"Review of Financial Studies"},{"issue":"4","key":"e_1_2_12_7_1","doi-asserted-by":"crossref","first-page":"1593","DOI":"10.1093\/qje\/qjw024","article-title":"Measuring Economic Policy Uncertainty","volume":"131","author":"Baker S. R.","year":"2016","journal-title":"Quarterly Journal of Economics"},{"issue":"2","key":"e_1_2_12_8_1","doi-asserted-by":"crossref","first-page":"785","DOI":"10.1093\/rfs\/hhm079","article-title":"All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors","volume":"21","author":"Barber B. M.","year":"2008","journal-title":"Review of Financial Studies"},{"key":"e_1_2_12_9_1","unstructured":"Barchart. n.d. Wti crude oil futures data (nymex) cmdtyview. Accessed January 2025.https:\/\/www.barchart.com\/cmdty."},{"issue":"5","key":"e_1_2_12_10_1","doi-asserted-by":"crossref","first-page":"1873","DOI":"10.1257\/aer.20151569","article-title":"Structural Interpretation of Vector Autoregressions With Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks","volume":"109","author":"Baumeister C.","year":"2019","journal-title":"American Economic Review"},{"issue":"6","key":"e_1_2_12_11_1","doi-asserted-by":"crossref","first-page":"2597","DOI":"10.1111\/jofi.12203","article-title":"The Global Crisis and Equity Market Contagion","volume":"69","author":"Bekaert G.","year":"2014","journal-title":"Journal of Finance"},{"issue":"6","key":"e_1_2_12_12_1","doi-asserted-by":"crossref","first-page":"3975","DOI":"10.1287\/mnsc.2021.4068","article-title":"The Time Variation in Risk Appetite and Uncertainty","volume":"68","author":"Bekaert G.","year":"2022","journal-title":"Management Science"},{"key":"e_1_2_12_13_1","doi-asserted-by":"crossref","unstructured":"Ben\u2010Rephael A. andY. Y.Izhakian.2020. \u201cShould I Stay or Should I Go? Trading Behavior Under Ambiguity.\u201dWorking Paper (June 17 2020) Avalibe at SSRN 3628757.","DOI":"10.2139\/ssrn.3628757"},{"issue":"3","key":"e_1_2_12_14_1","doi-asserted-by":"crossref","first-page":"1639","DOI":"10.1287\/mnsc.2020.3823","article-title":"Risk, Ambiguity, and the Value of Diversification","volume":"67","author":"Berger L.","year":"2021","journal-title":"Management Science"},{"issue":"3","key":"e_1_2_12_15_1","doi-asserted-by":"crossref","first-page":"503","DOI":"10.1016\/j.jfineco.2018.07.007","article-title":"Asset Pricing and Ambiguity: Empirical Evidence","volume":"130","author":"Brenner M.","year":"2018","journal-title":"Journal of Financial Economics"},{"issue":"7","key":"e_1_2_12_16_1","doi-asserted-by":"crossref","first-page":"684","DOI":"10.1002\/fut.20373","article-title":"Rolling over Stock Index Futures Contracts","volume":"29","author":"Carchano \u00d3.","year":"2009","journal-title":"Journal of Futures Markets: Futures, Options, and Other Derivative Products"},{"issue":"4","key":"e_1_2_12_17_1","doi-asserted-by":"crossref","first-page":"799","DOI":"10.1016\/j.red.2013.12.001","article-title":"Dynamic Asset Allocation With Ambiguous Return Predictability","volume":"17","author":"Chen H.","year":"2014","journal-title":"Review of Economic Dynamics"},{"key":"e_1_2_12_18_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.finmar.2022.100790","article-title":"Options Market Ambiguity and Its Information Content","volume":"64","author":"Chen Q.","year":"2023","journal-title":"Journal of Financial Markets"},{"issue":"4","key":"e_1_2_12_19_1","doi-asserted-by":"crossref","first-page":"1403","DOI":"10.1111\/1468-0262.00337","article-title":"Ambiguity, Risk, and Asset Returns in Continuous Time","volume":"70","author":"Chen Z.","year":"2002","journal-title":"Econometrica"},{"key":"e_1_2_12_20_1","volume-title":"Asset Pricing","author":"Cochrane J. H.","year":"2001"},{"issue":"2","key":"e_1_2_12_21_1","doi-asserted-by":"crossref","first-page":"385","DOI":"10.2307\/1911242","article-title":"A Theory of the Term Structure of Interest Rates","volume":"53","author":"Cox J. C.","year":"1985","journal-title":"Econometrica"},{"key":"e_1_2_12_22_1","doi-asserted-by":"crossref","first-page":"129","DOI":"10.1016\/j.jfs.2016.01.002","article-title":"The Effects of Margin Changes on Commodity Futures Markets","volume":"22","author":"Daskalaki C.","year":"2016","journal-title":"Journal of Financial Stability"},{"issue":"4","key":"e_1_2_12_23_1","doi-asserted-by":"crossref","first-page":"682","DOI":"10.1086\/671799","article-title":"What Ties Return Volatilities to Price Valuations and Fundamentals?","volume":"121","author":"David A.","year":"2013","journal-title":"Journal of Political Economy"},{"issue":"3","key":"e_1_2_12_24_1","doi-asserted-by":"crossref","first-page":"559","DOI":"10.1016\/j.jfineco.2016.01.003","article-title":"Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence","volume":"119","author":"Dimmock S. G.","year":"2016","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"e_1_2_12_25_1","doi-asserted-by":"crossref","first-page":"289","DOI":"10.1007\/s00199-011-0649-z","article-title":"Attitudes Toward Uncertainty and Randomization: An Experimental Study","volume":"48","author":"Dominiak A.","year":"2011","journal-title":"Economic Theory"},{"issue":"5","key":"e_1_2_12_26_1","doi-asserted-by":"crossref","first-page":"1843","DOI":"10.1111\/jofi.12068","article-title":"Uncertainty, Time\u2010Varying Fear, and Asset Prices","volume":"68","author":"Drechsler I.","year":"2013","journal-title":"Journal of Finance"},{"issue":"1","key":"e_1_2_12_27_1","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","article-title":"The Hedging Performance of the New Futures Markets","volume":"34","author":"Ederington L. H.","year":"1979","journal-title":"Journal of Finance"},{"issue":"4","key":"e_1_2_12_28_1","doi-asserted-by":"crossref","first-page":"643","DOI":"10.2307\/1884324","article-title":"Risk, Ambiguity, and the Savage Axioms","volume":"75","author":"Ellsberg D.","year":"1961","journal-title":"Quarterly Journal of Economics"},{"key":"e_1_2_12_29_1","doi-asserted-by":"crossref","first-page":"283","DOI":"10.2307\/2951614","article-title":"Intertemporal Asset Pricing under Knightian Uncertainty","volume":"62","author":"Epstein L. G.","year":"2004","journal-title":"Econometrica"},{"key":"e_1_2_12_30_1","doi-asserted-by":"crossref","unstructured":"Erbas S. N. andA.Mirakhor.2007. \u201cThe Equity Premium Puzzle Ambiguity Aversion and Institutional Quality.\u201dIMF Working paper.","DOI":"10.5089\/9781451867947.001"},{"issue":"3","key":"e_1_2_12_31_1","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","article-title":"Hedging Performance and Basis Risk in Stock Index Futures","volume":"39","author":"Figlewski S.","year":"1984","journal-title":"Journal of Finance"},{"issue":"3","key":"e_1_2_12_32_1","doi-asserted-by":"crossref","first-page":"877","DOI":"10.1111\/0022-1082.00349","article-title":"The High\u2010Volume Return Premium","volume":"56","author":"Gervais S.","year":"2001","journal-title":"Journal of Finance"},{"issue":"2","key":"e_1_2_12_33_1","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/0304-4068(89)90018-9","article-title":"Maxmin Expected Utility With Non\u2010Unique Prior","volume":"18","author":"Gilboa I.","year":"1989","journal-title":"Journal of Mathematical Economics"},{"issue":"2","key":"e_1_2_12_34_1","doi-asserted-by":"crossref","first-page":"47","DOI":"10.2469\/faj.v62.n2.4083","article-title":"Facts and Fantasies about Commodity Futures","volume":"62","author":"Gorton G.","year":"2006","journal-title":"Financial Analysts Journal"},{"issue":"2","key":"e_1_2_12_35_1","doi-asserted-by":"crossref","first-page":"589","DOI":"10.1111\/0022-1082.00338","article-title":"What Makes Investors Trade?","volume":"56","author":"Grinblatt M.","year":"2001","journal-title":"Journal of Finance"},{"issue":"2","key":"e_1_2_12_36_1","doi-asserted-by":"crossref","first-page":"503","DOI":"10.1111\/j.1468-0262.2006.00755.x","article-title":"Ellsberg Revisited: An Experimental Study","volume":"75","author":"Halevy Y.","year":"2007","journal-title":"Econometrica"},{"issue":"1","key":"e_1_2_12_37_1","doi-asserted-by":"crossref","first-page":"256","DOI":"10.1016\/j.eneco.2011.10.008","article-title":"Testing the Masters Hypothesis in Commodity Futures Markets","volume":"34","author":"Irwin S. H.","year":"2012","journal-title":"Energy Economics"},{"key":"e_1_2_12_38_1","doi-asserted-by":"crossref","first-page":"91","DOI":"10.1016\/j.jmateco.2016.12.004","article-title":"Expected Utility With Uncertain Probabilities Theory","volume":"69","author":"Izhakian Y.","year":"2017","journal-title":"Journal of Mathematical Economics"},{"issue":"6","key":"e_1_2_12_39_1","doi-asserted-by":"crossref","first-page":"4090","DOI":"10.1287\/mnsc.2021.4074","article-title":"Ambiguity and the Tradeoff Theory of Capital Structure","volume":"68","author":"Izhakian Y.","year":"2022","journal-title":"Management Science"},{"issue":"1","key":"e_1_2_12_40_1","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1257\/0002828053828518","article-title":"Estimation and Inference of Impulse Responses by Local Projections","volume":"95","author":"Jord\u00e0 \u00d2.","year":"2005","journal-title":"American Economic Review"},{"issue":"3","key":"e_1_2_12_41_1","doi-asserted-by":"crossref","first-page":"1177","DOI":"10.1257\/aer.20131193","article-title":"Measuring Uncertainty","volume":"105","author":"Jurado K.","year":"2015","journal-title":"American Economic Review"},{"issue":"1","key":"e_1_2_12_42_1","doi-asserted-by":"crossref","first-page":"377","DOI":"10.1111\/jofi.12845","article-title":"A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets","volume":"75","author":"Kang W.","year":"2020","journal-title":"Journal of Finance"},{"key":"e_1_2_12_43_1","unstructured":"Keynes J. M.1930.Treatise on Money. Vol.2.Macmillan."},{"key":"e_1_2_12_44_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.frl.2020.101752","article-title":"Risk Management and Optimal Capital Structure Under Ambiguity","volume":"40","author":"Kim H.\u2010S.","year":"2021","journal-title":"Finance Research Letters"},{"issue":"6","key":"e_1_2_12_45_1","doi-asserted-by":"crossref","first-page":"1849","DOI":"10.1111\/j.1468-0262.2005.00640.x","article-title":"A Smooth Model of Decision Making under Ambiguity","volume":"73","author":"Klibanoff P.","year":"2005","journal-title":"Econometrica"},{"issue":"3","key":"e_1_2_12_46_1","doi-asserted-by":"crossref","first-page":"930","DOI":"10.1016\/j.jet.2008.10.007","article-title":"Recursive Smooth Ambiguity Preferences","volume":"144","author":"Klibanoff P.","year":"2009","journal-title":"Journal of Economic Theory"},{"key":"e_1_2_12_47_1","volume-title":"Risk, Uncertainty and Profit","author":"Knight F. H.","year":"1921"},{"issue":"1","key":"e_1_2_12_48_1","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1016\/j.jfineco.2021.07.004","article-title":"Ambiguity about Volatility and Investor Behavior","volume":"145","author":"Kostopoulos D.","year":"2022","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"e_1_2_12_49_1","doi-asserted-by":"crossref","first-page":"521","DOI":"10.1017\/pan.2024.2","article-title":"How Much Should We Trust Instrumental Variable Estimates in Political Science? Practical Advice Based on 67 Replicated Studies","volume":"32","author":"Lal A.","year":"2024","journal-title":"Political Analysis"},{"issue":"4","key":"e_1_2_12_50_1","doi-asserted-by":"crossref","first-page":"1213","DOI":"10.1111\/0022-1082.00051","article-title":"Agency Costs, Risk Management, and Capital Structure","volume":"53","author":"Leland H. E.","year":"1998","journal-title":"Journal of Finance"},{"issue":"2","key":"e_1_2_12_51_1","doi-asserted-by":"crossref","first-page":"203","DOI":"10.1002\/fut.3990120208","article-title":"Rolling Over Futures Contracts: A Note","volume":"12","author":"Ma C. K.","year":"1992","journal-title":"Journal of Futures Markets"},{"issue":"4","key":"e_1_2_12_52_1","doi-asserted-by":"crossref","first-page":"951","DOI":"10.1093\/rfs\/hhh003","article-title":"Robust Portfolio Rules and Asset Pricing","volume":"17","author":"Maenhout P. J.","year":"2004","journal-title":"Review of Financial Studies"},{"issue":"1","key":"e_1_2_12_53_1","doi-asserted-by":"crossref","first-page":"136","DOI":"10.1016\/j.jet.2005.12.012","article-title":"Robust Portfolio Rules and Detection\u2010Error Probabilities for a Mean\u2010Reverting Risk Premium","volume":"128","author":"Maenhout P. J.","year":"2006","journal-title":"Journal of Economic Theory"},{"issue":"2023","key":"e_1_2_12_54_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jfineco.2024.103849","article-title":"Ambiguity and Private Investors' Behavior After Forced Fund Liquidations","volume":"156","author":"Meyer S.","year":"2024","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_12_55_1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/j.jcomm.2017.06.001","article-title":"Integrating Swaps and Futures: A New Direction for Commodity Research","volume":"10","author":"Mixon S.","year":"2018","journal-title":"Journal of Commodity Markets"},{"issue":"3","key":"e_1_2_12_56_1","first-page":"261","article-title":"The Cost of Capital, Corporation Finance and the Theory of Investment","volume":"48","author":"Modigliani F.","year":"1958","journal-title":"American Economic Review"},{"issue":"1","key":"e_1_2_12_57_1","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1111\/j.1540-6261.1993.tb04709.x","article-title":"On the Determinants of Corporate Hedging","volume":"48","author":"Nance D. R.","year":"1993","journal-title":"Journal of Finance"},{"key":"e_1_2_12_58_1","doi-asserted-by":"crossref","first-page":"777","DOI":"10.2307\/2526578","article-title":"Hypothesis Testing With Efficient Method of Moments Estimation","volume":"28","author":"Newey W. K.","year":"1987","journal-title":"International Economic Review"},{"key":"e_1_2_12_59_1","doi-asserted-by":"crossref","first-page":"380","DOI":"10.1016\/j.geb.2019.07.007","article-title":"Hedging, Ambiguity, and the Reversal of Order Axiom","volume":"117","author":"Oechssler J.","year":"2019","journal-title":"Games and Economic Behavior"},{"issue":"4","key":"e_1_2_12_60_1","doi-asserted-by":"crossref","first-page":"791","DOI":"10.1093\/rapstu\/raaa015","article-title":"Mutual Fund Performance and Flows During the Covid\u201019 Crisis","volume":"10","author":"P\u00e1stor L.","year":"2020","journal-title":"Review of Asset Pricing Studies"},{"issue":"5","key":"e_1_2_12_61_1","doi-asserted-by":"crossref","first-page":"2143","DOI":"10.1111\/jofi.12061","article-title":"Risk Management and Firm Value: Evidence From Weather Derivatives","volume":"68","author":"P\u00e9rez\u2010Gonz\u00e1lez F.","year":"2013","journal-title":"Journal of Finance"},{"key":"e_1_2_12_62_1","doi-asserted-by":"crossref","first-page":"163","DOI":"10.1016\/j.eneco.2018.12.025","article-title":"Opec in the News","volume":"80","author":"Plante M.","year":"2019","journal-title":"Energy Economics"},{"issue":"1","key":"e_1_2_12_63_1","doi-asserted-by":"crossref","first-page":"447","DOI":"10.1146\/annurev-financial-110311-101716","article-title":"Commodity Investing","volume":"4","author":"Rouwenhorst K. G.","year":"2012","journal-title":"Annual Review of Financial Economics"},{"issue":"4","key":"e_1_2_12_64_1","doi-asserted-by":"crossref","first-page":"391","DOI":"10.2307\/2330757","article-title":"The Determinants of Firms' Hedging Policies","volume":"20","author":"Smith C. W.","year":"1985","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_12_65_1","doi-asserted-by":"crossref","first-page":"89","DOI":"10.1002\/9781118468333.ch3","article-title":"Ambiguity Attitudes","volume":"2","author":"Trautmann S. T.","year":"2015","journal-title":"Wiley Blackwell Handbook of Judgment and Decision Making"},{"key":"e_1_2_12_66_1","doi-asserted-by":"crossref","first-page":"297","DOI":"10.1007\/BF00122574","article-title":"Advances in Prospect Theory: Cumulative Representation of Uncertainty","volume":"5","author":"Tversky A.","year":"1992","journal-title":"Journal of Risk and Uncertainty"},{"key":"e_1_2_12_67_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jbankfin.2024.107366","article-title":"Global Currency Hedging With Ambiguity","volume":"172","author":"Ulrych U.","year":"2025","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_12_68_1","unstructured":"U.S. Commodity Futures Trading Commission. n.d. Commitments of traders (cot) and disaggregated commitments of traders (dcot) reports. Accessed January 2025.https:\/\/www.cftc.gov\/MarketReports\/CommitmentsofTraders\/index.htm."},{"issue":"2","key":"e_1_2_12_69_1","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1016\/0304-405X(77)90016-2","article-title":"An Equilibrium Characterization of the Term Structure","volume":"5","author":"Vasicek O.","year":"1977","journal-title":"Journal of Financial Economics"},{"issue":"9","key":"e_1_2_12_70_1","doi-asserted-by":"crossref","first-page":"839","DOI":"10.1002\/fut.21678","article-title":"Ambiguity and the Value of Hedging","volume":"35","author":"Wong K. P.","year":"2015","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_12_71_1","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1016\/j.jbankfin.2017.03.007","article-title":"Dynamic Portfolio Optimization With Ambiguity Aversion","volume":"79","author":"Zhang J.","year":"2017","journal-title":"Journal of Banking & Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70098","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70098","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70098","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T08:18:55Z","timestamp":1773303535000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70098"}},"issued":{"date-parts":[[2026,3,12]]},"references-count":70,"alternative-id":["10.1002\/fut.70098"],"URL":"https:\/\/doi.org\/10.1002\/fut.70098","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2026,3,12]]},"assertion":[{"value":"2025-08-20","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-02-21","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-03-12","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"fut.70098"},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T21:39:07Z","timestamp":1773092347610,"version":"3.50.1"},"reference-count":27,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2025,5,11]],"date-time":"2025-05-11T00:00:00Z","timestamp":1746921600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,8]]},"abstract":"ABSTRACT<\/jats:title>In China's corn futures market, the dominant contracts, characterized by the highest liquidity, were traditionally concentrated in those expiring within 3 to 6 months. However, the market structure underwent significant shifts in 2023. We use 1\u2010min trading data of China's corn futures from 2019 to 2023 and apply an information entropy model to explore the information flow between contracts with different maturities. Our findings indicate that an increase in market liquidity enhances mutual\u2010information levels, whereas changes in market structure have an adverse effect. Before the structural changes, contracts with maturities of 5 to 9 months primarily served as information senders, whereas contracts with maturities exceeding 9 months acted as the main receivers. Since the change in market structure, contracts expiring within 2 to 3 months emerged as critical senders of information transmission. Additionally, the COVID\u201019 pandemic significantly impacted information flow.<\/jats:p>","DOI":"10.1002\/fut.22595","type":"journal-article","created":{"date-parts":[[2025,5,11]],"date-time":"2025-05-11T11:30:36Z","timestamp":1746963036000},"page":"896-916","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0009-0001-2582-7907","authenticated-orcid":false,"given":"Wei","family":"Xie","sequence":"first","affiliation":[{"name":"College of Economics & Management China Agricultural University Beijing China"}]},{"given":"Yi","family":"An","sequence":"additional","affiliation":[{"name":"College of Economics & Management China Agricultural University Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2025,5,11]]},"reference":[{"key":"e_1_2_14_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102556"},{"key":"e_1_2_14_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2007.07.008"},{"key":"e_1_2_14_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21981"},{"key":"e_1_2_14_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22087"},{"key":"e_1_2_14_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_14_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04594.x"},{"key":"e_1_2_14_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12594"},{"key":"e_1_2_14_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aax046"},{"key":"e_1_2_14_10_1","volume-title":"A Treatise on Money, II: The Applied Theory of Money","author":"Keynes M.","year":"1930"},{"key":"e_1_2_14_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_14_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2005.523082"},{"key":"e_1_2_14_13_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.40.3.dlau"},{"key":"e_1_2_14_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22411"},{"issue":"3","key":"e_1_2_14_15_1","first-page":"227","article-title":"Effect of Temporary Purchase and Storage Policy Exit on the Price Discovery Function in Maize Futures and Spot Markets","volume":"26","author":"Li X. Y.","year":"2021","journal-title":"Journal of China Agricultural University"},{"key":"e_1_2_14_16_1","volume-title":"Nearby and Deferred Quotes: What They Tell Us about Linkages and Adjustments to Information","author":"Mallory M.","year":"2015"},{"key":"e_1_2_14_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.01.003"},{"key":"e_1_2_14_18_1","doi-asserted-by":"crossref","unstructured":"Peng K. Z.Hu M. A.Robe andM.Adjemian.2021. Canary in the Coal Mine: COVID\u201019 and Soybean Futures Market Liquidity. Available at SSRN 3780322.","DOI":"10.2139\/ssrn.3780322"},{"key":"e_1_2_14_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21732"},{"key":"e_1_2_14_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/ajae.12211"},{"issue":"1","key":"e_1_2_14_21_1","first-page":"87","article-title":"Information Content in Deferred Futures Prices: Live Cattle and Hogs","volume":"33","author":"Sanders D. R.","year":"2008","journal-title":"Journal of Agricultural and Resource Economics"},{"issue":"2","key":"e_1_2_14_22_1","first-page":"213","article-title":"The Informational Content of Distant\u2010Delivery Futures Contracts","volume":"37","author":"Schnake K. N.","year":"2012","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_14_23_1","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevLett.85.461"},{"key":"e_1_2_14_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/j.1538-7305.1948.tb01338.x"},{"key":"e_1_2_14_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2008.11.002"},{"issue":"6","key":"e_1_2_14_26_1","first-page":"1254","article-title":"The Theory of Price of Storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"},{"key":"e_1_2_14_27_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2022.2131718"},{"key":"e_1_2_14_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22179"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22595","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,7,18]],"date-time":"2025-07-18T14:46:47Z","timestamp":1752850007000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22595"}},"issued":{"date-parts":[[2025,5,11]]},"references-count":27,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2025,8]]}},"alternative-id":["10.1002\/fut.22595"],"URL":"https:\/\/doi.org\/10.1002\/fut.22595","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,5,11]]},"assertion":[{"value":"2023-10-11","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-04-21","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-11","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T09:38:19Z","timestamp":1773135499346,"version":"3.50.1"},"reference-count":23,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2003,4,11]],"date-time":"2003-04-11T00:00:00Z","timestamp":1050019200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,6]]},"abstract":"Abstract<\/jats:title>This article explores the price of continuously sampled Asian options. For geometric Asian options, we\npresent pricing formulas for both backward\u2010starting and forward\u2010starting cases. For arithmetic\nAsian options, we demonstrate that the governing partial differential equation (PDE) cannot be\ntransformed into a heat equation with constant coefficients; therefore, these options do not have a\nclosed\u2010form solution of the Black\u2013Scholes type, that is, the solution is not given in terms of the\ncumulative normal distribution function. We then solve the PDE with a perturbation method and obtain an\nanalytical solution in a series form. Numerical results show that as compared with Zhang's (2001<\/jats:ext-link>) highly accurate numerical results, the series converges very quickly and gives a\ngood approximate value that is more accurate than any other approximate method in the literature, at least for\nthe options tested in this article. Graphical results determine that the solution converges globally very\nquickly especially near the origin, which is the area in which most of the traded Asian options fall. \u00a9\n2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:535\u2013560, 2003<\/jats:p>","DOI":"10.1002\/fut.10073","type":"journal-article","created":{"date-parts":[[2003,4,14]],"date-time":"2003-04-14T10:03:24Z","timestamp":1050314604000},"page":"535-560","source":"Crossref","is-referenced-by-count":55,"title":["Pricing continuously sampled Asian options with perturbation method"],"prefix":"10.1002","volume":"23","author":[{"given":"Jin E.","family":"Zhang","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,4,11]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199910)19:7<845::AID-FUT6>3.0.CO;2-D"},{"key":"e_1_2_1_3_1","unstructured":"Benhamou E. &Duguet A.(in press).Small dimension PDE for discrete Asian options. Journal of Economic Dynamics and Control."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4307-4"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.40.12.1705"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1998.024"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1993.tb00092.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-5347-1"},{"key":"e_1_2_1_13_1","volume-title":"Theory of financial decision making","author":"Ingersoll J. E.","year":"1987"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2002.088"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(90)90039-5"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(92)90013-N"},{"key":"e_1_2_1_17_1","first-page":"53","article-title":"Average intelligence","volume":"5","author":"Levy E.","year":"1992","journal-title":"Risk"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331102"},{"key":"e_1_2_1_20_1","first-page":"109","article-title":"Valuing exotic options by approximating the SPD with higher moments","volume":"7","author":"Posner S. E.","year":"1998","journal-title":"Journal of Financial Engineering"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","first-page":"1077","DOI":"10.2307\/3215221","article-title":"The value of an Asian option","volume":"32","author":"Roger L.","year":"1995","journal-title":"Journal of Applied Probability"},{"key":"e_1_2_1_22_1","unstructured":"Thompson G. W. P.(2000).Fast narrow bounds on the value of Asian options. Working Paper Center for Financial Research Judge Institute of Management Science University of Cambridge."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331213"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2001.060"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10073","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10073","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T16:50:09Z","timestamp":1700239809000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10073"}},"issued":{"date-parts":[[2003,4,11]]},"references-count":23,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2003,6]]}},"alternative-id":["10.1002\/fut.10073"],"URL":"https:\/\/doi.org\/10.1002\/fut.10073","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,4,11]]}},{"indexed":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T23:42:45Z","timestamp":1773186165623,"version":"3.50.1"},"reference-count":35,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2018,10,12]],"date-time":"2018-10-12T00:00:00Z","timestamp":1539302400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["105\u20102410\u2010H\u2010004\u2010033\u2010MY3"],"award-info":[{"award-number":["105\u20102410\u2010H\u2010004\u2010033\u2010MY3"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,12]]},"abstract":"Abstract<\/jats:title>This paper investigates the relation between trader type and fleeting order strategy based on unique data from Taiwan Futures Exchange. We find that fleeting orders are more commonly used by institutional traders than individual traders. There exists intraday seasonality of fleeting orders submitted by institutional traders. Institutional traders do not chase market prices, but respond to changes in immediate execution costs. Network orders constitute a key component of the fleeting order strategy of proprietary traders. In sum, different types of traders, including individual traders, proprietary traders, and foreign traders, exhibit significantly different behaviors when deploying the fleeting order strategy.<\/jats:p>","DOI":"10.1002\/fut.21963","type":"journal-article","created":{"date-parts":[[2018,10,12]],"date-time":"2018-10-12T15:31:01Z","timestamp":1539358261000},"page":"1443-1469","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Trader types and fleeting orders: Evidence from Taiwan Futures Exchange"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4317-0603","authenticated-orcid":false,"given":"Wei\u2010Yu","family":"Kuo","sequence":"first","affiliation":[{"name":"Department of International Business and Risk and Insurance Research Center National Chengchi University Taipei Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8781-874X","authenticated-orcid":false,"given":"Ching\u2010Ting","family":"Lin","sequence":"additional","affiliation":[{"name":"Department of Money and Banking National Chengchi University Taipei Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2018,10,12]]},"reference":[{"key":"e_1_2_12_1_2_1","volume-title":"Survival analysis using the SAS system: A practical guide","author":"Allison P. D.","year":"1995"},{"key":"e_1_2_12_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.07.001"},{"key":"e_1_2_12_1_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-017-0620-6"},{"key":"e_1_2_12_1_5_1","first-page":"394","article-title":"Information, hedging demand, and institutional investors: Evidence from the Taiwan futures exchange","volume":"23","author":"Chien C. Y.","year":"2013","journal-title":"Journal of Finance"},{"key":"e_1_2_12_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21586"},{"key":"e_1_2_12_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21832"},{"key":"e_1_2_12_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2010.08.003"},{"key":"e_1_2_12_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20416"},{"key":"e_1_2_12_1_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-012-0314-z"},{"key":"e_1_2_12_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2517-6161.1972.tb00899.x"},{"key":"e_1_2_12_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2007.02.002"},{"key":"e_1_2_12_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.12.010"},{"key":"e_1_2_12_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90006-4"},{"key":"e_1_2_12_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00044-6"},{"key":"e_1_2_12_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05228.x"},{"key":"e_1_2_12_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0416.00019"},{"key":"e_1_2_12_1_18_1","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780195144703.001.0001","volume-title":"Trading and exchanges: Market microstructure for practitioners","author":"Harris L.","year":"2002"},{"key":"e_1_2_12_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90070-0"},{"key":"e_1_2_12_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2008.06.002"},{"key":"e_1_2_12_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_12_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03858.x"},{"key":"e_1_2_12_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1755-053X.2009.01048.x"},{"key":"e_1_2_12_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12498"},{"key":"e_1_2_12_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21683"},{"key":"e_1_2_12_1_26_1","unstructured":"Large J. 2004. Cancellation and uncertainty aversion on limit order books. University of Oslo."},{"key":"e_1_2_12_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2008.04.003"},{"key":"e_1_2_12_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00134-4"},{"key":"e_1_2_12_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(95)00832-Y"},{"key":"e_1_2_12_1_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(91)90039-M"},{"key":"e_1_2_12_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05122.x"},{"key":"e_1_2_12_1_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.3.953"},{"key":"e_1_2_12_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"key":"e_1_2_12_1_34_1","doi-asserted-by":"crossref","unstructured":"Raman V. &Yadav P.2013. The who why and how well of order revisions: An analysis of limit order trading. Working paper.","DOI":"10.2139\/ssrn.2024373"},{"key":"e_1_2_12_1_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp011"},{"key":"e_1_2_12_1_36_1","first-page":"108","article-title":"Fleeting orders and dynamic trading strategies: Evidence from the Australian Security Stock Exchange (ASX)","volume":"15","author":"Viljoen T.","year":"2015","journal-title":"Journal of Accounting and Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21963","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21963","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,11]],"date-time":"2024-07-11T08:54:53Z","timestamp":1720688093000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21963"}},"issued":{"date-parts":[[2018,10,12]]},"references-count":35,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2018,12]]}},"alternative-id":["10.1002\/fut.21963"],"URL":"https:\/\/doi.org\/10.1002\/fut.21963","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,10,12]]},"assertion":[{"value":"2017-06-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-08-05","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-10-12","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T02:27:19Z","timestamp":1773887239850,"version":"3.50.1"},"reference-count":19,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2007,3,15]],"date-time":"2007-03-15T00:00:00Z","timestamp":1173916800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,5]]},"abstract":"Abstract<\/jats:title>The authors investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. It was found that it is not so much the surprise component of the announcement, but the mere fact that an announcement occurs that influences the realized bond\u2014stock correlation. The impact of macroeconomic announcements varies across the business cycle. Announcement effects are highly dependent on the sign of the realized bond\u2014stock correlation, which has recently gone from positive to negative. Macroeconomic announcement effects on realized bond and stock volatilities are also investigated. Our results are robust across 8:30 A.M. and 10:00 A.M. announcements. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:439\u2014469, 2007<\/jats:p>","DOI":"10.1002\/fut.20258","type":"journal-article","created":{"date-parts":[[2007,3,15]],"date-time":"2007-03-15T15:39:11Z","timestamp":1173973151000},"page":"439-469","source":"Crossref","is-referenced-by-count":53,"title":["Realized bond\u2014stock correlation: Macroeconomic announcement effects"],"prefix":"10.1002","volume":"27","author":[{"given":"Charlotte","family":"Christiansen","sequence":"first","affiliation":[]},{"given":"Angelo","family":"Ranaldo","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,3,15]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803321455151"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Andersen T. G. Bollerslev T. Diebold F. X. &Vega C.(2004b).Real\u2010time price discovery in stock bond and foreign exchange markets( working paper). Philadelphia: University of Pennsylvania.","DOI":"10.2139\/ssrn.560642"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Arshanapalli B. Switzer L. N. &Vezina A.(2003).Sources of time\u2010varying risk and risk premia in the U.S. stock and bond markets (working paper). Montreal Quebec Canada: Concordia University.","DOI":"10.2139\/ssrn.391574"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676223"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.04.003"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00742.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04700.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(00)00023-2"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000001782"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Faust J. Rogers J. H. Wang S.\u2010Y. B. &Wright J. H.(2003).The high\u2010frequency response of exchange rates and interest rates to macroeconomic announcements(International Finance Discussion Papers). Washington DC: Board of Governors of the Federal Reserve System.","DOI":"10.17016\/IFDP.2003.784"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.3.751"},{"issue":"4","key":"e_1_2_1_15_1","first-page":"31","article-title":"What moves the bond market?","volume":"3","author":"Fleming M. J.","year":"1997","journal-title":"Economic Policy Review\u2014Federal Reserve Bank of New York"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2003.319353"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00047-0"},{"key":"e_1_2_1_18_1","unstructured":"Li L.(2002).Macroeconomic factors and the correlation of stock and bond returns (working paper). New Haven CT: Yale International Center for Finance."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(92)90042-Z"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20258","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20258","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T21:07:51Z","timestamp":1699996071000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20258"}},"issued":{"date-parts":[[2007,3,15]]},"references-count":19,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2007,5]]}},"alternative-id":["10.1002\/fut.20258"],"URL":"https:\/\/doi.org\/10.1002\/fut.20258","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,3,15]]}},{"indexed":{"date-parts":[[2026,3,20]],"date-time":"2026-03-20T23:04:28Z","timestamp":1774047868597,"version":"3.50.1"},"reference-count":30,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2008,9,9]],"date-time":"2008-09-09T00:00:00Z","timestamp":1220918400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,11]]},"abstract":"Abstract<\/jats:title>In a number of earlier studies it has been demonstrated that the traditional regression\u2010based static approach is inappropriate for hedging with futures, with the result that a variety of alternative dynamic hedging strategies have emerged. In this study the authors propose a class of new copula\u2010based GARCH models for the estimation of the optimal hedge ratio and compare their effectiveness with that of other hedging models, including the conventional static, the constant conditional correlation (CCC) GARCH, and the dynamic conditional correlation (DCC) GARCH models. With regard to the reduction of variance in the returns of hedged portfolios, the empirical results show that in both the in\u2010sample and out\u2010of\u2010sample tests, with full flexibility in the distribution specifications, the copula\u2010based GARCH models perform more effectively than other dynamic hedging models. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1095\u20131116, 2008<\/jats:p>","DOI":"10.1002\/fut.20345","type":"journal-article","created":{"date-parts":[[2008,9,9]],"date-time":"2008-09-09T17:33:18Z","timestamp":1220981598000},"page":"1095-1116","source":"Crossref","is-referenced-by-count":91,"title":["Dynamic hedging with futures: A copula\u2010based GARCH model"],"prefix":"10.1002","volume":"28","author":[{"given":"Chih\u2010Chiang","family":"Hsu","sequence":"first","affiliation":[]},{"given":"Chih\u2010Ping","family":"Tseng","sequence":"additional","affiliation":[]},{"given":"Yaw\u2010Huei","family":"Wang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,9,9]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00068-5"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.07.014"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120205"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2104"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118673331"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-444X(02)00042-7"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392578"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Engle R. F. &Sheppard K.(2001).Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH (NBER Working Paper No. 8554).","DOI":"10.3386\/w8554"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527081"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100500426515"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1201\/b13150"},{"key":"e_1_2_1_21_1","first-page":"397","volume-title":"Pacific\u2010basin capital markets research","author":"Kroner K. F.","year":"1991"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_1_23_1","first-page":"291","article-title":"Stock index futures hedge ratios: Tests on horizon effects and functional form","volume":"2","author":"Lee C. F.","year":"1987","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00340"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/3\/4\/301"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-3076-0"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2006.00387.x"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.865"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00040-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20345","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20345","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T01:08:47Z","timestamp":1700010527000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20345"}},"issued":{"date-parts":[[2008,9,9]]},"references-count":30,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2008,11]]}},"alternative-id":["10.1002\/fut.20345"],"URL":"https:\/\/doi.org\/10.1002\/fut.20345","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,9,9]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:02:40Z","timestamp":1760522560486},"reference-count":18,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7207,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,12]]},"DOI":"10.1002\/fut.3990060404","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:45:01Z","timestamp":1183614301000},"page":"541-564","source":"Crossref","is-referenced-by-count":18,"title":["Returns to storage in coffee and cocoa futures markets"],"prefix":"10.1002","volume":"6","author":[{"given":"Sarahelen","family":"Thompson","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Coffee Sugar and Cocoa Exchange Inc.(1981\u20131983):1980 1981 1982 Statistical Annual. New York."},{"key":"e_1_2_1_3_1","volume-title":"Fruit and Tropical Products","author":"Commonwealth Secretariat","year":"1978"},{"key":"e_1_2_1_4_1","unstructured":"GillandDuffus. (1982): Cocoa Market Report No. 302. London: Gill and Duffus Group PLC."},{"key":"e_1_2_1_5_1","unstructured":"Gray R. W.(1960): \u201cThe Characteristic Bias in Some Thin Futures Markets.\u201d As reprinted in Peck pp.83\u2013100."},{"key":"e_1_2_1_6_1","first-page":"89","article-title":"The Chicago Wheat Futures Market: Recent Problems in Historical Perspective","author":"Gray R. W.","year":"1981","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010103"},{"key":"e_1_2_1_8_1","unstructured":"Journal of Commerce.1960\u20131983."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_10_1","volume-title":"Selected Writings on Futures Markets","author":"Peck A. E.","year":"1977"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239875"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Telser L. G.(1958): \u201cFutures Trading and the Storage of Cotton and Wheat.\u201d As reprinted in Peck pp.105\u2013129.","DOI":"10.1086\/258036"},{"key":"e_1_2_1_13_1","unstructured":"U.S. Board of Governors of the Federal Reserve System1972\u20131983.Federal Reserve Bulletin. Washington D.C."},{"key":"e_1_2_1_14_1","unstructured":"U.S. Department of Agriculture Foreign Agricultural Service.Foreign Agricultural Circular Cocoa. Washington D.C."},{"key":"e_1_2_1_15_1","unstructured":"U.S. Department of Agriculture Foreign Agricultural Service. (1981\u20131982):Foreign Agricultural Circular Coffee. Washington D.C."},{"key":"e_1_2_1_16_1","volume-title":"The Dynamics of the World Cocoa Market","author":"Weymar H. F.","year":"1968"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Working H.(1949): \u201cThe Theory of the Price of Storage.\u201d As reprinted in Working (1977) pp.25\u201331.","DOI":"10.2307\/1232420"},{"key":"e_1_2_1_18_1","unstructured":"Working H.(1962): \u201cNew Concepts Concerning Futures Markets and Prices.\u201d As reprinted in Working (1977) pp.243\u2013266."},{"key":"e_1_2_1_19_1","volume-title":"Selected Writings of Holbrook Working","author":"Working H.","year":"1977"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060404","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060404","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:50:04Z","timestamp":1697914204000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060404"}},"issued":{"date-parts":[[1986,12]]},"references-count":18,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1986,12]]}},"alternative-id":["10.1002\/fut.3990060404"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060404","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,12]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T09:49:29Z","timestamp":1760521769429},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6574,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,9]]},"DOI":"10.1002\/(sici)1096-9934(199709)17:6<707::aid-fut5>3.0.co;2-i","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:00:17Z","timestamp":1030294817000},"page":"707-731","source":"Crossref","is-referenced-by-count":20,"title":["Commitment of traders, basis behavior, and the issue of risk premia in futures markets"],"prefix":"10.1002","volume":"17","author":[{"given":"Arjun","family":"Chatrath","sequence":"first","affiliation":[]},{"given":"Youguo","family":"Liang","sequence":"additional","affiliation":[]},{"given":"Frank","family":"Song","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199709)17:6%3C707::AID-FUT5%3E3.0.CO;2-I","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199709)17:6%3C707::AID-FUT5%3E3.0.CO;2-I","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:43:37Z","timestamp":1625132617000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199709)17:6<707::AID-FUT5>3.0.CO;2-I"}},"issued":{"date-parts":[[1997,9]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1997,9]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199709)17:6<707::aid-fut5>3.0.co;2-i","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,9]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:24:36Z","timestamp":1761017076322,"version":"3.37.3"},"reference-count":51,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2014,6,20]],"date-time":"2014-06-20T00:00:00Z","timestamp":1403222400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001868","name":"National Science Council Taiwan","doi-asserted-by":"publisher","award":["NSC 97-2410-H-165-002"],"award-info":[{"award-number":["NSC 97-2410-H-165-002"]}],"id":[{"id":"10.13039\/501100001868","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,3]]},"abstract":"This study examines the impacts of individual and institutional futures trading on both futures returns and volatility using a unique dataset from the Taiwan Futures Exchange. Our findings reveal that trading by individual investors tends to poorly forecast returns and raise market volatility, whereas trading by institutional investors generally forecasts returns more accurately while also reducing market volatility. In particular, the effects of extremely bullish and bearish trading on returns are found to be greater than those arising from normal trading. Further analysis reveals that foreign institutional trading provides stronger and more accurate evidence on futures return predictability than that of domestic institutional investors, although the stabilizing effect of domestic institutional trades is found to be much greater than that of foreign institutional trades. Our results provide support for the argument that institutional investors are better informed, while individual investors are likely to be noise traders, thereby implying the existence of informed trading in the emerging retail\u2010investor\u2010dominated Taiwan index futures markets. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:222\u2013244, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21683","type":"journal-article","created":{"date-parts":[[2014,6,20]],"date-time":"2014-06-20T14:33:26Z","timestamp":1403274806000},"page":"222-244","source":"Crossref","is-referenced-by-count":27,"title":["The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets"],"prefix":"10.1002","volume":"35","author":[{"given":"Wen\u2010Hsiu","family":"Kuo","sequence":"first","affiliation":[{"name":"Wen\u2010Hsiu Kuo and Chiao\u2010Yi Chang are associate professors in the Department of Insurance and Finance National Taichung University of Science and Technology Taichung Taiwan, ROC"}]},{"given":"San\u2010Lin","family":"Chung","sequence":"additional","affiliation":[{"name":"San\u2010Lin Chung is a professor in the Department of Finance National Taiwan University Taipei Taiwan, ROC"}]},{"given":"Chiao\u2010Yi","family":"Chang","sequence":"additional","affiliation":[{"name":"Wen\u2010Hsiu Kuo and Chiao\u2010Yi Chang are associate professors in the Department of Insurance and Finance National Taichung University of Science and Technology Taichung Taiwan, ROC"}]}],"member":"311","published-online":{"date-parts":[[2014,6,20]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20369"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2007.06.004"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(96)00889-6"},{"key":"e_1_2_8_5_1","first-page":"77","article-title":"U.S. equity investment in foreign markets: Portfolio rebalancing or return chasing","volume":"86","author":"Bohn H.","year":"1996","journal-title":"American Economic Review"},{"key":"e_1_2_8_6_1","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","article-title":"Generalized autoregressive conditional heteroskedasticity","volume":"33","author":"Bollerslev T.","year":"1986","journal-title":"Journal of Econometrics"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02744.x"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2004.06.003"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00063-0"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90003-T"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.11.001"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2012.07.002"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.07.015"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(97)00007-1"},{"key":"e_1_2_8_18_1","first-page":"45","article-title":"Intraday trading by floor traders and customers in futures markets: Whose trades drive the volatility\u2010volume relation","volume":"46","author":"Chen H.","year":"2007","journal-title":"Quarterly Journal of Business and Economics"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00037-9"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi028"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00175-2"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2010.08.003"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00189"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00747.x"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/324391"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00084-2"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355301556392"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00606.x"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00044-6"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01316.x"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00116-2"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2010.07.003"},{"key":"e_1_2_8_38_1","first-page":"113","article-title":"The interactions between institutional trading information and market returns","volume":"14","author":"Lin M. C.","year":"2002","journal-title":"Review of Securities and Futures Markets"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1005"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00188"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2009.07.001"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2004.06.001"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.405"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1086\/508002"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00259"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00023-8"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2003"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6288.00016"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10056"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00118"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21683","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21683","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T08:01:08Z","timestamp":1696579268000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21683"}},"issued":{"date-parts":[[2014,6,20]]},"references-count":51,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2015,3]]}},"alternative-id":["10.1002\/fut.21683"],"URL":"https:\/\/doi.org\/10.1002\/fut.21683","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2014,6,20]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:27:13Z","timestamp":1761017233501,"version":"3.37.3"},"reference-count":54,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2018,8,13]],"date-time":"2018-08-13T00:00:00Z","timestamp":1534118400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,12]]},"abstract":"Abstract<\/jats:title>In this paper, a regime\u2010switching multivariate rotated BEKK generalized autoregressive conditional heteroskedasticity (GARCH; RS\u2010MRBEKK) model for optimal futures hedging is proposed. The basic structure of the RS\u2010MRBEKK model is to rotate returns with spectral decomposition and fit the rotated returns with a Markov regime\u2010switching BEKK covariance structure that is computationally attractive for modeling higher\u2010dimensional regime\u2010switching GARCH dynamics. The empirical results reveal that adding additional commodity index futures to capture the commodity price comovement under regime switching improves hedging performance. The more parsimonious RS\u2010MRBEKK is statistically no worse than the conventional nonrotated regime\u2010switching BEKK, illustrating the usefulness of RS\u2010MRBEKK in higher\u2010dimensional hedging applications.<\/jats:p>","DOI":"10.1002\/fut.21959","type":"journal-article","created":{"date-parts":[[2018,8,13]],"date-time":"2018-08-13T09:27:02Z","timestamp":1534152422000},"page":"1514-1532","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":13,"title":["Hedging systematic risk in the commodity market with a regime\u2010switching multivariate rotated generalized autoregressive conditional heteroskedasticity model"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0659-2831","authenticated-orcid":false,"given":"Donald","family":"Lien","sequence":"first","affiliation":[{"name":"Department of Economics University of Texas San Antonio Texas"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6907-5498","authenticated-orcid":false,"given":"Hsiang\u2010Tai","family":"Lee","sequence":"additional","affiliation":[{"name":"Department of Banking and Finance National Chi Nan University Taiwan China"}]},{"given":"Her\u2010Jiun","family":"Sheu","sequence":"additional","affiliation":[{"name":"Department of Finance Ming Chuan University Taiwan China"}]}],"member":"311","published-online":{"date-parts":[[2018,8,13]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10130"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.01.004"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.020"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jdeveco.2012.09.002"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392087"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2010.00570.x"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.01.009"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2008.11.003"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2015.07.002"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.08.017"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2217"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2010.12.015"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20294"},{"key":"e_1_2_8_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.590"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1080\/135048501750157486"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/0002-9092.00088"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.628"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90067-1"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21842"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.12.001"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20394"},{"key":"e_1_2_8_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.05.009"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603107.2011.564133"},{"key":"e_1_2_8_1_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2010.11.001"},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840500438970"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20256"},{"key":"e_1_2_8_1_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20520"},{"key":"e_1_2_8_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.01.026"},{"key":"e_1_2_8_1_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199608)16:5<595::AID-FUT6>3.0.CO;2-B"},{"key":"e_1_2_8_1_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.020"},{"key":"e_1_2_8_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00012-9"},{"key":"e_1_2_8_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2011.06.016"},{"key":"e_1_2_8_1_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.10.003"},{"key":"e_1_2_8_1_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.05.014"},{"key":"e_1_2_8_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2016.12.001"},{"key":"e_1_2_8_1_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/2233966"},{"key":"e_1_2_8_1_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X"},{"key":"e_1_2_8_1_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2004.12.011"},{"key":"e_1_2_8_1_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.787"},{"key":"e_1_2_8_1_46_1","doi-asserted-by":"publisher","DOI":"10.2307\/135852"},{"key":"e_1_2_8_1_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21583"},{"key":"e_1_2_8_1_48_1","first-page":"79","article-title":"Are commodity markets characterized by herd behaviour?","volume":"23","author":"Steen M.","year":"2013","journal-title":"Applied Economics"},{"key":"e_1_2_8_1_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110108"},{"key":"e_1_2_8_1_50_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_8_1_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070309"},{"key":"e_1_2_8_1_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171956"},{"key":"e_1_2_8_1_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20499"},{"key":"e_1_2_8_1_54_1","first-page":"49","article-title":"Hedge ratio on Markov regime\u2010switching diagonal Bekk\u2013Garch model","volume":"24","author":"Yan Z.","year":"2017","journal-title":"Finance Research Letter"},{"key":"e_1_2_8_1_55_1","first-page":"1","article-title":"Government policy and price comovements in commodity futures markets","volume":"22","author":"Yang J.","year":"2001","journal-title":"American Business Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21959","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21959","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,17]],"date-time":"2023-09-17T03:32:12Z","timestamp":1694921532000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21959"}},"issued":{"date-parts":[[2018,8,13]]},"references-count":54,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2018,12]]}},"alternative-id":["10.1002\/fut.21959"],"URL":"https:\/\/doi.org\/10.1002\/fut.21959","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,8,13]]},"assertion":[{"value":"2018-01-30","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-07-01","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-08-13","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:28:16Z","timestamp":1761017296741,"version":"3.37.3"},"reference-count":28,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2020,6,8]],"date-time":"2020-06-08T00:00:00Z","timestamp":1591574400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100000155","name":"Social Sciences and Humanities Research Council of Canada","doi-asserted-by":"publisher","award":["Insight Grant number 435\u20102016\u20101502"],"award-info":[{"award-number":["Insight Grant number 435\u20102016\u20101502"]}],"id":[{"id":"10.13039\/501100000155","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,10]]},"abstract":"Abstract<\/jats:title>Prior research suggests that Asian stock options provide stronger managerial equity incentives than traditional stock options do, holding the cost of the option grant constant. Although this is true on the grant date, it is not over the life of the option grant. Very little of the initial advantage remains after 2 years because Asian stock options have diminishing incentive effects over time. A simple solution is to replace averaging over the option's life with averaging over a moving window. We show that moving average options do not have the diminishing incentive problem and are effective in preventing managerial gaming.<\/jats:p>","DOI":"10.1002\/fut.22131","type":"journal-article","created":{"date-parts":[[2020,6,8]],"date-time":"2020-06-08T14:17:57Z","timestamp":1591625877000},"page":"1562-1583","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Enhancing managerial equity incentives with moving average payoffs"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8308-8009","authenticated-orcid":false,"given":"Yisong S.","family":"Tian","sequence":"first","affiliation":[{"name":"Schulich School of Business York University Toronto Ontario Canada"}]}],"member":"311","published-online":{"date-parts":[[2020,6,8]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.005"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/423154"},{"key":"e_1_2_9_4_1","first-page":"1915","article-title":"Paying for long\u2010term performance","volume":"158","author":"Bebchuk L. A.","year":"2010","journal-title":"University of Pennsylvania Law Review"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.05.006"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00006-3"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.06.003"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jwm.2008.706262"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.09.004"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-679X.00064"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01609.x"},{"key":"e_1_2_9_13_1","first-page":"453","article-title":"Hands\u2010off options","volume":"61","author":"Fried J. M.","year":"2008","journal-title":"Vanderbilt Law Review"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-120209-133958"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00016-1"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355398555702"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(01)00050-7"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/499128"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/261677"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00258-1"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10072"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491032"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20233"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.113"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-44-453594-8.00004-5"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02395.x"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22036"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.09.025"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22131","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22131","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22131","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22131","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T14:24:02Z","timestamp":1693923842000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22131"}},"issued":{"date-parts":[[2020,6,8]]},"references-count":28,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2020,10]]}},"alternative-id":["10.1002\/fut.22131"],"URL":"https:\/\/doi.org\/10.1002\/fut.22131","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,6,8]]},"assertion":[{"value":"2019-07-31","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-05-12","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-06-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:25:07Z","timestamp":1761017107409},"reference-count":32,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,4,7]],"date-time":"2015-04-07T00:00:00Z","timestamp":1428364800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,1]]},"abstract":"Abstract<\/jats:title>This study challenges the existing literature examining the impact of the introduction of index futures trading on the volatility of its underlying. To overcome econometric shortcomings of previously published work using the dummy variable approach, we employ a Markov\u2010switching\u2010GARCH technique. This approach endogenously identifies distinct volatility regimes rather than modeling an exogenously defined one\u2010step change in the volatility process. We investigate stock market volatility in France, Germany, Japan, the United Kingdom, and the United States. Our empirical results indicate that index futures trading does neither stabilize nor destabilize the underlying spot market. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:30\u201345, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21723","type":"journal-article","created":{"date-parts":[[2015,4,7]],"date-time":"2015-04-07T08:49:46Z","timestamp":1428396586000},"page":"30-45","source":"Crossref","is-referenced-by-count":9,"title":["Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach"],"prefix":"10.1002","volume":"36","author":[{"given":"Martin T.","family":"Bohl","sequence":"first","affiliation":[{"name":"Martin T. Bohl, Jeanne Diesteldorf and Bernd Wilfling are with the Department of Economics Westf\u00e4lische Wilhelms\u2010University M\u00fcnster Germany"}]},{"given":"Jeanne","family":"Diesteldorf","sequence":"additional","affiliation":[{"name":"Martin T. Bohl, Jeanne Diesteldorf and Bernd Wilfling are with the Department of Economics Westf\u00e4lische Wilhelms\u2010University M\u00fcnster Germany"}]},{"given":"Christian A.","family":"Salm","sequence":"additional","affiliation":[{"name":"Christian A. Salm is with d\u2010fine GmbH Frankfurt Germany"}]},{"given":"Bernd","family":"Wilfling","sequence":"additional","affiliation":[{"name":"Martin T. Bohl, Jeanne Diesteldorf and Bernd Wilfling are with the Department of Economics Westf\u00e4lische Wilhelms\u2010University M\u00fcnster Germany"}]}],"member":"311","published-online":{"date-parts":[[2015,4,7]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00059-C"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199804)18:2<151::AID-FUT2>3.0.CO;2-1"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.11.003"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-538X(94)90017-5"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110206"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110203"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010208"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296441"},{"key":"e_1_2_7_10_1","first-page":"442","article-title":"Index futures and stock market volatility","volume":"9","author":"Damodaran A.","year":"1990","journal-title":"Review of Futures Markets"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-6803.00028"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392070"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n1.63"},{"key":"e_1_2_7_14_1","unstructured":"Gray S. F.(1996a). An analysis of conditional regime\u2010switching models. Unpublished Working paper Fuqua School of Business Duke University Durham NC."},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200008)20:7<661::AID-FUT3>3.0.CO;2-R"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120502"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90098-E"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb03705.x"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n6.75"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200103)21:3<237::AID-FUT3>3.0.CO;2-0"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90030-F"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199712)17:8<957::AID-FUT6>3.0.CO;2-K"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02920609"},{"key":"e_1_2_7_26_1","article-title":"Has programmed trading made stock prices more volatile","author":"Santoni G. J.","year":"1987","journal-title":"Federal Reserve Bank of St. Louis Review"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2234525"},{"key":"e_1_2_7_28_1","volume-title":"Market volatility","author":"Shiller R. J.","year":"1989"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/261508"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1988.409144"},{"key":"e_1_2_7_31_1","volume-title":"Stock index futures","author":"Sutcliffe C. M. S.","year":"2006"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2008.08.005"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504850150504568"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21723","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21723","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:44:24Z","timestamp":1696585464000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21723"}},"issued":{"date-parts":[[2015,4,7]]},"references-count":32,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2016,1]]}},"alternative-id":["10.1002\/fut.21723"],"URL":"https:\/\/doi.org\/10.1002\/fut.21723","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,4,7]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:21:52Z","timestamp":1761016912732},"reference-count":31,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2011,10,21]],"date-time":"2011-10-21T00:00:00Z","timestamp":1319155200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,1]]},"abstract":"On the basis of the theory of a wedge between the physical and risk\u2010neutral conditional volatilities in Christoffersen, P., Elkamhi, R., Feunou, B., & Jacobs, K. (2010), we develop a modification of the GARCH option pricing model with the filtered historical simulation proposed in Barone\u2010Adesi, G., Engle, R. F., & Mancini, L. (2008). The one\u2010day\u2010ahead conditional volatilities under physical and risk\u2010neutral measures are the same in the previous model, but should have been allowed to be different. Using extensive data on S&P 500 index options, our approach, which employs one\u2010day\u2010ahead risk\u2010neutral conditional volatility estimated from the cross\u2010section of the option prices (in contrast to the existing GARCH option pricing models), maintains theoretical consistency under conditional non\u2010normality, and improves the empirical performances. Remarkably, the risk\u2010neutral volatility dynamics are stable over time in this model. In addition, the comparison between the VIX index and the risk\u2010neutral integrated volatility economically validates our approach. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark 33:1\u201328, 2013<\/jats:p>","DOI":"10.1002\/fut.20551","type":"journal-article","created":{"date-parts":[[2011,10,21]],"date-time":"2011-10-21T14:35:25Z","timestamp":1319207725000},"page":"1-28","source":"Crossref","is-referenced-by-count":12,"title":["Conditional Volatility and the GARCH Option Pricing Model with Non\u2010Normal Innovations"],"prefix":"10.1002","volume":"33","author":[{"given":"Suk Joon","family":"Byun","sequence":"first","affiliation":[{"name":"Suk Joon Byun and Byungsun Min are at the KAIST Business School, Seoul, Korea"}]},{"given":"Byungsun","family":"Min","sequence":"additional","affiliation":[{"name":"Suk Joon Byun and Byungsun Min are at the KAIST Business School, Seoul, Korea"}]}],"member":"311","published-online":{"date-parts":[[2011,10,21]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1060.0579"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn031"},{"key":"e_1_2_8_4_1","first-page":"177","volume-title":"Studies of stock market volatility changes","author":"Black F.","year":"1976"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.033"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_8_7_1","first-page":"251","article-title":"Consumption and the stock market: Interpreting international experience","volume":"3","author":"Campbell J. Y.","year":"1996","journal-title":"Swedish Economic Policy Review"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/250059"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000350"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00046-5"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp078"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.010"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0276"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.12.003"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/429649"},{"key":"e_1_2_8_18_1","unstructured":"Corradi V. Distaso W. &Mele A.(2009).Macroeconomic determinants of stock market volatility and volatility risk\u2010premia. University of Warwick Imperial College and London School of Economics."},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.44.9.1218"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_8_22_1","doi-asserted-by":"crossref","unstructured":"Egloff D. Leippold M. &Wu L.(2007).Variance risk dynamics variance risk premia and optimal variance swap investments. Zurich Cantonalbank Imperial College and Baruch College.","DOI":"10.2139\/ssrn.903728"},{"key":"e_1_2_8_23_1","unstructured":"Eraker B.(2009).The volatility premium. University of Wisconsin."},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913471"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-006-9001-3"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.2.433"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2003.319199"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00128-9"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003264"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10109"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20551","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20551","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T09:49:50Z","timestamp":1698659390000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20551"}},"issued":{"date-parts":[[2011,10,21]]},"references-count":31,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2013,1]]}},"alternative-id":["10.1002\/fut.20551"],"URL":"https:\/\/doi.org\/10.1002\/fut.20551","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,10,21]]}},{"indexed":{"date-parts":[[2025,10,14]],"date-time":"2025-10-14T11:15:50Z","timestamp":1760440550203},"reference-count":14,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,10,4]],"date-time":"2006-10-04T00:00:00Z","timestamp":1159920000000},"content-version":"vor","delay-in-days":7703,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,9]]},"DOI":"10.1002\/fut.3990050312","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:30:43Z","timestamp":1183613443000},"page":"433-446","source":"Crossref","is-referenced-by-count":4,"title":["Dependency and efficiency in the London terminal markets"],"prefix":"10.1002","volume":"5","author":[{"given":"Peter J. W. N.","family":"Bird","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,4]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Bird P. J. W. N.(1983) \u201cDependency and Efficiency on the London Gold Market \u201d University of Stirling Discussion Paper in Economics Finance and Investment No. 99."},{"key":"e_1_2_1_3_1","unstructured":"Bird P. J. W. N.(1985): \u201cVariation in Dependency Measures on the London Metal Exchange \u201dApplied Economics forthcoming."},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Bird P. J. W. N.(1985): \u201cThe Weak\u2010Form Efficiency of the London Metal Exchange \u201dApplied Economics forthcoming.","DOI":"10.1080\/758534691"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/294849"},{"key":"e_1_2_1_7_1","first-page":"164","article-title":"Systematic and Random Elements in Short\u2010Term Price Movements","volume":"51","author":"Houthakker H. S.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","first-page":"879","DOI":"10.1111\/j.1540-6261.1972.tb01318.x","article-title":"Random Walk and Price Trends: The Live Cattle Futures Market","volume":"24","author":"Leuthold R. M.","year":"1972","journal-title":"Journal of Finance"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01944.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Peterson P. E. andLeuthold R. M.(1982): \u201cUsing Mechanical Systems to Evaluate the Weak Form Efficiency of Futures Markets \u201dSouthern Journal of Agricultural Economics July:147\u2013151.","DOI":"10.1017\/S0081305200027709"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330510"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329812"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1970.tb00414.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2982133"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330928"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050312","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050312","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T23:24:32Z","timestamp":1695770672000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050312"}},"issued":{"date-parts":[[1985,9]]},"references-count":14,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1985,9]]}},"alternative-id":["10.1002\/fut.3990050312"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050312","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,9]]}},{"indexed":{"date-parts":[[2025,10,19]],"date-time":"2025-10-19T08:51:05Z","timestamp":1760863865634},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,7]],"date-time":"2006-08-07T00:00:00Z","timestamp":1154908800000},"content-version":"vor","delay-in-days":9198,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,6]]},"DOI":"10.1002\/fut.3990010207","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:48:50Z","timestamp":1183578530000},"page":"161-167","source":"Crossref","is-referenced-by-count":3,"title":["Comments on \u201cinnovation, competition, and new contract design in futures markets\u201d"],"prefix":"10.1002","volume":"1","author":[{"given":"James Kurt","family":"Dew","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010207","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010207","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:32:56Z","timestamp":1699785176000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010207"}},"issued":{"date-parts":[[1981,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1981,6]]}},"alternative-id":["10.1002\/fut.3990010207"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010207","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,6]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:12:41Z","timestamp":1762521161646},"reference-count":21,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6294,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,6]]},"DOI":"10.1002\/fut.3990090302","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:01:42Z","timestamp":1183636902000},"page":"185-197","source":"Crossref","is-referenced-by-count":35,"title":["Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures"],"prefix":"10.1002","volume":"9","author":[{"given":"A. F.","family":"Herbst","sequence":"first","affiliation":[]},{"given":"D. D.","family":"Kare","sequence":"additional","affiliation":[]},{"given":"S. C.","family":"Caples","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"The Economics of Exchange Rates","author":"Bilson J. F. O.","year":"1978"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Black F.(1976 January\/March): \u201cThe Pricing of Commodity Contracts \u201dJournal of Financial Economics 167\u2013179.","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90029-0"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01074.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Ederington L.(1979 March): \u201cThe Hedging Performance of the New Futures Markets \u201dJournal of Finance 157\u2013170.","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Franckle C. T.(1980 December): \u201cThe Hedging Performance of the New Futures Market: Comment \u201dJournal of Finance 1273\u20131279.","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"French K. R.(1983 December): \u201cA Comparison of Futures and Forward Prices \u201dJournal of Financial Economics 311\u2013342.","DOI":"10.1016\/0304-405X(83)90052-1"},{"key":"e_1_2_1_10_1","unstructured":"Hill J. andSchneeweis T.(1981 May): \u201cForecasting Effectiveness of Foreign Currency Futures \u201dBusiness Economics 42\u201346."},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Hill J. andSchneeweis T.(1982 Spring): \u201cThe Hedging Effectiveness of Foreign Currency Futures \u201dJournal of Financial Research 95\u2013104.","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Jarrow R.andOldfield G.(1981 December): \u201cForward Contracts and Futures Contracts \u201dJournal of Financial Economics 372\u2013382.","DOI":"10.1016\/0304-405X(81)90004-0"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Kolb R. andChang R.(1981 Autumn): \u201cImproving Hedging Performance Using Interest Rate Futures \u201dFinancial Management 27\u201329.","DOI":"10.2307\/3665221"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Panton D. P. andJoy O. M.(1978 Fall): \u201cEmpirical Evidence on International Monetary Market Currency Futures \u201dJournal of International Business Studies 59\u201368.","DOI":"10.1057\/palgrave.jibs.8490662"},{"key":"e_1_2_1_16_1","unstructured":"Pelletier R.(1983 March): \u201cContracts That Don't Expire Aid Technical Analysis \u201dCommodities 71\u201375."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Richard S.andSundaresan M.(1981 December): \u201cA Continuous Time Equilibrium Model of Forward Prices and Futures Prices in a Multigoal Economy \u201dJournal of Financial Economics 265\u2013186.","DOI":"10.1016\/0304-405X(81)90003-9"},{"issue":"5","key":"e_1_2_1_19_1","article-title":"The Simultaneous Determination of Spot and Futures Prices","author":"Stein J.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1980.tb00048.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Wardrep B. andBuck J.(1982 Fall): \u201cThe Efficiency of Hedging with Financial Futures: A Historical Perspective \u201dThe Journal of Futures Markets 243\u2013254.","DOI":"10.1002\/fut.3990020304"},{"key":"e_1_2_1_22_1","unstructured":"Working H.(1953 June): \u201cFutures Trading and Hedging \u201dAmerican Economic Review 314\u2013343."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090302","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090302","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:20:33Z","timestamp":1697991633000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090302"}},"issued":{"date-parts":[[1989,6]]},"references-count":21,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1989,6]]}},"alternative-id":["10.1002\/fut.3990090302"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090302","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,6]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:16:35Z","timestamp":1762521395337},"reference-count":28,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2010,12,28]],"date-time":"2010-12-28T00:00:00Z","timestamp":1293494400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,11]]},"abstract":"Abstract<\/jats:title>This study advances the research on the convenience yield of natural gas. Econometric models confirm that air temperature is an important explanatory variable in addition to storage levels. Furthermore, an extended linear model shows that one has to account for a changing cost of physical storage in the spirit of Brennan (1958<\/jats:ext-link>). Besides this, an alternative regime\u2010switching model for the convenience yield helps to put in perspective a prominent finding by Fama, and French (1987<\/jats:ext-link>). That is, given binding capacity constraints for gas storage, the variance of the futures' basis will increase rather than decrease with the storage levels. Finally and most importantly, robustness tests demonstrate that the extended linear model produces the most viable forecasts and that these forecasts can help to amend the performance of reduced\u2010form models for the gas spot price. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20504","type":"journal-article","created":{"date-parts":[[2010,12,28]],"date-time":"2010-12-28T14:23:40Z","timestamp":1293546220000},"page":"1011-1051","source":"Crossref","is-referenced-by-count":2,"title":["A robust model of the convenience yield in the natural gas market"],"prefix":"10.1002","volume":"31","author":[{"given":"Thomas","family":"Volmer","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,12,28]]},"reference":[{"key":"e_1_2_13_2_1","unstructured":"APX Group(2008).Annual Report 2007."},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04727.x"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1142\/6811"},{"key":"e_1_2_13_5_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"The American Economic Review"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01254.x"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2007.03.001"},{"key":"e_1_2_13_8_1","volume-title":"Commodity prices in the presence of inter\u2010commodity equilibrium relationships (working paper)","author":"Cassasus J.","year":"2009"},{"key":"e_1_2_13_9_1","volume-title":"An emprirical analysis of commodity convenience yields (working paper)","author":"Dincerler C.","year":"2005"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20144"},{"key":"e_1_2_13_13_1","volume-title":"Commodities and commodity derivatives","author":"Geman H.","year":"2006"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_13_15_1","volume-title":"Nonlinear methods in econometrics","author":"Goldfeld S. M.","year":"1972"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2007.12.002"},{"key":"e_1_2_13_17_1","unstructured":"ILEX(2004). Gas Prices in the UK. Available from:http:\/\/www.oilandgas.org.uk\/issues\/gas\/ilexreport.pdf. Online. [Accessed March 22 2009.]"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01466.x"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2005.04.005"},{"key":"e_1_2_13_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/78.3.691"},{"key":"e_1_2_13_22_1","unstructured":"National Grid(2007). Gas Transportation Ten Year Statement 2007. Available from:http:\/\/www.nationalgrid.com\/uk\/Gas\/TYS\/. Online. [Accessed March 23 2009]."},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2006.10.013"},{"key":"e_1_2_13_24_1","unstructured":"POST(2004). The Future of UK Gas Supplies. Available from:http:\/\/www.parliament.uk\/documents\/upload\/POSTpn230.pdf. Parliamentary Office of Science and Technology. Postnote No. 230 (October 2004). Online. [Accessed March 23 2009]."},{"key":"e_1_2_13_25_1","volume-title":"Equilibrium model for commodity prices: Competitive and monopolistic markets (working paper)","author":"Ribeiro D. R.","year":"2004"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_13_27_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.46.7.893.12034"},{"key":"e_1_2_13_28_1","doi-asserted-by":"crossref","unstructured":"Stronzik M. Rammersdorfer M. &Neumann A.(2008).Theory of storage\u2014an empirical assessment of the European natural gas market. Fifth International Conference on the European Electricity Market 1\u20136.","DOI":"10.2139\/ssrn.1425517"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2005.10.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20504","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20504","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,9]],"date-time":"2023-10-09T18:38:50Z","timestamp":1696876730000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20504"}},"issued":{"date-parts":[[2010,12,28]]},"references-count":28,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2011,11]]}},"alternative-id":["10.1002\/fut.20504"],"URL":"https:\/\/doi.org\/10.1002\/fut.20504","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,12,28]]}},{"indexed":{"date-parts":[[2026,1,8]],"date-time":"2026-01-08T01:42:32Z","timestamp":1767836552621,"version":"3.49.0"},"reference-count":18,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7937,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,12]]},"DOI":"10.1002\/fut.3990040408","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T04:08:05Z","timestamp":1183608485000},"page":"559-567","source":"Crossref","is-referenced-by-count":69,"title":["Memory in commodity futures contracts"],"prefix":"10.1002","volume":"4","author":[{"given":"Billy P.","family":"Helms","sequence":"first","affiliation":[]},{"given":"Fred R.","family":"Kaen","sequence":"additional","affiliation":[]},{"given":"Robert E.","family":"Rosenman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","article-title":"Price Movements in Speculative Markets: Trends or Random Walks","volume":"2","author":"Alexander S. S.","year":"1961","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/296139"},{"key":"e_1_2_1_4_1","first-page":"311","article-title":"Foreign Exchange Market Behavior: 1975\u20131978","volume":"28","author":"Booth G. G.","year":"1981","journal-title":"Rivista Internazionale Di Scienze Economiche E Commercial"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Booth G. G. Kaen F. R.andKoveos P. E.(1982a): \u201cPersistent Dependence in Gold Prices \u201dJournal of Financial Research (Spring):85\u201393.","DOI":"10.1111\/j.1475-6803.1982.tb00628.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(82)90035-6"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1975.tb01020.x"},{"key":"e_1_2_1_8_1","volume-title":"Exchange Rate and Trade Instabililty","author":"Dooley M. P.","year":"1983"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90006-X"},{"key":"e_1_2_1_10_1","article-title":"Systematic and Random Elements in Short Term Price Movements","volume":"51","author":"Houthhakker H.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1061\/TACEAT.0006518"},{"key":"e_1_2_1_12_1","article-title":"Measurement of a Random Process in Futures Prices","volume":"1","author":"Larson A. B.","year":"1960","journal-title":"Food Institute Studies"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Lawrence A. J. andKottegoda N. T.(1977): \u201cStochastic Modelling of Riverflow Time Series \u201dJournal of The Royal Statistical Society (A) 1\u201327.","DOI":"10.2307\/2344516"},{"key":"e_1_2_1_14_1","unstructured":"Mandelbrot B. B.(1972 July): \u201cStatistical Methodology for Nonperiodic Cycles: From Covariance to R\/S Analysis \u201dAnnals of Economic and Social Measurement 259\u2013290."},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Mandelbrot B. B. andWallis J. R.(1969a October): \u201cRobustness of The Rescaled Range R\/S in The Measurement of Noncyclic Long\u2010Run Statistical Dependence \u201dWater Resources Research 967\u2013988.","DOI":"10.1029\/WR005i005p00967"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"Mandelbrot B. B.andWallis J. R.(1969a April): \u201cSome Long\u2010Run Properties of Geophysical Records \u201dWater Resources Research 321\u2013340.","DOI":"10.1029\/WR005i002p00321"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924192"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1970.tb00414.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1029\/WR006i006p01583"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040408","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040408","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T06:08:18Z","timestamp":1697782098000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040408"}},"issued":{"date-parts":[[1984,12]]},"references-count":18,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1984,12]]}},"alternative-id":["10.1002\/fut.3990040408"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040408","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,12]]}},{"indexed":{"date-parts":[[2026,1,9]],"date-time":"2026-01-09T17:48:06Z","timestamp":1767980886114,"version":"3.49.0"},"reference-count":40,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2020,3,27]],"date-time":"2020-03-27T00:00:00Z","timestamp":1585267200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"Xi'an Jiaotong-Liverpool University, China","award":["RDF-17-02-07"],"award-info":[{"award-number":["RDF-17-02-07"]}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,7]]},"abstract":"Abstract<\/jats:title>This paper examines the fractional cointegration between downside (upside) components of realized and implied variances. A positive association is found between the strength of their cofractional relation and the return predictability of their differences. That association is established via the common long\u2010memory component of the variances that are fractionally cointegrated, which represents the volatility\u2010of\u2010volatility factor that determines the variance premium. Our results indicate that market fears play a critical role not only in driving the long\u2010run equilibrium relationship between implied\u2010realized variances but also in understanding the return predictability. A simulation study further verifies these claims.<\/jats:p>","DOI":"10.1002\/fut.22110","type":"journal-article","created":{"date-parts":[[2020,3,27]],"date-time":"2020-03-27T10:38:00Z","timestamp":1585305480000},"page":"1072-1089","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Return predictability of variance differences: A fractionally cointegrated approach"],"prefix":"10.1002","volume":"40","author":[{"given":"Zhenxiong","family":"Li","sequence":"first","affiliation":[{"name":"Department of Economics, Dongwu Business School Soochow University Suzhou China"}]},{"given":"Marwan","family":"Izzeldin","sequence":"additional","affiliation":[{"name":"Department of Economics Lancaster University Lancaster UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9633-5494","authenticated-orcid":false,"given":"Xingzhi","family":"Yao","sequence":"additional","affiliation":[{"name":"Finance Department, International Business School Suzhou (IBSS) Xi'an Jiaotong\u2010Liverpool University Suzhou China"}]}],"member":"311","published-online":{"date-parts":[[2020,3,27]]},"reference":[{"key":"e_1_2_9_2_1","first-page":"141","volume-title":"Volatility as an asset class","author":"Andersen T. G.","year":"2007"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv033"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109016000417"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbl003"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00670.x"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199549498.003.0007"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs008"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109019000097"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000453"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.01.002"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfr005"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2015.04.006"},{"key":"e_1_2_9_17_1","unstructured":"Demeterfi K. Derman E. Kamal M. &Zou J.(1999).More than you ever wanted to know about volatility swaps(Working paper)."},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21866"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq085"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.44.9.1218"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2010.05.006"},{"key":"e_1_2_9_22_1","unstructured":"Federal Reserve Bulletin.(2016).Federal Reserve Bulletin January 02 2003 to December 30 2016.https:\/\/www.federalreserve.gov\/data.htm"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbx020"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_9_25_1","unstructured":"Guo H. Wang K. &Zhou H.(2019).Good jumps bad jumps and conditional equity premium(Working paper)."},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.02.001"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.681813"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080274"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA9299"},{"issue":"5","key":"e_1_2_9_30_1","first-page":"1","article-title":"The role of initial values in conditional sum\u2010of\u2010squares estimation of nonstationary fractional time series models","volume":"32","author":"Johansen S.","year":"2015","journal-title":"Econometric Theory"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.09.017"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2890"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000314"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2010.00323.x"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssa.12251"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.10.008"},{"key":"e_1_2_9_37_1","unstructured":"OptionMetrics Database. (2016).OptionMetrics January 02 2003 to December 30 2016.http:\/\/www.whartonwrds.com\/datasets\/optionmetrics\/"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00096-3"},{"key":"e_1_2_9_39_1","unstructured":"Tick Data Inc.(2016).Tick Data January 02 2003 to December 30 2016.https:\/\/www.tickdata.com\/"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1214\/009053605000000309"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21881"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22110","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22110","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22110","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22110","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T01:14:30Z","timestamp":1693962870000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22110"}},"issued":{"date-parts":[[2020,3,27]]},"references-count":40,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2020,7]]}},"alternative-id":["10.1002\/fut.22110"],"URL":"https:\/\/doi.org\/10.1002\/fut.22110","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,3,27]]},"assertion":[{"value":"2019-04-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-02-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-03-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,2]],"date-time":"2026-01-02T17:26:57Z","timestamp":1767374817773,"version":"3.37.3"},"reference-count":84,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2023,8,3]],"date-time":"2023-08-03T00:00:00Z","timestamp":1691020800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,12]]},"abstract":"Abstract<\/jats:title>Despite the growing literature in cryptocurrency forecasting and their price drivers, the relationship between their price and other financial time series is an ongoing matter of debate. This study proposes a three\u2010step methodology to cover these arguments. First, we conduct an ad hoc analysis using transfer entropy (TE) to study the causal relationship between Bitcoin (BTC) returns and a vast array of financial time series. Then, we utilize variables with a significant amount of information flow toward\u00a0BTC returns to forecast multi\u2010step\u2010ahead BTC returns. Finally, we use explainable artificial intelligence post hoc analysis methods to discover the contribution of each input feature to the overall forecasting. The results indicate a significant change in the information flow pattern in the first days of the COVID\u201019 pandemic outbreak. Additionally, our proposed TE\u2010based feature\u2010selection method outperforms both benchmarks, a nonfeature\u2010selection model, and backward stepwise regression.<\/jats:p>","DOI":"10.1002\/fut.22453","type":"journal-article","created":{"date-parts":[[2023,8,3]],"date-time":"2023-08-03T07:44:15Z","timestamp":1691048655000},"page":"1695-1726","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Transfer\u2010entropy\u2010based dynamic feature selection for evaluating Bitcoin price drivers"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7715-9958","authenticated-orcid":false,"given":"Sasan","family":"Barak","sequence":"first","affiliation":[{"name":"Department of Decision Analytics and Risk Southampton Business School University of Southampton Southampton UK"}]},{"given":"Navid","family":"Parvini","sequence":"additional","affiliation":[{"name":"Kent Business School University of Kent Canterbury UK"}]}],"member":"311","published-online":{"date-parts":[[2023,8,3]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2019.121727"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-021-04205-x"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-020-03575-y"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2020.113250"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2019.01.040"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/s12667-015-0140-1"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2009.02.043"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2017.03.019"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2015.05.013"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1103\/physrevlett.103.238701"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2018.06.013"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-020-01990-5"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbef.2021.100561"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102655"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1155\/2018\/2834680"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101971"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-319-43222-9"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2018.1488075"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1023\/a:1010933404324"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.09.005"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/s0165-0270(02)00367-9"},{"key":"e_1_2_8_23_1","doi-asserted-by":"crossref","unstructured":"Chen T. &Guestrin C.(2016).XGBoost. Paper presented at the Proceedings of the 22nd ACM SIGKDD International Conference on Knowledge Discovery and Data Mining.https:\/\/doi.org\/10.1145\/2939672.2939785","DOI":"10.1145\/2939672.2939785"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2020.02.008"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.01.004"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ins.2012.10.039"},{"key":"e_1_2_8_27_1","unstructured":"Data Citation: CoinMarketCap. (2023).Cryptocurrency historical prices.https:\/\/coinmarketcap.com\/"},{"key":"e_1_2_8_28_1","unstructured":"Data Citation: Thomson Reuters Eikon. (2023).Markets historical prices.https:\/\/eikon.thomsonreuters.com\/index.html"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2012.09.002"},{"volume-title":"Advances in financial machine learning","year":"2018","author":"De Prado M. L.","key":"e_1_2_8_30_1"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2585"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1515\/snde-2012-0044"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.10.048"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.10.025"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22101"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pone.0227269"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-019-03282-3"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1140\/epjds\/s13688-019-0188-6"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22144"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1080\/00401706.2000.10485983"},{"key":"e_1_2_8_42_1","unstructured":"Hyndman R. J. &Athanasopoulos G.(2018).Forecasting: Principles and practice. OTexts."},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.12.002"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pone.0123923"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2019.108655"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90104-y"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2008.01.007"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1209\/0295-5075\/82\/68003"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1186\/1471-2202-12-119"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10827-010-0271-2"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1103\/physreve.77.026110"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1063\/1.3486801"},{"key":"e_1_2_8_53_1","unstructured":"Lizier J. T. &Rubinov M.(2012).Multivariate construction of effective computational networks from observational data.https:\/\/www.semanticscholar.org\/paper\/Multivariate-construction-of-effective-networks-Lizier-Rubinov\/984ccd9b344b9ec3e7e10672027b57e4a2a4432d"},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101623"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1080\/07421222.2018.1440774"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asoc.2018.11.038"},{"key":"e_1_2_8_57_1","unstructured":"Nakamoto S.(2008).A peer\u2010to\u2010peer electronic cash system.https:\/\/Bitcoin.org\/Bitcoin.pdf"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2020.125604"},{"key":"e_1_2_8_59_1","doi-asserted-by":"crossref","unstructured":"Parvini N. Abdollahi M. &Nozari A.(2020).A novel decomposition\u2010forecasting approach towards Bitcoin price prediction: Hybrid of theta\u2010SVR. Paper presented at the 2020 the 4th International Conference on E\u2010commerce E\u2010Business and E\u2010Government.https:\/\/doi.org\/10.1145\/3409929.3414740","DOI":"10.1145\/3409929.3414740"},{"key":"e_1_2_8_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asoc.2022.108707"},{"key":"e_1_2_8_61_1","first-page":"2825","article-title":"SciKit\u2010learn: Machine learning in Python","volume":"12","author":"Pedregosa F.","year":"2011","journal-title":"The Journal of Machine Learning Research"},{"key":"e_1_2_8_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2017.12.004"},{"key":"e_1_2_8_63_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pone.0195200"},{"key":"e_1_2_8_64_1","doi-asserted-by":"publisher","DOI":"10.1080\/10864415.2016.1061413"},{"key":"e_1_2_8_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.11.008"},{"key":"e_1_2_8_66_1","doi-asserted-by":"publisher","DOI":"10.3390\/e16084443"},{"key":"e_1_2_8_67_1","unstructured":"Schapire R. E.(1999).A brief introduction to boosting. Paper presented at the Ijcai."},{"key":"e_1_2_8_68_1","doi-asserted-by":"publisher","DOI":"10.1103\/physrevlett.85.461"},{"key":"e_1_2_8_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.07.007"},{"key":"e_1_2_8_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.07.023"},{"key":"e_1_2_8_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.01.002"},{"key":"e_1_2_8_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104927"},{"key":"e_1_2_8_73_1","doi-asserted-by":"publisher","DOI":"10.1080\/02664760600994539"},{"key":"e_1_2_8_74_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2011.00771.x"},{"key":"e_1_2_8_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.01.003"},{"key":"e_1_2_8_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2021.120680"},{"volume-title":"The nature of statistical learning theory","year":"2013","author":"Vapnik V.","key":"e_1_2_8_77_1"},{"key":"e_1_2_8_78_1","doi-asserted-by":"publisher","DOI":"10.1103\/physreve.72.026222"},{"key":"e_1_2_8_79_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10827-010-0262-3"},{"key":"e_1_2_8_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pbiomolbio.2010.11.006"},{"key":"e_1_2_8_81_1","doi-asserted-by":"publisher","DOI":"10.21105\/joss.01081"},{"key":"e_1_2_8_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apm.2016.02.008"},{"key":"e_1_2_8_83_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ress.2007.06.003"},{"key":"e_1_2_8_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.08.012"},{"key":"e_1_2_8_85_1","doi-asserted-by":"publisher","DOI":"10.1209\/0295-5075\/121\/48002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22453","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,3]],"date-time":"2023-11-03T09:42:01Z","timestamp":1699004521000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22453"}},"issued":{"date-parts":[[2023,8,3]]},"references-count":84,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2023,12]]}},"alternative-id":["10.1002\/fut.22453"],"URL":"https:\/\/doi.org\/10.1002\/fut.22453","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2023,8,3]]},"assertion":[{"value":"2022-11-16","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-07-15","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-08-03","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,28]],"date-time":"2025-11-28T12:06:17Z","timestamp":1764331577566},"reference-count":18,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5356,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2001,4]]},"DOI":"10.1002\/1096-9934(200104)21:4<377::aid-fut4>3.0.co;2-n","type":"journal-article","created":{"date-parts":[[2004,10,28]],"date-time":"2004-10-28T09:16:36Z","timestamp":1098954996000},"page":"377-391","source":"Crossref","is-referenced-by-count":29,"title":["Predicting monetary policy with federal funds futures prices"],"prefix":"10.1002","volume":"21","author":[{"given":"Ulf","family":"S\ufffdderstr\ufffdm","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001]]},"reference":[{"key":"BIB1","doi-asserted-by":"crossref","first-page":"585","DOI":"10.1016\/0378-4266(92)90046-3","volume":"16","author":"Allen","year":"1992","journal-title":"Journal of Banking and Finance"},{"key":"BIB2","first-page":"20","volume":"31","author":"Carlson","year":"1995","journal-title":"Federal Reserve Bank of Cleveland Economic Review"},{"key":"BIB3","author":"Chicago Board of Trade","year":"1997","unstructured":"Chicago Board of Trade. (1997). Insights into pricing the CBOT fed funds futures contract. Chicago Board of Trade."},{"key":"BIB4","volume-title":"Instruments of the money market","author":"Goodfriend","year":"1993","unstructured":"& (1993). Federal funds. In & (Eds.), Instruments of the money market (7th ed.) Federal Reserve Bank of Richmond, Virginia."},{"key":"BIB5","doi-asserted-by":"crossref","first-page":"1265","DOI":"10.1016\/0378-4266(94)00118-M","volume":"19","author":"Griffiths","year":"1995","journal-title":"Journal of Banking and Finance"},{"key":"BIB6","doi-asserted-by":"crossref","first-page":"26","DOI":"10.1086\/262016","volume":"104","author":"Hamilton","year":"1996","journal-title":"Journal of Political Economy"},{"key":"BIB7","doi-asserted-by":"crossref","first-page":"977","DOI":"10.1111\/j.1540-6261.1985.tb05026.x","volume":"40","author":"Ho","year":"1985","journal-title":"Journal of Finance"},{"key":"BIB8","doi-asserted-by":"crossref","first-page":"865","DOI":"10.1002\/(SICI)1096-9934(199612)16:8<865::AID-FUT2>3.0.CO;2-K","volume":"16","author":"Krueger","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"BIB9","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"BIB10","first-page":"19","volume":"78","author":"Pakko","year":"1996","journal-title":"Federal Reserve Bank of St. Louis Review"},{"key":"BIB11","first-page":"45","volume":"79","author":"Robertson","year":"1997","journal-title":"Federal Reserve Bank of St. Louis Review"},{"key":"BIB12","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1016\/0304-3932(95)01190-Y","volume":"35","author":"Rudebusch","year":"1995","journal-title":"Journal of Monetary Economics"},{"key":"BIB13","doi-asserted-by":"crossref","first-page":"907","DOI":"10.2307\/2527344","volume":"39","author":"Rudebusch","year":"1998","journal-title":"International Economic Review"},{"key":"BIB14","doi-asserted-by":"crossref","first-page":"523","DOI":"10.1016\/0378-4266(88)90017-9","volume":"12","author":"Saunders","year":"1988","journal-title":"Journal of Banking and Finance"},{"key":"BIB15","doi-asserted-by":"crossref","first-page":"383","DOI":"10.1016\/S0304-3932(97)00047-0","volume":"40","author":"S\u00f6derlind","year":"1997","journal-title":"Journal of Monetary Economics"},{"key":"BIB16","volume-title":"Predicting monetary policy using federal funds futures prices (Working Paper in Economics and Finance No. 307)","author":"S\u00f6derstr\u00f6m","year":"1999","unstructured":"(1999). Predicting monetary policy using federal funds futures prices (Working Paper in Economics and Finance No. 307). Stockholm, Sweden: Stockholm School of Economics."},{"key":"BIB17","doi-asserted-by":"crossref","first-page":"401","DOI":"10.2307\/2331079","volume":"23","author":"Spindt","year":"1988","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"BIB18","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/1912934","volume":"48","author":"White","year":"1980","journal-title":"Econometrica"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200104)21:4%3C377::AID-FUT4%3E3.0.CO;2-N","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200104)21:4%3C377::AID-FUT4%3E3.0.CO;2-N","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:23:10Z","timestamp":1625134990000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200104)21:4<377::AID-FUT4>3.0.CO;2-N"}},"issued":{"date-parts":[[2001]]},"references-count":18,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2001,4]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200104)21:4<377::aid-fut4>3.0.co;2-n","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001]]}},{"indexed":{"date-parts":[[2025,12,11]],"date-time":"2025-12-11T21:02:49Z","timestamp":1765486969440},"reference-count":0,"publisher":"Wiley","issue":"10","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,10]]},"DOI":"10.1002\/fut.v43.10","type":"journal-issue","created":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T17:36:37Z","timestamp":1693676197000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"43","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T17:36:38Z","timestamp":1693676198000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/43\/10"}},"issued":{"date-parts":[[2023,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2023,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v43.10","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,10]]}},{"indexed":{"date-parts":[[2025,12,16]],"date-time":"2025-12-16T12:22:31Z","timestamp":1765887751279},"reference-count":24,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,11,20]],"date-time":"2015-11-20T00:00:00Z","timestamp":1447977600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,10]]},"abstract":"The purpose of this study is to investigate the impact of crop reports from U.S. and Brazil on corn and soybean futures markets over the period 2004\u20132014. A TARCH model with dummy variables to measure the impact of crop reports is used. Results indicate that U.S. reports consistently affect corn and soybean futures price volatility, while Brazilian crop reports' impact on volatility is of smaller magnitude. Further, these impacts are generally found to be stronger when crop reports are released in the months preceding the beginning of harvest. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:923\u2013942, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21764","type":"journal-article","created":{"date-parts":[[2015,11,20]],"date-time":"2015-11-20T14:10:27Z","timestamp":1448028627000},"page":"923-942","source":"Crossref","is-referenced-by-count":11,"title":["Futures Price Response to Crop Reports in Grain Markets"],"prefix":"10.1002","volume":"36","author":[{"given":"Fabio L.","family":"Mattos","sequence":"first","affiliation":[{"name":"Fabio L. Mattos is an Assistant Professor, Department of Agricultural Economics University of Nebraska\u2010Lincoln 303A Filley Hall Lincoln Nebraska"}]},{"given":"Rodrigo L. F.","family":"Silveira","sequence":"additional","affiliation":[{"name":"Rodrigo L. F. Silveira is an Assistant Professor, Institute of Economics University of Campinas Campinas SP Brazil"}]}],"member":"311","published-online":{"date-parts":[[2015,11,20]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243237"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243147"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349505"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349672"},{"key":"e_1_2_8_6_1","unstructured":"Fackler P. L.(1985). On the relation between futures price movements and USDA reports. Paper presented at the NCR\u2010134 Conference on Applied Commodity Price Analysis Forecasting and Market Risk Management."},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130204"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-2681(97)00013-9"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242961"},{"key":"e_1_2_8_10_1","first-page":"262","article-title":"The value of USDA situation and outlook information in hog and cattle markets","volume":"31","author":"Isengildina O.","year":"2006","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/agr.20174"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800027991"},{"key":"e_1_2_8_13_1","first-page":"77","article-title":"Do USDA announcements affect comovements across commodity futures returns","volume":"37","author":"Karali B","year":"2012","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_8_14_1","unstructured":"Kauffman N.(2013). Have extended trading hours made agricultural commodity markets riskier? Economic Review Federal Reserve Bank of Kansas City Third Quarter."},{"key":"e_1_2_8_15_1","volume-title":"Agricultural and food policy","author":"Knutson R. D.","year":"1983"},{"key":"e_1_2_8_16_1","first-page":"88","article-title":"The value of USDA crop progress and condition information: Reactions of corn and soybean futures markets","volume":"39","author":"Lehecka G. V","year":"2014","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2007.01117.x"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140408"},{"key":"e_1_2_8_19_1","first-page":"67","article-title":"The response of futures prices to new market information: The case of live hogs","volume":"11","author":"Miller S","year":"1979","journal-title":"Journal of Agricultural Economics"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070509"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349537"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349379"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241769"},{"key":"e_1_2_8_24_1","unstructured":"Taylor C. W.(2012). Market Reactions to USDA reports: State analysis of corn price response. Paper presented at the Agricultural & Applied Economics Association Annual Meeting Seattle Washington."},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(94)90039-6"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21764","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21764","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:12:45Z","timestamp":1696597965000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21764"}},"issued":{"date-parts":[[2015,11,20]]},"references-count":24,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2016,10]]}},"alternative-id":["10.1002\/fut.21764"],"URL":"https:\/\/doi.org\/10.1002\/fut.21764","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,11,20]]}},{"indexed":{"date-parts":[[2026,1,23]],"date-time":"2026-01-23T16:00:12Z","timestamp":1769184012740,"version":"3.49.0"},"reference-count":53,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2025,5,11]],"date-time":"2025-05-11T00:00:00Z","timestamp":1746921600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,7]]},"abstract":"ABSTRACT<\/jats:title>In this paper, we empirically examine the predictive power of oil price uncertainty on time\u2010varying volatility in the oil futures market. Quantifying oil price uncertainty as the purely unforecastable component of oil price changes, we find this measure has significant predictive power on the return volatility of crude oil futures for horizons up to 9\u2009months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our structural vector autoregression model shows that the effect of oil price uncertainty shock on oil\u2010market volatility is higher in magnitude and persistence when compared with the effect of aggregate demand, oil demand, supply, and oil price volatility shocks.<\/jats:p>","DOI":"10.1002\/fut.22592","type":"journal-article","created":{"date-parts":[[2025,5,11]],"date-time":"2025-05-11T13:54:18Z","timestamp":1746971658000},"page":"817-830","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0711-9851","authenticated-orcid":false,"given":"Athanasios","family":"Triantafyllou","sequence":"first","affiliation":[{"name":"Department of Finance Audencia Business School Nantes France"}]},{"given":"Nikolaos","family":"Vlastakis","sequence":"additional","affiliation":[{"name":"Norwich Business School and Centre for Competition Policy University of East Anglia Norwich UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1527-6574","authenticated-orcid":false,"given":"Neil","family":"Kellard","sequence":"additional","affiliation":[{"name":"Department of Finance University of Essex Colchester UK"}]}],"member":"311","published-online":{"date-parts":[[2025,5,11]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.10.015"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.10.003"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2018.06.001"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.03.016"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/0895330042632708"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20151569"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2014.949342"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2283"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2013.06.003"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.28.2.153"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.004"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20191823"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22474"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22057"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2010.00323.x"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.01.014"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(96)01282-2"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2011.07.008"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.04.007"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12135"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.09.017"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.10.017"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20131193"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.09.006"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.1053"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2019.03.001"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.005"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2322"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2012.740436"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.06.004"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2012.00704.x"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12623"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1696943"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2013.04.037"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.04.010"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104624"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.43.SI1.gmor"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22470"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2017.06.005"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.102063"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21759"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21732"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2006.04.005"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.08.011"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_10_52_1","doi-asserted-by":"crossref","unstructured":"Triantafyllou A. N.Vlastakis andN.Kellard.2024. \u201cOil Price Uncertainty and the Macroeconomy.\u201dSSRN Working Paper.","DOI":"10.2139\/ssrn.4790038"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/obes.12124"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.09.016"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22592","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,9]],"date-time":"2025-06-09T07:39:47Z","timestamp":1749454787000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22592"}},"issued":{"date-parts":[[2025,5,11]]},"references-count":53,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2025,7]]}},"alternative-id":["10.1002\/fut.22592"],"URL":"https:\/\/doi.org\/10.1002\/fut.22592","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,5,11]]},"assertion":[{"value":"2024-05-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-04-07","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-11","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,9]],"date-time":"2026-01-09T14:18:04Z","timestamp":1767968284811,"version":"3.49.0"},"reference-count":11,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4226,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,2]]},"DOI":"10.1002\/fut.3990150103","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T03:57:31Z","timestamp":1183694251000},"page":"13-38","source":"Crossref","is-referenced-by-count":22,"title":["Mixed manipulation strategies in commodity futures markets"],"prefix":"10.1002","volume":"15","author":[{"given":"Stephen Craig","family":"Pirrong","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"A History of Chicago","author":"Andreas A.","year":"1887"},{"key":"e_1_2_1_3_1","unstructured":"Bouilly R.(1975): \u201cThe Development of American Cotton Exchanges 1870\u20131916 \u201d unpublished Ph.D. thesis The University of Missouri."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331322"},{"key":"e_1_2_1_5_1","unstructured":"Kolb R. andSpiller P.(1990): \u201cThe Manipulation of Futures Markets: An Overview \u201d Paper presented at the VPI\/ABA Symposium on Market Manipulation."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04666.x"},{"key":"e_1_2_1_7_1","volume-title":"The Industrial Organization of Futures Markets","author":"Kyle A.","year":"1984"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_9_1","unstructured":"Netz J.(1992): \u201cThree Essays on Futures Markets and Storage \u201d unpublished Ph.D. thesis the University of Michigan."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296608"},{"key":"e_1_2_1_11_1","unstructured":"Pirrong S. C.(1994): \u201cThe Economic Geography of Grain Markets and Futures Delivery Specification: Manipulation Price Discovery and Hedging Effectiveness \u201dThe Review of Futures Markets forthcoming."},{"key":"e_1_2_1_12_1","volume-title":"History of the Chicago Board of Trade","author":"Taylor C.","year":"1917"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150103","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150103","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T15:05:15Z","timestamp":1698332715000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150103"}},"issued":{"date-parts":[[1995,2]]},"references-count":11,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1995,2]]}},"alternative-id":["10.1002\/fut.3990150103"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150103","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,2]]}},{"indexed":{"date-parts":[[2026,1,13]],"date-time":"2026-01-13T23:03:40Z","timestamp":1768345420930,"version":"3.49.0"},"reference-count":28,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2009,1,23]],"date-time":"2009-01-23T00:00:00Z","timestamp":1232668800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,4]]},"abstract":"Abstract<\/jats:title>Futures hedging creates liquidity risk through marking to market. Liquidity risk matters if interim losses on a futures position have to be financed at a markup over the risk\u2010free rate. This study analyzes the optimal risk management and production decisions of a firm facing joint price and liquidity risk. It provides a rationale for the use of options on futures in imperfect capital markets. If liquidity risk materializes, the firm sells options on futures in order to partly cover this liquidity need. It is shown that liquidity risk reduces the optimal hedge ratio and that options are not normally used before a liquidity need actually arises. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:297\u2013318, 2009<\/jats:p>","DOI":"10.1002\/fut.20362","type":"journal-article","created":{"date-parts":[[2009,1,23]],"date-time":"2009-01-23T18:10:14Z","timestamp":1232734214000},"page":"297-318","source":"Crossref","is-referenced-by-count":22,"title":["Risk management with options and futures under liquidity risk"],"prefix":"10.1002","volume":"29","author":[{"given":"Axel F. A.","family":"Adam\u2010M\u00fcller","sequence":"first","affiliation":[]},{"given":"Argyro","family":"Panaretou","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,1,23]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(99)00180-9"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00390-4"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00019-B"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00607.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126731"},{"key":"e_1_2_1_7_1","volume-title":"OTC derivatives: Settlement procedures and counterparty risk management","author":"Committee on Payment and Settlement Systems","year":"1998"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1995.tb00263.x"},{"key":"e_1_2_1_9_1","volume-title":"Optimal dynamic hedging using futures under a borrowing constraint (working paper)","author":"Deep A.","year":"2002"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00777.x"},{"key":"e_1_2_1_11_1","volume-title":"Which factors affect corporate bond pricing? Empirical evidence from eurobonds primary market spreads (working paper)","author":"Gabbi G.","year":"2002"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.7551\/mitpress\/2622.001.0001"},{"key":"e_1_2_1_13_1","first-page":"989","article-title":"Hedging and the competitive firm under price uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_1_14_1","volume-title":"Options, futures and other derivatives","author":"Hull J. C.","year":"2006"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938334"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951719"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2005.01.007"},{"key":"e_1_2_1_18_1","first-page":"837","article-title":"Liquidity risk and hedging decisions","volume":"74","author":"Korn O.","year":"2004","journal-title":"Zeitschrift f\u00fcr Betriebswirtschaft"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242884"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10075"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10068"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10011"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1995.tb00279.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527391"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10133"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20121"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20217"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.07.002"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00069"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20362","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20362","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T19:07:46Z","timestamp":1699902466000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20362"}},"issued":{"date-parts":[[2009,1,23]]},"references-count":28,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2009,4]]}},"alternative-id":["10.1002\/fut.20362"],"URL":"https:\/\/doi.org\/10.1002\/fut.20362","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,1,23]]}},{"indexed":{"date-parts":[[2026,1,15]],"date-time":"2026-01-15T01:11:10Z","timestamp":1768439470154,"version":"3.49.0"},"reference-count":42,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2011,5,26]],"date-time":"2011-05-26T00:00:00Z","timestamp":1306368000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,5]]},"abstract":"Abstract<\/jats:title>This study examines the impact of implied and contemporaneous equity market volatility on Treasury yields, corporate bond yields, and yield spreads over Treasuries. The CBOE VIX is the measure of implied volatility, and the measure of contemporaneous volatility is constructed using intraday squared S&P 500 returns. We find that bond yields and spreads respond to changes in equity market volatility in a manner consistent with a flight\u2010to\u2010quality effect. Both short\u2010 and long\u2010term Treasury yields fall in response to increases in implied volatility, and the yield curve flattens modestly. Yields on short\u2010term investment grade bonds fall in response to contemporaneous volatility shocks, while long\u2010term spreads on low\u2010quality issues widen. This indicates that investors \u201clook ahead\u201d in anticipation of changes in equity market volatility but respond more strongly to changes in contemporaneous market activity. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20521","type":"journal-article","created":{"date-parts":[[2011,5,26]],"date-time":"2011-05-26T15:30:44Z","timestamp":1306423844000},"page":"480-503","source":"Crossref","is-referenced-by-count":24,"title":["Equity volatility, bond yields, and yield spreads"],"prefix":"10.1002","volume":"32","author":[{"given":"Daniel","family":"Jubinski","sequence":"first","affiliation":[{"name":"Department of Finance St. Joseph's University Philadelphia Pennsylvania"}]},{"given":"Amy F.","family":"Lipton","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2011,5,26]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_7_3_1","first-page":"67","volume-title":"Handbook of financial econometrics","author":"Andersen T. G.","year":"2009"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0020-6598.2004.00298.x"},{"key":"e_1_2_7_7_1","unstructured":"Bansal N. Connolly R. A. &Stivers C. T.(2010).Equity risk and treasury bond pricing. SSRN eLibrary."},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2008.08.001"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm088"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.10.015"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.11.013"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10112"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4754(03)00102-2"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00318"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00607.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000350"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90030-2"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00402"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000001782"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.09.005"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20148"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.07.005"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/17446540500219820"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009090061"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00259-3"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470802187644"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.2.199"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"issue":"4","key":"e_1_2_7_32_1","first-page":"431","article-title":"Modeling swap spreads: the roles of credit, liquidity and market volatility","volume":"14","author":"Huang Y.","year":"2006","journal-title":"Review of Futures Markets"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10084"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90078-0"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_7_37_1","doi-asserted-by":"crossref","unstructured":"Poteshman A. M.(2000).Forecasting future volatility from option prices. SSRN eLibrary.","DOI":"10.2139\/ssrn.243151"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177005835"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.10.006"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.650197"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2008.08.001"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.05.011"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2006.08.006"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20521","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20521","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T22:07:20Z","timestamp":1698703640000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20521"}},"issued":{"date-parts":[[2011,5,26]]},"references-count":42,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2012,5]]}},"alternative-id":["10.1002\/fut.20521"],"URL":"https:\/\/doi.org\/10.1002\/fut.20521","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,5,26]]}},{"indexed":{"date-parts":[[2026,1,30]],"date-time":"2026-01-30T22:36:24Z","timestamp":1769812584175,"version":"3.49.0"},"reference-count":18,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4714,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,10]]},"DOI":"10.1002\/fut.3990130704","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:03:07Z","timestamp":1183683787000},"page":"753-763","source":"Crossref","is-referenced-by-count":43,"title":["Cointegration tests of the unbiased expectations hypothesis in metals markets"],"prefix":"10.1002","volume":"13","author":[{"given":"Tim","family":"Krehbiel","sequence":"first","affiliation":[]},{"given":"Lee C.","family":"Adkins","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110506"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(87)90085-6"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(89)90015-6"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1990.mp52002003.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120108"},{"key":"e_1_2_1_11_1","first-page":"14O","article-title":"Futures Prices and Expected Future Spot Prices","volume":"2","author":"Kolb R. W.","year":"1983","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110505"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050402"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050108"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913712"},{"key":"e_1_2_1_16_1","volume-title":"Microfit 3.0: An Interactive Econometric Software Package","author":"Pesaran M. H.","year":"1991"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176344136"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100209"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391541"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130704","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130704","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T18:31:58Z","timestamp":1698172318000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130704"}},"issued":{"date-parts":[[1993,10]]},"references-count":18,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1993,10]]}},"alternative-id":["10.1002\/fut.3990130704"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130704","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,10]]}},{"indexed":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T18:26:22Z","timestamp":1773167182391,"version":"3.50.1"},"reference-count":43,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2020,8,17]],"date-time":"2020-08-17T00:00:00Z","timestamp":1597622400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,1]]},"abstract":"Abstract<\/jats:title>This paper studies the forecasting of volatility index (VIX) and the pricing of its futures by a generalized affine realized volatility model proposed by Christoffersen et al. This model is a weighted average of a GARCH and a pure realized variance (RV) model that incorporates each volatility component into the new dynamics. We rewrite the VIX in terms of both volatility components and then derive closed\u2010form formulas for the VIX forecasting and its futures pricing. Our empirical studies find that a unification of the GARCH and the RV in the modeling substantially improves the forecasting of this index and the pricing of its futures.<\/jats:p>","DOI":"10.1002\/fut.22159","type":"journal-article","created":{"date-parts":[[2020,8,27]],"date-time":"2020-08-27T19:52:22Z","timestamp":1598557942000},"page":"135-156","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":13,"title":["VIX futures and its closed\u2010form pricing through an affine GARCH model with realized variance"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2612-8224","authenticated-orcid":false,"given":"Qi","family":"Wang","sequence":"first","affiliation":[{"name":"Department of Mathematics, School of Economic Mathematics Southwestern University of Finance and Economics Chengdu China"}]},{"given":"Zerong","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of Mathematics, School of Economic Mathematics Southwestern University of Finance and Economics Chengdu China"}]}],"member":"311","published-online":{"date-parts":[[2020,8,17]]},"reference":[{"key":"e_1_2_8_2_1","volume-title":"High Frequency Financial Econometrics","author":"Ait\u2010Sahalia Y.","year":"2014"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.691"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_8_9_1","unstructured":"Chicago Board Options Exchange January 1 2008 to December 31 2018 VIX Spot and Futures Data. Retrieved fromhttps:\/\/www.cboe.com"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.06122"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp078"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000428"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.010"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht033"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0276"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.08.015"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.685"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs026"},{"key":"e_1_2_8_22_1","volume-title":"Oxford\u2010Man Institutes Realized Library, Version 0.3","author":"Heber G.","year":"2009"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.07.012"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.03.035"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20291"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20415"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.036"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474930701853509"},{"key":"e_1_2_8_31_1","unstructured":"Oxford\u2010Man Realized Library January 1 2000 to December 31 2018 Daily Realized Volatility Version 0.3. Retrieved fromhttp:\/\/realized.oxford-man.ox.ac.uk"},{"key":"e_1_2_8_32_1","first-page":"335","volume-title":"Handbook of Computational Finance","author":"Pigorsch C.","year":"2011"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-009-0153-8"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-04790-3_15"},{"key":"e_1_2_8_35_1","doi-asserted-by":"crossref","unstructured":"Stentoft L.(2008).Option pricing using realized volatility. Retrieved from SSRNhttps:\/\/ssrn.com\/abstract=1148148orhttps:\/\/doi.org\/10.2139\/ssrn.1148148","DOI":"10.2139\/ssrn.1086226"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105845"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21820"},{"key":"e_1_2_8_38_1","unstructured":"Yahoo! Finance January 1 2000 through December 31 2018 Daily S&P 500 Stock Index Returns. Retrieved fromhttps:\/\/finance.yahoo.com\/"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21925"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.030"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20512"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024907004123"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22159","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22159","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22159","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,4]],"date-time":"2023-09-04T13:54:25Z","timestamp":1693835665000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22159"}},"issued":{"date-parts":[[2020,8,17]]},"references-count":43,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2021,1]]}},"alternative-id":["10.1002\/fut.22159"],"URL":"https:\/\/doi.org\/10.1002\/fut.22159","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,8,17]]},"assertion":[{"value":"2020-03-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-08-03","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-08-17","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T14:56:56Z","timestamp":1770994616040,"version":"3.50.1"},"reference-count":11,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,12,27]],"date-time":"2006-12-27T00:00:00Z","timestamp":1167177600000},"content-version":"vor","delay-in-days":6783,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,6]]},"DOI":"10.1002\/fut.3990080305","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:53:00Z","timestamp":1183629180000},"page":"303-318","source":"Crossref","is-referenced-by-count":17,"title":["The pricing and performance of stock index futures spreads"],"prefix":"10.1002","volume":"8","author":[{"given":"Randall S.","family":"Billingsley","sequence":"first","affiliation":[]},{"given":"Don M.","family":"Chance","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,12,27]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040105"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Cornell B.(1985): \u201cTaxes and the Pricing of Stock Index Futures: Empirical Results \u201dThe Journal of Futures Markets 589\u2013101.","DOI":"10.1002\/fut.3990050109"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030102"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","article-title":"Hedging Performance and Basis Risk in Stock Index Futures","volume":"39","author":"Figlewski S.","year":"1983","journal-title":"Journal of Finance"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1982.408855"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0148-6195(82)90044-3"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050205"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_11_1","first-page":"88","article-title":"The Relationship Between Futures Prices for U. S. Treasury Bonds","volume":"3","author":"Resnick B. G.","year":"1984","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_12_1","unstructured":"Stoll H.andWhaley R.(1986): \u201cExpiration Day Effects of Index Options and Futures\u201d Special Study Prepared for the AMEX CBOE NYSE Pacific and Philadelphia Exchanges and the NASD."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080305","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080305","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T07:42:22Z","timestamp":1697874142000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080305"}},"issued":{"date-parts":[[1988,6]]},"references-count":11,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1988,6]]}},"alternative-id":["10.1002\/fut.3990080305"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080305","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,6]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T11:06:09Z","timestamp":1770980769935,"version":"3.50.1"},"reference-count":37,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2018,5,28]],"date-time":"2018-05-28T00:00:00Z","timestamp":1527465600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100010198","name":"Ministerio de Econom\u00eda, Industria y Competitividad, Gobierno de Espa\u00f1a","doi-asserted-by":"publisher","award":["ECO2016\u201078652"],"award-info":[{"award-number":["ECO2016\u201078652"]}],"id":[{"id":"10.13039\/501100010198","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100010198","name":"Ministerio de Econom\u00eda, Industria y Competitividad, Gobierno de Espa\u00f1a","doi-asserted-by":"publisher","award":["ECO2013\u201046395"],"award-info":[{"award-number":["ECO2013\u201046395"]}],"id":[{"id":"10.13039\/501100010198","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,9]]},"abstract":"In this paper, we adapt the demand and supply framework introduced by Figuerola\u2010Ferretti and Gonzalo (Journal of Econometrics<\/jats:italic>, 2010) to illustrate the dynamics of Pairs\u2010trading. We underline the process by which a finite elasticity of demand for spread trading determines the speed of mean reversion and pairs\u2010trading profitability. A persistence\u2010dependent trading trigger is introduced accordingly. Applied to STOXX Europe 600\u2013traded equities, our strategy exploits price leadership for portfolio replication purposes and delivers Sharpe ratios that outperform the benchmark rules used in the literature. Portfolio performance and mean reversion are enhanced after firm fundamental factor restrictions are imposed.<\/jats:p>","DOI":"10.1002\/fut.21927","type":"journal-article","created":{"date-parts":[[2018,5,29]],"date-time":"2018-05-29T06:37:45Z","timestamp":1527575865000},"page":"998-1023","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Pairs\u2010trading and spread persistence in the European stock market"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7650-9709","authenticated-orcid":false,"given":"Isabel","family":"Figuerola\u2010Ferretti","sequence":"first","affiliation":[{"name":"Quantitative Finance Group, Finance Department ICADE Universidad Pontificia Comillas Madrid Spain"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1693-4695","authenticated-orcid":false,"given":"Ioannis","family":"Paraskevopoulos","sequence":"additional","affiliation":[{"name":"Capital Markets Department, Bankia Bank, and Quantitative Finance Group ICADE Universidad Pontificia Comillas Madrid Spain"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4630-8900","authenticated-orcid":false,"given":"Tao","family":"Tang","sequence":"additional","affiliation":[{"name":"Finance Department and Institute of Finance, College of Economics Jinan University Guangzhou China"}]}],"member":"311","published-online":{"date-parts":[[2018,5,28]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"issue":"5","key":"e_1_2_8_1_3_1","first-page":"65","article-title":"Cointegration and asset allocation: A new active hedge fund strategy","volume":"16","author":"Alexander C.","year":"2002","journal-title":"Research in International Business and Finance"},{"key":"e_1_2_8_1_4_1","unstructured":"Andrade S. di Pietro V. &Seasholes M. (2005).Understanding the profitability of pairs trading(Working Paper). UC Berkeley and Northwestern University."},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680903124632"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2014.953698"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.4.799"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296491"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2012.06.002"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"crossref","unstructured":"Chen H. Chen S. Chen Z. &Li F.(2017).Empirical investigation of an equity pairs trading strategy.Management Science.https:\/\/doi.org\/10.1287\/mnsc.2017.2825","DOI":"10.1287\/mnsc.2017.2825"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00231"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.3386\/w10937"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v66.n4.1"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500149370"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05202.x"},{"key":"e_1_2_8_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.013"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj020"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00228-3"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"crossref","unstructured":"Jurek J. &Yang H.(2007).Dynamic portfolio selection in arbitrage(EFA 2006 Meetings Paper Zurich Switzerland).Harvard Business School. Retrieved fromhttps:\/\/doi.org\/10.2139\/ssrn.882536","DOI":"10.2139\/ssrn.882536"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780199285662.001.0001","volume-title":"The cointegrated VAR Model: Methodology and applications","author":"Juselius K.","year":"2006"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.3905\/JOT.2010.5.1.048"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.10.014"},{"key":"e_1_2_8_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01445.x"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00025-3"},{"key":"e_1_2_8_1_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1005"},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20355"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2015.04.006"},{"key":"e_1_2_8_1_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199605)16:3<331::AID-FUT5>3.0.CO;2-K"},{"key":"e_1_2_8_1_34_1","doi-asserted-by":"crossref","unstructured":"Plyakha Y. Uppal R. &Vilkov G.(2012).Why does an equal\u2010weighted portfolio outperform value\u2010 and price\u2010weighted portfolios. Retrieved fromhttps:\/\/doi.org\/10.2139\/ssrn.2724535","DOI":"10.2139\/ssrn.1787045"},{"key":"e_1_2_8_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.10.006"},{"key":"e_1_2_8_1_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_8_1_37_1","volume-title":"Pairs trading: Quantitative methods and analysis","author":"Vidyamurthy G.","year":"2004"},{"key":"e_1_2_8_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00078-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21927","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21927","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,7]],"date-time":"2024-07-07T03:20:21Z","timestamp":1720322421000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21927"}},"issued":{"date-parts":[[2018,5,28]]},"references-count":37,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2018,9]]}},"alternative-id":["10.1002\/fut.21927"],"URL":"https:\/\/doi.org\/10.1002\/fut.21927","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,5,28]]},"assertion":[{"value":"2016-10-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-04-01","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-05-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T11:07:49Z","timestamp":1770980869861,"version":"3.50.1"},"reference-count":28,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2019,3,28]],"date-time":"2019-03-28T00:00:00Z","timestamp":1553731200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,8]]},"abstract":"Abstract<\/jats:title>We examine the liquidity and insurance premia demanded by hedgers and speculators in commodity markets. We find that hedgers and speculators demand a higher premium for illiquid commodities for providing insurance and liquidity, respectively. Decomposing illiquidity into turnover and size components, we find evidence of a size premium associated with the insurance premium such that speculators demand a larger insurance premium for smaller commodities. We also find that the liquidity premium demanded by hedgers for illiquid commodities varies across bullish and bearish markets with hedgers demanding a larger premium from speculators trading in illiquid commodities in bearish markets.<\/jats:p>","DOI":"10.1002\/fut.22007","type":"journal-article","created":{"date-parts":[[2019,3,29]],"date-time":"2019-03-29T04:06:00Z","timestamp":1553832360000},"page":"962-984","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":10,"title":["An analysis of illiquidity in commodity markets"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8809-3699","authenticated-orcid":false,"given":"Sungjun","family":"Cho","sequence":"first","affiliation":[{"name":"Division of Accounting and Finance, Alliance Manchester Business School University of Manchester Manchester UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3050-2779","authenticated-orcid":false,"given":"Chanaka N.","family":"Ganepola","sequence":"additional","affiliation":[{"name":"Central Bank of Sri Lanka Colombo Sri Lanka"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5634-1088","authenticated-orcid":false,"given":"Ian","family":"Garrett","sequence":"additional","affiliation":[{"name":"Division of Accounting and Finance, Alliance Manchester Business School University of Manchester Manchester UK"}]}],"member":"311","published-online":{"date-parts":[[2019,3,28]]},"reference":[{"key":"e_1_2_7_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_7_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2007.08.004"},{"key":"e_1_2_7_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90018-0"},{"key":"e_1_2_7_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.031"},{"key":"e_1_2_7_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_7_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90056-9"},{"key":"e_1_2_7_1_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/ras017"},{"key":"e_1_2_7_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn098"},{"key":"e_1_2_7_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04944.x"},{"key":"e_1_2_7_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/675720"},{"key":"e_1_2_7_1_12_1","first-page":"1","volume-title":"Asset pricing: Liquidity, trading, and asset prices","author":"Cochrane J. H.","year":"2005"},{"key":"e_1_2_7_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.034"},{"key":"e_1_2_7_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2016.01.002"},{"key":"e_1_2_7_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht048"},{"key":"e_1_2_7_1_16_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_7_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_7_1_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_7_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.05.014"},{"key":"e_1_2_7_1_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_7_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01529.x"},{"key":"e_1_2_7_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_7_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938209"},{"key":"e_1_2_7_1_24_1","unstructured":"Kang W. Rouwenhorst K. G. &Tang K. (2017).A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets. Yale International Center for Finance Working Paper No. 14\u201024. Available at SSRN:https:\/\/ssrn.com\/abstract=2449315."},{"key":"e_1_2_7_1_25_1","volume-title":"A treatise on money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_7_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2004.11.004"},{"key":"e_1_2_7_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_7_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_7_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.03.016"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22007","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22007","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22007","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T16:10:41Z","timestamp":1694275841000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22007"}},"issued":{"date-parts":[[2019,3,28]]},"references-count":28,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2019,8]]}},"alternative-id":["10.1002\/fut.22007"],"URL":"https:\/\/doi.org\/10.1002\/fut.22007","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,3,28]]},"assertion":[{"value":"2019-02-27","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-03-01","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-03-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T10:58:58Z","timestamp":1770980338407,"version":"3.50.1"},"reference-count":45,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2024,8,30]],"date-time":"2024-08-30T00:00:00Z","timestamp":1724976000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,12]]},"abstract":"ABSTRACT<\/jats:title>With economic globalization and the financialization of agricultural products continuing to advance, the interconnections between different agricultural futures have become closer. We utilize a TVP\u2010VAR\u2010DY model combined with the quantile method to measure the risk spillover between 11 agricultural futures in the United States and China from July 9, 2014, to December 31, 2022. We obtain several findings. First, CBOT corn, soybean, and wheat are identified as the primary risk transmitters, with DCE corn and soybean as the main risk receivers. Second, sudden events or increased economic uncertainty can enlarge the overall risk spillovers. Third, there is an aggregation of risk spillovers amongst agricultural futures based on the dynamic directional spillovers. Lastly, the central agricultural futures under the conditional mean are CBOT corn and soybean, while CZCE hard wheat and long\u2010grained rice are the two risk\u2010spillover centers in extreme cases, as per the results of the spillover network and minimum spanning tree.<\/jats:p>","DOI":"10.1002\/fut.22551","type":"journal-article","created":{"date-parts":[[2024,8,30]],"date-time":"2024-08-30T13:10:27Z","timestamp":1725023427000},"page":"1888-1910","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Uncovering the Sino\u2010US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0009-0003-9791-0210","authenticated-orcid":false,"given":"Han\u2010Yu","family":"Zhu","sequence":"first","affiliation":[{"name":"School of Business East China University of Science and Technology Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3175-8546","authenticated-orcid":false,"given":"Peng\u2010Fei","family":"Dai","sequence":"additional","affiliation":[{"name":"School of Management Wuhan University of Technology Wuhan China"},{"name":"Research Institute of Digital Governance and Management Decision Innovation Wuhan University of Technology Wuhan China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8952-8228","authenticated-orcid":false,"given":"Wei\u2010Xing","family":"Zhou","sequence":"additional","affiliation":[{"name":"School of Business East China University of Science and Technology Shanghai China"},{"name":"Research Center for Econophysics East China University of Science and Technology Shanghai China"},{"name":"School of Mathematics East China University of Science and Technology Shanghai China"}]}],"member":"311","published-online":{"date-parts":[[2024,8,30]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/15140326.2022.2056300"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20120555"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2018.04.007"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm13040084"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2022.06.009"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104555"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.101451"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101605"},{"key":"e_1_2_10_11_1","first-page":"50","article-title":"The Supply of Storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.105880"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.105857"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102425"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103579"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/258347"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103575"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.2008.02208.x"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.08.007"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103483"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.2016.47.issue-2"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/erae\/jbt020"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102236"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-022-04522-9"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.08.015"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.12.003"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2016.07.048"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.v36.12"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.12.011"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.3390\/su11010239"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/ajae.v86.4"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.06.016"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asieco.2021.101370"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.10.031"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2020.101223"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840110102761"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.03.004"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105798"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.101098"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2021.1998326"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2020.119584"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101465"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.17221\/127\/2019-AGRICECON"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22551","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,11,12]],"date-time":"2024-11-12T05:50:44Z","timestamp":1731390644000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22551"}},"issued":{"date-parts":[[2024,8,30]]},"references-count":45,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2024,12]]}},"alternative-id":["10.1002\/fut.22551"],"URL":"https:\/\/doi.org\/10.1002\/fut.22551","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,8,30]]},"assertion":[{"value":"2024-03-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-08-06","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-08-30","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T20:17:53Z","timestamp":1771013873242,"version":"3.50.1"},"reference-count":34,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4532,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,4]]},"DOI":"10.1002\/fut.3990140205","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:57:37Z","timestamp":1183683457000},"page":"169-181","source":"Crossref","is-referenced-by-count":83,"title":["Fractal structure in currency futures price dynamics"],"prefix":"10.1002","volume":"14","author":[{"given":"Hsing","family":"Fang","sequence":"first","affiliation":[]},{"given":"Kon S.","family":"Lai","sequence":"additional","affiliation":[]},{"given":"Michael","family":"Lai","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1058862"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110606"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00628.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(82)90035-6"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1993.tb00149.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1993.tb01344.x"},{"key":"e_1_2_1_8_1","unstructured":"Cheung Y. W. Lai K. S. andLai M.(1994): \u201cAre There Long Cycles in Foreign Stock Returns?\u201dJournal of International Financial Markets Institutions and Money forthcoming."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120305"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(89)90003-2"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297500"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1983.tb00371.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1980.tb00297.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90006-X"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040408"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/68.1.165"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296466"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04646.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1061\/TACEAT.0006518"},{"key":"e_1_2_1_20_1","unstructured":"Lee C. I. andMathur I.(1992): \u201cAnalysis of Long Term Dependence in Intra\u2010day Eurodollar and T\u2010Bill Futures Returns \u201d Working Paper Southern Illinois University at Carbondale."},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938368"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1937966"},{"key":"e_1_2_1_23_1","volume-title":"Fractals: Form, Chance, and Dimension","author":"Mandelbrot B. B.","year":"1977"},{"key":"e_1_2_1_24_1","volume-title":"The Fractal Geometry of Nature","author":"Mandelbrot B. B.","year":"1977"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1137\/1010093"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1029\/WR005i005p00967"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391548"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050111"},{"key":"e_1_2_1_29_1","first-page":"41","article-title":"Proof that Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/296465"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01206277"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938213"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1029\/WR006i006p01583"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-842X.1985.tb00576.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140205","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140205","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T07:01:26Z","timestamp":1698217286000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140205"}},"issued":{"date-parts":[[1994,4]]},"references-count":34,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1994,4]]}},"alternative-id":["10.1002\/fut.3990140205"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140205","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,4]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T19:13:46Z","timestamp":1771010026546,"version":"3.50.1"},"reference-count":0,"publisher":"Wiley","content-domain":{"domain":[],"crossmark-restriction":false},"DOI":"10.1002\/(issn)1096-9934","type":"journal","created":{"date-parts":[[2006,3,23]],"date-time":"2006-03-23T17:16:30Z","timestamp":1143134190000},"source":"Crossref","is-referenced-by-count":123,"title":["Journal of Futures Markets"],"prefix":"10.1002","member":"311","language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(ISSN)1096-9934","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,8,4]],"date-time":"2018-08-04T16:51:04Z","timestamp":1533401464000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28ISSN%291096-9934"}},"short-title":["J. Fut. Mark."],"issued":{"date-parts":[[null]]},"references-count":0,"URL":"https:\/\/doi.org\/10.1002\/(issn)1096-9934","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T17:34:24Z","timestamp":1771004064080,"version":"3.50.1"},"reference-count":24,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,10]]},"DOI":"10.1002\/1096-9934(200010)20:9<865::aid-fut4>3.0.co;2-5","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T18:00:45Z","timestamp":1030298445000},"page":"865-885","source":"Crossref","is-referenced-by-count":17,"title":["The motivation for hedging revisited"],"prefix":"10.1002","volume":"20","author":[{"given":"Joost M. E.","family":"Pennings","sequence":"first","affiliation":[]},{"given":"Raymond M.","family":"Leuthold","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB1","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1111\/j.1540-6261.1988.tb02594.x","volume":"43","author":"Adler","year":"1988","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB2","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB3","doi-asserted-by":"crossref","first-page":"424","DOI":"10.2307\/1909887","volume":"30","author":"Borch","year":"1962","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB4","doi-asserted-by":"crossref","first-page":"279","DOI":"10.2307\/2330239","volume":"16","author":"Brennan","year":"1981","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB5","doi-asserted-by":"crossref","first-page":"949","DOI":"10.1016\/0014-2921(93)90103-H","volume":"37","author":"Briys","year":"1993","journal-title":"European Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB6","volume-title":"Optimal positioning in derivative securities","author":"Carr","year":"1997","unstructured":"& (1997). Optimal positioning in derivative securities. College Park, MD: University of Maryland."},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB7","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/0022-0531(89)90067-7","volume":"49","author":"Cox","year":"1989","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB8","doi-asserted-by":"crossref","first-page":"221","DOI":"10.1016\/0378-4266(85)90019-6","volume":"9","author":"Eaker","year":"1985","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB9","doi-asserted-by":"crossref","first-page":"1129","DOI":"10.1111\/j.1540-6261.1979.tb00060.x","volume":"34","author":"Feiger","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB10","doi-asserted-by":"crossref","first-page":"89","DOI":"10.1006\/jeth.1998.2420","volume":"82","author":"Franke","year":"1998","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB11","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1016\/S0261-5606(83)80001-1","volume":"2","author":"Garman","year":"1983","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB12","volume-title":"International financial management: theory and application","author":"Giddy","year":"1985","unstructured":"(1985). The foreign exchange option as a hedging tool. In (Ed.), International financial management: theory and application. New York: John Wiley & Sons."},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB13","volume-title":"Fundamentals of pure and applied economics","author":"Hodrick","year":"1987","unstructured":"(1987). The empirical evidence on the efficiency of forward and futures foreign exchange markets. In (Ed.), Fundamentals of pure and applied economics. London: Harwood Academic."},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB14","doi-asserted-by":"crossref","first-page":"565","DOI":"10.2307\/2331413","volume":"26","author":"Kerkvliet","year":"1991","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB15","doi-asserted-by":"crossref","first-page":"66","DOI":"10.2307\/1242884","volume":"20000","author":"Lapan","year":"1991","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB16","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1007\/BF01225932","volume":"59","author":"Lehrbass","year":"1994","journal-title":"Journal of Economics"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB17","doi-asserted-by":"crossref","first-page":"581","DOI":"10.1111\/j.1540-6261.1980.tb02190.x","volume":"35","author":"Leland","year":"1980","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB18","volume-title":"Handbook of international economics","volume":"III","author":"Lewis","year":"1995","unstructured":"(1995). Puzzles in international financial markets. In & (Eds.), Handbook of international economics. Vol. III, New York: Elsevier Science B.V."},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB20","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"Merton","year":"1973","journal-title":"Bell Journal of Economics and Management Science"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB21","doi-asserted-by":"crossref","first-page":"607","DOI":"10.2307\/2527128","volume":"33","author":"Moschini","year":"1992","journal-title":"International Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB22","doi-asserted-by":"crossref","first-page":"1025","DOI":"10.2307\/2527271","volume":"36","author":"Moschini","year":"1995","journal-title":"International Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB23","volume-title":"The new palgrave: finance","author":"Newbery","year":"1989","unstructured":"(1989). Futures markets, hedging and speculation. In and (Eds.), The new palgrave: finance. New York: Macmillan."},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB24","doi-asserted-by":"crossref","first-page":"413","DOI":"10.2307\/2554570","volume":"60","author":"Steil","year":"1993","journal-title":"Economica"},{"key":"10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5-BIB25","doi-asserted-by":"crossref","first-page":"127","DOI":"10.2307\/2330894","volume":"19","author":"Stulz","year":"1984","journal-title":"Journal of Financial and Quantitative Analysis"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200010)20:9%3C865::AID-FUT4%3E3.0.CO;2-5","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200010)20:9%3C865::AID-FUT4%3E3.0.CO;2-5","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:29:52Z","timestamp":1625135392000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200010)20:9<865::AID-FUT4>3.0.CO;2-5"}},"issued":{"date-parts":[[2000]]},"references-count":24,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2000,10]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200010)20:9<865::aid-fut4>3.0.co;2-5","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T17:35:26Z","timestamp":1771004126622,"version":"3.50.1"},"reference-count":25,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7031,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,6]]},"DOI":"10.1002\/(sici)1096-9934(199606)16:4<405::aid-fut3>3.0.co;2-m","type":"journal-article","created":{"date-parts":[[2004,10,21]],"date-time":"2004-10-21T01:57:37Z","timestamp":1098323857000},"page":"405-420","source":"Crossref","is-referenced-by-count":48,"title":["A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid\/ask quotes: The case of France"],"prefix":"10.1002","volume":"16","author":[{"given":"Gang","family":"Shyy","sequence":"first","affiliation":[]},{"given":"Vasumathi","family":"Vijayraghavan","sequence":"additional","affiliation":[]},{"given":"Brian","family":"Scott-Quinn","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB1","doi-asserted-by":"crossref","first-page":"949","DOI":"10.1111\/j.1540-6261.1988.tb02614.x","volume":"43","author":"Anthony","year":"1988","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB2","first-page":"219","volume":"23","author":"Bhattacharya","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB3","author":"Biais","year":"1994","unstructured":", and , (1994): \u201cAn Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse,\u201d (Working Paper)."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB4","author":"Booth","year":"1994","unstructured":", and (1994): \u201cDo Electronic Trading Systems Completely Dominate Floor Trading Systems in Information Processing Capability?\u201d Evidence from Germany's Spot and Stock Index Futures Markets ( Working Paper): Louisiana State University."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB5","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB6","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1093\/rfs\/4.4.657","volume":"4","author":"Chan","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB7","doi-asserted-by":"crossref","first-page":"1957","DOI":"10.1111\/j.1540-6261.1993.tb05136.x","volume":"48","author":"Chan","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB8","author":"Davis","year":"1993","unstructured":"(1993): \u201cLondon Trading in German Equities,\u201d Stock Exchange Quarterly, Winter Edition."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB9","author":"De Jong","year":"1993","unstructured":", and (1993): \u201cA Comparison of the Cost of Trading French Shares on the Paris Bourse and on SEAQ International,\u201d London School of Economics, Financial Markets Group, Discussion Paper No. 169, August."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB10","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB11","doi-asserted-by":"crossref","first-page":"57","DOI":"10.2469\/faj.v43.n2.57","volume":"43","author":"Finnerty","year":"1987","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB12","author":"Freund","year":"1991","unstructured":"and (1991): \u201cThe Lead-Lag Relationship between Stock and Option Prices,\u201d (Working Paper): The Pennsylvania State University."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB13","volume-title":"Introduction to Statistical Time Series","author":"Fuller","year":"1976","unstructured":"1976, Introduction to Statistical Time Series. New York: Wiley."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB14","doi-asserted-by":"crossref","first-page":"757","DOI":"10.1016\/0378-4266(92)90006-L","volume":"16","author":"Fung","year":"1992","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB15","doi-asserted-by":"crossref","first-page":"166","DOI":"10.1006\/jfin.1994.1002","volume":"3","author":"Grunbichler","year":"1994","journal-title":"Journal of Financial Intermediation"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB16","doi-asserted-by":"crossref","first-page":"1029","DOI":"10.2307\/1912775","volume":"50","author":"Hansen","year":"1982","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB17","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1111\/j.1540-6261.1989.tb02405.x","volume":"44","author":"Harris","year":"1989","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB18","doi-asserted-by":"crossref","first-page":"1309","DOI":"10.1111\/j.1540-6261.1987.tb04368.x","volume":"42","author":"Kawaller","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB19","doi-asserted-by":"crossref","first-page":"1043","DOI":"10.1111\/j.1540-6261.1982.tb03597.x","volume":"37","author":"Manaster","year":"1982","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB20","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1016\/0165-1765(92)90056-5","volume":"38","author":"Martikainen","year":"1992","journal-title":"Economics Letters"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB21","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB22","author":"Pan","year":"1991","unstructured":", and (1991): \u201cThe Causal Relationship between Implied and Observed Exchange Rates,\u201d Working Paper, presented at the Financial Management Association Meeting."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB23","doi-asserted-by":"crossref","first-page":"87","DOI":"10.1002\/fut.3990150108","volume":"15","author":"Shyy","year":"1995","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB24","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1111\/j.1540-6261.1990.tb05087.x","volume":"45","author":"Stephan","year":"1990","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M-BIB25","doi-asserted-by":"crossref","first-page":"441","DOI":"10.2307\/2331010","volume":"25","author":"Stoll","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199606)16:4%3C405::AID-FUT3%3E3.0.CO;2-M","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199606)16:4%3C405::AID-FUT3%3E3.0.CO;2-M","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:27:29Z","timestamp":1625135249000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M"}},"issued":{"date-parts":[[1996,6]]},"references-count":25,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1996,6]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199606)16:4<405::aid-fut3>3.0.co;2-m","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,6]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T20:10:04Z","timestamp":1771013404798,"version":"3.50.1"},"reference-count":27,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7847,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,3]]},"DOI":"10.1002\/fut.3990050105","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:13:44Z","timestamp":1183612424000},"page":"29-43","source":"Crossref","is-referenced-by-count":187,"title":["The degree of price resolution: The case of the gold market"],"prefix":"10.1002","volume":"5","author":[{"given":"Clifford A.","family":"Ball","sequence":"first","affiliation":[]},{"given":"Walter N.","family":"Torous","sequence":"additional","affiliation":[]},{"given":"Adrian E.","family":"Tschoegl","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1961366"},{"key":"e_1_2_1_3_1","unstructured":"Ball Clifford A. andTorous Walter N.(1982): \u201cSecurity Volatility and Expected Return: Optimal Joint Estimation \u201d University of Michigan unpublished paper."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260509"},{"issue":"3","key":"e_1_2_1_5_1","first-page":"47","article-title":"Brownian Motion in the Treasury Bill Futures Market","volume":"16","author":"Dale Charles","year":"1981","journal-title":"Business Economics"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/3319520"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Garbade Kenneth D. andSekaran Chandra P.(1981): \u201cOpening Prices on the New York Stock Exchange \u201dJournal of Banking and Finance 345\u2013355.","DOI":"10.1016\/0378-4266(81)90030-3"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02127.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Gottlieb Gary andKalay Avner(1984): \u201cImplications of the Discreteness of Observed Stock Prices \u201dJournal of Finance forthcoming.","DOI":"10.2307\/2328052"},{"issue":"3","key":"e_1_2_1_11_1","first-page":"393","article-title":"On the Impossibility of Informationally Efficient Markets","volume":"70","author":"Grossman Sanford J.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_1_12_1","first-page":"390","article-title":"A New Look at Clustering of Stock Prices","volume":"39","author":"Neiderhoffer Victor","year":"1966","journal-title":"Journal of Business"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.13.2.258"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","first-page":"897","DOI":"10.1080\/01621459.1966.10482183","article-title":"Market Making and Reversal on the Stock Exchange","volume":"61","author":"Neiderhoffer Victor","year":"1966","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.10.3.345"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2987702"},{"issue":"369","key":"e_1_2_1_17_1","first-page":"154","article-title":"Choosing Between Logistic Regression and Discriminant Analysis","volume":"75","author":"Press S. James","year":"1978","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_18_1","unstructured":"Rosenfeld Eric(1982): \u201cStochastic Processes of Common Stock Returns: An Empirical Examination \u201d Harvard University Graduate School of Business Administration Working Paper HBS 82\u201034."},{"key":"e_1_2_1_19_1","volume-title":"The Strategy of Conflict","author":"Schelling Thomas C.","year":"1960"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010205"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1970.tb00414.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/296069"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010213"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/260617"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(80)90015-1"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(82)90100-8"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2397-2335.1927.tb01992.x"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v39.n1.59"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050105","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050105","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,2,15]],"date-time":"2024-02-15T19:12:25Z","timestamp":1708024345000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050105"}},"issued":{"date-parts":[[1985,3]]},"references-count":27,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1985,3]]}},"alternative-id":["10.1002\/fut.3990050105"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050105","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,3]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T16:24:04Z","timestamp":1770481444036,"version":"3.49.0"},"reference-count":35,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4897,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,4]]},"DOI":"10.1002\/fut.3990130202","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:02:09Z","timestamp":1183683729000},"page":"115-126","source":"Crossref","is-referenced-by-count":17,"title":["The pricing relationship of eurodollar futures and eurodollar deposit rates"],"prefix":"10.1002","volume":"13","author":[{"given":"Hung\u2010Gay","family":"Fung","sequence":"first","affiliation":[]},{"given":"Wai K.","family":"Leung","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Akaike H.(1974 December): \u201cA New Look at the Statistical Model Identification \u201dZEEE Transactions on Automatic Control 714\u2013723.","DOI":"10.1109\/TAC.1974.1100705"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Amemiya T.(1980 June): \u201cSelection of Repressors \u201dInternational Economic Review 331\u2013352.","DOI":"10.2307\/2526185"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Ashley R.(1984 April): \u201cA Simple Test for Regression Parameter Instability \u201dEconomic Enquiry 253\u2013268.","DOI":"10.1111\/j.1465-7295.1984.tb00683.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"BarnhartS. W. andSzakmary A. C.(1991 June): \u201cTesting the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots Co\u2010Integration and Stochastic Coefficients \u201dJournal of Financial and Quantitative Analysis 245\u2013267.","DOI":"10.2307\/2331268"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Bessler D. A. andCovey T.(1991 August): \u201cCointegration: Some Results on U.S. Cattle Prices \u201dThe Journal of Futures Markets 461\u2013474.","DOI":"10.1002\/fut.3990110406"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Canarella G. andPollard S. K.(1985 Spring): \u201cEfficiency of Commodity Futures: A Vector Autoregression Analysis \u201dThe Journal of Futures Markets 57\u201376.","DOI":"10.1002\/fut.3990050107"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Dickey D. A. andFuller W. A.(1979 June): \u201cDistribution of the Estimators for Autore\u2010gressive Time Series with a Unit Root \u201dJournal of American Statistical Association 427\u201331.","DOI":"10.1080\/01621459.1979.10482531"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Doukas J. andRahman A.(1987): \u201cUnit Root Test: Evidence from the Foreign Exchange Futures Market \u201dJournal of Financial and Quantitative Analysis 101\u2013108.","DOI":"10.2307\/2330873"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Engle R. F. andGranger C. W. J.(1987 March): \u201cCo\u2010integration and Error Correction: Representation Estimation and Testing \u201dEconometrica 251\u2013276.","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Fama E. andFrench K. R.(1987 January): \u201cCommodity Futures Prices: Some Evidence on Forecast Power Premiums and the Theory of Storage \u201dJournal of Business 55\u201373.","DOI":"10.1086\/296385"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Fama E. andFrench K. R.(1984 December): \u201cThe Information in the Term Structure \u201dJournal of Financial Economics 509\u2013528.","DOI":"10.1016\/0304-405X(84)90013-8"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"French K. R.(1986 April): \u201cDetecting Spot Prices Forecasts in Futures Price \u201dThe Journal of Futures Markets S39\u2013S54.","DOI":"10.1086\/296338"},{"key":"e_1_2_1_14_1","volume-title":"Introduction to Statistical Time Series","author":"Fuller W. A.","year":"1976"},{"key":"e_1_2_1_15_1","volume-title":"Pacific\u2010Basin Capital Markets Research","author":"Fung H. G.","year":"1990"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"Garbade K. D. andSilberW. L.(1983a May): \u201cPrice Movements and Price Discovery in Futures and Cash Markets \u201dReview of Economics and Statistics 289\u2013297.","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Garbade K. D. andSilber W. L.(1983b Winter): \u201cCash Settlement of Futures Contracts: An Economic Analysis \u201dThe Journal of Futures Markets 451\u2013472.","DOI":"10.1002\/fut.3990030410"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Geweke J. andMeese R.(1981 February): \u201cEstimating Regression Models of Finite but Unknown Order \u201dInternational Economic Review 55\u201370.","DOI":"10.2307\/2526135"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Goldenberg D. H.(1989 June): \u201cMemory and Equilibrium Futures Prices \u201dThe Journal of Futures Markets 199\u2013213.","DOI":"10.1002\/fut.3990090303"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","unstructured":"Granger C. W. J.(1986 August): \u201cDevelopments in the Study of Cointegrated Economic Variables \u201dOxford Bulletin of Economics and Statistics 213\u2013228.","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Herbst A. F. McCormack J. andWest E.(1987 August): \u201cInvestigation of a Lead\u2010Lag Relationship Between Spot Stock Indices and Their Futures Contracts \u201dThe Journal of Futures Markets 373\u2013381.","DOI":"10.1002\/fut.3990070403"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Hsiao C.(1981 January): \u201cAutoregressive Modelling and Money\u2010Income Causality Detection \u201dJournal of Monetary Economics 85\u2013105.","DOI":"10.1016\/0304-3932(81)90053-2"},{"key":"e_1_2_1_23_1","doi-asserted-by":"crossref","unstructured":"Kawaller I. andKoch T.(1984 Fall): \u201cCash\u2010and\u2010carry Trading and the Pricing of Treasury Bill Futures \u201dThe Journal of Futures Markets 115\u2013123.","DOI":"10.1002\/fut.3990040202"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","unstructured":"Khoury N. T. andYourougou P.(1991 February): \u201cThe Informational Content of the Basis: Evidence from Canadian Barley Oats and Canola Futures Markets \u201dThe Journal of Futures Markets 69\u201380.","DOI":"10.1002\/fut.3990110107"},{"key":"e_1_2_1_25_1","volume-title":"Understanding Futures Markets","author":"Kolb R. W.","year":"1991"},{"key":"e_1_2_1_26_1","doi-asserted-by":"crossref","unstructured":"MacDonald S. andHein S. E.(1989 June): \u201cFutures and Forward Rates as Predictors of Near\u2010Term Treasury Bill Rates \u201dThe Journal of Futures Markets 249\u2013262.","DOI":"10.1002\/fut.3990090307"},{"key":"e_1_2_1_27_1","volume-title":"Econometrics","author":"Maddala G. S.","year":"1977"},{"key":"e_1_2_1_28_1","unstructured":"Mallows C. L.(1973): \u201cSome Comments on Cp \u201d Technornetrics 579\u2013590."},{"key":"e_1_2_1_29_1","volume-title":"Financial Futures: Practical Applications for Financial Institutions","author":"Melton C. R.","year":"1984"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","unstructured":"Oellermann C. M. Brorsen B. andFarris P. L.(1989 April): \u201cPrice Discovery for Feeder Cattle \u201dThe Journal of Futures Markets 113\u2013121.","DOI":"10.1002\/fut.3990090204"},{"key":"e_1_2_1_31_1","doi-asserted-by":"crossref","unstructured":"Oellermann C. M. andFarris P. L.(1985 Winter): \u201cFutures or Cash: Which Market Leads Live Beef Cattle Prices \u201dThe Journal of Futures Markets 429\u2013538.","DOI":"10.1002\/fut.3990050404"},{"key":"e_1_2_1_32_1","volume-title":"Multivariate Analysis","author":"Parzen E.","year":"1977"},{"key":"e_1_2_1_33_1","doi-asserted-by":"crossref","unstructured":"Quandt R.(1958 December): \u201cThe Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimcs \u201dJournal of American Statistical Association 873\u2013880.","DOI":"10.1080\/01621459.1958.10501484"},{"key":"e_1_2_1_34_1","volume-title":"Financial Futures: Fundamentals, Strategies, and Applications","author":"Schwarz E. W.","year":"1986"},{"key":"e_1_2_1_35_1","doi-asserted-by":"crossref","unstructured":"Schwert G. W.(1987 July): \u201cEffects of Model Specification on Tests for Unit Roots in Macroeconomic Data \u201dJournal of Monetary Economics 73\u2013103.","DOI":"10.1016\/0304-3932(87)90059-6"},{"key":"e_1_2_1_36_1","volume-title":"Futures Markets","author":"Siegel D. R.","year":"1989"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130202","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130202","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T04:16:57Z","timestamp":1698293817000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130202"}},"issued":{"date-parts":[[1993,4]]},"references-count":35,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1993,4]]}},"alternative-id":["10.1002\/fut.3990130202"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130202","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,4]]}},{"indexed":{"date-parts":[[2026,2,8]],"date-time":"2026-02-08T00:05:36Z","timestamp":1770509136751,"version":"3.49.0"},"reference-count":26,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2009,10,26]],"date-time":"2009-10-26T00:00:00Z","timestamp":1256515200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,8]]},"abstract":"Abstract<\/jats:title>We investigate bivariate regime\u2010switching in daily futures\u2010contract returns for the US stock index and ten\u2010year Treasury notes over the crisis\u2010rich 1997\u20132005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast between regimes, with a high\u2010stress regime that exhibits a much higher stock volatility, a much lower stock\u2013bond correlation, and a higher mean bond return. The high\u2010stress regime is associated with higher average values of stock\u2010implied volatility, stock illiquidity, and stock and bond futures trading volume. The lagged implied volatility from equity\u2010index options is useful in modeling the time\u2010varying transition probabilities of the regime\u2010switching process. Our findings support the notions that: (1) stock market stress can have a material influence on Treasury bond pricing, and (2) the diversification benefits of combined stock\u2013bond holdings tend to be greater during times with relatively high stock market stress. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:753\u2013779, 2010<\/jats:p>","DOI":"10.1002\/fut.20439","type":"journal-article","created":{"date-parts":[[2009,10,26]],"date-time":"2009-10-26T15:36:43Z","timestamp":1256571403000},"page":"753-779","source":"Crossref","is-referenced-by-count":43,"title":["Regime\u2010switching in stock index and Treasury futures returns and measures of stock market stress"],"prefix":"10.1002","volume":"30","author":[{"given":"Naresh","family":"Bansal","sequence":"first","affiliation":[]},{"given":"Robert A.","family":"Connolly","sequence":"additional","affiliation":[]},{"given":"Chris","family":"Stivers","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,10,26]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.2.655"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1137"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351930"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(01)00042-2"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v60.n2.2612"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04695.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04700.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20373"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000001782"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.09.005"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90095-0"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00019-1"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00327"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00259-3"},{"key":"e_1_2_1_18_1","unstructured":"Gong F. &Mariano R. S.(1997).Testing under non\u2010standard conditions in frequency domain: With applications to markov regime switching models of exchange rates and the federal funds rate. Federal Reserve Bank of New York Technical Staff Report."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.824"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2002.319843"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171789"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465304323023831"},{"key":"e_1_2_1_23_1","unstructured":"Hasbrouck J.(2005).Trading costs and returns for US equities: The evidence from daily data(Working Paper). New York University."},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00441"},{"key":"e_1_2_1_25_1","unstructured":"Li L.(2002).Macroeconomic factors and the correlation of stock and bond returns(Working Paper). Yale University."},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1086\/374184"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126752"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20439","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20439","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T13:03:21Z","timestamp":1700658201000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20439"}},"issued":{"date-parts":[[2009,10,26]]},"references-count":26,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2010,8]]}},"alternative-id":["10.1002\/fut.20439"],"URL":"https:\/\/doi.org\/10.1002\/fut.20439","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,10,26]]}},{"indexed":{"date-parts":[[2026,2,9]],"date-time":"2026-02-09T03:50:22Z","timestamp":1770609022017,"version":"3.49.0"},"reference-count":55,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2021,8,11]],"date-time":"2021-08-11T00:00:00Z","timestamp":1628640000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71903112"],"award-info":[{"award-number":["71903112"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100002858","name":"China Postdoctoral Science Foundation","doi-asserted-by":"publisher","award":["2020T130380"],"award-info":[{"award-number":["2020T130380"]}],"id":[{"id":"10.13039\/501100002858","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,12]]},"abstract":"Abstract<\/jats:title>This paper shows that rare disaster concern, defined as the news\u2010implied volatility, performs very well at predicting the return of index commodity futures throughout the whole century (1926\u20132016). This result holds after controlling for the current business cycle conditions, the macroeconomic variables, and the Volatility Index (VIX). We also find that rare disaster concern performs very well at predicting index commodity futures returns out\u2010of\u2010sample. The results remain robust while considering different macroeconomic conditions, such as recession (expansion), contango (backwardation), or inflation up (down).<\/jats:p>","DOI":"10.1002\/fut.22256","type":"journal-article","created":{"date-parts":[[2021,8,11]],"date-time":"2021-08-11T21:01:01Z","timestamp":1628715661000},"page":"1891-1915","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":10,"title":["One hundred years of rare disaster concerns and commodity prices"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1509-4674","authenticated-orcid":false,"given":"Qunzi","family":"Zhang","sequence":"first","affiliation":[{"name":"School of Economics Shandong University Jinan Shandong China"}]}],"member":"311","published-online":{"date-parts":[[2021,8,11]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01697.x"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.121.3.823"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.04.009"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.019"},{"key":"e_1_2_9_7_1","first-page":"1346","article-title":"Stock returns and inflation: A long\u2010horizon perspective","volume":"83","author":"Boudoukh J.","year":"1993","journal-title":"American Economic Review"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs064"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.2010.125.3.1145"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00071-9"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm075"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjv040"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105902"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.003"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.2.64"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjs001"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2949"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.07.001"},{"key":"e_1_2_9_22_1","unstructured":"Gargano A. &Timmermann A.(2012).Predictive dynamics in commodity prices. (Working paper)."},{"key":"e_1_2_9_23_1","unstructured":"Geczy C. C. &Samonov M.(2015).215 years of global multi\u2010asset momentum: 1800\u20132014\u00a0(Working Paper)."},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/426518"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.2.68"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.102.6.2734"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00555"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392581"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(81)90001-5"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2017.44.1.015"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb04891.x"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803322157151"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(79)90017-5"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v74.n2.4"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2017.03.001"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v58.n4.2453"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803321455133"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.12.005"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.032"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.2.74"},{"key":"e_1_2_9_43_1","doi-asserted-by":"crossref","unstructured":"Monthly Commodity Futures Index Excess Return Data.https:\/\/doi.org\/10.2469\/faj.v74.n2.4","DOI":"10.2469\/faj.v74.n2.4"},{"key":"e_1_2_9_44_1","unstructured":"Monthly Commodity Futures Index Excess Return Data andDIPC Figshare.https:\/\/doi.org\/10.6084\/m9.figshare.15057849.v2"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.5.3.35"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.euroecorev.2010.11.001"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.2.535"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp063"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-53683-9.00006-2"},{"key":"e_1_2_9_50_1","doi-asserted-by":"crossref","unstructured":"Rare Disaster Data.https:\/\/doi.org\/10.1016\/j.jfineco.2016.01.032","DOI":"10.1016\/j.jfineco.2016.01.032"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2016.11.005"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(88)90172-9"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.01.005"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v48.n1.28"},{"key":"e_1_2_9_55_1","volume-title":"Stocks for the long run","author":"Siegel J. J","year":"2002"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12018"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22256","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22256","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22256","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T06:50:15Z","timestamp":1693205415000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22256"}},"issued":{"date-parts":[[2021,8,11]]},"references-count":55,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2021,12]]}},"alternative-id":["10.1002\/fut.22256"],"URL":"https:\/\/doi.org\/10.1002\/fut.22256","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,8,11]]},"assertion":[{"value":"2020-09-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-07-28","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-11","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,10]],"date-time":"2026-02-10T16:12:54Z","timestamp":1770739974306,"version":"3.49.0"},"reference-count":45,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,8]]},"DOI":"10.1002\/1096-9934(200008)20:7<603::aid-fut1>3.0.co;2-x","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T21:51:59Z","timestamp":1030312319000},"page":"603-624","source":"Crossref","is-referenced-by-count":52,"title":["The cost of carry model and regime shifts in stock index futures markets: An empirical investigation"],"prefix":"10.1002","volume":"20","author":[{"given":"Lucio","family":"Sarno","sequence":"first","affiliation":[]},{"given":"Giorgio","family":"Valente","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB1","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1086\/296451","volume":"62","author":"Akgiray","year":"1989","journal-title":"Journal of Business"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB2","doi-asserted-by":"crossref","first-page":"711","DOI":"10.1002\/fut.3990110606","volume":"11","author":"Blank","year":"1991","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB3","volume-title":"Nonlinear dynamics, chaos, and instability","author":"Brock","year":"1991","unstructured":"& (1991). Nonlinear dynamics, chaos, and instability. Cambridge, Massachusetts: MIT Press."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB4","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB5","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1111\/j.1468-0084.1993.mp55003003.x","volume":"55","author":"Cheung","year":"1993","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB6","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511599286","volume-title":"Forecasting economic time series","author":"Clements","year":"1998","unstructured":"& (1998). Forecasting economic time series. Cambridge: Cambridge University Press."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB7","doi-asserted-by":"crossref","first-page":"661","DOI":"10.2307\/2231972","volume":"88","author":"Davidson","year":"1978","journal-title":"Economic Journal"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB8","doi-asserted-by":"crossref","first-page":"247","DOI":"10.1093\/biomet\/64.2.247","volume":"64","author":"Davies","year":"1977","journal-title":"Biometrika"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB9","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.2517-6161.1977.tb01600.x","volume":"39","author":"Dempster","year":"1977","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB10","doi-asserted-by":"crossref","first-page":"301","DOI":"10.1093\/rfs\/9.1.301","volume":"9","author":"Dwyer","year":"1996","journal-title":"Review of Financial Studies"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB11","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","volume":"55","author":"Engle","year":"1982","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB12","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB13","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","volume":"39","author":"Figlewski","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB14","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1002\/(SICI)1096-9934(199702)17:1<75::AID-FUT4>3.0.CO;2-D","volume":"17","author":"Fujihara","year":"1997","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB15","doi-asserted-by":"crossref","first-page":"385","DOI":"10.1002\/(SICI)1096-9934(199706)17:4<385::AID-FUT2>3.0.CO;2-D","volume":"17","author":"Fujihara","year":"1997","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB16","volume-title":"Introduction to statistical time series","author":"Fuller","year":"1976","unstructured":"(1976). Introduction to statistical time series. New York: Wiley."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB17","doi-asserted-by":"crossref","first-page":"325","DOI":"10.1002\/(SICI)1096-9934(199905)19:3<325::AID-FUT5>3.0.CO;2-6","volume":"19","author":"Gao","year":"1999","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB18","doi-asserted-by":"crossref","first-page":"289","DOI":"10.2307\/1924495","volume":"65","author":"Garbade","year":"1983","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB19","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x","volume":"48","author":"Granger","year":"1986","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB20","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198773191.001.0001","volume-title":"Modelling nonlinear economic relationships","author":"Granger","year":"1993","unstructured":"& (1993). Modelling nonlinear economic relationships. Oxford: Oxford University Press."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB21","doi-asserted-by":"crossref","first-page":"385","DOI":"10.1016\/0165-1889(88)90047-4","volume":"12","author":"Hamilton","year":"1988","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB22","doi-asserted-by":"crossref","first-page":"357","DOI":"10.2307\/1912559","volume":"57","author":"Hamilton","year":"1989","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB23","doi-asserted-by":"crossref","first-page":"39","DOI":"10.1016\/0304-4076(90)90093-9","volume":"45","author":"Hamilton","year":"1990","journal-title":"Journal of Econometrics"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB24","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(94)90067-1","volume":"64","author":"Hamilton","year":"1994","journal-title":"Journal of Econometrics"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB25","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1016\/0165-1889(88)90041-3","volume":"12","author":"Johansen","year":"1988","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB26","doi-asserted-by":"crossref","first-page":"1551","DOI":"10.2307\/2938278","volume":"59","author":"Johansen","year":"1991","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB27","doi-asserted-by":"crossref","DOI":"10.1093\/0198774508.001.0001","volume-title":"Likelihood-based inference in cointegrated VAR models","author":"Johansen","year":"1995","unstructured":"(1995). Likelihood-based inference in cointegrated VAR models. Oxford: Oxford University Press."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB28","doi-asserted-by":"crossref","first-page":"1309","DOI":"10.1111\/j.1540-6261.1987.tb04368.x","volume":"42","author":"Kawaller","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB29","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-642-51684-9","volume-title":"Markov-switching vector autoregressions","author":"Krolzig","year":"1997","unstructured":"(1997). Markov-switching vector autoregressions. New York, NY: Springer."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB30","author":"Krolzig","year":"1999","unstructured":"(1999). Statistical analysis of cointegrated VAR processes with Markovian regime shifts. [mimeo] Department of Economics, University of Oxford."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB31","volume-title":"Long-run economic relationships","author":"MacKinnon","year":"1991","unstructured":"(1991). Critical values for cointegration tests. In & (Eds.), Long-run economic relationships. Oxford: Oxford University Press."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB32","doi-asserted-by":"crossref","first-page":"479","DOI":"10.1111\/j.1540-6261.1994.tb05149.x","volume":"49","author":"Miller","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB33","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1002\/fut.3990030103","volume":"3","author":"Modest","year":"1983","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB34","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1111\/j.1468-0084.1992.tb00013.x","volume":"54","author":"Osterwald-Lenum","year":"1992","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB35","doi-asserted-by":"crossref","first-page":"935","DOI":"10.1002\/(SICI)1096-9934(199712)17:8<935::AID-FUT5>3.0.CO;2-M","volume":"17","author":"Parhizgari","year":"1997","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB36","doi-asserted-by":"crossref","first-page":"335","DOI":"10.1093\/biomet\/75.2.335","volume":"75","author":"Phillips","year":"1988","journal-title":"Biometrika"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB37","doi-asserted-by":"crossref","first-page":"350","DOI":"10.1111\/j.2517-6161.1969.tb00796.x","volume":"31","author":"Ramsey","year":"1969","journal-title":"Journal of the Royal Statistical Analysis, Series B"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB38","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1017\/S0266466600010720","volume":"8","author":"Saikkonen","year":"1992","journal-title":"Econometric Theory"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB39","author":"Saikkonen","year":"1995","unstructured":"& (1995). Testing cointegration in infinite order vector autoregressive processes [mimeo]. University of Helsinki."},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB40","doi-asserted-by":"crossref","first-page":"441","DOI":"10.2307\/2331010","volume":"25","author":"Stoll","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB41","doi-asserted-by":"crossref","first-page":"713","DOI":"10.1080\/758534702","volume":"17","author":"Taylor","year":"1985","journal-title":"Applied Economics"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB42","doi-asserted-by":"crossref","first-page":"587","DOI":"10.1017\/S0001867800019893","volume":"22","author":"Tjostheim","year":"1990","journal-title":"Advances in Applied Probability"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB43","doi-asserted-by":"crossref","first-page":"205","DOI":"10.1111\/j.1467-9965.1994.tb00058.x","volume":"4","author":"Yadav","year":"1994","journal-title":"Mathematical Finance"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB44","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1002\/fut.3990130205","volume":"13","author":"Yang","year":"1993","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X-BIB45","doi-asserted-by":"crossref","first-page":"111","DOI":"10.1016\/S0954-349X(05)80024-4","volume":"5","author":"Yang","year":"1994","journal-title":"Structural Change and Economic Dynamics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200008)20:7%3C603::AID-FUT1%3E3.0.CO;2-X","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200008)20:7%3C603::AID-FUT1%3E3.0.CO;2-X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,2]],"date-time":"2024-12-02T19:12:38Z","timestamp":1733166758000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X"}},"issued":{"date-parts":[[2000]]},"references-count":45,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2000,8]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200008)20:7<603::aid-fut1>3.0.co;2-x","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2026,2,19]],"date-time":"2026-02-19T06:57:01Z","timestamp":1771484221956,"version":"3.50.1"},"reference-count":69,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2021,11,2]],"date-time":"2021-11-02T00:00:00Z","timestamp":1635811200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,2]]},"abstract":"Abstract<\/jats:title>We investigate forward\u2010looking commodity price volatility expectations (proxied by option\u2010implied volatilities or IVols) around scheduled US\u00a0Department of Agriculture (USDA) reports. We show that corn and soybean IVols are significantly lower for several trading days after a report. The IVol response to a release depends on agricultural market experts' disagreement and sentiment before the USDA report, and on the extent to which the USDA information surprises the market. Whereas commodity IVols are generally positively related to financial\u2010market sentiment and macroeconomic uncertainty (jointly captured by the volatility index [VIX]), this comovement breaks down on report days\u2014with the VIX and commodity IVols moving in opposite directions.<\/jats:p>","DOI":"10.1002\/fut.22283","type":"journal-article","created":{"date-parts":[[2021,11,2]],"date-time":"2021-11-02T21:50:09Z","timestamp":1635889809000},"page":"250-275","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":25,"title":["Market uncertainty and sentiment around USDA announcements"],"prefix":"10.1002","volume":"42","author":[{"given":"An N. Q.","family":"Cao","sequence":"first","affiliation":[{"name":"Institute for Food and Resource Economics University of Bonn Bonn Germany"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7640-2968","authenticated-orcid":false,"given":"Michel A.","family":"Robe","sequence":"additional","affiliation":[{"name":"College of ACES University of Illinois at Urbana\u2010Champaign Urbana Illinois USA"}]}],"member":"311","published-online":{"date-parts":[[2021,11,2]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aar131"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3414585"},{"key":"e_1_2_9_4_1","unstructured":"Adjemian M. K. Bruno V. G. Robe M. A. &Wallen J.(2017).What drives volatility expectations in grain and oilseed markets?\u00a0Paper presented at the 2017 Annual Meeting of the Agricultural and Applied Economics Association July.https:\/\/ageconsearch.umn.edu\/record\/258452\/files\/Abstracts_17_05_24_09_18_42_30__199_136_105_95_0.pdf"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aay018"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppx049"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-2681(98)00092-4"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803321455151"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676223"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400829125-015"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.10.022"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfp006"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2013.06.003"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/ajae.12133"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05189.x"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/ajae.12030"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21846"},{"key":"e_1_2_9_18_1","unstructured":"Cui C.(2012).Commodity implied volatility surface\u00a0(Bloomberg OVDV White Paper)."},{"key":"e_1_2_9_19_1","unstructured":"[dataset] Bloomberg.(2019).U.S. corn planting intentions survey ahead of USDA report(Report\u2010by\u2010report September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_20_1","unstructured":"[dataset] Bloomberg. (2019).U.S. corn acreage planting survey ahead of USDA report(Report\u2010by\u2010report September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_21_1","unstructured":"[dataset] Bloomberg.(2019).U.S. corn grain stocks survey before USDA report(Report\u2010by\u2010report September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_22_1","unstructured":"[dataset] Bloomberg.(2019).U.S. corn ending stocks survey before USDA WASDE\u00a0(Report\u2010by\u2010report September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_23_1","unstructured":"[dataset] Bloomberg.(2019).U.S. soybean planting intentions survey ahead of USDA report(Report\u2010by\u2010report September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_24_1","unstructured":"[dataset] Bloomberg.(2019).U.S. soybean acreage planting survey ahead of USDA report(Report\u2010by\u2010report September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_25_1","unstructured":"[dataset] Bloomberg.(2019).U.S. soybean grain stocks survey before USDA report(Report\u2010by\u2010report September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_26_1","unstructured":"[dataset] Bloomberg.(2019).U.S. soybean ending stocks survey before USDA WASDE\u00a0[Report\u2010by\u2010report September 2009\u2013October 2019].https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_27_1","unstructured":"[dataset] Chicago Board Options Exchange.(2019).CBOE 3\u2010month S&P500 volatility index: VIX\u00a0(Daily data September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_28_1","unstructured":"[dataset] CME Group.(2019).90\u2010Day implied volatility for the CBOT corn options\u2010on\u2010futures market\u00a0(Daily data September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_29_1","unstructured":"[dataset] CME Group.(2019).90\u2010Day implied volatility for the CBOT soybean options\u2010on\u2010futures market\u00a0(Daily data September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_30_1","unstructured":"[dataset] CME Group.(2019).CBOT corn futures contract prices\u00a0(Daily data September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_31_1","unstructured":"[dataset] CME Group.(2019).CBOT soybean futures contract prices\u00a0(Daily data September 2009\u2013October 2019).https:\/\/bba.bloomberg.net"},{"key":"e_1_2_9_32_1","unstructured":"[dataset] USDA National Agricultural Statistics Service. (2019).NASS\u2014Quick Stats.https:\/\/data.nal.usda.gov\/dataset\/nass-quick-stats"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00490"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy060"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10034"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331358"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2007.00958.x"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12470"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130204"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2012.06.014"},{"issue":"02","key":"e_1_2_9_42_1","first-page":"1","article-title":"USDA corn and soybean acreage estimates and yield forecasts: Dispelling myths and misunderstandings","volume":"11","author":"Good D.","year":"2011","journal-title":"Marketing and Outlook Briefs"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2017.11.002"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.foodpol.2021"},{"key":"e_1_2_9_45_1","unstructured":"Haynes R. Raman V. Robe M. A. &Yadav P. K.(2017).Algorithmic trading and livestock market quality. CFTC Paper presented at the 2017 NCCC\u2010134 Conference April.https:\/\/legacy.farmdoc.illinois.edu\/nccc134\/pdf\/NCCC-134_2017_Program.pdf"},{"key":"e_1_2_9_46_1","unstructured":"Haynes R. &Roberts J. S.(2015).Automated trading in futures markets\u00a0(CFTC Paper).https:\/\/www.cftc.gov\/sites\/default\/files\/idc\/groups\/public\/@economicanalysis\/documents\/file\/oce_automatedtrading.pdf"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316672"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2020.100137"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/agr.20174"},{"key":"e_1_2_9_50_1","unstructured":"Janzen J. P. &Bunek G. D.(2017).Does public information facilitate price consensus? Characterizing the effect of USDA crop reports using realized volatility. University of Montana Working Paper presented at the 2015 NCCC\u2010134 Conference June 2017.https:\/\/legacy.farmdoc.illinois.edu\/nccc134\/conf_2015\/pdf\/Bunek_Janzen_NCCC_134_2015.pdf"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00688.x"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/ajae.12012"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.foodpol.2019.02.005"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000625"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppu010"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2007.01117.x"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100500428230"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140408"},{"key":"e_1_2_9_60_1","unstructured":"Norland E.(2019).The rationale for Ag options' upward skew\u00a0(Working Paper). CME Institute July.https:\/\/www.cmegroup.com\/education\/featured-reports\/the-rationale-for-ag-options-upward-skew.html"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(79)90003-X"},{"key":"e_1_2_9_62_1","unstructured":"Prager D. Burns C. Tulman S. &MacDonald J.(2020). Farm use of futures options and marketing contracts.ERS Economic Information Bulletin No. 219 October 2020.https:\/\/www.ers.usda.gov\/webdocs\/publications\/99518\/eib-219.pdf?v=1633"},{"key":"e_1_2_9_63_1","doi-asserted-by":"crossref","unstructured":"Robe M. A. &Roberts J. S.(2019). Who Holds Positions in Agricultural Futures Markets\u2014and How? (CFTC OCE Working Paper June).https:\/\/doi.org\/10.2139\/ssrn.3438627","DOI":"10.2139\/ssrn.3438627"},{"key":"e_1_2_9_64_1","doi-asserted-by":"crossref","unstructured":"Robe M. A. &Wallen J.(2016). Fundamentals derivatives market information and oil price volatility.Journal of Futures Markets 36(4) 317\u2013344.https:\/\/doi.org\/10.1002\/fut.21732","DOI":"10.1002\/fut.21732"},{"key":"e_1_2_9_65_1","article-title":"Understanding the implied volatility factor in crop insurance","volume":"5","author":"Sherrick B.","year":"2015","journal-title":"Farmdoc Daily"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.1080\/00031305.1981.10479331"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_9_68_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aaz013"},{"key":"e_1_2_9_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.06.017"},{"key":"e_1_2_9_70_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1962.10480664"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22283","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22283","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22283","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T04:52:15Z","timestamp":1693198335000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22283"}},"issued":{"date-parts":[[2021,11,2]]},"references-count":69,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,2]]}},"alternative-id":["10.1002\/fut.22283"],"URL":"https:\/\/doi.org\/10.1002\/fut.22283","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,11,2]]},"assertion":[{"value":"2021-10-13","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-10-20","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-11-02","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T22:14:00Z","timestamp":1771625640456,"version":"3.50.1"},"reference-count":32,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,3]]},"DOI":"10.1002\/fut.20151","type":"journal-article","created":{"date-parts":[[2005,1,11]],"date-time":"2005-01-11T20:46:59Z","timestamp":1105476419000},"page":"281-308","source":"Crossref","is-referenced-by-count":28,"title":["Bias and backwardation in natural gas futures prices"],"prefix":"10.1002","volume":"25","author":[{"given":"Nahid","family":"Movassagh","sequence":"first","affiliation":[]},{"given":"Bagher","family":"Modjtahedi","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"key":"10.1002\/fut.20151-BIB1","doi-asserted-by":"crossref","first-page":"611","DOI":"10.1002\/fut.3990130604","volume":"13","author":"Bessimbinder","year":"1993","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20151-BIB2","doi-asserted-by":"crossref","first-page":"1347","DOI":"10.1111\/1540-6261.00463","volume":"LVII","author":"Bessimbinder","year":"2002","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20151-BIB3","author":"Bolinger","year":"2003","unstructured":"& (2003). Accounting for fuel price risk: Using forward natural gas prices instead of gas price forecasts to compare renewable to natural gas fired generation. Ernest Orlando Lawrence Berkeley National Laboratory, LBNL-53587."},{"key":"10.1002\/fut.20151-BIB4","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1016\/S0140-9883(00)00074-8","volume":"23","author":"Buchanan","year":"2001","journal-title":"Energy Economics"},{"key":"10.1002\/fut.20151-BIB5","doi-asserted-by":"crossref","first-page":"193","DOI":"10.1111\/j.1540-6261.1985.tb04944.x","volume":"XL","author":"Chang","year":"1985","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20151-BIB6","doi-asserted-by":"crossref","first-page":"1437","DOI":"10.1111\/0022-1082.00253","volume":"LV","author":"de Roon","year":"2000","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20151-BIB7","volume-title":"Futures markets","author":"Duffie","year":"1989","unstructured":"(1989). Futures markets. Englewood Cliffs: Prentice Hall."},{"key":"10.1002\/fut.20151-BIB8","doi-asserted-by":"crossref","first-page":"1387","DOI":"10.1086\/260133","volume":"81","author":"Dusak","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20151-BIB9","doi-asserted-by":"crossref","first-page":"813","DOI":"10.2307\/2171846","volume":"64","author":"Elliot","year":"1996","journal-title":"Econometrica"},{"key":"10.1002\/fut.20151-BIB10","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1016\/0927-5398(95)00016-X","volume":"36","author":"Engel","year":"1996","journal-title":"The Journal of Empirical Finance"},{"key":"10.1002\/fut.20151-BIB11","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1111\/j.1540-6261.1968.tb02996.x","volume":"23","author":"Fama","year":"1970","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20151-BIB12","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1086\/296385","volume":"60","author":"Fama","year":"1987","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20151-BIB13","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time series analysis","author":"Hamilton","year":"1994","unstructured":"(1994). Time series analysis. Princeton: Princeton University Press."},{"key":"10.1002\/fut.20151-BIB14","volume-title":"Options, futures, and other derivatives","author":"Hull","year":"2003","unstructured":"(2003). Options, futures, and other derivatives (5th ed.). Englewood Cliffs: Prentice Hall."},{"key":"10.1002\/fut.20151-BIB15","volume-title":"Volume II: The applied theory of money","author":"Keynes","year":"1930","unstructured":"(1930). A treatise on money. Volume II: The applied theory of money. London: MacMillan."},{"key":"10.1002\/fut.20151-BIB16","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1002\/fut.3990120108","volume":"12","author":"Kolb","year":"1992","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20151-BIB17","doi-asserted-by":"crossref","first-page":"631","DOI":"10.1002\/(SICI)1096-9934(199609)16:6<631::AID-FUT2>3.0.CO;2-G","volume":"16","author":"Kolb","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20151-BIB18","author":"Longsatff","year":"2002","unstructured":"& (2002). Electricity forward prices: A high-frequency empirical analysis. Unpublished manuscript."},{"key":"10.1002\/fut.20151-BIB19","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1162\/003465303765299846","volume":"85","author":"Maynard","year":"2003","journal-title":"The Review of Economics and Statistics"},{"key":"10.1002\/fut.20151-BIB20","doi-asserted-by":"crossref","first-page":"1","DOI":"10.5547\/ISSN0195-6574-EJ-Vol20-No2-1","volume":"20","author":"Pindyck","year":"1999","journal-title":"The Energy Journal"},{"key":"10.1002\/fut.20151-BIB21","doi-asserted-by":"crossref","first-page":"1","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1","volume":"22","author":"Pindyck","year":"2001","journal-title":"The Energy Journal"},{"key":"10.1002\/fut.20151-BIB22","volume-title":"Real options and energy management: Using options methodology to enhance capital budgeting decisions","author":"Ronn","year":"2002","unstructured":"(2002). Real options: The valuation of flexibility in the energy sector. In (Ed.). Real options and energy management: Using options methodology to enhance capital budgeting decisions. London: Risk Books."},{"key":"10.1002\/fut.20151-BIB23","doi-asserted-by":"crossref","first-page":"1297","DOI":"10.1111\/0022-1082.00248","volume":"LV","author":"Routledge","year":"2000","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20151-BIB24","doi-asserted-by":"crossref","first-page":"599","DOI":"10.1093\/biomet\/71.3.599","volume":"71","author":"Said","year":"1984","journal-title":"Biometrika"},{"key":"10.1002\/fut.20151-BIB25","first-page":"41","volume":"6","author":"Samuelson","year":"1965","journal-title":"Industrial Management Review"},{"key":"10.1002\/fut.20151-BIB26","author":"Smith","year":"2003","unstructured":"(2003). Modeling volatility in futures markets. Unpublished manuscript, University of California, Davis."},{"key":"10.1002\/fut.20151-BIB27","doi-asserted-by":"crossref","first-page":"783","DOI":"10.2307\/2951763","volume":"61","author":"Stock","year":"1993","journal-title":"Econometrica"},{"key":"10.1002\/fut.20151-BIB28","first-page":"71","author":"Walls","year":"1995","journal-title":"The Energy Journal"},{"key":"10.1002\/fut.20151-BIB29","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511571848","volume-title":"The economic function of futures markets","author":"Williams","year":"1986","unstructured":"(1986). The economic function of futures markets. Cambridge: Cambridge University Press."},{"key":"10.1002\/fut.20151-BIB30","volume-title":"Handbook of agricultural economics","author":"Williams","year":"2001","unstructured":"(2001). Commodity futures and options. In and (Eds.), Handbook of agricultural economics. Amsterdam; NewYork: Elsevier."},{"key":"10.1002\/fut.20151-BIB31","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511571855","volume-title":"Storage and commodity markets","author":"Williams","year":"1991","unstructured":"& (1991). Storage and commodity markets. Cambridge: Cambridge University Press."},{"key":"10.1002\/fut.20151-BIB32","author":"Wolak","year":"2001","unstructured":"(2001). Designing a competitive wholesale electricity market that benefits customers. Stanford University working paper, October."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20151","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20151","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,3]],"date-time":"2021-07-03T22:22:20Z","timestamp":1625350940000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20151"}},"issued":{"date-parts":[[2005]]},"references-count":32,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2005,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20151","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2026,2,17]],"date-time":"2026-02-17T21:09:57Z","timestamp":1771362597716,"version":"3.50.1"},"reference-count":28,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2009,7,27]],"date-time":"2009-07-27T00:00:00Z","timestamp":1248652800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,2]]},"abstract":"Abstract<\/jats:title>This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three\u2010factor model with one state variable driving the volatility and is maximal among all such models that are also identifiable. The model leads to quasi\u2010analytical formulas for futures and options prices. It allows for time\u2010varying correlation structures between the spot price and convenience yield, the spot price and its volatility, and the volatility and convenience yield. It allows for expected mean\u2010reversion in the short term and for an increasing expected long\u2010term price, and for time\u2010varying risk premia. Furthermore, the model allows for the situation in which options' prices depend on risk not fully spanned by futures prices. These properties are desirable and empirically important for modeling many commodities, especially crude oil. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:101\u2013133, 2010<\/jats:p>","DOI":"10.1002\/fut.20408","type":"journal-article","created":{"date-parts":[[2009,7,28]],"date-time":"2009-07-28T06:35:27Z","timestamp":1248762927000},"page":"101-133","source":"Crossref","is-referenced-by-count":15,"title":["A maximal affine stochastic volatility model of oil prices"],"prefix":"10.1002","volume":"30","author":[{"given":"W. Keener","family":"Hughen","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,27]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/296288"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_1_4_1","volume-title":"A multi\u2010factor model for energy prices","author":"Clewlow L.","year":"1999"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00475"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01331.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20198"},{"key":"e_1_2_1_8_1","volume-title":"Stochastic models of energy commodity prices and their applications: Mean\u2010reversion with jumps and spikes (working paper)","author":"Deng S.","year":"1999"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00278"},{"key":"e_1_2_1_10_1","volume-title":"Dynamic asset pricing theory","author":"Duffie D.","year":"1996"},{"key":"e_1_2_1_11_1","first-page":"39","volume-title":"Managing energy price risk","author":"Duffie D.","year":"1995"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00123.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_1_14_1","volume-title":"Energy and power risk management","author":"Eydeland A.","year":"2003"},{"key":"e_1_2_1_15_1","first-page":"29","volume-title":"Managing energy price risk","author":"Gabillon J.","year":"1995"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_18_1","volume-title":"Options, futures, and other derivatives","author":"Hull J.","year":"2005"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20139"},{"key":"e_1_2_1_20_1","volume-title":"Statistics of random processes","author":"Lipster R.","year":"2004"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05187.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1023\/B:REDR.0000017026.28316.c8"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20120"},{"key":"e_1_2_1_24_1","volume-title":"Stochastic volatility and seasonality in commodity futures and options: The case of soybeans","author":"Richter M.","year":"2002"},{"key":"e_1_2_1_25_1","first-page":"99","article-title":"Hedging long run commitments: Exercises in incomplete market pricing","volume":"26","author":"Ross S.","year":"1997","journal-title":"Economic Notes by Banca Monte"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"key":"e_1_2_1_27_1","doi-asserted-by":"crossref","first-page":"922","DOI":"10.1111\/j.1540-6261.1997.tb02721.x","article-title":"The stochastic behavior of commodity prices: Implications for valuations and hedging","volume":"52","author":"Schwartz E.","year":"1997","journal-title":"Journal of Finance"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.46.7.893.12034"},{"key":"e_1_2_1_29_1","doi-asserted-by":"crossref","unstructured":"Trolle A. &Schwartz E.(2009).Unspanned stochastic volatility and the pricing of commodity derivatives. Review of Financial Studies forthcoming.","DOI":"10.2139\/ssrn.1108546"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20408","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20408","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:58:43Z","timestamp":1700654323000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20408"}},"issued":{"date-parts":[[2009,7,27]]},"references-count":28,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2010,2]]}},"alternative-id":["10.1002\/fut.20408"],"URL":"https:\/\/doi.org\/10.1002\/fut.20408","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,27]]}},{"indexed":{"date-parts":[[2026,2,17]],"date-time":"2026-02-17T21:09:59Z","timestamp":1771362599288,"version":"3.50.1"},"reference-count":47,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,3,12]],"date-time":"2015-03-12T00:00:00Z","timestamp":1426118400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100000923","name":"Australian Research Council","doi-asserted-by":"crossref","award":["DP 1095177"],"award-info":[{"award-number":["DP 1095177"]}],"id":[{"id":"10.13039\/501100000923","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,2]]},"abstract":"Abstract<\/jats:title>By employing a continuous time multi\u2010factor stochastic volatility model, the dynamic relation between returns and volatility in the commodity futures markets is analyzed. The model is estimated by using an extensive database of gold and crude oil futures and futures options. A positive relation in the gold futures market and a negative relation in the crude oil futures market subsist, especially over periods of high volatility principally driven by market\u2010wide shocks. The opposite relation holds over quiet periods typically driven by commodity\u2010specific effects. According to the proposed convenience yield effect, normal (inverted) commodity futures markets entail a negative (positive) relation. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:127\u2013152, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21717","type":"journal-article","created":{"date-parts":[[2015,3,12]],"date-time":"2015-03-12T13:24:27Z","timestamp":1426166667000},"page":"127-152","source":"Crossref","is-referenced-by-count":60,"title":["The Return\u2013Volatility Relation in Commodity Futures Markets"],"prefix":"10.1002","volume":"36","author":[{"given":"Carl","family":"Chiarella","sequence":"first","affiliation":[{"name":"Carl Chiarella and Christina Sklibosios Nikitopoulos are at Finance Discipline Group, UTS Business School University of Technology Sydney, P.O. Box 123 Broadway, NSW 2007 Australia"}]},{"given":"Boda","family":"Kang","sequence":"additional","affiliation":[{"name":"Boda Kang is at Department of Mathematics University of York Heslington, York YO10 5DD United Kingdom"}]},{"given":"Christina Sklibosios","family":"Nikitopoulos","sequence":"additional","affiliation":[{"name":"Carl Chiarella and Christina Sklibosios Nikitopoulos are at Finance Discipline Group, UTS Business School University of Technology Sydney, P.O. Box 123 Broadway, NSW 2007 Australia"}]},{"given":"Thuy\u2010Duong","family":"T\u00f4","sequence":"additional","affiliation":[{"name":"Thuy\u2010Duong T\u00f4 is at School of Banking and Finance, UNSW Business School The University of New South Wales Sydney, NSW 2052 Australia"}]}],"member":"311","published-online":{"date-parts":[[2015,3,12]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2012.14.4.026"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.12.008"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.1"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.03.006"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1098\/rspa.2003.1235"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_10_9_1","unstructured":"Black F.(1976b). Studies in stock price volatility changes. In Proceedings of the 1976 Business Meeting of the Business and Economic Statistics Section American Statistical Association (pp.177\u2013181)."},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp032"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90037-X"},{"key":"e_1_2_10_12_1","article-title":"Commodity Inventory Effect","author":"Carpantier J. F.","year":"2013","journal-title":"University of Luxembourg, CREA Discussion Papers, 2013\u201007"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21566"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.05.019"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1027325227773"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00475"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/258347"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20426"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00278"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002118"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.04.003"},{"key":"e_1_2_10_22_1","author":"Duffie D.","year":"2001","journal-title":"Dynamic asset pricing theory"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.06.007"},{"key":"e_1_2_10_25_1","doi-asserted-by":"crossref","first-page":"1749","DOI":"10.1111\/j.1540-6261.1993.tb05127.x","article-title":"Measuring and testing the impact of news in volatility","volume":"43","author":"Engle R.","year":"1993","journal-title":"Journal of Finance"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.01.014"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2001.318998"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.003"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.19030\/jabr.v27i3.4214"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.046"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.1053"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2243"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.08.027"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1086\/296630"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.03.020"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2012.10.003"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2010.05.056"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp036"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2006.07.001"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.3.837"},{"key":"e_1_2_10_47_1","article-title":"Asymmetric responce of\n volatility: Evidence from stochastic volatility models and realised\n volatility","author":"Yu J.","year":"2004","journal-title":"Research Collection School of Economics (Open Access), Paper 820"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.08.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21717","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21717","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:34:55Z","timestamp":1696584895000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21717"}},"issued":{"date-parts":[[2015,3,12]]},"references-count":47,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2016,2]]}},"alternative-id":["10.1002\/fut.21717"],"URL":"https:\/\/doi.org\/10.1002\/fut.21717","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,3,12]]}},{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T20:03:32Z","timestamp":1771617812923,"version":"3.50.1"},"reference-count":88,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2021,9,28]],"date-time":"2021-09-28T00:00:00Z","timestamp":1632787200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,1]]},"abstract":"Abstract<\/jats:title>Firms use derivatives both for hedging and nonhedging purposes. The Statement of Financial Accounting Standards No. 161 (SFAS 161) requires firms to disclose the purposes of their derivatives usage, thereby helping investors to evaluate the effects of derivatives usage on firm performance. Using a hand\u2010collected sample of US listed firms and a difference\u2010in\u2010differences research design, we find that, compared with nonderivative\u2010users, derivative\u2010users compliant with SFAS 161 experience a significantly greater reduction in stock illiquidity and the probability of informed trading in the post\u2010SFAS 161 period, and such impact is evident only for firms with a high degree of investor attention.<\/jats:p>","DOI":"10.1002\/fut.22275","type":"journal-article","created":{"date-parts":[[2021,9,28]],"date-time":"2021-09-28T22:02:29Z","timestamp":1632866549000},"page":"24-60","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":14,"title":["Do enhanced derivative disclosures work? An informational perspective"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4879-6795","authenticated-orcid":false,"given":"Guanming","family":"He","sequence":"first","affiliation":[{"name":"Department of Accounting Durham University Business School, Durham University Durham UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6721-6269","authenticated-orcid":false,"given":"Helen Mengbing","family":"Ren","sequence":"additional","affiliation":[{"name":"Accounting and Finance Group University of Liverpool Management School, The University of Liverpool Liverpool UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1621-8533","authenticated-orcid":false,"given":"Richard","family":"Taffler","sequence":"additional","affiliation":[{"name":"Finance Group, Warwick Business School The University of Warwick Coventry UK"}]}],"member":"311","published-online":{"date-parts":[[2021,9,28]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2007.04.001"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(02)00195-3"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.243"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000275"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1038\/nphys2575"},{"issue":"3","key":"e_1_2_10_7_1","first-page":"323","article-title":"Disclosure level and the cost of equity capital","volume":"72","author":"Botosan C.","year":"1997","journal-title":"Accounting Review"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfx051"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00049-6"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-007-9032-5"},{"issue":"3","key":"e_1_2_10_11_1","first-page":"305","article-title":"The influence of institutional investors on myopic R&D investment behavior","volume":"73","author":"Bushee B. J.","year":"1998","journal-title":"Accounting Review"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-10211"},{"key":"e_1_2_10_13_1","unstructured":"Bushee B. J.(1981\u20132018).Institutional Investor Classification.https:\/\/accounting-faculty.wharton.upenn.edu\/bushee"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2004.00136.x"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6419.2007.00527.x"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-015-9318-y"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.2308\/TAR-2018-0418"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00063-0"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2015.07.005"},{"issue":"2011","key":"e_1_2_10_20_1","first-page":"25","article-title":"Financial Crisis of 2007\u20102010","volume":"47","author":"Chang W. W.","year":"2011","journal-title":"Keio Economic Studies"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.2308\/TAR-2018-0578"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.09.005"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000391"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.02.004"},{"key":"e_1_2_10_25_1","unstructured":"Center for Research in Security Prices (CRSP). (2005\u20132012).Stocks. Retrieved from Wharton Research Data Service."},{"key":"e_1_2_10_26_1","unstructured":"Compustat. (2005\u20132012).Fundamentals Annual. Retrieved from Wharton Research Data Service."},{"key":"e_1_2_10_27_1","unstructured":"Institutional Brokers' Estimate System (I\/B\/E\/S). (2005\u20132012).Detail history. Retrieved from Wharton Research Data Service."},{"key":"e_1_2_10_28_1","unstructured":"New York Stock Exchange's Trade and Quote (TAQ). (2005\u20132012).Trades and quotes. Retrieved from Wharton Research Data Service."},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01679.x"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.3.743"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2015.03.005"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2015.04.001"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2014.11.001"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2012.00443.x"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.4236\/jfrm.2014.34013"},{"key":"e_1_2_10_36_1","doi-asserted-by":"crossref","unstructured":"Durney M. T. Libby R. &Silva F. B. G.(2021).Complexity as a proxy for risk when evaluating derivative securities(Working paper). Cornell University New York.","DOI":"10.2139\/ssrn.3570998"},{"key":"e_1_2_10_37_1","unstructured":"Dynegy Inc. and Dynegy Holdings Inc. (2008).2007 10\u2010K form. pp.84\u201386.https:\/\/www.sec.gov\/Archives\/edgar\/data\/1105055\/000119312508041975\/d10k.htm"},{"key":"e_1_2_10_38_1","unstructured":"Dynegy Inc. and Dynegy Holdings Inc. (2011).2010 10\u2010K form. pp. F35\u2013F42.https:\/\/www.sec.gov\/Archives\/edgar\/data\/1105055\/000114036111015138\/form_10-k.htm"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.3.805"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04074.x"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90029-8"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003045"},{"issue":"5","key":"e_1_2_10_43_1","doi-asserted-by":"crossref","first-page":"2023","DOI":"10.1111\/j.1540-6261.2009.01493.x","article-title":"Media coverage and the cross\u2010section of stock returns","volume":"64","author":"Fang L. H.","year":"2009","journal-title":"Journal of Financial"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.08.007"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00751.x"},{"key":"e_1_2_10_46_1","volume-title":"Statement of Financial Accounting Standards No.133: Accounting for derivative instruments and hedging activities","author":"Financial Accounting Standards Board (FASB)","year":"1998"},{"key":"e_1_2_10_47_1","volume-title":"Statement of Financial Accounting Standards No.161: Disclosures about derivative instruments and hedging activities","author":"Financial Accounting Standards Board (FASB)","year":"2008"},{"key":"e_1_2_10_48_1","volume-title":"Accounting Standards Update No. 2017\u201012, Derivatives and hedging (Topic 815): Targeted improvements to accounting for hedging activities","author":"Financial Accounting Standards Board (FASB)","year":"2017"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491360"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-10094"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05123.x"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2012.07.003"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.2308\/acch.2005.19.3.137"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01279.x"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx069"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(79)90006-5"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_10_58_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg039"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(98)00032-9"},{"key":"e_1_2_10_60_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq009"},{"key":"e_1_2_10_61_1","doi-asserted-by":"publisher","DOI":"10.1108\/JAAR-09-2017-0096"},{"key":"e_1_2_10_62_1","unstructured":"He G. Ren H. M. &Gao H. G.(2021).Are financially constrained firms susceptible to a stock price crash?(Working paper). Durham University Durham."},{"key":"e_1_2_10_63_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1999.tb00592.x"},{"key":"e_1_2_10_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(01)00018-0"},{"key":"e_1_2_10_65_1","doi-asserted-by":"publisher","DOI":"10.1506\/EETM-FALM-4KDD-9DT9"},{"key":"e_1_2_10_66_1","doi-asserted-by":"publisher","DOI":"10.1506\/0277-1110-4434-M627"},{"key":"e_1_2_10_67_1","doi-asserted-by":"publisher","DOI":"10.2308\/atax-51812"},{"key":"e_1_2_10_68_1","unstructured":"Jarrow R. A.(2011).The role of ABS CDS and CDOs in the credit crisis and the economy(working paper). Cornell University New York."},{"key":"e_1_2_10_69_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v60.n2.2606"},{"key":"e_1_2_10_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2004.02.002"},{"key":"e_1_2_10_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.07.007"},{"key":"e_1_2_10_72_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-007-9058-8"},{"key":"e_1_2_10_73_1","doi-asserted-by":"publisher","DOI":"10.2308\/aud.2008.27.1.169"},{"key":"e_1_2_10_74_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01483.x"},{"issue":"1","key":"e_1_2_10_75_1","first-page":"79","article-title":"The importance of high quality accounting standards","volume":"12","author":"Levitt A.","year":"1998","journal-title":"Accounting Horizon"},{"key":"e_1_2_10_76_1","unstructured":"Manchiraju H. Pierce S. &Sridharan S. S.(2018).Is hedge accounting designation informative about how firms use derivatives?(working paper). Indian Business School Hyderabad."},{"key":"e_1_2_10_77_1","doi-asserted-by":"publisher","DOI":"10.1177\/0148558X0502000304"},{"key":"e_1_2_10_78_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr.2005.80.4.1211"},{"key":"e_1_2_10_79_1","volume-title":"Propensity score analysis: Fundamentals and developments","author":"Pan W.","year":"2015"},{"key":"e_1_2_10_80_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-011-9164-5"},{"key":"e_1_2_10_81_1","doi-asserted-by":"publisher","DOI":"10.2307\/2683903"},{"key":"e_1_2_10_82_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-51449"},{"key":"e_1_2_10_83_1","doi-asserted-by":"publisher","DOI":"10.1086\/508002"},{"key":"e_1_2_10_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.02.005"},{"key":"e_1_2_10_85_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"},{"key":"e_1_2_10_86_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb02054.x"},{"key":"e_1_2_10_87_1","doi-asserted-by":"publisher","DOI":"10.1080\/10800379.2006.12106406"},{"key":"e_1_2_10_88_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1995.tb00467.x"},{"key":"e_1_2_10_89_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2008.11.007"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22275","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22275","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22275","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,9,8]],"date-time":"2024-09-08T23:38:01Z","timestamp":1725838681000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22275"}},"issued":{"date-parts":[[2021,9,28]]},"references-count":88,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2022,1]]}},"alternative-id":["10.1002\/fut.22275"],"URL":"https:\/\/doi.org\/10.1002\/fut.22275","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,9,28]]},"assertion":[{"value":"2020-10-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-12","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,23]],"date-time":"2026-02-23T19:22:37Z","timestamp":1771874557700,"version":"3.50.1"},"reference-count":36,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4471,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,6]]},"DOI":"10.1002\/fut.3990140404","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:41:41Z","timestamp":1183682501000},"page":"405-419","source":"Crossref","is-referenced-by-count":18,"title":["Examining the dependency in intra\u2010day stock index futures"],"prefix":"10.1002","volume":"14","author":[{"given":"Hung\u2010Gay","family":"Fung","sequence":"first","affiliation":[]},{"given":"Wai\u2010Chung","family":"Lo","sequence":"additional","affiliation":[]},{"given":"John E.","family":"Peterson","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_1_3_1","unstructured":"Alexander S. S.(1961 May): \u201cPrice Movements in Speculative Markets: Trends or Random Walks \u201dIndustrial Management Review 7\u201326."},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Booth G. G. Kaen F. R. andKoveos P. E.(1982 Nov.): \u201cWS Analysis of Foreign Exchange Rates \u201dJournal of Monetary Economics 407\u2013415.","DOI":"10.1016\/0304-3932(82)90035-6"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_1_6_1","unstructured":"Cheung Y. W. andLai K. S.(1991): \u201cA Fractional Cointegration Analysis of Purchasing Power Parity \u201d Working Paper University of California Santa Cruz CA."},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Diebold F. X. Husted S. andRush M.(1991 Dec.): \u201cReal Exchange Rates Under the Gold Standard \u201dJournal of Political Economy 1252\u20131271.","DOI":"10.1086\/261799"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(89)90003-2"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Ekman P. D.(1992 Aug.): \u201cIntraday Patterns in the S&P 500 Index Futures Market \u201dThe Journal of Futures Market 365\u2013381.","DOI":"10.1002\/fut.3990120402"},{"key":"e_1_2_1_10_1","volume-title":"Foundation of Finance","author":"Fama E.","year":"1976"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176349936"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130804"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1983.tb00371.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Goldenberg D. H.(1989 June): \u201cMemory and Equilibrium Futures Prices \u201dThe Journal of Futures Market 199\u2013213.","DOI":"10.1002\/fut.3990090303"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Goldenberg D. H.(1986 Spring): \u201cSample Path Properties of Futures Prices \u201dThe Journal of Futures Markets 127\u2013140.","DOI":"10.1002\/fut.3990060111"},{"key":"e_1_2_1_16_1","volume-title":"International Financial Markets","author":"Grabbe J. O.","year":"1991"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Greene M. T. andFielitz B. D.(1977 May): \u201cLong\u2010Term Dependence in Common Stock Returns \u201dJournal of Financial Economics 339\u2013349.","DOI":"10.1016\/0304-405X(77)90006-X"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Helms B. P. Kaen F. R. andRosenman R. E.(1984 Winter): \u201cMemory in Commodity Futures Contracts \u201dThe Journal of Futures Markets 559\u2013567.","DOI":"10.1002\/fut.3990040408"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Junkus J. C.(1991 Feb.): \u201cSystematic Skewness in Futures Contracts \u201dThe Journal of Futures Markets 9\u201324.","DOI":"10.1002\/fut.3990110103"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","unstructured":"Kao G. W. andMa C. K.(1992 Dec.): \u201cMemories Heteroscedasticity and Price Limit in Currency Futures Markets \u201dThe Journal of Futures Markets 679\u2013692.","DOI":"10.1002\/fut.3990120607"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Kendall M.(1953): \u201cThe Analysis of Economic Time\u2010Series Part I: Prices \u201dJournal of the Ruyal Statistical Society 11\u201325.","DOI":"10.2307\/2980947"},{"key":"e_1_2_1_22_1","first-page":"1583","article-title":"Efficient Capital Markets and Martingales","volume":"27","author":"LeRoy S.","year":"1989","journal-title":"Journal of Economic Literature"},{"key":"e_1_2_1_23_1","doi-asserted-by":"crossref","unstructured":"Liu C. andHe J.(1991 June): \u201cA Variance\u2010Ratio Test of Random Walks in Foreign Exchange Rates \u201dJournal of Finance 773\u2013785.","DOI":"10.1111\/j.1540-6261.1991.tb02686.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","unstructured":"Lo A. W.(1991 Sept.): \u201cLong\u2010Term Memory in Stock Market Prices \u201dEconometrica 1279\u20131313.","DOI":"10.2307\/2938368"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.41"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1937966"},{"key":"e_1_2_1_27_1","first-page":"259","article-title":"Statistical Methodology for Non\u2010Periodic Cycles: From the Covariance to WS analysis","volume":"1","author":"Mandelbrot B.","year":"1972","journal-title":"Annuals of Economic and Social Measurement"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00532867"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1029\/WR005i001p00228"},{"issue":"2","key":"e_1_2_1_30_1","first-page":"59","article-title":"Robust R\/S Analysis of Long\u2010Run Serial correlation","volume":"48","author":"Mandelbrot B.","year":"1979","journal-title":"Bulletin of the International Statistical Institute"},{"key":"e_1_2_1_31_1","doi-asserted-by":"crossref","unstructured":"Myers R. J.(1991 Feb.): \u201cEstimating Time\u2010Varying optimal Hedge Ratios on Futures Markets \u201dThe Journal of Futures Markets 39\u201353.","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_1_32_1","doi-asserted-by":"crossref","unstructured":"Peterson R. L. Ma C. K. andRitchey R. J.(1992 Aug.): \u201cDependence in Commodity Prices \u201dThe Journal of Futures Markets 429\u2013446.","DOI":"10.1002\/fut.3990120405"},{"key":"e_1_2_1_33_1","unstructured":"Samuelson P. A.(1965): \u201cProof That Properly Anticipated Prices Fluctuate Randomly \u201dIndustrial Management Review 41\u201349."},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90084-5"},{"key":"e_1_2_1_35_1","doi-asserted-by":"crossref","unstructured":"Stoll H. R. andWhaley R. E.(1990 Dec.): \u201cThe Dynamics of Stock Index and Stock Index Futures Returns \u201dJournal of Financial and Quantitative Analysis 441\u2013468.","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_36_1","unstructured":"Working H.(1958 May): \u201cA Theory of Anticipatory Prices \u201dAmerican Economic Review 188\u2013199."},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1989.tb00036.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140404","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140404","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T14:35:50Z","timestamp":1698158150000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140404"}},"issued":{"date-parts":[[1994,6]]},"references-count":36,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1994,6]]}},"alternative-id":["10.1002\/fut.3990140404"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140404","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,6]]}},{"indexed":{"date-parts":[[2026,2,18]],"date-time":"2026-02-18T23:52:16Z","timestamp":1771458736836,"version":"3.50.1"},"reference-count":70,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2022,2,4]],"date-time":"2022-02-04T00:00:00Z","timestamp":1643932800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,5]]},"abstract":"Abstract<\/jats:title>This paper uses a unique data set of institutional investors\u2019 equity and equity option holdings to investigate how their investment horizons are associated with option trading and its information content. Firms with more short\u2010term investors have more active option markets relative to stock markets. Also, they have a greater proportion of option trading volume ascribed to high\u2010leveraged contracts. Furthermore, both abnormal option trading before earnings announcements and informativeness of option market statistics are more pronounced when short\u2010term investors predominate. These findings suggest that short\u2010term institutions trade leveraged contracts actively to exploit information, thus effecting price discovery in option markets.<\/jats:p>","DOI":"10.1002\/fut.22314","type":"journal-article","created":{"date-parts":[[2022,2,4]],"date-time":"2022-02-04T17:35:02Z","timestamp":1643996102000},"page":"923-958","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Investment horizon and option market activity"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0811-127X","authenticated-orcid":false,"given":"Da\u2010Hea","family":"Kim","sequence":"first","affiliation":[{"name":"SKK Business School Sungkyunkwan University Seoul Republic of Korea"}]}],"member":"311","published-online":{"date-parts":[[2022,2,4]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.007"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1997.tb00531.x"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.03.003"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.02.004"},{"key":"e_1_2_11_6_1","doi-asserted-by":"crossref","unstructured":"Aragon G. Martin J. &Shi Z.(2016).Who benefits in a crisis? Evidence from hedge fund stock and option holdings(Unpublished working paper).","DOI":"10.2139\/ssrn.2880794"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.435"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00226"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.4.743"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v51.n3.1901"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.05.008"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.163"},{"key":"e_1_2_11_15_1","first-page":"305","article-title":"The influence of institutional investors on myopic R&D investment behavior","volume":"73","author":"Bushee B.","year":"1998","journal-title":"Accounting Review"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1506\/J4GU-BHWH-8HME-LE0X"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2672914"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.1.131"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht023"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.09.005"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000238"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx113"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00681.x"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.008"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109020000629"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1024417513085"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb03834.x"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu029"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00090-3"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.10.002"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.08.019"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.1"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90034-7"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90044-X"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03592.x"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90045-1"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04777.x"},{"key":"e_1_2_11_46_1","first-page":"368","article-title":"Option trading and the relation between price and earnings: A cross\u2010sectional analysis","volume":"68","author":"Ho L.","year":"1993","journal-title":"Accounting Review"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.12.004"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04494.x"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.008"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12132"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2004.00160.x"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2004.02.002"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00126"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl025"},{"key":"e_1_2_11_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.08.004"},{"key":"e_1_2_11_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00638.x"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05191.x"},{"key":"e_1_2_11_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2016.01.002"},{"key":"e_1_2_11_59_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_11_60_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00078"},{"key":"e_1_2_11_61_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_11_62_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01722.x"},{"key":"e_1_2_11_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.02.002"},{"key":"e_1_2_11_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_11_65_1","doi-asserted-by":"publisher","DOI":"10.2307\/1886087"},{"key":"e_1_2_11_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(90)90031-X"},{"key":"e_1_2_11_67_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj032"},{"key":"e_1_2_11_68_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_11_69_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00263"},{"key":"e_1_2_11_70_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"},{"key":"e_1_2_11_71_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/hhl046"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22314","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22314","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22314","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T19:20:26Z","timestamp":1692991226000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22314"}},"issued":{"date-parts":[[2022,2,4]]},"references-count":70,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2022,5]]}},"alternative-id":["10.1002\/fut.22314"],"URL":"https:\/\/doi.org\/10.1002\/fut.22314","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,2,4]]},"assertion":[{"value":"2021-12-02","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-01-13","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-02-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T12:49:47Z","timestamp":1773924587015,"version":"3.50.1"},"reference-count":18,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2003,10,20]],"date-time":"2003-10-20T00:00:00Z","timestamp":1066608000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,12]]},"abstract":"Abstract<\/jats:title>In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc Black\u2010Scholes (BS) model\nof Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH\n(EGARCH) process of Nelson. Using S&P 500 options data, we find that the EGARCH model performs better than the ad hoc BS model both in\nterms of in\u2010sample valuation and out\u2010of\u2010sample forecasting. However, the superiority of out\u2010of\u2010sample performance\nEGARCH model over the ad hoc BS model is small and insignificant except in the case of deep\u2010out\u2010of\u2010money put options. The\nout\u2010performance diminishes as one lengthens the forecasting horizon. Interestingly, we find that the more complicated EGARCH model performs worse\nthan the ad hoc BS model in hedging, irrespective of moneyness categories and hedging horizons. For at\u2010the\u2010money and\nout\u2010of\u2010the\u2010money put options, the underperformance of the EGARCH model in hedging is statistically significant. \u00a9 2003 Wiley\nPeriodicals, Inc. Jrl Fut Mark 23:1191\u20131207, 2003<\/jats:p>","DOI":"10.1002\/fut.10109","type":"journal-article","created":{"date-parts":[[2003,10,22]],"date-time":"2003-10-22T19:26:23Z","timestamp":1066850783000},"page":"1191-1207","source":"Crossref","is-referenced-by-count":26,"title":["An empirical investigation of the GARCH option pricing model: Hedging performance"],"prefix":"10.1002","volume":"23","author":[{"given":"Haynes H. M.","family":"Yung","sequence":"first","affiliation":[]},{"given":"Hua","family":"Zhang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,10,20]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_6_1","first-page":"32","article-title":"Riding on a smile","volume":"7","author":"Derman E.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00166-7"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.44.9.1218"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407912"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331189"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(02)00047-1"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90101-X"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04967.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10109","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10109","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,12]],"date-time":"2023-09-12T13:43:06Z","timestamp":1694526186000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10109"}},"issued":{"date-parts":[[2003,10,20]]},"references-count":18,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2003,12]]}},"alternative-id":["10.1002\/fut.10109"],"URL":"https:\/\/doi.org\/10.1002\/fut.10109","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,10,20]]}},{"indexed":{"date-parts":[[2026,3,29]],"date-time":"2026-03-29T02:55:18Z","timestamp":1774752918859,"version":"3.50.1"},"reference-count":9,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5875,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,8]]},"DOI":"10.1002\/(sici)1096-9934(199908)19:5<583::aid-fut5>3.0.co;2-s","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T19:30:55Z","timestamp":1100460655000},"page":"583-602","source":"Crossref","is-referenced-by-count":180,"title":["VaR without correlations for portfolios of derivative securities"],"prefix":"10.1002","volume":"19","author":[{"given":"Giovanni","family":"Barone-Adesi","sequence":"first","affiliation":[]},{"given":"Kostas","family":"Giannopoulos","sequence":"additional","affiliation":[]},{"given":"Les","family":"Vosper","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB1","author":"Allen","year":"1997","unstructured":"(1997). Comparing and contrasting different approaches to computing value at risk. Risk Conference, New York, July."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB2","volume":"11","author":"Barone-Adesi","year":"1998","journal-title":"Risk"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB3","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB4","volume-title":"On the accuracy of VaR estimates based on the variance-covariance approach","author":"Dav\u00e9","year":"1997","unstructured":"& (1997). On the accuracy of VaR estimates based on the variance-covariance approach. Zurich: Olsen & Associates Research Institute."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB5","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1007\/978-1-4899-4541-9","volume-title":"An introduction to the bootstrap. Monographs on Statistics and Applied Probability","author":"Efron","year":"1993","unstructured":"& (1993). An introduction to the bootstrap. Monographs on Statistics and Applied Probability, 57, New York: Chapman & Hall."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB6","volume-title":"Evaluation of value at risk models using historical data","author":"Hendricks","year":"1994","unstructured":"(1994). Evaluation of value at risk models using historical data. New York: FRBNY."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB7","volume-title":"Options, futures and other derivatives","author":"Hull","year":"1997","unstructured":"(1997). Options, futures and other derivatives. Engelwood Cliffs, NJ: Prentice Hall."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB8","doi-asserted-by":"crossref","first-page":"394","DOI":"10.1086\/294632","volume":"36","author":"Mandelbrot","year":"1963","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S-BIB9","volume-title":"Estimation of tail-related risk measures for heteroskedastic financial time series: An extreme value approach","author":"McNeal","year":"1998","unstructured":"& (1998). Estimation of tail-related risk measures for heteroskedastic financial time series: An extreme value approach. Zurich: ETH."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199908)19:5%3C583::AID-FUT5%3E3.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199908)19:5%3C583::AID-FUT5%3E3.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:47:00Z","timestamp":1625132820000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S"}},"issued":{"date-parts":[[1999,8]]},"references-count":9,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1999,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199908)19:5<583::aid-fut5>3.0.co;2-s","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,8]]}},{"indexed":{"date-parts":[[2026,3,27]],"date-time":"2026-03-27T18:52:53Z","timestamp":1774637573983,"version":"3.50.1"},"reference-count":55,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2012,7,23]],"date-time":"2012-07-23T00:00:00Z","timestamp":1343001600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,2]]},"abstract":"The People's Bank of China (PBC) lifted yuan trading restrictions in July of 2010 that led to offshore yuan spot trading in Hong Kong. Based on causality analyses, we find that price discovery is absent between the onshore and offshore spot markets. However, we document the presence of price discovery between onshore spot and offshore nondeliverable forward (NDF) rates. These seemingly inconsistent results present a puzzle wherein one offshore market appears to be more informationally integrated with the onshore market than another. We conclude that price discovery differences in the offshore markets stem from the offshore spot and forward contracts tracking different aspects of yuan rates (e.g., the offshore nondeliverable rate tracks onshore spot rates whereas the offshore spot rate tracks onshore interest rates). Moreover, the introduction of offshore spot trading in Hong Kong has led to an increase in cross\u2010market price discovery between onshore spot and offshore NDF rates. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:103\u2013123, 2014<\/jats:p>","DOI":"10.1002\/fut.21575","type":"journal-article","created":{"date-parts":[[2012,7,23]],"date-time":"2012-07-23T16:23:06Z","timestamp":1343060586000},"page":"103-123","source":"Crossref","is-referenced-by-count":40,"title":["The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts"],"prefix":"10.1002","volume":"34","author":[{"given":"David K.","family":"Ding","sequence":"first","affiliation":[{"name":"David K. Ding is a Professor of Finance at the School of Economics and Finance Massey University, Albany, Auckland, New Zealand and Lee Kong Chian School of Business, Singapore Management University Singapore"}]},{"given":"Yiuman","family":"Tse","sequence":"additional","affiliation":[{"name":"Yiuman Tse is the Peter G. Schick Professor of Finance at the Department of Finance and Legal Studies University of Missouri\u2014St. Louis St. Louis, Missouri"}]},{"given":"Michael R.","family":"Williams","sequence":"additional","affiliation":[{"name":"Michael R. Williams is an Assistant Professor of Finance at the College of Business, Public Administration Governors State University, University Park Illinois"}]}],"member":"311","published-online":{"date-parts":[[2012,7,23]]},"reference":[{"key":"e_1_2_8_2_1","unstructured":"Ashburn E.(2011).Offshore yuan FX trades seen at $1 billion by year end: Deutsche. Reuters February 23 2011."},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1109\/ICMSS.2009.5301927"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9361.2010.00549.x"},{"key":"e_1_2_8_7_1","unstructured":"Cookson R.(2011).HK to start daily renminbi benchmark. Financial Times June 23 2011."},{"key":"e_1_2_8_8_1","first-page":"53","article-title":"Forward currency markets in Asia: Lessons from the Australian experience","author":"Dabelle G.","year":"2006","journal-title":"Bank for International Settlements Quarterly Review"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_8_12_1","unstructured":"Flatt D.(2011a).Renminbi rises to 18\u2010year record on inflation fears. Asiamoney April 7 2011."},{"key":"e_1_2_8_13_1","unstructured":"Flatt D.(2011b).RMB bulls stymie offshore cross\u2010currency swap liquidity. Asiamoney May 2011."},{"key":"e_1_2_8_14_1","doi-asserted-by":"crossref","unstructured":"Foley J.(2010).The yuan needs a small leap forward. The Business Times: Singapore December 8 2010.","DOI":"10.1016\/S1364-5439(10)70108-8"},{"key":"e_1_2_8_15_1","unstructured":"Gu L. &McNelis P. D.(2011).Euro volatility and Chinese fear of floating: Pressures from the NDF market(working paper). Fordham University."},{"key":"e_1_2_8_16_1","first-page":"245","article-title":"Non\u2010deliverable forwards market for Indian rupee: An empirical study","volume":"8","author":"Guru A.","year":"2009","journal-title":"Indian Journal of Economics and Business"},{"key":"e_1_2_8_17_1","unstructured":"Higgins P. &Humpage O. F.(2005).Nondeliverable forwards: Can we tell where the renminbi is headed?Federal Reserve Bank of Cleveland Economic Commentary September 1\u20134."},{"key":"e_1_2_8_18_1","unstructured":"Holland T.(2010).Hong Kong bankers face long wait to fully appreciate yuan. South China Morning Post July 23 2010."},{"key":"e_1_2_8_19_1","first-page":"83","article-title":"The interaction between the RMB offshore NDF and onshore spot rate: Before and after the foreign exchange reform","volume":"11","author":"Huang X.","year":"2006","journal-title":"Journal of Financial Research"},{"key":"e_1_2_8_20_1","unstructured":"Hui D. &Bunning D.(2010).The offshore renminbi: A practical primer on the CNH market(working paper). HSBC Global Research."},{"key":"e_1_2_8_21_1","unstructured":"Ip F.(2010).Trading yuan in Hong Kong. Bloomberg Markets December 2010."},{"key":"e_1_2_8_22_1","unstructured":"Jiang Y.(2010).Analysis: China boosting RMB's internationalization in 3 areas. Asia Pulse September 28 2010."},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01753-4"},{"key":"e_1_2_8_25_1","unstructured":"Lipscomb L.(2005).An overview of non\u2010deliverable foreign exchange forward markets. Federal Reserve Bank of New York May."},{"key":"e_1_2_8_26_1","first-page":"81","article-title":"The markets for non\u2010deliverable forwards in Asian currencies","author":"Ma G.","year":"2004","journal-title":"Bank for International Settlements Quarterly Review"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0106.2007.00392.x"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199909\/10)14:5<563::AID-JAE530>3.0.CO;2-R"},{"key":"e_1_2_8_29_1","first-page":"25","article-title":"Non deliverable foreign exchange forward market: An overview","volume":"27","author":"Misra S.","year":"2006","journal-title":"Reserve Bank of India Occasional Papers"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(01)00012-9"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1749-124X.2007.00082.x"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_8_33_1","unstructured":"Pomfret J.(2010).Factbox: Hong Kong's role as offshore yuan settlement centre. Reuters August 4 2010."},{"key":"e_1_2_8_34_1","unstructured":"Ren D. &Yiu E.(2010).Shanghai drops offshore yuan trading hub dreams: Mainland city to complement HK in global currency drive. South China Morning Post July 22 2010."},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912017"},{"key":"e_1_2_8_36_1","unstructured":"Sin C. Y. (2005).Impulse response and variance decomposition in the presence of time\u2010varying volatility: With applications to price discovery(working paper). Hong Kong Baptist University."},{"key":"e_1_2_8_37_1","unstructured":"Soh K. &Chatterjee S.(2010).Offshore yuan takes off: Tracking dim\u2010sum bonds deliverable forwards and deposits in Hong Kong's fast\u2010growing yuan market. Reuters Analysis December 1 2010."},{"key":"e_1_2_8_38_1","unstructured":"Staff. (2009).Dollar lending jumps on tightening RMB credit and appreciation expectations. China Stakes October 30 2009."},{"key":"e_1_2_8_39_1","unstructured":"Staff. (2010).Analysis: China's exchange rate more flexible since 2005 reform. Asia Pulse July 22 2010."},{"key":"e_1_2_8_40_1","unstructured":"Staff. (2011).China starts yuan options to provide more hedging tools. Xinhua News Agency February 16 2011."},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1109\/ICMSS.2009.5303070"},{"key":"e_1_2_8_42_1","volume-title":"Management and Service Science International Conference","author":"Sun D.","year":"2010"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2008.09.002"},{"key":"e_1_2_8_44_1","unstructured":"Wallace C.(2011).Offshore renminbi market grows in Hong Kong. Institutional Investor April 6 2011."},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1749-124X.2010.01191.x"},{"key":"e_1_2_8_46_1","doi-asserted-by":"crossref","unstructured":"Wang Y. D.(2010b).Convertibility restriction in China's foreign exchange market and its impact on forward pricing(working paper). Stanford Institute for Economic Policy Research.","DOI":"10.2139\/ssrn.1710911"},{"key":"e_1_2_8_47_1","unstructured":"Wang X.(2011).Central bank pegs yuan rate at new record high. China Daily May 10 2011."},{"key":"e_1_2_8_48_1","volume-title":"Management and Service Science International Conference","author":"Wang H.","year":"2009"},{"key":"e_1_2_8_49_1","unstructured":"Wee D.(2011).Offshore RMB bonds face hurdles but offer huge promise. FinanceAsia January 27 2011."},{"key":"e_1_2_8_50_1","article-title":"Beijing considers new hub for yuan","author":"Wei L.","year":"2011","journal-title":"Wall Street Journal"},{"key":"e_1_2_8_51_1","doi-asserted-by":"crossref","unstructured":"Williams J. &Ioannidis C.(2006).Multivariate GARCH models with impulse responses in mean variance and covariance(working paper). University of Aberdeen.","DOI":"10.2139\/ssrn.957134"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1093\/cep\/19.3.347"},{"key":"e_1_2_8_53_1","unstructured":"Ye B.(2011).Interest rates cut on yuan deposits. The Standard April 1 2011."},{"key":"e_1_2_8_54_1","unstructured":"Yiu E.(2010).Big hurdles still block yuan from going global: Bankers brokers say currency still too inaccessible offshore. South China Morning Post October 11 2010."},{"key":"e_1_2_8_55_1","unstructured":"Yiu E.(2011a).HK faces stiffer race as yuan trade centre: More banks in offshore financial centres begin offering services in mainland currency. South China Morning Post January 13 2011."},{"key":"e_1_2_8_56_1","unstructured":"Yiu E.(2011b).HSBC set for yuan\u2010linked liftoff. South China Morning Post May 23 2011."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21575","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21575","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T11:57:09Z","timestamp":1696593429000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21575"}},"issued":{"date-parts":[[2012,7,23]]},"references-count":55,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2014,2]]}},"alternative-id":["10.1002\/fut.21575"],"URL":"https:\/\/doi.org\/10.1002\/fut.21575","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,7,23]]}},{"indexed":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T23:38:18Z","timestamp":1775173098983,"version":"3.50.1"},"reference-count":30,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2018,5,7]],"date-time":"2018-05-07T00:00:00Z","timestamp":1525651200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,9]]},"abstract":"This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with high historical forecasting accuracy and the consensus forecast can be used to predict inventory surprises. This predictor explains some of the pre\u2010announcement price drift, suggesting that informed trading before the announcement is likely to be driven by superior forecasting rather than by information leakage. A simple trading strategy conditioned on the predictor would have generated an annualized Sharpe ratio of 1.26.<\/jats:p>","DOI":"10.1002\/fut.21926","type":"journal-article","created":{"date-parts":[[2018,5,7]],"date-time":"2018-05-07T08:38:39Z","timestamp":1525682319000},"page":"1079-1096","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":19,"title":["What drives informed trading before public releases? Evidence from natural gas inventory announcements"],"prefix":"10.1002","volume":"38","author":[{"given":"Chen","family":"Gu","sequence":"first","affiliation":[{"name":"Shanghai Business School Research Center of Finance Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4375-3550","authenticated-orcid":false,"given":"Alexander","family":"Kurov","sequence":"additional","affiliation":[{"name":"Department of Finance, College of Business and Economics West Virginia University Morgantown West Virginia"}]}],"member":"311","published-online":{"date-parts":[[2018,5,7]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx031"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.09.012"},{"key":"e_1_2_9_5_1","unstructured":"Binham C.(2017).Tyrie calls for probe into market moves before UK data releases. Financial Times March 15 2017. Retrieved fromwww.ft.com"},{"key":"e_1_2_9_6_1","unstructured":"Bird M.(2017).Market swings hint at data leaks. Wall Street Journal March 14 2017. Retrieved fromhttps:\/\/gcalhoun.files.wordpress.com\/2017\/03\/17\u201003\u201014\u2010wsj\u2010market\u2010swings\u2010hint\u2010at\u2010data\u2010leaks.pdf"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009090127"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20374"},{"key":"e_1_2_9_9_1","doi-asserted-by":"crossref","unstructured":"Cieslak A. Morse A. &Vissing\u2010Jorgensen A.(2018).Stock returns over the FOMC cycle(Working paper). Duke University and University of California Berkeley.","DOI":"10.1111\/jofi.12818"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12260"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA10789"},{"key":"e_1_2_9_13_1","unstructured":"DiColo J. A. &Rogow G.(2012).Gas market stung by rapid traders. Wall Street Journal October 16 2012. Retrieved fromhttps:\/\/www.fnlondon.com\/articles\/gas\u2010market\u2010stung\u2010rapid\u2010traders\u201020121017"},{"key":"e_1_2_9_14_1","unstructured":"Flynn P.(2012).Gas traders say HFT's are banging the beehive. Wall Street Journal October 19 2012. Retrieved fromhttp:\/\/www.futuresmag.com\/2012\/10\/19\/gas\u2010traders\u2010say\u2010hfts\u2010are\u2010banging\u2010beehive"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20368"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21633"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.007"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs037"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03985.x"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA11412"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(94)90004-3"},{"key":"e_1_2_9_23_1","article-title":"Price drift before U.S. macroeconomic news: Private information about public announcements?","author":"Kurov A.","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10115"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12196"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2006.04.003"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp063"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176350366"},{"key":"e_1_2_9_31_1","unstructured":"Zhou J.(2015).Sophisticated trading and market efficiency: evidence from macroeconomic news announcements(Working paper). Harvard University."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21926","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21926","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,18]],"date-time":"2023-09-18T09:34:28Z","timestamp":1695029668000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21926"}},"issued":{"date-parts":[[2018,5,7]]},"references-count":30,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2018,9]]}},"alternative-id":["10.1002\/fut.21926"],"URL":"https:\/\/doi.org\/10.1002\/fut.21926","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,5,7]]},"assertion":[{"value":"2017-05-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-04-01","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-05-07","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:08:10Z","timestamp":1700266090396},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":4322,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,11]]},"DOI":"10.1002\/fut.v23:11","type":"journal-issue","created":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T12:30:06Z","timestamp":1700224206000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"23","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v23:11","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T12:30:06Z","timestamp":1700224206000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/23\/11"}},"issued":{"date-parts":[[2003,11]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2003,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v23:11","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,11]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T19:39:49Z","timestamp":1699904389113},"reference-count":28,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3530,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2006,8]]},"DOI":"10.1002\/fut.20215","type":"journal-article","created":{"date-parts":[[2006,6,21]],"date-time":"2006-06-21T19:04:10Z","timestamp":1150916650000},"page":"809-833","source":"Crossref","is-referenced-by-count":7,"title":["Multifactor implied volatility functions for HJM models"],"prefix":"10.1002","volume":"26","author":[{"given":"I-Doun","family":"Kuo","sequence":"first","affiliation":[]},{"given":"Dean A.","family":"Paxson","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006]]},"reference":[{"key":"10.1002\/fut.20215-BIB1","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/0304-405X(94)90002-7","volume":"35","author":"Amin","year":"1994","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20215-BIB2","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1016\/0304-405X(76)90024-6","volume":"3","author":"Black","year":"1976","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20215-BIB3","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20215-BIB4","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1111\/0022-1082.00104","volume":"54","author":"B\u00fchler","year":"1999","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20215-BIB5","doi-asserted-by":"crossref","first-page":"655","DOI":"10.1002\/fut.1703","volume":"21","author":"Cakici","year":"2001","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20215-BIB6","doi-asserted-by":"crossref","first-page":"385","DOI":"10.2307\/1911242","volume":"53","author":"Cox","year":"1985","journal-title":"Econometrica"},{"key":"10.1002\/fut.20215-BIB7","doi-asserted-by":"crossref","first-page":"59","DOI":"10.1016\/0304-405X(78)90020-X","volume":"6","author":"Dothan","year":"1978","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20215-BIB8","doi-asserted-by":"crossref","first-page":"2059","DOI":"10.1111\/0022-1082.00083","volume":"53","author":"Dumas","year":"1998","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20215-BIB9","doi-asserted-by":"crossref","first-page":"483","DOI":"10.2307\/2331161","volume":"28","author":"Flesaker","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20215-BIB10","doi-asserted-by":"crossref","first-page":"701","DOI":"10.1016\/j.jbankfin.2004.05.025","volume":"29","author":"Gupta","year":"2005","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20215-BIB11","doi-asserted-by":"crossref","first-page":"381","DOI":"10.1016\/0022-0531(79)90043-7","volume":"20","author":"Harrison","year":"1970","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/fut.20215-BIB12","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1016\/0304-4149(81)90026-0","volume":"11","author":"Harrison","year":"1981","journal-title":"Stochastic Processes and Their Applications"},{"key":"10.1002\/fut.20215-BIB13","volume-title":"The econometric analysis of time series","author":"Harvey","year":"1990","unstructured":"(1990). The econometric analysis of time series. Hemel Hempstead, United Kingdom: Philip Allan."},{"key":"10.1002\/fut.20215-BIB14","doi-asserted-by":"crossref","first-page":"419","DOI":"10.2307\/2331009","volume":"25","author":"Heath","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20215-BIB15","doi-asserted-by":"crossref","first-page":"77","DOI":"10.2307\/2951677","volume":"60","author":"Heath","year":"1992","journal-title":"Econometrica"},{"key":"10.1002\/fut.20215-BIB16","doi-asserted-by":"crossref","first-page":"1011","DOI":"10.1111\/j.1540-6261.1986.tb02528.x","volume":"41","author":"Ho","year":"1986","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20215-BIB17","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1093\/rfs\/3.4.573","volume":"3","author":"Hull","year":"1990","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20215-BIB18","doi-asserted-by":"crossref","first-page":"46","DOI":"10.3905\/jfi.2000.319268","volume":"10","author":"Hull","year":"2000","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/fut.20215-BIB19","doi-asserted-by":"crossref","first-page":"423","DOI":"10.2307\/2331103","volume":"33","author":"Inui","year":"1998","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20215-BIB20","volume-title":"Interest rate modelling","author":"James","year":"2000","unstructured":"& (2000). Interest rate modelling. Chichester, United Kingdom: Wiley."},{"key":"10.1002\/fut.20215-BIB21","doi-asserted-by":"crossref","first-page":"21","DOI":"10.1080\/13504869400000002","volume":"1","author":"Jarrow","year":"1994","journal-title":"Applied Mathematical Finance"},{"key":"10.1002\/fut.20215-BIB22","doi-asserted-by":"crossref","first-page":"2067","DOI":"10.1111\/0022-1082.00399","volume":"56","author":"Longstaff","year":"2001","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20215-BIB23","doi-asserted-by":"crossref","first-page":"847","DOI":"10.2307\/4126746","volume":"38","author":"Peterson","year":"2003","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20215-BIB24","doi-asserted-by":"crossref","first-page":"237","DOI":"10.1023\/A:1009690621051","volume":"3","author":"Ritchken","year":"1999","journal-title":"Review of Derivatives Research"},{"key":"10.1002\/fut.20215-BIB25","doi-asserted-by":"crossref","first-page":"455","DOI":"10.1111\/j.1540-6261.1985.tb04967.x","volume":"40","author":"Rubinstein","year":"1985","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20215-BIB26","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1016\/0304-405X(77)90016-2","volume":"5","author":"Vasicek","year":"1977","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20215-BIB27","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1111\/j.1540-6261.1986.tb04495.x","volume":"41","author":"Whaley","year":"1986","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20215-BIB28","doi-asserted-by":"crossref","first-page":"839","DOI":"10.1002\/fut.10031","volume":"22","author":"Zeto","year":"2002","journal-title":"Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20215","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20215","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:32:29Z","timestamp":1625164349000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20215"}},"issued":{"date-parts":[[2006]]},"references-count":28,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2006,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20215","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006]]}},{"indexed":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T05:03:02Z","timestamp":1699938182284},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":2100,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,12]]},"DOI":"10.1002\/fut.v29:12","type":"journal-issue","created":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T03:10:53Z","timestamp":1699931453000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"29","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v29:12","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v29:12","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T03:10:53Z","timestamp":1699931453000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/29\/12"}},"issued":{"date-parts":[[2009,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2009,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v29:12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,12]]}},{"indexed":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T03:29:25Z","timestamp":1699932565392},"reference-count":13,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8212,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,3]]},"DOI":"10.1002\/fut.3990040104","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:21:23Z","timestamp":1183591283000},"page":"25-38","source":"Crossref","is-referenced-by-count":23,"title":["Does the treasury bond futures market destabilize the treasury bond cash market?"],"prefix":"10.1002","volume":"4","author":[{"given":"Gary A.","family":"Bortz","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Auerbach I.(1982): \u201cA Fed Watcher's View of the Fed's Commitment to its Monetary Control Procedures \u201d A speech given at the AEI Conference on Current Issues in the Conduct of Monetary Policy February 4 5."},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1111\/j.1540-6261.1981.tb00461.x","article-title":"Futures Trading and Volatility in the GNMA Market","volume":"36","author":"Figlewski S.","year":"1981","journal-title":"Journal of Finance"},{"key":"e_1_2_1_4_1","unstructured":"Froewiss K. C.(1978): \u201cGNMA Futures: Stabilizing or Destabilizing?\u201d Federal Reserve Bank of San Francisco Economic Review 20\u201329."},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","first-page":"529","DOI":"10.1080\/01621459.1965.10480811","article-title":"Some Tests for Homoscedasticity","volume":"60","author":"Goldfeld S. M.","year":"1965","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Gray R.(1963): \u201cOnions Revisited \u201dJournal of Farm Economics May:273\u2013276.","DOI":"10.2307\/1235974"},{"key":"e_1_2_1_7_1","first-page":"460","article-title":"Does Futures Trading Reduce Price Fluctuations in the Cash Markets?","volume":"61","author":"Powers M.","year":"1970","journal-title":"American Economic Review"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00441.x"},{"key":"e_1_2_1_9_1","first-page":"421","article-title":"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?","volume":"71","author":"Shiller R. J.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020406"},{"key":"e_1_2_1_11_1","unstructured":"Taylor G. andLeuthold R.(1974): \u201cThe Influence of Futures Trading on Cash Cattle Price Variations \u201dFood Research Institute Studies 29\u201336."},{"key":"e_1_2_1_12_1","unstructured":"\u201cRapidly Growing Use of Computer Brings Changes to Futures Trading \u201dThe Wall Street Journal October 19 1982 p.B1."},{"key":"e_1_2_1_13_1","unstructured":"\u201cFed Watching Grows in the Markets Spurring Frenzied Anxious Trading \u201dThe Wall Street Journal November 8 1982 p.B1."},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Wojnilower A. M.(1980): \u201cThe Central Rose of Credit Crunches in Recent Financial History \u201dBrookings Papers on Economic Activity No. 2.","DOI":"10.2307\/2534325"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040104","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040104","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:50:11Z","timestamp":1697802611000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040104"}},"issued":{"date-parts":[[1984,3]]},"references-count":13,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1984,3]]}},"alternative-id":["10.1002\/fut.3990040104"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040104","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,3]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T18:12:26Z","timestamp":1699899146725},"reference-count":14,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2009,3,3]],"date-time":"2009-03-03T00:00:00Z","timestamp":1236038400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,5]]},"abstract":"Abstract<\/jats:title>This article introduces a general quadratic approximation scheme for pricing American options based on stochastic volatility and double jump processes. This quadratic approximation scheme is a generalization of the Barone\u2010Adesi and Whaley approach and nests several option models. Numerical results show that this quadratic approximation scheme is efficient and useful in pricing American options. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:478\u2013493, 2009<\/jats:p>","DOI":"10.1002\/fut.20361","type":"journal-article","created":{"date-parts":[[2009,3,3]],"date-time":"2009-03-03T16:06:42Z","timestamp":1236096402000},"page":"478-493","source":"Crossref","is-referenced-by-count":3,"title":["A generalization of the Barone\u2010Adesi and Whaley approach for the analytic approximation of American options"],"prefix":"10.1002","volume":"29","author":[{"given":"Jia\u2010Hau","family":"Guo","sequence":"first","affiliation":[]},{"given":"Mao\u2010Wei","family":"Hung","sequence":"additional","affiliation":[]},{"given":"Leh\u2010Chyan","family":"So","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,3,3]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Bakshi G. &Cao C.(2003).Risk\u2010neutral kurtosis jumps and option pricing: Evidence from 100 most actively traded firms on the CBOE. EFA 2003 Annual Conference Paper No. 953."},{"key":"e_1_2_1_3_1","first-page":"499","article-title":"Empirical performance of alternative option pricing models","volume":"53","author":"Bakshi G.","year":"1997","journal-title":"Journal of Finance"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_1_5_1","first-page":"69","article-title":"The crash of '87: Was it expected? The evidence from options markets","volume":"46","author":"Bates D.","year":"1991","journal-title":"Journal of Finance"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01241.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20230"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(83)80002-3"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504860601170534"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319140"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.113"},{"key":"e_1_2_1_15_1","first-page":"119","article-title":"Analytic approximation for the American put option","volume":"1","author":"MacMillan L.","year":"1987","journal-title":"Futures and Options Research"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20361","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20361","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T17:52:57Z","timestamp":1699897977000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20361"}},"issued":{"date-parts":[[2009,3,3]]},"references-count":14,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2009,5]]}},"alternative-id":["10.1002\/fut.20361"],"URL":"https:\/\/doi.org\/10.1002\/fut.20361","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,3,3]]}},{"indexed":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T09:45:41Z","timestamp":1694339141716},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2019,8,11]],"date-time":"2019-08-11T00:00:00Z","timestamp":1565481600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,9]]},"DOI":"10.1002\/fut.21950","type":"journal-article","created":{"date-parts":[[2019,8,12]],"date-time":"2019-08-12T04:02:05Z","timestamp":1565582525000},"page":"1033-1033","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 39, Number 9, September 2019"],"prefix":"10.1002","volume":"39","member":"311","published-online":{"date-parts":[[2019,8,11]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21950","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21950","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T17:24:16Z","timestamp":1694280256000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21950"}},"issued":{"date-parts":[[2019,8,11]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2019,9]]}},"alternative-id":["10.1002\/fut.21950"],"URL":"https:\/\/doi.org\/10.1002\/fut.21950","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,8,11]]},"assertion":[{"value":"2019-08-11","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T05:05:54Z","timestamp":1700283954336},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3956,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,11]]},"DOI":"10.1002\/fut.v24:11","type":"journal-issue","created":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:26:35Z","timestamp":1700267195000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"24","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v24:11","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:26:35Z","timestamp":1700267195000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/24\/11"}},"issued":{"date-parts":[[2004,11]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2004,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v24:11","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,11]]}},{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T14:43:31Z","timestamp":1649083411242},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6909,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,10]]},"DOI":"10.1002\/fut.3990160701","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T10:24:25Z","timestamp":1183717465000},"page":"fmi-fmi","source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"16","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990160701","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.3990160701","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:44:17Z","timestamp":1625165057000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990160701"}},"issued":{"date-parts":[[1996,10]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1996,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.3990160701","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,10]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T09:18:23Z","timestamp":1696670303901},"reference-count":0,"publisher":"Wiley","issue":"10","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,10]]},"DOI":"10.1002\/fut.v36.10","type":"journal-issue","created":{"date-parts":[[2016,9,5]],"date-time":"2016-09-05T03:01:17Z","timestamp":1473044477000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"36","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v36.10","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:12:30Z","timestamp":1696597950000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/36\/10"}},"issued":{"date-parts":[[2016,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2016,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v36.10","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,10]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T15:34:30Z","timestamp":1700321670736},"reference-count":86,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":7633,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,12]]},"DOI":"10.1002\/fut.3990050405","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:33:45Z","timestamp":1183613625000},"page":"539-577","source":"Crossref","is-referenced-by-count":10,"title":["Pricing Options on Agricultural Futures: Departures from Traditional Theory"],"prefix":"10.1002","volume":"5","author":[{"given":"Robert J.","family":"Hauser","sequence":"first","affiliation":[]},{"given":"David","family":"Neff","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Anderson R. W.(1981 ) \u201cDeterminants of the Volatility of Futures Prices \u201d Working Paper Series #CSFM\u201033 Center for the Study of Futures Markets Columbia University New York."},{"key":"e_1_2_1_3_1","volume-title":"The Time Pattern of Hedging and the Volatility of Futures Prices","author":"Anderson R. W.","year":"1980"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020102"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/296226"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb03490.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Belongia M. T. andGregory T. H.(1984 January): \u201cAre Options on Treasury Bond Futures Priced Efficiently?\u201dReview:5\u201313.","DOI":"10.20955\/r.66.5-13.tne"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90034-X"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2978484"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/258885"},{"key":"e_1_2_1_14_1","volume-title":"Option Pricing and Strategies in Inventory","author":"Bookstaber R. M.","year":"1982"},{"key":"e_1_2_1_15_1","unstructured":"Bookstaber R. M. andMcDonald J. B.(1984 May): \u201cA Generalized Option Valuation Model for the Pricing of Bond Options \u201d Presented at the International Research Seminar Chicago Board of Trade."},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90044-7"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90003-3"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02070.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Brennan M. J. andSchwartz E. S.(1977): \u201cThe Valuation of American Put Options \u201dJournal of Finance 32.","DOI":"10.2307\/2326779"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90030-2"},{"key":"e_1_2_1_21_1","unstructured":"Choi J. W.(1983 July): \u201cReview of Option Pricing Theory and its Application to the Agricultural Options \u201d Unpublished working paper Economic Analysis and Planning Chicago Board of Trade."},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050208"},{"key":"e_1_2_1_23_1","unstructured":"Cox J.(1975 September): \u201cNotes on Option Pricing I: Constant Elasticity of Variance Diffusions \u201d Unpublished manuscript Standford University."},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02288.x"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330518"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/295929"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239876"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_1_32_1","first-page":"255","volume-title":"The Stock Options Manual","author":"Gastineau G.","year":"1979"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90004-7"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90022-9"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03905.x"},{"key":"e_1_2_1_36_1","unstructured":"Gordon J. D. andHeifner R.(1985): \u201cChanging Variances and Thick\u2010Tailed Distributions in Commodity Prices: Estimation and Implications for Price Forecasting.\u201dNCR\u2010134 Conference on Applied Commodity Price Analysis and Forecastingpp.104\u2013124."},{"key":"e_1_2_1_37_1","unstructured":"Grauer F. L. A.(1977): \u201cEquilibrium in Commodity Futures Markets: Theory and Tests.\u201d Unpublished Ph.D. thesis Stanford University."},{"key":"e_1_2_1_38_1","unstructured":"Hahn H.(forthcoming): \u201cPricing Options on Hog Futures.\u201d Unpublished M.S. thesis University of Illinois at Urbana\u2010Champaign IL."},{"key":"e_1_2_1_39_1","volume-title":"An Introduction to the Pricing of Options on Agricultural Futures and on Agricultural Commodities","author":"Hauser R. J.","year":"1984"},{"key":"e_1_2_1_40_1","unstructured":"Hauser R. J. andEales J. S.: \u201cOn Marketing Strategies with Options: A Technique to Measure Risk and Return.\u201d Unpublished manuscript University of Illinois UrbanaChampaign IL. forthcoming"},{"key":"e_1_2_1_41_1","unstructured":"Hauser R. J. Andersen D. K. andOffutt S. E.(1984): \u201cPricing Options on Hog and Soybean Futures.\u201dNCR\u2010134 Conference on Applied Commodity Price Analysis and Forecasting pp.23\u201329."},{"key":"e_1_2_1_42_1","first-page":"183","volume-title":"Option Pricing","author":"Hoag J. W.","year":"1983"},{"key":"e_1_2_1_43_1","first-page":"164","article-title":"Systematic and Random Elements in Short\u2010Term Price Movements","volume":"51","author":"Houthakker H. S.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90021-0"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03574.x"},{"key":"e_1_2_1_46_1","unstructured":"Irwin S. C.(1983): \u201cStatistical and Trading System Analysis of Weak Form Efficiency in U.S. Futures Markets.\u201d Unpublished M.S. thesis Purdue University West Lafayette IN."},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90007-1"},{"key":"e_1_2_1_48_1","first-page":"188","volume-title":"Option Pricing","author":"Jarrow R. A.","year":"1983"},{"key":"e_1_2_1_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90033-3"},{"key":"e_1_2_1_50_1","unstructured":"Jordon J. V. Seale W. E. McCabe N. C. andKenyon D. E.(1985 August): \u201cTransaction Data Tests of the Black Model for Soybean Futures Options.\u201d Presented at the 1985 Annual American Agricultural Economics Association Meeting Ames IA."},{"key":"e_1_2_1_51_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239555"},{"key":"e_1_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_53_1","volume-title":"Farmer's Guide to Trading Agricultural Options","author":"Kenyon D. E.","year":"1984"},{"key":"e_1_2_1_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01892.x"},{"key":"e_1_2_1_55_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb00063.x"},{"key":"e_1_2_1_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02157.x"},{"key":"e_1_2_1_57_1","doi-asserted-by":"crossref","first-page":"394","DOI":"10.1086\/294632","article-title":"The Variation of Certain Speculative Prices","volume":"36","author":"Mandelbrot B. B.","journal-title":"Journal of Business"},{"key":"e_1_2_1_58_1","unstructured":"Mann J. S. andHeifner R. G.(1976 March): \u201cThe Distribution of Short Run Commodity Price Movements.\u201dUSDA\u2010ERS Technical Bulletin1536."},{"key":"e_1_2_1_59_1","unstructured":"Marshall J. F.(1982): \u201cTechnician\u2010Induced Price Dependence in Commodity Futures Markets.\u201d Unpublished Ph.D. thesis State University of New York at Stony Brook."},{"key":"e_1_2_1_60_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03874.x"},{"key":"e_1_2_1_61_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526587"},{"key":"e_1_2_1_62_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_63_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01890.x"},{"key":"e_1_2_1_64_1","first-page":"25","volume-title":"Commodity Markets and Futures Prices","author":"Miller K.","year":"1979"},{"key":"e_1_2_1_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90045-9"},{"key":"e_1_2_1_66_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050206"},{"key":"e_1_2_1_67_1","doi-asserted-by":"publisher","DOI":"10.1086\/295902"},{"key":"e_1_2_1_68_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_1_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90016-1"},{"key":"e_1_2_1_70_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb00058.x"},{"key":"e_1_2_1_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90021-6"},{"key":"e_1_2_1_72_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003264"},{"key":"e_1_2_1_73_1","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1111\/j.1540-6261.1983.tb03636.x","article-title":"Displaced Diffusion Option Pricing","volume":"38","author":"Rubinstein M.","year":"1980","journal-title":"Journal of Finance"},{"key":"e_1_2_1_74_1","unstructured":"Rubinstein M.(1981): \u201cNon\u2010Parametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes From August 23 1976 through August 31 1978.\u201d Working Paper No. 117 University of California Berkeley CA."},{"key":"e_1_2_1_75_1","unstructured":"Rubinstein M.(forthcoming): \u201cOption Markets.\u201d Unpublished manuscript."},{"key":"e_1_2_1_76_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936017"},{"key":"e_1_2_1_77_1","first-page":"41","article-title":"Proof That Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_78_1","unstructured":"Sarassoro G. F.(1985): \u201cCommodity Futures Price Changes and Distribution.\u201d Unpublished M.S. thesis University of Illinois Urbana\u2010Champaign IL."},{"key":"e_1_2_1_79_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb03394.x"},{"key":"e_1_2_1_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90037-X"},{"key":"e_1_2_1_81_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90019-2"},{"key":"e_1_2_1_82_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1970.tb00414.x"},{"key":"e_1_2_1_83_1","first-page":"93","article-title":"A Test of Option Market Efficiency Using a Random\u2010Walk Valuation Model","volume":"29","author":"Trippi R.","year":"1977","journal-title":"Journal of Economics and Business"},{"key":"e_1_2_1_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90013-1"},{"key":"e_1_2_1_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90029-0"},{"key":"e_1_2_1_86_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020408"},{"key":"e_1_2_1_87_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040405"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050405","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050405","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:09:40Z","timestamp":1697774980000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050405"}},"issued":{"date-parts":[[1985,12]]},"references-count":86,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1985,12]]}},"alternative-id":["10.1002\/fut.3990050405"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050405","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,12]]}},{"indexed":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T06:42:33Z","timestamp":1698734553268},"reference-count":14,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2012,5,14]],"date-time":"2012-05-14T00:00:00Z","timestamp":1336953600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,5]]},"abstract":"This study shows that in particular cases, the minimal martingale measure coincides with the Esscher martingale measure. Using the martingale approach can produce an exact solution for the price of a European call option on an asset modeled as an exponential L\u00e9vy process when a closed\u2010form expression exists for the L\u00e9vy measure under some integrability conditions. If the jump component vanishes, the solution reduces to the Black\u2013Scholes formula. To compute the option price accurately and quickly, this study uses polynomial interpolation with divided differences. A numerical analysis compares the accuracy and CPU time of the latter method with those of three Fourier\u2010based formulas described by Lewis (2001). \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:469\u2010491, 2013<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21557","type":"journal-article","created":{"date-parts":[[2012,5,14]],"date-time":"2012-05-14T14:18:42Z","timestamp":1337005122000},"page":"469-491","source":"Crossref","is-referenced-by-count":0,"title":["Option Pricing Using the Martingale Approach with Polynomial Interpolation"],"prefix":"10.1002","volume":"33","author":[{"given":"Ming\u2010Chieh","family":"Wang","sequence":"first","affiliation":[{"name":"Ming\u2010Chieh Wang is an Assistant Professor of International Business Studies National Chi Nan University in Puli Taiwan ROC"}]},{"given":"Li\u2010Jhang","family":"Huang","sequence":"additional","affiliation":[{"name":"Li\u2010Jhang Huang is a Ph.D. candidate in the Department of International Business Studies National Chi Nan University in Puli Taiwan ROC"}]},{"given":"Szu\u2010Lang","family":"Liao","sequence":"additional","affiliation":[{"name":"Szu\u2010Lang Liao is a Professor of Money and Banking National Chengchi University in Taipei Taiwan ROC"}]}],"member":"311","published-online":{"date-parts":[[2012,5,14]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00050-1"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1999.043"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1029962753"},{"key":"e_1_2_8_6_1","article-title":"Financial modeling with jump processes (309 pp.)","author":"Cont R.","year":"2004","journal-title":"Boca Raton, FL: Champan & HALL\/CRC."},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-21584-6"},{"key":"e_1_2_8_8_1","first-page":"389","volume-title":"Applied Stochastic Analysis","author":"F\u00f6llmer H.","year":"1991"},{"key":"e_1_2_8_9_1","first-page":"99","article-title":"Option pricing by Esscher transforms (with discussion)","volume":"46","author":"Gerber H. U.","year":"1994","journal-title":"Transactions of Society of Actuaries"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-0891-4"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.52.1197"},{"key":"e_1_2_8_12_1","doi-asserted-by":"crossref","unstructured":"Lewis A.(2001).A simple option formula for general jump\u2010diffusion and other exponential L\u00e9vy processes.http:\/\/www.optioncity.net.","DOI":"10.2139\/ssrn.282110"},{"key":"e_1_2_8_13_1","volume-title":"Numerical analysis: A practical approach","author":"Maron M. J.","year":"1982"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-22132-7"},{"key":"e_1_2_8_15_1","unstructured":"Papapantoleon A.(2005).An introduction to L\u00e9vy processes with applications in finance.http:\/\/arxiv.org\/abs\/0804.0482."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21557","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21557","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T21:37:24Z","timestamp":1698701844000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21557"}},"issued":{"date-parts":[[2012,5,14]]},"references-count":14,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2013,5]]}},"alternative-id":["10.1002\/fut.21557"],"URL":"https:\/\/doi.org\/10.1002\/fut.21557","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,5,14]]}},{"indexed":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T14:15:12Z","timestamp":1695996912510},"reference-count":18,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5262,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,4]]},"DOI":"10.1002\/fut.3990120209","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:05:35Z","timestamp":1183662335000},"page":"219-236","source":"Crossref","is-referenced-by-count":1,"title":["Ex\u2010ante hedging strategy selection using foreign\u2010exchange\u2010rate forecasting models"],"prefix":"10.1002","volume":"12","author":[{"given":"Jerry A.","family":"Hammer","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90029-0"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01074.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010107"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90027-1"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Giddy I. H. andDufey G.(1975): \u201cThe Random Behavior of Flexible Exchange Rates: Implications for Forecasting \u201dJournal of International Business Studies 1\u201332.","DOI":"10.1057\/palgrave.jibs.8490765"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02104.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080603"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb02216.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_15_1","unstructured":"Lasser D. J.(1987): \u201cA Measure of Ex Ante Hedging Effectiveness for the Treasury Bill and Treasury Bond Futures Markets \u201dReview of Futures Markets 278\u2013295."},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060108"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913738"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02573.x"},{"key":"e_1_2_1_19_1","first-page":"431","article-title":"New Concepts Concerning Futures Markets and Prices","volume":"52","author":"Working H.","year":"1962","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120209","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120209","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,28]],"date-time":"2023-09-28T03:30:41Z","timestamp":1695871841000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120209"}},"issued":{"date-parts":[[1992,4]]},"references-count":18,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1992,4]]}},"alternative-id":["10.1002\/fut.3990120209"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120209","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,4]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T05:40:53Z","timestamp":1696657253150},"reference-count":37,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2014,10,16]],"date-time":"2014-10-16T00:00:00Z","timestamp":1413417600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"Center for International Finance and Regulation","award":["E001"],"award-info":[{"award-number":["E001"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,4]]},"abstract":"Abstract<\/jats:title>This paper introduces a simple, non\u2010parametric way of inferring risk\u2010neutral credit stress event intensities for idiosyncratic, sectoral, and global shocks contained in market credit spreads. We provide an econometric analysis of the implied latent stress event dynamics. A vector autoregressive regression model with exogenous variables finds that these intensities can be related to an observable stock market index, the market volatility, the volatility skew, and treasury yields. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:300\u2013320, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21695","type":"journal-article","created":{"date-parts":[[2014,10,16]],"date-time":"2014-10-16T13:46:03Z","timestamp":1413467163000},"page":"300-320","source":"Crossref","is-referenced-by-count":2,"title":["A Simple Econometric Approach for Modeling Stress Event Intensities"],"prefix":"10.1002","volume":"35","author":[{"given":"Rainer","family":"Jobst","sequence":"first","affiliation":[{"name":"Rainer Jobst, Daniel R\u00f6sch, and Martin Schmelzle are at the Chair of Statistics and Risk Management Universit\u00e4t Regensburg Germany"}]},{"given":"Daniel","family":"R\u00f6sch","sequence":"additional","affiliation":[{"name":"Rainer Jobst, Daniel R\u00f6sch, and Martin Schmelzle are at the Chair of Statistics and Risk Management Universit\u00e4t Regensburg Germany"}]},{"given":"Harald","family":"Scheule","sequence":"additional","affiliation":[{"name":"Harald Scheule is at the Finance Discipline Group, UTS Business School University of Technology Sydney Australia"}]},{"given":"Martin","family":"Schmelzle","sequence":"additional","affiliation":[{"name":"Rainer Jobst, Daniel R\u00f6sch, and Martin Schmelzle are at the Chair of Statistics and Risk Management Universit\u00e4t Regensburg Germany"}]}],"member":"311","published-online":{"date-parts":[[2014,10,16]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2013.771027"},{"key":"e_1_2_7_3_1","doi-asserted-by":"crossref","unstructured":"Altman E.\u00a0I.(2011).Default recovery rates and LGD in credit risk modeling and practice. InA.Lipton&A.Rennie(Eds.) The Oxford Handbook of Credit Derivatives Oxford Handbooks in Finance (pp.\u00a039\u201365). Oxford: Oxford University Press.","DOI":"10.1093\/oxfordhb\/9780199546787.013.0003"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/497044"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000523"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.842"},{"key":"e_1_2_7_7_1","doi-asserted-by":"crossref","unstructured":"Berd A.\u00a0M.(2011).A guide to modelling credit term structures. InA.Lipton&A.Rennie(Eds.) The Oxford Handbook of Credit Derivatives Oxford Handbooks in Finance (pp.\u00a066\u2013122). Oxford: Oxford University Press.","DOI":"10.1093\/oxfordhb\/9780199546787.013.0004"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v64.n4.2"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00798.x"},{"key":"e_1_2_7_10_1","unstructured":"CBOE (2011).The CBOE Skew Index \u2013SKEW. White paper Chicago Board Options Exchange Incorporated Chicago."},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01779.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00402"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.628"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v57.n1.2418"},{"key":"e_1_2_7_16_1","doi-asserted-by":"crossref","first-page":"63","DOI":"10.21314\/JCF.2009.200","article-title":"Computational techniques for basic affine models of portfolio credit risk","volume":"13","author":"Eckner A.","year":"2009","journal-title":"Journal of Computational Finance"},{"key":"e_1_2_7_17_1","unstructured":"Emery K. Ou S. Tennant J. Matos A. &Cantor R.(2009).Moody's global credit policy corporate default and recovery rates 1920\u20132008 Special comment Moody's New York."},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009090061"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbr011"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500103288619232"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.04.015"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024908004956"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504860500396032"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2004.450964"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21626"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/505237"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01330.x"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04037.x"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00797.x"},{"key":"e_1_2_7_31_1","article-title":"Why is price discovery in credit default swap markets news\u2010specific?","author":"Marsh I.","year":"2012","journal-title":"Bank of Finland Research Discussion Paper"},{"key":"e_1_2_7_32_1","volume-title":"Modelling single\u2010name and multi\u2010name credit derivatives","author":"O'Kane D.","year":"2008"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2010.07.012"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs015"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2011.608045"},{"key":"e_1_2_7_36_1","unstructured":"Tung J. Hu J. &Cantor R.(2006).Measuring loss\u2010given\u2010default for structured finance securities: An update. Special comment Moody's New York."},{"key":"e_1_2_7_37_1","unstructured":"Vazza D. Aurora D. &Kraemer N.(2010). Standard & Poor's Default transition and recovery: 2009 Annual global corporate default study and rating transitions. Global Fixed Income Research Standard & Poor's New York."},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp004"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21695","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21695","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T07:34:31Z","timestamp":1696577671000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21695"}},"issued":{"date-parts":[[2014,10,16]]},"references-count":37,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2015,4]]}},"alternative-id":["10.1002\/fut.21695"],"URL":"https:\/\/doi.org\/10.1002\/fut.21695","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,10,16]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T06:18:03Z","timestamp":1696659483416},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":700,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,10]]},"DOI":"10.1002\/fut.v33.10","type":"journal-issue","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T05:02:17Z","timestamp":1696568537000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"33","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v33.10","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T05:02:17Z","timestamp":1696568537000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/33\/10"}},"issued":{"date-parts":[[2013,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2013,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v33.10","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,10]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T09:41:53Z","timestamp":1696671713997},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2016,10,4]],"date-time":"2016-10-04T00:00:00Z","timestamp":1475539200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,11]]},"DOI":"10.1002\/fut.21751","type":"journal-article","created":{"date-parts":[[2016,10,11]],"date-time":"2016-10-11T20:27:21Z","timestamp":1476217641000},"page":"1027-1027","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 36, Number 11, November 2016"],"prefix":"10.1002","volume":"36","member":"311","published-online":{"date-parts":[[2016,10,4]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21751","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21751","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21751","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T10:32:57Z","timestamp":1696588377000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21751"}},"issued":{"date-parts":[[2016,10,4]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2016,11]]}},"alternative-id":["10.1002\/fut.21751"],"URL":"https:\/\/doi.org\/10.1002\/fut.21751","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,10,4]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T15:12:12Z","timestamp":1698333132720},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4532,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,4]]},"DOI":"10.1002\/fut.3990140202","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:57:37Z","timestamp":1183683457000},"source":"Crossref","is-referenced-by-count":0,"title":["Editorial comment and invitation for articles"],"prefix":"10.1002","volume":"14","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140202","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140202","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T07:01:47Z","timestamp":1698217307000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140202"}},"issued":{"date-parts":[[1994,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1994,4]]}},"alternative-id":["10.1002\/fut.3990140202"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140202","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,4]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:17:28Z","timestamp":1697991448362},"reference-count":3,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":7633,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,12]]},"DOI":"10.1002\/fut.3990050410","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:33:45Z","timestamp":1183613625000},"page":"625-631","source":"Crossref","is-referenced-by-count":1,"title":["The Foreign Currency Futures Market: Some Reflections on Competitiveness and Growth"],"prefix":"10.1002","volume":"5","author":[{"given":"Norman S.","family":"Fieleke","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Fieleke N. S.(1975 September): \u201cExchange\u2010Rate Flexibility and the Efficiency of the Foreign\u2010Exchange Markets \u201dJournal of Financial and Quantitative Analysis 409\u2013428.","DOI":"10.2307\/2330488"},{"key":"e_1_2_1_3_1","first-page":"39","article-title":"Foreign\u2010Currency Positioning by US Firms: Some New Evidence","author":"Fieleke N. S.","year":"1981","journal-title":"The Review of Economics and Statistics"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260617"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050410","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050410","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:09:12Z","timestamp":1697774952000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050410"}},"issued":{"date-parts":[[1985,12]]},"references-count":3,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1985,12]]}},"alternative-id":["10.1002\/fut.3990050410"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050410","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,12]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T20:17:54Z","timestamp":1698005874436},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7298,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,9]]},"DOI":"10.1002\/fut.3990060312","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:41:35Z","timestamp":1183614095000},"page":"495-501","source":"Crossref","is-referenced-by-count":3,"title":["Note on initial margin to net asset value: Average values for the commodity pool industry"],"prefix":"10.1002","volume":"6","author":[{"given":"Ronald W.","family":"Cornew","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060312","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060312","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:11:22Z","timestamp":1697915482000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060312"}},"issued":{"date-parts":[[1986,9]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1986,9]]}},"alternative-id":["10.1002\/fut.3990060312"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060312","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,9]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:31:59Z","timestamp":1698010319736},"reference-count":25,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6964,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,8]]},"DOI":"10.1002\/fut.3990070406","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:16:17Z","timestamp":1183623377000},"page":"413-441","source":"Crossref","is-referenced-by-count":4,"title":["An analysis of cash and futures prices in the delivery period of maturing contracts in the coffee \u201cc\u201d market, 1972\u20131981"],"prefix":"10.1002","volume":"7","author":[{"given":"Frieda W.","family":"Shaviro","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Outliers in Statistical Data","author":"Barnett V.","year":"1978"},{"key":"e_1_2_1_3_1","unstructured":"Coffee Sugar & Cocoa Exchange Inc.Daily Market Report 1972\u20131981."},{"key":"e_1_2_1_4_1","volume-title":"Practical Nonparametric Statistics","author":"Conover W. J.","year":"1971"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020105"},{"key":"e_1_2_1_6_1","volume-title":"The Theory of Futures Trading","author":"Goss B. A.","year":"1972"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010103"},{"key":"e_1_2_1_8_1","volume-title":"Readings in Futures Markets, Book III Views from the Trade","author":"Hieronymus T. A.","year":"1978"},{"key":"e_1_2_1_9_1","volume-title":"Economics of Futures Trading for Commercial and Personal Profit","author":"Hieronymus T. A.","year":"1977"},{"key":"e_1_2_1_10_1","volume-title":"Future Trading Upon Organized Markets in the U.S","author":"Hoffman G. W.","year":"1932"},{"key":"e_1_2_1_11_1","unstructured":"Jensen M.(1977 December 30): \u201cU.S. Studying Whether 2 Nations Acted to Keep Coffee Prices High.\u201dThe New York Times."},{"key":"e_1_2_1_12_1","unstructured":"Johnson A. C. Jr.(1976 August):Price Manipulation Under the Commodity Exchange Act 1954\u20131974. Washington D.C. (Report prepared under grant 801\u2010CFTC\u201076 for the Commodity Futures Trading Commission)."},{"key":"e_1_2_1_13_1","volume-title":"Commodities Regulation","author":"Johnson P. M.","year":"1982"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_15_1","unstructured":"Paton George Gordon & Co.Coffee Annual 1975\u20131981."},{"key":"e_1_2_1_16_1","unstructured":"Paton George Gordon & Co.Complete Coffee Coverage 1972\u20131981."},{"key":"e_1_2_1_17_1","unstructured":"Paul A. B.(1976):Treatment of Hedging in Commodity Market Regulation. Washington D.C. Economic Research Service U.S. Dept. of Agriculture Technical Bulletin No. 1538."},{"key":"e_1_2_1_18_1","volume-title":"Getting Started in Commodity Futures Trading","author":"Powers M. J.","year":"1981"},{"key":"e_1_2_1_19_1","unstructured":"Seeger K. E.(1983 April): \u201cPacific Coast Outlook\u2014A Year of Hope.\u201dTea and Coffee Trade Journal 20\u201321."},{"key":"e_1_2_1_20_1","volume-title":"The Commodity Futures Trading Game","author":"Teweles R. J.","year":"1974"},{"key":"e_1_2_1_21_1","unstructured":"U.S. of America before the Commodity Futures Trading Commission. (1982 December 17):In the Matter of Indiana Farm Bureau Cooperative Association Inc. and Louis M. Johnston. CFTC Docket No. 75\u201314. Opinion and Order."},{"key":"e_1_2_1_22_1","unstructured":"U.S. Commodity Futures Trading Commission. (1979 March 12):Complaint and Notice of Hearing Pursuant to Sections 1 (b) and 6(c) of the Commodity Exchange Act in the Matter of Compania Salvadorena S.A. et al. Docket No. 79\u201334."},{"key":"e_1_2_1_23_1","unstructured":"U.S. Commodity Futures Trading Commission. (1976 July 17):Report of the Commodity Futures Trading Commission Advisory Committee on the Economic Role of Contract Markets."},{"key":"e_1_2_1_24_1","unstructured":"U.S. Commodity Futures Trading Commission.Commitments of Traders in Commodity Futures 1978\u20131981."},{"key":"e_1_2_1_25_1","unstructured":"U.S. Congress. House. Committee on Government Operations and Committee on Agriculture. (1977):Rising Coffee Prices and the Federal Response. Hearings before subcommittees of the Committee on Government Operations and the Committee on Agriculture House of Representatives 95th Congress 1st session."},{"key":"e_1_2_1_26_1","volume-title":"Selected Writings of Holbrook Working","author":"Working H.","year":"1977"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070406","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070406","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:32:10Z","timestamp":1697920330000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070406"}},"issued":{"date-parts":[[1987,8]]},"references-count":25,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1987,8]]}},"alternative-id":["10.1002\/fut.3990070406"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070406","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,8]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T06:10:18Z","timestamp":1698127818889},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8492,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,6]]},"DOI":"10.1002\/fut.v12:3","type":"journal-issue","created":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T13:05:15Z","timestamp":1698066315000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"12","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v12:3","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v12:3","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T13:05:15Z","timestamp":1698066315000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/12\/3"}},"issued":{"date-parts":[[1992,6]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1992,6]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v12:3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,6]]}},{"indexed":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T05:29:38Z","timestamp":1700630978342},"reference-count":31,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2012,6,11]],"date-time":"2012-06-11T00:00:00Z","timestamp":1339372800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,9]]},"abstract":"Despite the fact that currency\u2010protected swaps and swaptions are widely traded in the marketplace, pricing models for zero\u2010spread swaps, and swaptions have rarely been examined in the extant literature. This study presents a multicurrency LIBOR market model and uses it to derive pricing formulas for currency\u2010protected swaps and swaptions with nonzero spreads. The resulting pricing formulas are shown to be feasible and tractable for practical implementation and their hedging strategies are also provided. Our pricing formulas provide prices close to those computed from Monte Carlo simulation, but involve far less computation time, and thereby offering almost instant price quotes to clients and daily marking\u2010to\u2010market trading books, and facilitating efficient risk management of trading positions.<\/jats:p>","DOI":"10.1002\/fut.21567","type":"journal-article","created":{"date-parts":[[2012,6,11]],"date-time":"2012-06-11T17:29:28Z","timestamp":1339435768000},"page":"827-867","source":"Crossref","is-referenced-by-count":2,"title":["Currency\u2010Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM"],"prefix":"10.1002","volume":"33","author":[{"given":"Jui\u2010Jane","family":"Chang","sequence":"first","affiliation":[{"name":"Jui\u2010Jane Chang is an assistant professor at the Department of Financial Engineering and Actuarial Mathematics Soochow University Taiwan"}]},{"given":"Son\u2010Nan","family":"Chen","sequence":"additional","affiliation":[{"name":"Son\u2010Nan Chen is a professor at the Shanghai Advanced Institute of Finance (SAIF) Shanghai Jiao Tong University China"}]},{"given":"Ting\u2010Pin","family":"Wu","sequence":"additional","affiliation":[{"name":"Ting\u2010Pin Wu is an associate professor at the Department of Finance National Central University Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2012,6,11]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(91)90013-A"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.3905\/JOD.2009.16.4.053"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2002.319195"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00028"},{"key":"e_1_2_11_6_1","volume-title":"Interest rate models theory and practice","author":"Brigo D.","year":"2006"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2208"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2012.19.3.077"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(83)90038-8"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504869400000001"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050016"},{"key":"e_1_2_11_15_1","volume-title":"Continuous univariate distributions","author":"Johnson N. L.","year":"1994"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2008.702506"},{"key":"e_1_2_11_17_1","doi-asserted-by":"crossref","first-page":"831","DOI":"10.1111\/j.1540-6261.1992.tb03996.x","article-title":"Swaps: Plain and fanciful","author":"Litzenberger R. H.","year":"1992","journal-title":"Journal of Finance"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03823.x"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050025"},{"key":"e_1_2_11_20_1","first-page":"42","article-title":"Gaussian errors","volume":"9","author":"Rogers C.","year":"1996","journal-title":"Risk"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800100054"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407984"},{"key":"e_1_2_11_23_1","first-page":"297","article-title":"Pricing and hedging diff swaps","author":"Turnbull S. M.","year":"1993","journal-title":"Journal of Financial Engineering"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407889"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.699046"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20270"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20310"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.3905\/JOD.2009.16.3.038"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/JOD.2009.17.1.021"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2010.18.2.020"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2011.19.1.041"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21567","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21567","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:01:38Z","timestamp":1696597298000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21567"}},"issued":{"date-parts":[[2012,6,11]]},"references-count":31,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2013,9]]}},"alternative-id":["10.1002\/fut.21567"],"URL":"https:\/\/doi.org\/10.1002\/fut.21567","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,6,11]]}},{"indexed":{"date-parts":[[2022,3,29]],"date-time":"2022-03-29T02:46:39Z","timestamp":1648521999853},"reference-count":4,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5967,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,5]]},"DOI":"10.1002\/(sici)1096-9934(199905)19:3<291::aid-fut3>3.0.co;2-k","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T19:30:48Z","timestamp":1100460648000},"page":"291-306","source":"Crossref","is-referenced-by-count":2,"title":["Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison"],"prefix":"10.1002","volume":"19","author":[{"given":"Roswell E.","family":"Mathis","sequence":"first","affiliation":[]},{"given":"Gerald O.","family":"Bierwag","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199905)19:3<291::AID-FUT3>3.0.CO;2-K-BIB1","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2469\/faj.v46.n1.33","volume":"46","author":"Black","year":"1990","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<291::AID-FUT3>3.0.CO;2-K-BIB2","doi-asserted-by":"crossref","first-page":"1011","DOI":"10.1111\/j.1540-6261.1986.tb02528.x","volume":"41","author":"Ho","year":"1986","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<291::AID-FUT3>3.0.CO;2-K-BIB3","doi-asserted-by":"crossref","first-page":"35","DOI":"10.2469\/faj.v49.n3.35","volume":"49","author":"Kalotay","year":"1993","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<291::AID-FUT3>3.0.CO;2-K-BIB4","doi-asserted-by":"crossref","first-page":"565","DOI":"10.1002\/fut.3990130509","volume":"13","author":"Tian","year":"1993","journal-title":"The Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199905)19:3%3C291::AID-FUT3%3E3.0.CO;2-K","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199905)19:3%3C291::AID-FUT3%3E3.0.CO;2-K","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:38:14Z","timestamp":1625132294000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199905)19:3<291::AID-FUT3>3.0.CO;2-K"}},"issued":{"date-parts":[[1999,5]]},"references-count":4,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1999,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199905)19:3<291::aid-fut3>3.0.co;2-k","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,5]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T05:23:35Z","timestamp":1698125015579},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5322,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,2]]},"DOI":"10.1002\/fut.3990120111","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:57:55Z","timestamp":1183661875000},"page":"117-121","source":"Crossref","is-referenced-by-count":0,"title":["Futures Bibliography"],"prefix":"10.1002","volume":"12","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120111","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120111","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:26:33Z","timestamp":1698074793000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120111"}},"issued":{"date-parts":[[1992,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1992,2]]}},"alternative-id":["10.1002\/fut.3990120111"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120111","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,2]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:45:05Z","timestamp":1709243105090},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6118,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,12]]},"DOI":"10.1002\/(sici)1096-9934(199812)18:8<871::aid-fut1>3.3.co;2-r","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T19:24:07Z","timestamp":1031685847000},"page":"871-901","source":"Crossref","is-referenced-by-count":1,"title":["Regime switching and cointegration tests of the efficiency of futures markets"],"prefix":"10.1002","volume":"18","author":[{"given":"Ying-Foon","family":"Chow","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199812)18:8%3C871::AID-FUT1%3E3.3.CO;2-R","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T13:36:25Z","timestamp":1507642585000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199812%2918%3A8%3C871%3A%3AAID-FUT1%3E3.3.CO%3B2-R"}},"issued":{"date-parts":[[1998,12]]},"references-count":0,"journal-issue":{"issue":"8"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199812)18:8<871::aid-fut1>3.3.co;2-r","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,12]]}},{"indexed":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T14:17:37Z","timestamp":1693318657932},"reference-count":0,"publisher":"Wiley","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,1]]},"DOI":"10.1002\/fut.v42.1","type":"journal-issue","created":{"date-parts":[[2021,12,8]],"date-time":"2021-12-08T07:35:55Z","timestamp":1638948955000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"42","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T12:03:03Z","timestamp":1693224183000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/42\/1"}},"issued":{"date-parts":[[2022,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2022,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v42.1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,1]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T23:00:24Z","timestamp":1709247624805},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5266,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2001,4]]},"DOI":"10.1002\/1096-9934(200104)21:4<377::aid-fut4>3.3.co;2-e","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T20:43:26Z","timestamp":1030308206000},"page":"377-391","source":"Crossref","is-referenced-by-count":11,"title":["Predicting monetary policy with federal funds futures prices"],"prefix":"10.1002","volume":"21","author":[{"given":"Ulf","family":"S\u00f6derstr\u00f6m","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200104)21:4%3C377::AID-FUT4%3E3.3.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T15:36:50Z","timestamp":1507649810000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/1096-9934%28200104%2921%3A4%3C377%3A%3AAID-FUT4%3E3.3.CO%3B2-E"}},"issued":{"date-parts":[[2001,4]]},"references-count":0,"journal-issue":{"issue":"4"},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200104)21:4<377::aid-fut4>3.3.co;2-e","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,4]]}},{"indexed":{"date-parts":[[2024,2,13]],"date-time":"2024-02-13T00:31:47Z","timestamp":1707784307355},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2024,2,11]],"date-time":"2024-02-11T00:00:00Z","timestamp":1707609600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,3]]},"DOI":"10.1002\/fut.22429","type":"journal-article","created":{"date-parts":[[2024,2,12]],"date-time":"2024-02-12T04:48:55Z","timestamp":1707713335000},"page":"341-341","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 44, Number 3, March 2024"],"prefix":"10.1002","volume":"44","member":"311","published-online":{"date-parts":[[2024,2,11]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22429","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,2,12]],"date-time":"2024-02-12T04:49:39Z","timestamp":1707713379000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22429"}},"issued":{"date-parts":[[2024,2,11]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2024,3]]}},"alternative-id":["10.1002\/fut.22429"],"URL":"https:\/\/doi.org\/10.1002\/fut.22429","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,2,11]]},"assertion":[{"value":"2024-02-11","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:52Z","timestamp":1699834132786},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":9094,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,12]]},"DOI":"10.1002\/fut.3990010404","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T20:17:07Z","timestamp":1183580227000},"page":"607-618","source":"Crossref","is-referenced-by-count":0,"title":["Financial futures, bank portfolio risk, and accounting"],"prefix":"10.1002","volume":"1","author":[{"given":"Michael R.","family":"Asay","sequence":"first","affiliation":[]},{"given":"Gisela A.","family":"Gonzalez","sequence":"additional","affiliation":[]},{"given":"Benjamin","family":"Wolkowitz","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010404","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010404","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:38:48Z","timestamp":1699785528000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010404"}},"issued":{"date-parts":[[1981,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1981,12]]}},"alternative-id":["10.1002\/fut.3990010404"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010404","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,12]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:55Z","timestamp":1699834135351},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":12418,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,9]]},"DOI":"10.1002\/fut.v1:3","type":"journal-issue","created":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:50:45Z","timestamp":1699786245000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"1","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v1:3","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v1:3","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:50:45Z","timestamp":1699786245000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/1\/3"}},"issued":{"date-parts":[[1981,9]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1981,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v1:3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,9]]}},{"indexed":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T07:30:01Z","timestamp":1700638201494},"reference-count":20,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2012,8,16]],"date-time":"2012-08-16T00:00:00Z","timestamp":1345075200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,12]]},"abstract":"A two\u2010factor affine theoretical model is used to estimate the long\u2010term futures curves for wheat in the European Union and the United States, as represented by the Euronext and CME markets, respectively. The CME futures curve exhibits a long\u2010term equilibrium; in contrast, the Euronext futures curve does not show a tendency for futures to revert to a long\u2010term equilibrium value. The estimated seasonality is relatively similar for both markets. However, the seasonal minimum and maximum points in the futures curve occur one to two months later for Euronext compared to the CME. More importantly, the futures curve for Euronext has a much more marked seasonality than the CME futures curve. Credible intervals of the futures curves are also estimated. The width clearly increases for longer maturities, but it does so much faster for Euronext than for the CME. For long\u2010maturity futures, variability in the parameter estimates (as opposed to the residual errors) accounts for most of the width of the credible intervals, especially for Euronext. The proposed model can be used to price long\u2010term futures options, long\u2010term price insurance, and long\u2010term swaps, among other applications. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:1118\u20131142, 2013<\/jats:p>","DOI":"10.1002\/fut.21581","type":"journal-article","created":{"date-parts":[[2012,8,16]],"date-time":"2012-08-16T15:43:36Z","timestamp":1345131816000},"page":"1118-1142","source":"Crossref","is-referenced-by-count":4,"title":["Long\u2010term Futures Curves and Seasonal Structures of Wheat in the European Union and the United States"],"prefix":"10.1002","volume":"33","author":[{"given":"Sergio H.","family":"Lence","sequence":"first","affiliation":[{"name":"Sergio H. Lence is with Department of Economics, Iowa State University, Ames, Iowa."}]},{"given":"Herv\u00e9 G.","family":"Ott","sequence":"additional","affiliation":[{"name":"Herv\u00e9 G. Ott is with European Commission, Joint Research Centre, Institute for Prospective Technological Studies (IPTS), Sevilla, Spain."}]},{"given":"Chad E.","family":"Hart","sequence":"additional","affiliation":[{"name":"Chad E. Hart is with Department of Economics, Iowa State University, Ames, Iowa."}]}],"member":"311","published-online":{"date-parts":[[2012,8,16]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05178.x"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1993.408090"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01331.x"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00278"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00426"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_8_11_1","unstructured":"Fackler P. L. &Roberts M. C.(1999 August).A term structure model for agricultural futures.Selected paper presented at the Annual Meeting of the American Agricultural Economics Association Nashville TN."},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1214\/ss\/1177011136"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1050.0361"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-53548-1.50003-9"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aar137"},{"key":"e_1_2_8_16_1","unstructured":"Lence S. H. Hart C. &Hayes D. J.(2009 July).An econometric analysis of the structure of commodity futures prices.Poster presented at the Annual Meeting of the Agricultural and Applied Economics Association Milwaukee WI."},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-50897-3.50015-8"},{"key":"e_1_2_8_18_1","doi-asserted-by":"crossref","unstructured":"Richter M. C. &S\u00f8rensen C.(2002).Stochastic volatility and seasonality in commodity futures and options: The case of soybeans.Working Paper Department of Finance Copenhagen Business School Copenhagen.","DOI":"10.2139\/ssrn.301994"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10017"},{"key":"e_1_2_8_21_1","unstructured":"United States Department of Agriculture Foreign Agricultural Service. (2011).Production supply and distribution online database. Available at:http:\/\/www.fas.usda. gov\/psdonline\/."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21581","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21581","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T04:09:53Z","timestamp":1696565393000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21581"}},"issued":{"date-parts":[[2012,8,16]]},"references-count":20,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2013,12]]}},"alternative-id":["10.1002\/fut.21581"],"URL":"https:\/\/doi.org\/10.1002\/fut.21581","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,8,16]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T05:05:21Z","timestamp":1698037521788},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6537,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,10]]},"DOI":"10.1002\/fut.3990080508","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T10:48:23Z","timestamp":1183632503000},"page":"638-638","source":"Crossref","is-referenced-by-count":0,"title":["Forthcoming Articles"],"prefix":"10.1002","volume":"8","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080508","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080508","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T08:12:32Z","timestamp":1697962352000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080508"}},"issued":{"date-parts":[[1988,10]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1988,10]]}},"alternative-id":["10.1002\/fut.3990080508"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080508","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,10]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T05:03:34Z","timestamp":1698037414542},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6414,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,2]]},"DOI":"10.1002\/fut.3990090101","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T11:18:26Z","timestamp":1183634306000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"9","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090101","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090101","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:07:53Z","timestamp":1697980073000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090101"}},"issued":{"date-parts":[[1989,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1989,2]]}},"alternative-id":["10.1002\/fut.3990090101"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090101","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,2]]}},{"indexed":{"date-parts":[[2024,7,29]],"date-time":"2024-07-29T11:15:22Z","timestamp":1722251722502},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8120,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,6]]},"DOI":"10.1002\/fut.3990040212","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T03:26:40Z","timestamp":1183606000000},"page":"229-230","source":"Crossref","is-referenced-by-count":1,"title":["Legal notes"],"prefix":"10.1002","volume":"4","author":[{"given":"Ronald J.","family":"Horowitz","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040212","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040212","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:52:00Z","timestamp":1697802720000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040212"}},"issued":{"date-parts":[[1984,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1984,6]]}},"alternative-id":["10.1002\/fut.3990040212"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040212","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,6]]}},{"indexed":{"date-parts":[[2024,6,15]],"date-time":"2024-06-15T23:33:19Z","timestamp":1718494399532},"reference-count":28,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8394,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,9]]},"DOI":"10.1002\/fut.3990030304","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:59:29Z","timestamp":1183589969000},"page":"283-293","source":"Crossref","is-referenced-by-count":16,"title":["Commercial banks and interest rate futures: A hedging survey"],"prefix":"10.1002","volume":"3","author":[{"given":"E. Theodore","family":"Veit","sequence":"first","affiliation":[]},{"given":"Wallace W.","family":"Reiff","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Arak M. andMcCurdy C. J.(1979\u20131980): \u201cInterest Rate Futures \u201dFederal Reserve Bank of New York Quarterly Review(Winter):33\u201346."},{"key":"e_1_2_1_3_1","unstructured":"Anon. (1979): \u201cBank Use of Interest Rate Futures \u201dBankers Monthly(February):30."},{"key":"e_1_2_1_4_1","unstructured":"Anon. (1980): \u201cHow Banks are Hedging on Rates \u201dBusiness Week(June 16):110\u2013111."},{"key":"e_1_2_1_5_1","unstructured":"Chicago Board of Trade(1981):Interest Rate Futures Newsletter(March 19):1."},{"key":"e_1_2_1_6_1","unstructured":"Doane K. E. andFredman A. J.(1979): \u201cHow Banks Can Use Interest Rate Futures \u201dBankers Monthly(April):26\u201329."},{"key":"e_1_2_1_7_1","unstructured":"Drabenstoll M. andMcDonley A.(1982): \u201cThe Impact of Financial Futures on Agricultural Banks \u201dFederal Reserve Bank of Kansas City Economic Review(May):19\u201330."},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Ederington L. H.(1979): \u201cThe Hedging Performance of the New Futures Markets \u201dJournal of Finance(March):157\u2013170.","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_9_1","unstructured":"Federal Deposit Insurance Corporation(1980):Bank Operating Statistics."},{"key":"e_1_2_1_10_1","unstructured":"Federal Reserve Board Comptroller of the Currency and FDIC(1979):Joint Policy Statement(November 20)."},{"key":"e_1_2_1_11_1","unstructured":"Federal Reserve Board Federal Resrve Bulletin selected issues."},{"key":"e_1_2_1_12_1","unstructured":"Keen H.Jr.(1980): \u201cInterest Rate Futures: A Challenge for Bankers \u201dFederal Reserve Bank of Philadelphia Review(November\u2010December):13\u201322."},{"key":"e_1_2_1_13_1","unstructured":"Koch D. L. Steinhauser D. W. andWhigham P.(1982): \u201cFinancial Futures as a Risk Management Tool for Banks and S & Ls \u201dFederal Reserve Bank of Atlanta Economic Review(September):4\u201314."},{"key":"e_1_2_1_14_1","unstructured":"Ingram C. W. andEdgar S. M.(1981): \u201cUsing Interest Rate Futures to Hedge Bank Liabilities \u201d paper presented at 1981 Eastern Finance Annual Meeting Newport RI April."},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Kolb R. W. andChiang R.(1981): \u201cImproving Hedging Performance Using Interest Rate Futures \u201dFinancial Management(Autumn):72\u201379.","DOI":"10.2307\/3665221"},{"key":"e_1_2_1_16_1","volume-title":"Interest Rate Futures","author":"Loosigian A.","year":"1980"},{"key":"e_1_2_1_17_1","unstructured":"Menish J. Z.(1980): \u201cInterest Rate Futures \u201dFederal Reserve Bank of Cleveland Economic Commentary(June 16):1\u201315."},{"key":"e_1_2_1_18_1","unstructured":"Moody's Bank and Finance Manual(1980): Moody's Investors Service New York."},{"key":"e_1_2_1_19_1","unstructured":"Morgan K.(1981): Dean Witter Reynolds & Co. presentation atEducators Conference on Financial Instruments Chicago Board of Trade Chicago October26\u201327."},{"key":"e_1_2_1_20_1","unstructured":"Nagen P. S. andKaufman K. A.(1978): \u201cHow the Interest Rate Futures Market Works When a Bank Can Use It Profitably \u201dBanking(May):9 13."},{"key":"e_1_2_1_21_1","unstructured":"Opper B. N.(1982): \u201cProfitability of Insured Commercial Banks \u201dFederal Reserve Bulletin(August):453\u2013465."},{"key":"e_1_2_1_22_1","volume-title":"Inside the Financial Futures Market","author":"Powers M. J.","year":"1981"},{"key":"e_1_2_1_23_1","unstructured":"Quint M.(1976): \u201c15 Banks are Already In Treasury Bill Futures Market with Several More Planning to Enter \u201dAmerican Banker(August 30):1\u20136."},{"key":"e_1_2_1_24_1","unstructured":"Quint M.(1977): \u201cBank Use of T\u2010Bill Futures Market Rising \u201dAmerican Banker(February 14):1 5."},{"key":"e_1_2_1_25_1","unstructured":"Rose S.(1981): \u201cBanks Should Look to the Futures \u201dFortune(April 20):185\u2013192."},{"key":"e_1_2_1_26_1","unstructured":"Schweeser C. Cole J. andD' Antonio L.(1980): \u201cHedging Opportunities in Bank Risk Management Programs \u201dJournal of Commercial Bank Lending(January):29\u201341."},{"key":"e_1_2_1_27_1","volume-title":"Treasury\/Federal Reserve Study of Treasury Futures Markets","author":"U.S. Treasury\/Federal Reserve Staffs","year":"1979"},{"key":"e_1_2_1_28_1","unstructured":"Wilson J. G.(1980): \u201cThe Portfolio Manager's Future(s) \u201dFlorida Banker(November\u2010December):7 9\u201311."},{"key":"e_1_2_1_29_1","unstructured":"Working H.(1953): \u201cFutures Trading and Hedging \u201dAmerican Economic Review(June):314\u2013343."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030304","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030304","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T00:49:12Z","timestamp":1697762952000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030304"}},"issued":{"date-parts":[[1983,9]]},"references-count":28,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1983,9]]}},"alternative-id":["10.1002\/fut.3990030304"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030304","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,9]]}},{"indexed":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T10:40:50Z","timestamp":1694342450061},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2019,10,29]],"date-time":"2019-10-29T00:00:00Z","timestamp":1572307200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,12]]},"DOI":"10.1002\/fut.21953","type":"journal-article","created":{"date-parts":[[2019,10,30]],"date-time":"2019-10-30T04:18:38Z","timestamp":1572409118000},"page":"1487-1487","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 39, Number 12, December 2019"],"prefix":"10.1002","volume":"39","member":"311","published-online":{"date-parts":[[2019,10,29]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21953","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21953","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21953","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T04:32:11Z","timestamp":1694233931000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21953"}},"issued":{"date-parts":[[2019,10,29]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2019,12]]}},"alternative-id":["10.1002\/fut.21953"],"URL":"https:\/\/doi.org\/10.1002\/fut.21953","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,10,29]]},"assertion":[{"value":"2019-10-29","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T23:24:53Z","timestamp":1696029893778},"reference-count":22,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5631,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,4]]},"DOI":"10.1002\/(sici)1096-9934(200004)20:4<345::aid-fut3>3.0.co;2-2","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T04:06:00Z","timestamp":1030248360000},"page":"345-359","source":"Crossref","is-referenced-by-count":5,"title":["Response to price and production risk: The case of Australian wheat"],"prefix":"10.1002","volume":"20","author":[{"given":"Alicia N.","family":"Rambaldi","sequence":"first","affiliation":[]},{"given":"Phil","family":"Simmons","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB1","author":"ABARE","year":"1997","unstructured":"ABARE. (1997). Commodity statistical bulletin. Australian Bureau of Agricultural and Resource Economics, Australian Government Printing Service, Canberra."},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB2","volume-title":"Agricultural decision analysis","author":"Anderson","year":"1977","unstructured":"& (1977). Agricultural decision analysis. Ames, IA: Iowa State University Press."},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB3","doi-asserted-by":"crossref","first-page":"199","DOI":"10.1111\/j.1467-8489.1985.tb00444.x","volume":"29","author":"Bond","year":"1985","journal-title":"Australian Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB4","doi-asserted-by":"crossref","first-page":"16","DOI":"10.1111\/j.1467-8489.1980.tb00367.x","volume":"24","author":"Bond","year":"1980","journal-title":"Australian Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB5","doi-asserted-by":"crossref","first-page":"529","DOI":"10.2307\/1243021","volume":"72","author":"Chavas","year":"1990","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB6","doi-asserted-by":"crossref","first-page":"329","DOI":"10.2307\/2109935","volume":"78","author":"Chavas","year":"1996","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB7","volume-title":"Applied econometric time series","author":"Enders","year":"1995","unstructured":"(1995). Applied econometric time series. New York, NY: Wiley."},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB8","doi-asserted-by":"crossref","first-page":"147","DOI":"10.1111\/j.1467-8489.1990.tb00699.x","volume":"34","author":"Fisher","year":"1990","journal-title":"Australian Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB9","doi-asserted-by":"crossref","first-page":"230","DOI":"10.2307\/1060492","volume":"57","author":"Holt","year":"1990","journal-title":"Southern Economic Journal"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB10","volume-title":"Agriculture in the Australian economy","author":"Johnson","year":"1990","unstructured":"& (1990). Changes in supply of agricultural products. In (Ed.), Agriculture in the Australian economy (Third edition). Sydney, Australia: Sydney University Press."},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB11","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1016\/0304-4076(78)90006-4","volume":"7","author":"Just","year":"1978","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB12","volume-title":"Portfolio selection?Efficient diversification of investments","author":"Markowitz","year":"1959","unstructured":"(1959). Portfolio selection?Efficient diversification of investments. New York, NY: Wiley."},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB13","first-page":"9","volume":"50","author":"McKay","year":"1982","journal-title":"Review of Marketing and Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB14","first-page":"421","volume":"77","author":"Meyer","year":"1987","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB15","volume-title":"The dynamics of supply: Estimation of farmer's response to price","author":"Nerlove","year":"1958","unstructured":"(1958). The dynamics of supply: Estimation of farmer's response to price. Batimore, MD: John Hopkins University Press."},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB16","doi-asserted-by":"crossref","first-page":"743","DOI":"10.2307\/1242826","volume":"73","author":"Pope","year":"1991","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB17","doi-asserted-by":"crossref","first-page":"196","DOI":"10.2307\/1243621","volume":"76","author":"Pope","year":"1994","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB18","doi-asserted-by":"crossref","first-page":"122","DOI":"10.2307\/1913738","volume":"32","author":"Pratt","year":"1964","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB19","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/1467-8489.00008","volume":"41","author":"Simmons","year":"1997","journal-title":"Australian Journal of Agricultural and Resource Economics"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB20","first-page":"354","volume":"62","author":"Tsiang","year":"1972","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB21","doi-asserted-by":"crossref","first-page":"221","DOI":"10.2307\/2526250","volume":"21","author":"Vincent","year":"1980","journal-title":"International Economic Review"},{"key":"10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2-BIB22","volume-title":"Climate change 1995, impacts, adaptations and mitigation of climate change: Scientific technical analysis","author":"Watson","year":"1996","unstructured":"& (1996). Climate change 1995, impacts, adaptations and mitigation of climate change: Scientific technical analysis (Chapter 2). Cambridge, U.K.: Cambridge University Press."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200004)20:4%3C345::AID-FUT3%3E3.0.CO;2-2","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(200004)20:4%3C345::AID-FUT3%3E3.0.CO;2-2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:06:34Z","timestamp":1625133994000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(200004)20:4<345::AID-FUT3>3.0.CO;2-2"}},"issued":{"date-parts":[[2000,4]]},"references-count":22,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2000,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200004)20:4<345::aid-fut3>3.0.co;2-2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,4]]}},{"indexed":{"date-parts":[[2024,9,19]],"date-time":"2024-09-19T14:49:30Z","timestamp":1726757370684},"reference-count":20,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5601,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,5]]},"DOI":"10.1002\/(sici)1096-9934(200005)20:5<405::aid-fut1>3.0.co;2-5","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T00:06:00Z","timestamp":1030233960000},"page":"405-424","source":"Crossref","is-referenced-by-count":9,"title":["Lower-boundary violations and market efficiency: Evidence from the German DAX-index options market"],"prefix":"10.1002","volume":"20","author":[{"given":"Stefan","family":"Mittnik","sequence":"first","affiliation":[]},{"given":"Sascha","family":"Rieken","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB1","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1016\/0304-405X(83)90034-X","volume":"12","author":"Bhattacharya","year":"1983","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB2","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB3","doi-asserted-by":"crossref","first-page":"21","DOI":"10.1111\/j.1475-6803.1988.tb00063.x","volume":"11","author":"Chance","year":"1988","journal-title":"The Journal of Financial Research"},{"year":"1994","author":"Chesney","key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB4","unstructured":"& (1994). Arbitrage trading and index option pricing at SOFFEX: An empirical study using daily and intradaily data. Cahiers du D\u00e9partement d'Economique, Facult\u00e9 des Sciences Economiques, Universit\u00e9 de Gen\u00e8ve."},{"year":"1992","author":"Deutsche Terminb\u00f6rse","key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB5","unstructured":"Deutsche Terminb\u00f6rse (1992). DTB Rundschreiben Nr. 19\/20 (92)."},{"year":"1993","author":"Deutsche Terminb\u00f6rse","key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB6","unstructured":"Deutsche Terminb\u00f6rse (1993). DTB Rundschreiben Nr. 13 (93)."},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB7","volume-title":"Options Markets","author":"Cox","year":"1985","unstructured":"& (1985). Options Markets. Englewood Cliffs, NJ: Prentice Hall."},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB8","doi-asserted-by":"crossref","first-page":"743","DOI":"10.1111\/j.1540-6261.1985.tb04998.x","volume":"40","author":"Evnine","year":"1985","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB9","first-page":"251","volume":"7","author":"Figlewski","year":"1988","journal-title":"The Review of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB10","first-page":"321","volume":"9","author":"Galai","year":"1978","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB11","first-page":"45","volume-title":"Option Pricing: Theory and Applications","author":"Galai","year":"1983","unstructured":"(1983). A Survey of Empirical Tests of Option-Pricing Models. In (Ed.), Option Pricing: Theory and Applications (pp. 45-80). Lexington, MA: Lexington Books."},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB12","doi-asserted-by":"crossref","first-page":"481","DOI":"10.1111\/j.1540-6261.1985.tb04968.x","volume":"40","author":"Halpern","year":"1985","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB13","volume-title":"Options, futures, and other derivatives","author":"Hull","year":"1997","unstructured":"(1997). Options, futures, and other derivatives (3rd ed.). Upper Saddle River, NJ: Prentice-Hall."},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB14","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1016\/0304-405X(78)90025-9","volume":"6","author":"Jensen","year":"1978","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB15","first-page":"536","volume":"73","author":"Johnson","year":"1978","journal-title":"Journal of the American Statistical Association"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB16","doi-asserted-by":"crossref","first-page":"519","DOI":"10.2307\/2331275","volume":"30","author":"Kamara","year":"1995","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB17","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"Merton","year":"1973","journal-title":"Bell Journal of Economics and Management Science"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB18","doi-asserted-by":"crossref","first-page":"545","DOI":"10.1002\/fut.3990130508","volume":"13","author":"Puttonen","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB19","volume-title":"Geld, Banken und Versicherungen: Beitr;auage zum 3. Symposium Geld, Banken und Versicherungen an der Universit\u00e4t Karlsruhe vom 12.-15. Dezember 1984","volume":"3","author":"Trautmann","year":"1984","unstructured":"(1984). Distribution-free tests of the efficiency of the Frankfurt options exchange from April 5, 1983 through September 28, 1984. In & (Eds.), Geld, Banken und Versicherungen: Beitr;auage zum 3. Symposium Geld, Banken und Versicherungen an der Universit\u00e4t Karlsruhe vom 12.-15. Dezember 1984, Vol. 3. Karlsruhe: Verlag Versicherungswirtschaft."},{"key":"10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5-BIB20","volume-title":"Kapitalmarkt und Finanzierung, Schriften des Vereins f\u00fcr Socialpolitik, Gesellschaft f\u00fcr Wirtschafts- und Sozialwissenschaften N. F.: Jahrestagung des Vereins f\u00fcr Socialpolitik in M\u00fcnchen 1986","volume":"165","author":"Trautmann","year":"1987","unstructured":"(1987). Die Bewertung von Aktienoptionen am deutschen Kapitalmarkt?Eine empirische \u00dcberpr\u00fcfung der Informationseffizienzhypothese. In (Ed.), Kapitalmarkt und Finanzierung, Schriften des Vereins f\u00fcr Socialpolitik, Gesellschaft f\u00fcr Wirtschafts- und Sozialwissenschaften N. F.: Jahrestagung des Vereins f\u00fcr Socialpolitik in M\u00fcnchen 1986, Vol. 165. Berlin: Duncker & Humblot."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200005)20:5%3C405::AID-FUT1%3E3.0.CO;2-5","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(200005)20:5%3C405::AID-FUT1%3E3.0.CO;2-5","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T05:49:31Z","timestamp":1625118571000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(200005)20:5<405::AID-FUT1>3.0.CO;2-5"}},"issued":{"date-parts":[[2000,5]]},"references-count":20,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2000,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200005)20:5<405::aid-fut1>3.0.co;2-5","ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2000,5]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T16:41:13Z","timestamp":1697906473999},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,9,15]],"date-time":"2006-09-15T00:00:00Z","timestamp":1158278400000},"content-version":"vor","delay-in-days":8507,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,6]]},"DOI":"10.1002\/fut.3990030212","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:46:01Z","timestamp":1183589161000},"page":"231-234","source":"Crossref","is-referenced-by-count":1,"title":["Futures Bibliography"],"prefix":"10.1002","volume":"3","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,15]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030212","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030212","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T08:18:20Z","timestamp":1697789900000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030212"}},"issued":{"date-parts":[[1983,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1983,6]]}},"alternative-id":["10.1002\/fut.3990030212"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030212","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,6]]}},{"indexed":{"date-parts":[[2024,8,7]],"date-time":"2024-08-07T13:12:58Z","timestamp":1723036378899},"reference-count":28,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,2]],"date-time":"2015-09-02T00:00:00Z","timestamp":1441152000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,5]]},"abstract":"This paper examines the pricing of volatility risk using SPX corridor implied volatility. We decompose model\u2010free implied volatility into various components using different segments of the cross\u2010section of out\u2010of\u2010the money put and call option prices. We find that only model\u2010free volatility computed from the cross\u2010section of out\u2010of\u2010the\u2010money call option prices carries a significant negative risk premium in the cross\u2010section of stock returns and subsumes all relevant information for forecasting future volatility. Our empirical results provide strong evidence that SPX out\u2010of\u2010the money put option prices do not contain useful information for pricing aggregate volatility risk in the cross\u2010section of stock returns. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:488\u2013505, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21738","type":"journal-article","created":{"date-parts":[[2015,9,2]],"date-time":"2015-09-02T20:12:10Z","timestamp":1441224730000},"page":"488-505","source":"Crossref","is-referenced-by-count":7,"title":["Corridor Volatility Risk and Expected Returns"],"prefix":"10.1002","volume":"36","author":[{"given":"George","family":"Dotsis","sequence":"first","affiliation":[{"name":"George Dotsis is at Department of Economics University of Athens Athens Greece"}]},{"given":"Nikolaos","family":"Vlastakis","sequence":"additional","affiliation":[{"name":"Nikolaos Vlastakis is at Essex Finance Centre and Essex Business School University of Essex Colchester UK"}]}],"member":"311","published-online":{"date-parts":[[2015,9,2]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01419.x"},{"key":"e_1_2_8_3_1","volume-title":"Dissecting the pricing of equity index volatility","author":"Andersen T. G.","year":"2010"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv033"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2007.09.020"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03808.x"},{"key":"e_1_2_8_13_1","first-page":"458","volume-title":"Volatility: New estimation techniques for pricing derivatives","author":"Carr P.","year":"1998"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00046-5"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12220"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20457"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.2.433"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.681813"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01059.x"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/374184"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21738","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21738","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:40:06Z","timestamp":1696574406000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21738"}},"issued":{"date-parts":[[2015,9,2]]},"references-count":28,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2016,5]]}},"alternative-id":["10.1002\/fut.21738"],"URL":"https:\/\/doi.org\/10.1002\/fut.21738","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,9,2]]}},{"indexed":{"date-parts":[[2023,9,8]],"date-time":"2023-09-08T09:41:30Z","timestamp":1694166090138},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,2]]},"DOI":"10.1002\/fut.v40.2","type":"journal-issue","created":{"date-parts":[[2020,1,8]],"date-time":"2020-01-08T04:08:31Z","timestamp":1578456511000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"40","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T21:58:56Z","timestamp":1694123936000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/40\/2"}},"issued":{"date-parts":[[2020,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2020,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v40.2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,2]]}},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:49:17Z","timestamp":1694119757815},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2020,12,15]],"date-time":"2020-12-15T00:00:00Z","timestamp":1607990400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,1]]},"DOI":"10.1002\/fut.22132","type":"journal-article","created":{"date-parts":[[2020,12,15]],"date-time":"2020-12-15T23:11:52Z","timestamp":1608073912000},"page":"1-1","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Journal of Futures Markets: Volume 41, Number 1, January 2021"],"prefix":"10.1002","volume":"41","member":"311","published-online":{"date-parts":[[2020,12,15]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22132","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22132","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,4]],"date-time":"2023-09-04T13:54:33Z","timestamp":1693835673000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22132"}},"issued":{"date-parts":[[2020,12,15]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2021,1]]}},"alternative-id":["10.1002\/fut.22132"],"URL":"https:\/\/doi.org\/10.1002\/fut.22132","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,12,15]]},"assertion":[{"value":"2020-12-15","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,6,27]],"date-time":"2025-06-27T12:11:52Z","timestamp":1751026312964,"version":"3.37.3"},"reference-count":40,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2019,7,21]],"date-time":"2019-07-21T00:00:00Z","timestamp":1563667200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,10]]},"abstract":"Abstract<\/jats:title>This study provides new insights into certain recent developments in derivatives trading in India. Specifically, it examines the implications of introduction of short\u2010selling for pricing efficiency of the Nifty 50 index derivative contracts of National Stock Exchange of India. The empirical results suggest that the introduction of short\u2010selling, supported by a well\u2010functioning security lending and borrowing market, has significantly reduced the overpricing of Nifty 50 index put options. Moreover, the introduction of this short\u2010selling mechanism has lessened the underpricing of Nifty 50 index futures.<\/jats:p>","DOI":"10.1002\/fut.22040","type":"journal-article","created":{"date-parts":[[2019,7,22]],"date-time":"2019-07-22T04:18:57Z","timestamp":1563769137000},"page":"1250-1268","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Options pricing and short\u2010selling in the underlying: Evidence from India"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6781-1102","authenticated-orcid":false,"given":"Alok","family":"Dixit","sequence":"first","affiliation":[{"name":"Finance and Accounting Indian Institute of Management Lucknow Lucknow Uttar Pradesh India"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9844-0738","authenticated-orcid":false,"given":"Vipul","family":"\u00a0","sequence":"additional","affiliation":[{"name":"Finance and Accounting Indian Institute of Management Lucknow Lucknow Uttar Pradesh India"}]},{"given":"Shivam","family":"Singh","sequence":"additional","affiliation":[{"name":"Credit Suisse Mumbai Maharastra India"}]}],"member":"311","published-online":{"date-parts":[[2019,7,21]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00145-X"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01700.x"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01802.x"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht017"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs097"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01230.x"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm11020017"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01270.x"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00206-4"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01428.x"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2206"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330366"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21680"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00225-8"},{"key":"e_1_2_8_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.013"},{"key":"e_1_2_8_1_19_1","first-page":"99","article-title":"Short\u2010sales restrictions and efficiency of emerging option market: A study of Indian stock index options","volume":"46","author":"Gupta R.","year":"2010","journal-title":"International Research Journal of Finance and Economics"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90044-9"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330746"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884166"},{"issue":"1","key":"e_1_2_8_1_23_1","first-page":"53","article-title":"Structural equation modelling: Guidelines for determining model fit","volume":"6","author":"Hooper D.","year":"2008","journal-title":"The Electronic Journal of Business Research Methods"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2018.10.004"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00224-6"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331275"},{"key":"e_1_2_8_1_27_1","unstructured":"2005 The Guilford Press New York R. B. Kline Principles and practice of structural equation modeling"},{"key":"e_1_2_8_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130806"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330056"},{"key":"e_1_2_8_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03317.x"},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00434"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00560"},{"key":"e_1_2_8_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.008"},{"key":"e_1_2_8_1_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq124"},{"key":"e_1_2_8_1_35_1","doi-asserted-by":"publisher","DOI":"10.1108\/MF-06-2014-0177"},{"key":"e_1_2_8_1_36_1","doi-asserted-by":"publisher","DOI":"10.5539\/ijef.v4n5p156"},{"issue":"3","key":"e_1_2_8_1_37_1","first-page":"195","article-title":"Price efficiency of stock and index futures in India","volume":"33","author":"Vipul","year":"2004","journal-title":"Prajnan"},{"key":"e_1_2_8_1_38_1","doi-asserted-by":"publisher","DOI":"10.1177\/0256090920050403"},{"key":"e_1_2_8_1_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20325"},{"key":"e_1_2_8_1_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20376"},{"key":"e_1_2_8_1_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04996.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22040","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22040","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22040","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T04:42:21Z","timestamp":1694320941000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22040"}},"issued":{"date-parts":[[2019,7,21]]},"references-count":40,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2019,10]]}},"alternative-id":["10.1002\/fut.22040"],"URL":"https:\/\/doi.org\/10.1002\/fut.22040","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,7,21]]},"assertion":[{"value":"2017-07-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-06-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-07-21","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:45Z","timestamp":1740104565052,"version":"3.37.3"},"reference-count":26,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2020,3,3]],"date-time":"2020-03-03T00:00:00Z","timestamp":1583193600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,7]]},"abstract":"Abstract<\/jats:title>Although competitive storage theory has proven successful in explaining many patterns for commodity prices, some features are not understood. While standard models predict low correlation between future prices with delivery dates before and after the harvest, the data suggest otherwise. To correct this, I assume that harvests appear continuously rather than at a single moment. This addition to the standard model allows me to link preharvest and postharvest markets to the same source of supply, and hence obtain the empirically observed high correlation. Empirical evidence also suggests that my assumptions are realistic. Results are robust to different parameter specifications.<\/jats:p>","DOI":"10.1002\/fut.22106","type":"journal-article","created":{"date-parts":[[2020,3,4]],"date-time":"2020-03-04T04:56:19Z","timestamp":1583297779000},"page":"1192-1208","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Old crop versus new crop prices: Explaining the correlation"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6846-255X","authenticated-orcid":false,"given":"Francisco","family":"Arroyo Marioli","sequence":"first","affiliation":[{"name":"Central Bank of Chile Metropolitan Region Santiago Chile"}]}],"member":"311","published-online":{"date-parts":[[2020,3,3]]},"reference":[{"key":"e_1_2_8_2_1","unstructured":"Bloomberg L. P. (2016).Commodity futures. Accessed during 2016 Bloomberg Terminal.https:\/\/www.bloomberg.com\/"},{"key":"e_1_2_8_3_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M.","year":"1958","journal-title":"The American Economic Review"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.1997.tb00004.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2007.01021.x"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297923"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/262046"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.007"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90095-0"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"volume-title":"A treatise on money","year":"1930","author":"Keynes J. M.","key":"e_1_2_8_13_1"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/296630"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/0034-6527.00279"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2555858"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"e_1_2_8_18_1","unstructured":"Pirrong S. C.(1998).Price dynamics and derivative prices for continuously produced storable commodities. Working paper John Olin School of Business Washington University."},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9781139018142"},{"issue":"2","key":"e_1_2_8_20_1","first-page":"181","article-title":"Intertemporal price equilibrium: A prologue to the theory of speculation","volume":"79","author":"Samuelson P.","year":"1957","journal-title":"Weltwirtschaftliches Archiv"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.68.2.335"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912279"},{"key":"e_1_2_8_25_1","unstructured":"USDA. (2019).Quick Stats. National Agriculture Statistics Service Accessed during 2016 https:\/\/www.quickstats.nass.usda.gov"},{"key":"e_1_2_8_26_1","first-page":"1254","article-title":"The theory of the price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"The American Economic Review"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090102"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22106","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22106","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22106","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22106","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T01:15:20Z","timestamp":1693962920000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22106"}},"issued":{"date-parts":[[2020,3,3]]},"references-count":26,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2020,7]]}},"alternative-id":["10.1002\/fut.22106"],"URL":"https:\/\/doi.org\/10.1002\/fut.22106","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,3,3]]},"assertion":[{"value":"2019-07-16","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-28","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-03-03","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:23:16Z","timestamp":1740104596243,"version":"3.37.3"},"reference-count":22,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2018,3,26]],"date-time":"2018-03-26T00:00:00Z","timestamp":1522022400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,8]]},"abstract":"We propose an analytical\u2010form framework for pricing perpetual Bermudan options (PBOs) under the lognormal jump\u2010diffusion\u2010ruin model of Merton (1976). We first analytically derive the holding and early exercise values of PBOs. The optimal exercise boundary of the PBO, determined by equating the holding and early exercise values, is then solved using an iteration algorithm. We finally evaluate the PBO by taking the expectation of the option prices at the subsequent exercisable date and discounting it at the risk\u2010free rate. The numerical results indicate that our method is far more efficient than the competing methods in the literature for pricing PBOs.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21911","type":"journal-article","created":{"date-parts":[[2018,3,26]],"date-time":"2018-03-26T14:37:25Z","timestamp":1522075045000},"page":"898-924","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump\u2010diffusion\u2010ruin process"],"prefix":"10.1002","volume":"38","author":[{"given":"San\u2010Lin","family":"Chung","sequence":"first","affiliation":[{"name":"Department of Finance National Taiwan University Taipei Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7952-121X","authenticated-orcid":false,"given":"Jr\u2010Yan","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of International Business National Taiwan University Taipei Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2018,3,26]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/00207160.2013.817569"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05130.x"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00257-X"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2002.0000010"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00600"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2007.02014.x"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330677"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003355"},{"volume-title":"Options, Futures, and Other Derivatives","year":"2014","author":"Hull J.","key":"e_1_2_7_11_1"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.3.627"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01224.x"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02452.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11464-007-0017-2"},{"key":"e_1_2_7_16_1","first-page":"51","article-title":"Integral equation methods for pricing perpetual Bermudan options","volume":"2","author":"Ma J.","year":"2012","journal-title":"Journal of Applied Finance and Banking"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884175"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10690-009-9080-x"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2007.12.007"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04730.x"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.2.256"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21911","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21911","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,17]],"date-time":"2023-09-17T11:49:00Z","timestamp":1694951340000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21911"}},"issued":{"date-parts":[[2018,3,26]]},"references-count":22,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2018,8]]}},"alternative-id":["10.1002\/fut.21911"],"URL":"https:\/\/doi.org\/10.1002\/fut.21911","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,3,26]]},"assertion":[{"value":"2017-09-29","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-02-04","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-03-26","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:23:16Z","timestamp":1740104596598,"version":"3.37.3"},"reference-count":24,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2018,5,21]],"date-time":"2018-05-21T00:00:00Z","timestamp":1526860800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71602158"],"award-info":[{"award-number":["71602158"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,9]]},"abstract":"This study proposes a hybrid information approach to predict corporate credit risk. In contrast to the previous literature that debates which credit risk model is the best, we pool information from a diverse set of structural and reduced\u2010form models to produce a model combination based on credit risk prediction. Compared with each single model, the pooled strategies yield consistently lower average risk prediction errors over time. We also find that while the reduced\u2010form models contribute more in the pooled strategies for speculative\u2010grade names and longer maturities, the structural models have higher weights for shorter maturities and investment grade names.<\/jats:p>","DOI":"10.1002\/fut.21930","type":"journal-article","created":{"date-parts":[[2018,5,21]],"date-time":"2018-05-21T12:45:04Z","timestamp":1526906704000},"page":"1062-1078","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["A hybrid information approach to predict corporate credit risk"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0901-3161","authenticated-orcid":false,"given":"Di","family":"Bu","sequence":"first","affiliation":[{"name":"Macquarie University Sydney New South Wales Australia"}]},{"given":"Simone","family":"Kelly","sequence":"additional","affiliation":[{"name":"Department of Finance, Business School Bond University Robina Queensland Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5343-0579","authenticated-orcid":false,"given":"Yin","family":"Liao","sequence":"additional","affiliation":[{"name":"School of Economics, Business School Queensland University of Technology Brisbane Queensland Australia"}]},{"given":"Qing","family":"Zhou","sequence":"additional","affiliation":[{"name":"Macquarie University Sydney New South Wales Australia"},{"name":"School of Management Xi\u2019an Jiaotong University Xi\u2019an China"}]}],"member":"311","published-online":{"date-parts":[[2018,5,21]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/3008764"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01891.x"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.1214\/105051604000000251"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn078"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0169-2070(89)90012-5"},{"key":"e_1_2_8_1_7_1","unstructured":"Clements M. Hendry D. F. & College N. (2002). Pooling of forecasts (Discussion Papers in Economics). Nuffield College."},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00395"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"crossref","unstructured":"Diebold F. X.&Lopez J. A.(1996).Forecast evaluation and combination(Working paper 192). National Bureau of Economic Research.","DOI":"10.3386\/t0192"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.687"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbt001"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg053"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"crossref","unstructured":"Feldh\u00fctter P. &Stephen S.(in press).The myth of the credit spread puzzle.The Review of Financial Studies.https:\/\/doi.org\/10.1093\/rfs\/hhy032","DOI":"10.1093\/rfs\/hhy032"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1162\/neco.1992.4.1.1"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3980030207"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-013-9090-8"},{"key":"e_1_2_8_1_18_1","first-page":"1","article-title":"Structural versus reduced form models: A new information based perspective","volume":"2","author":"Jarrow R. A.","year":"2004","journal-title":"Journal of Investment Management"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05167.x"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109012000518"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp063"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.10.006"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.3.788"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0706(05)01004-9"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21930","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21930","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,18]],"date-time":"2023-09-18T09:34:46Z","timestamp":1695029686000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21930"}},"issued":{"date-parts":[[2018,5,21]]},"references-count":24,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2018,9]]}},"alternative-id":["10.1002\/fut.21930"],"URL":"https:\/\/doi.org\/10.1002\/fut.21930","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,5,21]]},"assertion":[{"value":"2016-09-27","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-04-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-05-21","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,1,8]],"date-time":"2025-01-08T05:28:10Z","timestamp":1736314090877,"version":"3.32.0"},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2025,1,7]],"date-time":"2025-01-07T00:00:00Z","timestamp":1736208000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,2]]},"DOI":"10.1002\/fut.22518","type":"journal-article","created":{"date-parts":[[2025,1,7]],"date-time":"2025-01-07T09:36:56Z","timestamp":1736242616000},"page":"77-77","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 45, Number 2, February 2025"],"prefix":"10.1002","volume":"45","member":"311","published-online":{"date-parts":[[2025,1,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22518","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,1,7]],"date-time":"2025-01-07T09:37:23Z","timestamp":1736242643000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22518"}},"issued":{"date-parts":[[2025,1,7]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2025,2]]}},"alternative-id":["10.1002\/fut.22518"],"URL":"https:\/\/doi.org\/10.1002\/fut.22518","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,1,7]]},"assertion":[{"value":"2025-01-07","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:23:30Z","timestamp":1740104610292,"version":"3.37.3"},"reference-count":18,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2019,10,11]],"date-time":"2019-10-11T00:00:00Z","timestamp":1570752000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,2]]},"abstract":"Abstract<\/jats:title>This paper examines whether two well\u2010known cognitive biases, disposition effect and skew preference, may reflect a common feature of certain investors. On the basis of a unique proprietary dataset that provides the details of all transactions in the Korean equity\u2010linked warrant (ELW) market between 2009 and 2011, we find that investors who realize gains faster than losses are also more likely to trade out\u2010of\u2010the\u2010money ELWs. Investors who are less (more) subject to both biases exhibit the best (worst) risk\u2010adjusted trading performance. Our findings suggest that disposition effect and skew preference occur simultaneously, which could adversely affect trading performance.<\/jats:p>","DOI":"10.1002\/fut.22055","type":"journal-article","created":{"date-parts":[[2019,10,11]],"date-time":"2019-10-11T12:30:06Z","timestamp":1570797006000},"page":"228-246","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Are disposition effect and skew preference correlated? Evidence from account\u2010level ELW transactions"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2267-3698","authenticated-orcid":false,"given":"Youngsoo","family":"Choi","sequence":"first","affiliation":[{"name":"Hankuk University of Foreign Studies, Mohyeon\u2010myeon, Cheoin\u2010gu Yongin\u2010si Gyeonggi\u2010do Korea"}]},{"given":"Woojin","family":"Kim","sequence":"additional","affiliation":[{"name":"Seoul National University Business School Gwanak\u2010gu Seoul Korea"}]},{"given":"Eunji","family":"Kwon","sequence":"additional","affiliation":[{"name":"Hankuk University of Foreign Studies, Mohyeon\u2010myeon, Cheoin\u2010gu Yongin\u2010si Gyeonggi\u2010do Korea"}]}],"member":"311","published-online":{"date-parts":[[2019,10,11]]},"reference":[{"key":"e_1_2_9_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.10.018"},{"key":"e_1_2_9_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.05.002"},{"key":"e_1_2_9_1_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1110.1435"},{"key":"e_1_2_9_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00226"},{"key":"e_1_2_9_1_6_1","doi-asserted-by":"crossref","unstructured":"Baron M. Brogaard J. &Kirilenko A.(2012).The trading profits of high frequency traders(Working Paper) University of Washington Seattle WA","DOI":"10.2139\/ssrn.2106158"},{"key":"e_1_2_9_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12152"},{"key":"e_1_2_9_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21989"},{"key":"e_1_2_9_1_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109012000348"},{"key":"e_1_2_9_1_10_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0473"},{"key":"e_1_2_9_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx016"},{"key":"e_1_2_9_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.02.007"},{"key":"e_1_2_9_1_13_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20140386"},{"key":"e_1_2_9_1_14_1","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jam.2240158"},{"key":"e_1_2_9_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00072"},{"key":"e_1_2_9_1_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2008.705531"},{"key":"e_1_2_9_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00139-4"},{"key":"e_1_2_9_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb05002.x"},{"key":"e_1_2_9_1_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122574"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22055","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22055","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22055","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T21:59:23Z","timestamp":1694123963000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22055"}},"issued":{"date-parts":[[2019,10,11]]},"references-count":18,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2020,2]]}},"alternative-id":["10.1002\/fut.22055"],"URL":"https:\/\/doi.org\/10.1002\/fut.22055","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,10,11]]},"assertion":[{"value":"2019-08-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-08-24","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-10-11","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,7,11]],"date-time":"2024-07-11T11:18:26Z","timestamp":1720696706400},"reference-count":27,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4867,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,5]]},"DOI":"10.1002\/fut.3990130303","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:58:36Z","timestamp":1183683516000},"page":"237-259","source":"Crossref","is-referenced-by-count":4,"title":["Optimal hedging under indivisible choices"],"prefix":"10.1002","volume":"13","author":[{"given":"Latha","family":"Shanker","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"issue":"5","key":"e_1_2_1_2_1","doi-asserted-by":"crossref","first-page":"487","DOI":"10.1111\/j.1540-6261.1980.tb02180.x","article-title":"Hedging and Joint Production: Theory and Illustrations","volume":"35","author":"Anderson R. W.","year":"1980","journal-title":"Journal of Finance"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665214"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1990.409269"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665269"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb03192.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030305"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04530.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04924.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/296510"},{"issue":"4","key":"e_1_2_1_13_1","doi-asserted-by":"crossref","first-page":"261","DOI":"10.1111\/j.1540-6261.1987.tb03924.x","article-title":"Optimal hedging in Futures Markets with Multiple Delivery Specifications","volume":"42","author":"Kamara A.","year":"1987","journal-title":"Journal of Finance"},{"key":"e_1_2_1_14_1","volume-title":"Understanding Futures Markets","author":"Kolb R. W.","year":"1991"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04947.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110303"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110106"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330649"},{"key":"e_1_2_1_19_1","volume-title":"Mathematical Statistics with Applications, North Scitvate","author":"Mendenall W.","year":"1973"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02596.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329831"},{"key":"e_1_2_1_23_1","volume-title":"Optimization, Theory and Applications","author":"Rao S. S.","year":"1984"},{"issue":"6","key":"e_1_2_1_24_1","first-page":"49","article-title":"Measuring Multinationals' Exchange Risk","volume":"35","author":"Rodriguez R. M.","year":"1979","journal-title":"Journal of Finance"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329682"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664961"},{"key":"e_1_2_1_27_1","volume-title":"User's Manual Linear, Integer and Quadratic Programming with LINDO","author":"Schrage L.","year":"1986"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665159"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130303","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130303","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T16:56:44Z","timestamp":1698253004000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130303"}},"issued":{"date-parts":[[1993,5]]},"references-count":27,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1993,5]]}},"alternative-id":["10.1002\/fut.3990130303"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130303","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,5]]}},{"indexed":{"date-parts":[[2025,9,27]],"date-time":"2025-09-27T17:02:31Z","timestamp":1758992551898},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6786,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,2]]},"DOI":"10.1002\/(sici)1096-9934(199702)17:1<17::aid-fut2>3.0.co;2-j","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T21:44:44Z","timestamp":1031694284000},"page":"17-43","source":"Crossref","is-referenced-by-count":31,"title":["Volatility, storage and convenience: Evidence from natural gas markets"],"prefix":"10.1002","volume":"17","author":[{"given":"Raul","family":"Susmel","sequence":"first","affiliation":[]},{"given":"Andrew","family":"Thompson","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199702)17:1%3C17::AID-FUT2%3E3.0.CO;2-J","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199702)17:1%3C17::AID-FUT2%3E3.0.CO;2-J","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:10:37Z","timestamp":1625134237000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199702)17:1<17::AID-FUT2>3.0.CO;2-J"}},"issued":{"date-parts":[[1997,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1997,2]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199702)17:1<17::aid-fut2>3.0.co;2-j","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,2]]}},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T15:32:12Z","timestamp":1759937532836},"reference-count":8,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6964,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,8]]},"DOI":"10.1002\/fut.3990070405","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:16:17Z","timestamp":1183623377000},"page":"397-412","source":"Crossref","is-referenced-by-count":11,"title":["\u201cGolden turtle tracks\u201d: In search of unexploited profits in gold spreads"],"prefix":"10.1002","volume":"7","author":[{"given":"Geoffrey","family":"Poitras","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060308"},{"key":"e_1_2_1_3_1","first-page":"270","article-title":"Hedging Policies of the South African Gold Mining Industry","volume":"5","author":"Gidlow R.","year":"1983","journal-title":"South African Journal of Economics"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010402"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060311"},{"key":"e_1_2_1_6_1","unstructured":"Poitras G.(1985): \u201cA Study of Gold Futures Price Spreads\u201d unpublished Ph.d. thesis Columbia University."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060105"},{"key":"e_1_2_1_8_1","unstructured":"Rolfo J. andSosin H.(1981 April): \u201cAlternative Strategies for Hedging and Spreading\u201d Columbia Center for the Study of Futures Markets: Working Paper #22."},{"key":"e_1_2_1_9_1","volume-title":"Money Market Calculations","author":"Stigum M.","year":"1981"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070405","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070405","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:32:01Z","timestamp":1697920321000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070405"}},"issued":{"date-parts":[[1987,8]]},"references-count":8,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1987,8]]}},"alternative-id":["10.1002\/fut.3990070405"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070405","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,8]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:05:40Z","timestamp":1761015940544},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6362,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,4]]},"DOI":"10.1002\/(sici)1096-9934(199804)18:2<201::aid-fut5>3.0.co;2-v","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"201-223","source":"Crossref","is-referenced-by-count":28,"title":["Information and volatility in futures and spot markets: The Case of the Japanese yen"],"prefix":"10.1002","volume":"18","author":[{"given":"Arjun","family":"Chatrath","sequence":"first","affiliation":[]},{"given":"Frank","family":"Song","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199804)18:2%3C201::AID-FUT5%3E3.0.CO;2-V","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199804)18:2%3C201::AID-FUT5%3E3.0.CO;2-V","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:28:59Z","timestamp":1625131739000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199804)18:2<201::AID-FUT5>3.0.CO;2-V"}},"issued":{"date-parts":[[1998,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1998,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199804)18:2<201::aid-fut5>3.0.co;2-v","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,4]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:25:10Z","timestamp":1761017110097,"version":"3.37.3"},"reference-count":34,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,3,21]],"date-time":"2015-03-21T00:00:00Z","timestamp":1426896000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004733","name":"University of Macau","doi-asserted-by":"crossref","id":[{"id":"10.13039\/501100004733","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,6]]},"abstract":"We study the validity of the volume\u2010synchronized probability of informed trading<\/jats:italic> (VPIN) metric in measuring the order flow toxicity around the mandatory call events of callable bull\/bear contracts. High VPIN around mandatory call events indicates the existence of large volume imbalances, suggesting high market risk surrounding those call events. In this study, we provide the first direct evidence of the validity of VPIN outside the U.S. market. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:561\u2013581, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21719","type":"journal-article","created":{"date-parts":[[2015,3,24]],"date-time":"2015-03-24T15:56:00Z","timestamp":1427212560000},"page":"561-581","source":"Crossref","is-referenced-by-count":11,"title":["Exchange\u2010Traded Barrier Option and VPIN: Evidence from Hong Kong"],"prefix":"10.1002","volume":"35","author":[{"given":"William M.","family":"Cheung","sequence":"first","affiliation":[{"name":"William M. Cheung and Adrian C.H. Lei are at the Department of Finance and Business Economics University of Macau Macau China"}]},{"given":"Robin K.","family":"Chou","sequence":"additional","affiliation":[{"name":"Robin K. Chou is at the Department of Finance and Risk and Insurance Research Center National Chengchi University Taipei Taiwan"}]},{"given":"Adrian C.H.","family":"Lei","sequence":"additional","affiliation":[{"name":"William M. Cheung and Adrian C.H. Lei are at the Department of Finance and Business Economics University of Macau Macau China"}]}],"member":"311","published-online":{"date-parts":[[2015,3,21]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00003-8"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.09.003"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.005"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.08.002"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1989.tb00328.x"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070106"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1999.tb00724.x"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2004.02.001"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00138-2"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n1.55"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00024-5"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb05068.x"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1989.409212"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0169-2070(93)90030-Q"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(90)90076-E"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbn003"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04074.x"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2011.37.2.118"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs053"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.06.007"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20113"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330155"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21689"},{"key":"e_1_2_10_27_1","doi-asserted-by":"crossref","unstructured":"Ma T. Hsieh M. &Chen J.H. 2001. The probability of informed trading and the performance of stock in an order\u2010driven market. EFA 2001 Barcelona Meetings.","DOI":"10.2139\/ssrn.264765"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.08.005"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-6803.00033"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1992.tb00628.x"},{"key":"e_1_2_10_32_1","first-page":"1112","article-title":"Rational asset price movements without news","volume":"83","author":"Romer D.","year":"1993","journal-title":"American Economic Review"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2001.tb00772.x"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n5.45"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp005"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21719","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21719","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T08:58:55Z","timestamp":1696582735000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21719"}},"issued":{"date-parts":[[2015,3,21]]},"references-count":34,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2015,6]]}},"alternative-id":["10.1002\/fut.21719"],"URL":"https:\/\/doi.org\/10.1002\/fut.21719","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2015,3,21]]}},{"indexed":{"date-parts":[[2025,10,19]],"date-time":"2025-10-19T21:07:26Z","timestamp":1760908046496},"reference-count":44,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2003,5,22]],"date-time":"2003-05-22T00:00:00Z","timestamp":1053561600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,7]]},"abstract":"Abstract<\/jats:title>This article examines the interrelations between future volatility of the U.S. dollar\/British pound\nexchange rate and trading volume of currency options for the British pound. The future volatility of the\nexchange rate is approximated alternatively by implied volatility and by IGARCH volatility. The results suggest\nthe presence of strong contemporaneous positive feedbacks between the exchange rate volatility and the trading\nvolume of call and put options. Previous option volumes have significant predictive power with respect to the\nexpected future volatility of the dollar\/pound exchange rate. Similarly, lagged volatilities jointly have\nsignificant predictive power for option volume. Although option volume (volatility) responds somewhat\ndifferently to individual volatility (volume) terms under the two volatility measures, the overall\nvolume\u2010volatility relations are broadly similar between the implied and IGARCH volatilities. The results\ngenerally support the hypothesis that the information\u2010based trading explains more of the trading volume\nin currency options on the U.S. dollar\/British pound exchange rate than hedging. \u00a9 2003 Wiley\nPeriodicals, Inc. Jrl Fut Mark 23:681\u2013700, 2003<\/jats:p>","DOI":"10.1002\/fut.10078","type":"journal-article","created":{"date-parts":[[2003,5,26]],"date-time":"2003-05-26T10:03:00Z","timestamp":1053943380000},"page":"681-700","source":"Crossref","is-referenced-by-count":17,"title":["The interrelation of price volatility and trading volume of currency options"],"prefix":"10.1002","volume":"23","author":[{"given":"Ghulam","family":"Sarwar","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,5,22]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02614.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00059-C"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.435"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330866"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664834"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330710"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(93)90006-Y"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1049"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05136.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150704"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Chernov M.(2001).Implied volatilities as forecasts of future volatility time\u2010varying risk premia and return variability Working Paper Division of Finance and Economics. Columbia Business School New York USA.","DOI":"10.2139\/ssrn.292979"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90030-2"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150503"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(91)90090-9"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","first-page":"1749","DOI":"10.1111\/j.1540-6261.1993.tb05127.x","article-title":"Measuring and testing the impact of news on volatility","volume":"47","author":"Engle R. F.","year":"1993","journal-title":"Journal of Finance"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_1_25_1","volume-title":"Forecasting economic time series","author":"Granger C. W. J.","year":"1977"},{"key":"e_1_2_1_26_1","volume-title":"Learning and practicing econometrics","author":"Griffiths W. E.","year":"1993"},{"key":"e_1_2_1_27_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time series analysis","author":"Hamilton J. D.","year":"1994"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(93)90020-E"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199905)19:3<245::AID-FUT1>3.0.CO;2-J"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1005"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03597.x"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05191.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90078-0"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2648877"},{"key":"e_1_2_1_36_1","doi-asserted-by":"crossref","unstructured":"Poteshman A. M.(2000).Forecasting future volatility from option prices. Working Paper Department of Finance University of Illinois at Urbana\u2010Champaign IL USA.","DOI":"10.2139\/ssrn.243151"},{"key":"e_1_2_1_37_1","unstructured":"Sears S. M.(2000a).Equity options trading takes defensive turn as players react to stock market declines. Wall Street Journal Sept. 19 C16."},{"key":"e_1_2_1_38_1","unstructured":"Sears S. M.(2000b).Cisco Dell and Ciena attract major activity as traders retake positions in tech sector. Wall Street Journal Sept. 26 C19."},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05152.x"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90005-6"},{"key":"e_1_2_1_41_1","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1111\/j.1540-6261.1990.tb05087.x","article-title":"Intraday price change and trading volume relations in the stock and stock options market","volume":"5","author":"Stephen J. A.","year":"1990","journal-title":"Journal of Finance"},{"key":"e_1_2_1_42_1","unstructured":"Tan K.(2001a).High put\u2010call ratio shows defensive postures still dominate despite slip in volatility. Wall Street Journal Sep. 19 C14."},{"key":"e_1_2_1_43_1","unstructured":"Tan K.(2001b).Rate cut nudges volatility down but investors remain anxious continue defensive hedging. Wall Street Journal Oct. 3 C11."},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02623.x"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb02431.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10078","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10078","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T23:28:31Z","timestamp":1700263711000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10078"}},"issued":{"date-parts":[[2003,5,22]]},"references-count":44,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2003,7]]}},"alternative-id":["10.1002\/fut.10078"],"URL":"https:\/\/doi.org\/10.1002\/fut.10078","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,5,22]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:25:43Z","timestamp":1761017143428},"reference-count":57,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,11,20]],"date-time":"2015-11-20T00:00:00Z","timestamp":1447977600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,7]]},"abstract":"This study demonstrates that the basic properties predicted by one\u2010dimensional diffusion option pricing models are often violated, even in a highly liquid and leading options market. We analyze a high\u2010quality intraday dataset of KOSPI 200 index options, one of the most actively traded options markets in the world, and find that option prices often do not monotonically correlate with underlying prices. We also empirically show that option prices often do not change, despite changes in underlying prices, when options are heavily traded by individual investors, who are normally noisy and uninformed. Our evidence is partially consistent with the implications of demand\u2010based option pricing models, which predict that investor demand can significantly influence option prices in the presence of limits to arbitrage. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:625\u2013646, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21763","type":"journal-article","created":{"date-parts":[[2016,6,6]],"date-time":"2016-06-06T11:59:22Z","timestamp":1465214362000},"page":"625-646","source":"Crossref","is-referenced-by-count":36,"title":["Tests on the Monotonicity Properties of KOSPI 200 Options Prices"],"prefix":"10.1002","volume":"36","author":[{"given":"Myounghwa","family":"Sim","sequence":"first","affiliation":[{"name":"Myounghwa Sim is a Professor at the College of Business Administration, Myongji University Seoul Korea"}]},{"given":"Doojin","family":"Ryu","sequence":"additional","affiliation":[{"name":"Myounghwa Sim is a Professor at the College of Business Administration, Myongji University Seoul Korea"}]},{"given":"Heejin","family":"Yang","sequence":"additional","affiliation":[{"name":"Myounghwa Sim is a Professor at the College of Business Administration, Myongji University Seoul Korea"}]}],"member":"311","published-online":{"date-parts":[[2015,11,20]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20369"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2041-6156.2010.01016.x"},{"issue":"3","key":"e_1_2_8_4_1","doi-asserted-by":"crossref","first-page":"881","DOI":"10.1111\/j.1540-6261.1993.tb04023.x","article-title":"Option valuation with systematic stochastic volatility","volume":"48","author":"Amin K. I.","year":"1993","journal-title":"Journal of Finance"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.2.333"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.549"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.03.003"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05218.x"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp087"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01006.x"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-009-9039-0"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01334.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21563"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000100"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/10293523.2012.11082551"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90007-2"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330709"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20513"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2012.665590"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/10293523.2015.994442"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2014.11.001"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2015.23.1.073"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01063.x"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.5018\/economics-ejournal.ja.2013-3"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21640"},{"issue":"79","key":"e_1_2_8_37_1","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1080\/10293523.2014.11082566","article-title":"The volatility index and style rotation: Evidence from the Korean stock market and VKOSPI","volume":"43","author":"Lee C.","year":"2014","journal-title":"Investment Analysts Journal"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2015.02.001"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840903427265"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00118-1"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009703431535"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90100-8"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00003-W"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.493"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.667551"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20533"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2011.587764"},{"issue":"75","key":"e_1_2_8_50_1","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1080\/10293523.2012.11082543","article-title":"The profitability of day trading: An empirical study using high\u2010quality data","volume":"41","author":"Ryu D.","year":"2012","journal-title":"Investment Analysts Journal"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2012.11.005"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2013.828401"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21637"},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.3846\/16111699.2013.804873"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21618"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00039"},{"key":"e_1_2_8_57_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198292279.001.0001"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90009-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21763","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21763","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:59:16Z","timestamp":1696586356000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21763"}},"issued":{"date-parts":[[2015,11,20]]},"references-count":57,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2016,7]]}},"alternative-id":["10.1002\/fut.21763"],"URL":"https:\/\/doi.org\/10.1002\/fut.21763","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,11,20]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:12:47Z","timestamp":1761016367158},"reference-count":21,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":4261,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,1]]},"DOI":"10.1002\/fut.20140","type":"journal-article","created":{"date-parts":[[2004,11,16]],"date-time":"2004-11-16T21:16:31Z","timestamp":1100639791000},"page":"1-19","source":"Crossref","is-referenced-by-count":26,"title":["Canonical valuation of options in the presence of stochastic volatility"],"prefix":"10.1002","volume":"25","author":[{"given":"Philip","family":"Gray","sequence":"first","affiliation":[]},{"given":"Scott","family":"Newman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004]]},"reference":[{"key":"10.1002\/fut.20140-BIB1","doi-asserted-by":"crossref","first-page":"499","DOI":"10.1111\/0022-1082.215228","volume":"53","author":"A\u00eft-Sahalia","year":"1998","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB2","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20140-BIB3","first-page":"32","volume":"7","author":"Derman","year":"1994","journal-title":"RISK"},{"key":"10.1002\/fut.20140-BIB4","doi-asserted-by":"crossref","first-page":"722","DOI":"10.2307\/1244041","volume":"81","author":"Foster","year":"1999","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/fut.20140-BIB5","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"Heston","year":"1993","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20140-BIB6","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1111\/j.1540-6261.1987.tb02568.x","volume":"42","author":"Hull","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB7","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1111\/j.1540-6261.1994.tb00081.x","volume":"49","author":"Hutchinson","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB8","doi-asserted-by":"crossref","first-page":"1611","DOI":"10.1111\/j.1540-6261.1996.tb05219.x","volume":"51","author":"Jackwerth","year":"1996","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB9","first-page":"147","volume":"39","author":"Kon","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB10","doi-asserted-by":"crossref","first-page":"197","DOI":"10.1002\/1096-9934(200103)21:3<197::AID-FUT1>3.0.CO;2-3","volume":"21","author":"Lin","year":"2001","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20140-BIB11","doi-asserted-by":"crossref","first-page":"1173","DOI":"10.1111\/j.1540-6261.1979.tb00063.x","volume":"34","author":"MacBeth","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB12","doi-asserted-by":"crossref","first-page":"239","DOI":"10.1016\/0304-4076(90)90100-8","volume":"45","author":"Melino","year":"1990","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20140-BIB13","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"Merton","year":"1973","journal-title":"Bell Journal of Economics and Management Science"},{"key":"10.1002\/fut.20140-BIB14","doi-asserted-by":"crossref","first-page":"454","DOI":"10.1111\/j.1540-6261.1985.tb04967.x","volume":"40","author":"Rubinstein","year":"1985","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB15","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1111\/j.1540-6261.1994.tb00079.x","volume":"49","author":"Rubinstein","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB16","doi-asserted-by":"crossref","first-page":"419","DOI":"10.2307\/2330793","volume":"22","author":"Scott","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20140-BIB17","doi-asserted-by":"crossref","first-page":"727","DOI":"10.1093\/rfs\/4.4.727","volume":"4","author":"Stein","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20140-BIB18","doi-asserted-by":"crossref","first-page":"1633","DOI":"10.1111\/j.1540-6261.1996.tb05220.x","volume":"51","author":"Stutzer","year":"1996","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20140-BIB19","doi-asserted-by":"crossref","first-page":"67","DOI":"10.3905\/jfi.1999.319245","volume":"8","author":"Stutzer","year":"1999","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/fut.20140-BIB20","doi-asserted-by":"crossref","first-page":"351","DOI":"10.1016\/0304-405X(87)90009-2","volume":"19","author":"Wiggins","year":"1987","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20140-BIB21","author":"Zhang","year":"2003","unstructured":"& (2003). Pricing S&P 500 index options with Heston's model. Proceedings of IEEE 2003 International Conference on Computational Intelligence for Financial Engineering (CIFE, 2003), March 21-23, 2003, Hong Kong (pp. 85-92)."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20140","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20140","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:11:24Z","timestamp":1625166684000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20140"}},"issued":{"date-parts":[[2004]]},"references-count":21,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2005,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20140","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004]]}},{"indexed":{"date-parts":[[2025,10,20]],"date-time":"2025-10-20T09:55:44Z","timestamp":1760954144160},"reference-count":23,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2007,9,12]],"date-time":"2007-09-12T00:00:00Z","timestamp":1189555200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,11]]},"abstract":"Abstract<\/jats:title>The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, they compare how orderflow contributes to price discovery and analyze how and when information flows from one market to the other. How a number of environmental variables (trader type, financing rates, and liquidity) impact the information flows between these two markets is also considered. Their findings provide new evidence on the extent to which price discovery happens away from a primary market. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1021\u20131051, 2007<\/jats:p>","DOI":"10.1002\/fut.20275","type":"journal-article","created":{"date-parts":[[2007,9,12]],"date-time":"2007-09-12T17:16:25Z","timestamp":1189617385000},"page":"1021-1051","source":"Crossref","is-referenced-by-count":57,"title":["Price discovery in the treasury futures market"],"prefix":"10.1002","volume":"27","author":[{"given":"Michael W.","family":"Brandt","sequence":"first","affiliation":[]},{"given":"Kenneth A.","family":"Kavajecz","sequence":"additional","affiliation":[]},{"given":"Shane E.","family":"Underwood","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,9,12]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Real\u2010time price discovery in stock, bond and foreign exchange markets (working paper)","author":"Anderson T.G.","year":"2004"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00711.x"},{"key":"e_1_2_1_4_1","volume-title":"The Treasury Bond Basis","author":"Burghardt G.","year":"1994"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00189"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/324391"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(02)00024-4"},{"key":"e_1_2_1_9_1","unstructured":"Ferguson M. &Mann S.(1999).The impact of off\u2010exchange customer trades on prices: evidence from the futures markets (working paper). Fort Worth TX: Texas Christian University."},{"key":"e_1_2_1_10_1","first-page":"31","article-title":"What moves the bond market?","volume":"3","author":"Fleming M.","year":"1997","journal-title":"Federal Reserve Bank of New York Economic Policy Review"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00172"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00660.x"},{"key":"e_1_2_1_14_1","unstructured":"He C.(2005).The influence of institutional trading (working paper). Madison WI: University of Wisconsin\u2010Madison."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331241"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(94)00799-7"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00031-7"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.3.953"},{"key":"e_1_2_1_20_1","unstructured":"Menkveld A. Sarkar A. &van der Wel M.(2006).The informativeness of customer order flow following macroeconomic announcements: Evidence from the Treasury futures markets (working paper). New York NY: Federal Reserve Bank of New York."},{"key":"e_1_2_1_21_1","unstructured":"Mizrach B. &Neely C.(2006).Price discovery in the U.S. Treasury market (working paper). St. Louis MO: Federal Reserve Bank of St. Louis."},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Rosenberg J. &Traub L.(2006).Price discovery in the foreign currency futures and spot market (working paper). New York NY: Federal Reserve Bank of New York.","DOI":"10.2139\/ssrn.922317"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331036"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","unstructured":"Underwood S.(2006).The cross\u2010market information content of stock and bond orderflow (working paper). Houston TX: Rice University.","DOI":"10.2139\/ssrn.686969"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20275","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20275","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T17:57:29Z","timestamp":1700071049000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20275"}},"issued":{"date-parts":[[2007,9,12]]},"references-count":23,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2007,11]]}},"alternative-id":["10.1002\/fut.20275"],"URL":"https:\/\/doi.org\/10.1002\/fut.20275","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,9,12]]}},{"indexed":{"date-parts":[[2025,11,19]],"date-time":"2025-11-19T06:46:47Z","timestamp":1763534807840},"reference-count":29,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,9]]},"DOI":"10.1002\/fut.20168","type":"journal-article","created":{"date-parts":[[2005,7,5]],"date-time":"2005-07-05T22:16:33Z","timestamp":1120601793000},"page":"845-871","source":"Crossref","is-referenced-by-count":14,"title":["Option pricing under extended normal distribution"],"prefix":"10.1002","volume":"25","author":[{"given":"Hosam","family":"Ki","sequence":"first","affiliation":[]},{"given":"Byungwook","family":"Choi","sequence":"additional","affiliation":[]},{"given":"Kook-Hyun","family":"Chang","sequence":"additional","affiliation":[]},{"given":"Miyoung","family":"Lee","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"key":"10.1002\/fut.20168-BIB1","doi-asserted-by":"crossref","first-page":"499","DOI":"10.1111\/0022-1082.215228","volume":"53","author":"A\u00eft-Sahalia","year":"1998","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20168-BIB2","doi-asserted-by":"crossref","first-page":"2003","DOI":"10.1111\/j.1540-6261.1997.tb02749.x","volume":"52","author":"Bakshi","year":"1997","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20168-BIB3","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1093\/rfs\/9.1.69","volume":"9","author":"Bates","year":"1996","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20168-BIB4","doi-asserted-by":"crossref","first-page":"25","DOI":"10.1007\/s007800050015","volume":"1","author":"Bibby","year":"1997","journal-title":"Finance and Stochastics"},{"key":"10.1002\/fut.20168-BIB5","doi-asserted-by":"crossref","first-page":"684","DOI":"10.2469\/faj.v31.n4.36","volume":"31","author":"Black","year":"1975","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/fut.20168-BIB6","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20168-BIB7","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1111\/j.1475-6803.1996.tb00592.x","volume":"19","author":"Corrado","year":"1996","journal-title":"Journal of Financial Research"},{"key":"10.1002\/fut.20168-BIB8","first-page":"32","volume":"7","author":"Derman","year":"1994","journal-title":"RISK"},{"key":"10.1002\/fut.20168-BIB9","doi-asserted-by":"crossref","first-page":"2059","DOI":"10.1111\/0022-1082.00083","volume":"53","author":"Dumas","year":"1998","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20168-BIB10","first-page":"18","volume":"7","author":"Dupire","year":"1994","journal-title":"RISK"},{"key":"10.1002\/fut.20168-BIB11","doi-asserted-by":"crossref","first-page":"381","DOI":"10.1016\/0022-0531(79)90043-7","volume":"20","author":"Harrison","year":"1979","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/fut.20168-BIB12","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1016\/0304-4149(81)90026-0","volume":"11","author":"Harrison","year":"1981","journal-title":"Stochastic Processes and Their Applications"},{"key":"10.1002\/fut.20168-BIB13","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1016\/0304-4149(83)90038-8","volume":"15","author":"Harrison","year":"1983","journal-title":"Stochastic Processes and Their Applications"},{"key":"10.1002\/fut.20168-BIB14","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"Heston","year":"1993","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20168-BIB15","volume-title":"Options, futures, and other derivatives","author":"Hull","year":"2002","unstructured":"(2002). Options, futures, and other derivatives ( 5th ed.). Englewood Cliffs, NJ: Prentice Hall"},{"key":"10.1002\/fut.20168-BIB16","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1111\/j.1540-6261.1987.tb02568.x","volume":"42","author":"Hull","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20168-BIB17","doi-asserted-by":"crossref","first-page":"105","DOI":"10.1016\/S0895-7177(99)00096-5","volume":"29","author":"Hurst","year":"1999","journal-title":"Mathematical and Computer Modelling"},{"key":"10.1002\/fut.20168-BIB18","doi-asserted-by":"crossref","first-page":"817","DOI":"10.1080\/15326349708807453","volume":"13","author":"Janicki","year":"1997","journal-title":"Communication in Statistics\u2014Stochastic Models"},{"key":"10.1002\/fut.20168-BIB19","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1016\/0304-405X(82)90007-1","volume":"10","author":"Jarrow","year":"1982","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20168-BIB20","author":"Jurczenko","year":"inp","journal-title":"Quantitative Finance"},{"key":"10.1002\/fut.20168-BIB21","doi-asserted-by":"crossref","first-page":"49","DOI":"10.3905\/jod.2000.319134","volume":"7","author":"Li","year":"2000","journal-title":"Journal of Derivatives"},{"key":"10.1002\/fut.20168-BIB22","doi-asserted-by":"crossref","first-page":"1091","DOI":"10.1093\/rfs\/8.4.1091","volume":"8","author":"Longstaff","year":"1995","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20168-BIB23","doi-asserted-by":"crossref","first-page":"285","DOI":"10.1111\/j.1540-6261.1980.tb02157.x","volume":"35","author":"MacBeth","year":"1980","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20168-BIB24","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"Merton","year":"1973","journal-title":"Bell Journal of Economics and Management Science"},{"key":"10.1002\/fut.20168-BIB25","volume-title":"Numerical recipes: The art of scientific computing","author":"Press","year":"1987","unstructured":"& (1987). Numerical recipes: The art of scientific computingNew York: Cambridge University Press"},{"key":"10.1002\/fut.20168-BIB26","doi-asserted-by":"crossref","first-page":"285","DOI":"10.1111\/j.1475-6803.1990.tb00633.x","volume":"4","author":"Ritchey","year":"1990","journal-title":"Journal of Financial Research"},{"key":"10.1002\/fut.20168-BIB27","doi-asserted-by":"crossref","first-page":"445","DOI":"10.1111\/j.1540-6261.1985.tb04967.x","volume":"40","author":"Rubinstein","year":"1985","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20168-BIB28","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1111\/j.1540-6261.1994.tb00079.x","volume":"69","author":"Rubinstein","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20168-BIB29","doi-asserted-by":"crossref","first-page":"20","DOI":"10.3905\/jod.1998.407994","volume":"5","author":"Rubinstein","year":"1998","journal-title":"Journal of Derivatives"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20168","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20168","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:02:46Z","timestamp":1625166166000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20168"}},"issued":{"date-parts":[[2005]]},"references-count":29,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2005,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20168","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2025,12,13]],"date-time":"2025-12-13T06:42:39Z","timestamp":1765608159491},"reference-count":61,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2008,9,9]],"date-time":"2008-09-09T00:00:00Z","timestamp":1220918400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,11]]},"abstract":"Abstract<\/jats:title>This study has two main objectives. Firstly, volatility transmission between stocks and bonds in European markets is studied using the two most important financial assets in these fields: the DJ Euro Stoxx 50 index futures contract and the Euro Bund futures contract. Secondly, a trading rule for the major European futures contracts is designed. This rule can be applied to different markets and assets to analyze the economic significance of volatility spillovers observed between them. The results indicate that volatility spillovers take place in both directions and that the stock\u2010bond trading rule offers very profitable returns after transaction costs. These results have important implications for portfolio management and asset allocation. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1066\u20131094, 2008<\/jats:p>","DOI":"10.1002\/fut.20342","type":"journal-article","created":{"date-parts":[[2008,9,9]],"date-time":"2008-09-09T17:33:18Z","timestamp":1220981598000},"page":"1066-1094","source":"Crossref","is-referenced-by-count":33,"title":["The economic value of volatility transmission between the stock and bond markets"],"prefix":"10.1002","volume":"28","author":[{"given":"Helena","family":"Chuli\u00e1","sequence":"first","affiliation":[]},{"given":"Hip\u00f2lit","family":"Torr\u00f3","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,9,9]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Andersen T. G. Bollerslev T. Diebold F. X. &Vega C.(2005).Real\u2010time price discovery in stock bond and foreign exchange markets(NBER Working Paper No. 11312).","DOI":"10.3386\/w11312"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0148-6195(97)00003-9"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676223"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.1"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Bernanke B.(1986).Alternative explanations of the money\u2013income correlation. Carnegie\u2010Rochester Conference Series on Public Policy No. 25 (pp. 49\u2013100).","DOI":"10.1016\/0167-2231(86)90037-0"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00760.x"},{"key":"e_1_2_1_8_1","unstructured":"Black F.(1976).Studies of stock price volatility changes. Proceedings of the 1976 Meetings of the American Statistical Association Business and Economical Statistics Section (pp. 177\u2013181)."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/135048595357500"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","first-page":"1575","DOI":"10.1111\/j.1540-6261.1995.tb05189.x","article-title":"Good news, bad news, volatility and betas","volume":"5","author":"Braun P. A.","year":"1995","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331388"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90037-X"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbl005"},{"key":"e_1_2_1_17_1","first-page":"33","article-title":"A causality\u2010in\u2010variance test and its application to financial market prices","volume":"72","author":"Cheung Y. W.","year":"1996","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2007.00403.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000001782"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh021"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00019-1"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00327"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1997.tb00260.x"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_1_31_1","doi-asserted-by":"crossref","unstructured":"Giot P. &Petitjean M.(2005).Dynamic asset allocation between stocks and bonds using the bond\u2013equity yield ratio. CORE Discussion Paper 10.","DOI":"10.2139\/ssrn.884365"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1086\/500686"},{"key":"e_1_2_1_34_1","volume-title":"Econometric analysis","author":"Green W. G.","year":"1998"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl019"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009638225908"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.2.281"},{"key":"e_1_2_1_38_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time series analysis","author":"Hamilton J. D.","year":"1994"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2006.00635.x"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.543"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392517"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02713.x"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2000.tb01405.x"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(95)00861-8"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1177\/031289620102600102"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2005.05.007"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_1_49_1","volume-title":"Long\u2010run economic relationships: Readings in cointegration","author":"MacKinnon J. G.","year":"1991"},{"key":"e_1_2_1_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00006-1"},{"key":"e_1_2_1_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2007.02029.x"},{"key":"e_1_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2362.00087"},{"key":"e_1_2_1_53_1","first-page":"334","article-title":"Risk, inflation and the stock market","volume":"74","author":"Pindyck R. S.","year":"1984","journal-title":"American Economic Review"},{"key":"e_1_2_1_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02401.x"},{"key":"e_1_2_1_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(98)00005-X"},{"key":"e_1_2_1_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02647.x"},{"key":"e_1_2_1_57_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126752"},{"key":"e_1_2_1_58_1","first-page":"2","article-title":"Are forecasting models usable for policy analysis?","volume":"10","author":"Sims C. A.","year":"1986","journal-title":"Federal Reserve Bank of Minneapolis Quarterly Review"},{"key":"e_1_2_1_59_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_60_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10120"},{"key":"e_1_2_1_61_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600004898"},{"key":"e_1_2_1_62_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.3.837"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20342","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20342","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T01:08:38Z","timestamp":1700010518000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20342"}},"issued":{"date-parts":[[2008,9,9]]},"references-count":61,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2008,11]]}},"alternative-id":["10.1002\/fut.20342"],"URL":"https:\/\/doi.org\/10.1002\/fut.20342","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,9,9]]}},{"indexed":{"date-parts":[[2025,12,15]],"date-time":"2025-12-15T19:36:17Z","timestamp":1765827377796},"reference-count":48,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,28]],"date-time":"2015-09-28T00:00:00Z","timestamp":1443398400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,7]]},"abstract":"Abstract<\/jats:title>This paper provides an investigation into an anomaly called a short squeeze, in the CBOT T\u2010Bonds Futures Market, for the period spanning January 1985 to December 2014. A short squeeze occurs when market manipulations cause the cheapest\u2010to\u2010deliver bond to be in short supply, resulting in significant price distortions. The incentive for market manipulation, or squeeze potential, is evaluated over the last 30 years and is related to documented episodes of the CBOT futures market. It is observed that conditions are presently very favorable to the occurrence of short squeezes, and that shortages would imply large losses for short traders. We also find that the incentive for market manipulation would be significantly reduced by lowering the notional underlying security coupon rate. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:647\u2013670, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21754","type":"journal-article","created":{"date-parts":[[2015,9,28]],"date-time":"2015-09-28T14:12:30Z","timestamp":1443449550000},"page":"647-670","source":"Crossref","is-referenced-by-count":8,"title":["To Squeeze or Not to Squeeze? That Is No Longer the Question"],"prefix":"10.1002","volume":"36","author":[{"given":"Ramzi","family":"Ben\u2010Abdallah","sequence":"first","affiliation":[{"name":"Ramzi Ben\u2010Abdallah is an Associate Professor at the University of Quebec at Montreal \u2010 School of Business and Management Montr\u00e9al, Quebec Canada"}]},{"given":"Mich\u00e8le","family":"Breton","sequence":"additional","affiliation":[{"name":"GERAD and HEC Montr\u00e9al"}]}],"member":"311","published-online":{"date-parts":[[2015,9,28]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.09.006"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2011.573496"},{"key":"e_1_2_7_4_1","unstructured":"Bhaktavatsalam S. V.(2010).Pimco to pay $ 92 million to settle market manipulation lawsuit.Bloomberg.com December 31 2010."},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00072"},{"key":"e_1_2_7_6_1","first-page":"65","article-title":"Euro Area\ngovernment securities markets: Recent developments and implication for market functioning","volume":"12","author":"Blanco R.","year":"2002","journal-title":"BIS papers"},{"key":"e_1_2_7_7_1","unstructured":"Brittany M.(2011).The bond squeeze.finance.townhall.com May 5 2011."},{"key":"e_1_2_7_8_1","unstructured":"Burghardt G. Belton T. Lane M. &Papa J.(2005). The Treasury Bond basis: An in\u2010depth analysis for hedgers speculators and arbitrageurs (3rd Ed.). New York: McGraw\u2010Hill."},{"key":"e_1_2_7_9_1","unstructured":"Burstein D.(1987).Rising sun on Wall Street. How Japanese money and firms are moving in. New York Magazine 2 (March 1987)."},{"key":"e_1_2_7_10_1","unstructured":"Capo McCormick L.(2011).Overnight rates at next to nothing squeeze treasury lenders investors.Bloomberg.com May 11 2011."},{"key":"e_1_2_7_11_1","unstructured":"CFTC(1996). U.S. Commodity Futures Trading Commission Press release #3922\u201096 (July 10 1996)"},{"key":"e_1_2_7_12_1","unstructured":"CFTC(2009). U.S. Commodity Futures Trading Commission Press release #5751\u201009 (November 13 2009)"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.763"},{"key":"e_1_2_7_14_1","unstructured":"Clouse J.(2006).Remarks before the Bond Market Association (Government Securities and Funding Division). September 27 2006."},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331380"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/2.3.297"},{"key":"e_1_2_7_17_1","unstructured":"Coy P.(2013).A Treasury shortage squeezes the heart of the market.Businessweek.com August 29 2013."},{"key":"e_1_2_7_18_1","unstructured":"Dini L.(1994). Recent developments in bond markets. Report submitted to the Bank for International Settlements Monetary and Economic Department April 1994."},{"key":"e_1_2_7_19_1","unstructured":"Eisen B.(2014).The bond market short\u2010squeeze is making it cheaper to get a mortgage.MarketWatch.com January 30 2014."},{"key":"e_1_2_7_20_1","article-title":"London International Financial Futures and Options Exchange BTP December 1997 delivery month with 8% coupon relisted","author":"FRB","year":"1997","journal-title":"The Financial Regulatory Briefing"},{"key":"e_1_2_7_21_1","unstructured":"Garner C.(2010).Treasury Futures short squeeze is on!DeCarleyTrading.com December 17 2010."},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2007.06.029"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331322"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/0960310042000238895"},{"key":"e_1_2_7_26_1","first-page":"32","article-title":"Anatomy of a squeeze","volume":"6","author":"Jeanneau S.","year":"2001","journal-title":"BIS Quarterly Review"},{"key":"e_1_2_7_27_1","first-page":"32","article-title":"Playing cat and mouse in market squeezes","volume":"6","author":"Jeanneau S.","year":"2002","journal-title":"BIS Quarterly Review"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04759.x"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00105-7"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00025-1"},{"key":"e_1_2_7_31_1","first-page":"1485","article-title":"Futures manipulation with Cash Settlement","volume":"47","author":"Kumar P.","year":"1992","journal-title":"The Journal of Finance"},{"key":"e_1_2_7_32_1","unstructured":"Kyle A.(1984). A theory of futures market manipulations. In R. W. Anderson (Ed.) The industrial organization of Futures Markets (pp.141\u2013173). Lexington MA: Heath."},{"key":"e_1_2_7_33_1","unstructured":"Latter E.(1998).Lit: A growing diversification. Euroweek suppl. Review of the Year 1997 (Jan 1998):153\u2013162."},{"key":"e_1_2_7_34_1","unstructured":"Malpass D. &Chow W.(2011a).Whipsaw in bond yields.EncimaGlobal.com April 18 2011."},{"key":"e_1_2_7_35_1","unstructured":"Malpass D. &Chow W.(2011b)Treasury Bond squeeze.EncimaGlobal.com April 26 2011."},{"key":"e_1_2_7_36_1","unstructured":"Malpass D. &Chow W.(2011c).Bond squeeze nearly over.EncimaGlobal.com May 3 2011."},{"key":"e_1_2_7_37_1","unstructured":"Marie A.(2014).Net short positions in Treasuries still very large.ValueWalk.com March 4 2014."},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.10.004"},{"key":"e_1_2_7_39_1","unstructured":"Morgenson G.(2005).Was someone squeezing Treasuries?Nytimes.com August 7 2005."},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1086\/500677"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1086\/209671"},{"key":"e_1_2_7_42_1","unstructured":"Ro S.(2014).Gundlach: We could be on the verge of One of the biggest short\u2010covering scrambles of all time. Business Insider May 15 2014."},{"key":"e_1_2_7_43_1","article-title":"Financial implications of the shrinking supply of the U.S. Treasury securities","author":"Schinasi G.","year":"2001","journal-title":"International Monetary Fund"},{"key":"e_1_2_7_44_1","article-title":"Japanese securities firms overwhelm the world","author":"Seeman R.","year":"1986","journal-title":"The Japan Lawletter"},{"key":"e_1_2_7_45_1","doi-asserted-by":"crossref","unstructured":"Sihvonen J.(2008). The cheapest\u2010to\u2010deliver premium in German Bund prices. Working paper University of Vaasa Finland.","DOI":"10.2139\/ssrn.1553678"},{"key":"e_1_2_7_46_1","doi-asserted-by":"crossref","unstructured":"Svensson L. E. O.(1994).Estimating and interpreting forward interest rates: Sweden 1992\u20101994. NBER Working Paper Series # 4871.","DOI":"10.3386\/w4871"},{"key":"e_1_2_7_47_1","unstructured":"The Economist(2006).Treasury bonds: Repo men.Economist.com November 2 2006."},{"key":"e_1_2_7_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"e_1_2_7_49_1","unstructured":"Vila J. L.(1988).The role of information in futures market manipulation. MIT mimeo."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21754","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21754","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:59:33Z","timestamp":1696586373000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21754"}},"issued":{"date-parts":[[2015,9,28]]},"references-count":48,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2016,7]]}},"alternative-id":["10.1002\/fut.21754"],"URL":"https:\/\/doi.org\/10.1002\/fut.21754","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,9,28]]}},{"indexed":{"date-parts":[[2026,1,5]],"date-time":"2026-01-05T04:03:45Z","timestamp":1767585825739},"reference-count":28,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2014,10,24]],"date-time":"2014-10-24T00:00:00Z","timestamp":1414108800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,10]]},"abstract":"Abstract<\/jats:title>This paper analyzes the production and hedging decisions of a competitive firm under price uncertainty and time\u2010inconsistent preferences. We show that the firm would over\u2010hedge and the output choice would be affected by the firm's preferences and the price distribution, thereby identifying a novel circumstance under which the full\u2010hedge theorem and the separation theorem may fail. Furthermore, when the firm can hedge at the same time as production or ahead of production, ex ante<\/jats:italic> firm value is higher in the former case, suggesting that planning ahead for price risk may backfire in the presence of time\u2010inconsistent preferences. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:961\u2013985, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21697","type":"journal-article","created":{"date-parts":[[2014,10,24]],"date-time":"2014-10-24T12:03:56Z","timestamp":1414152236000},"page":"961-985","source":"Crossref","is-referenced-by-count":4,"title":["Production and Anticipatory Hedging under Time\u2010Inconsistent Preferences"],"prefix":"10.1002","volume":"35","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[{"name":"Donald Lien is at the College of Business, University of Texas at San Antonio, San Antonio, Texas"}]},{"given":"Chia\u2010Feng (Jeffrey)","family":"Yu","sequence":"additional","affiliation":[{"name":"Chia\u2010Feng (Jeffrey) Yu is at the Business School, University of Adelaide, Adelaide, South Australia, Australia"}]}],"member":"311","published-online":{"date-parts":[[2014,10,24]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20362"},{"key":"e_1_2_10_3_1","first-page":"334","article-title":"Derivation of rational economic behaviour from hyperbolic discount curves","volume":"81","author":"Ainslie G.","year":"1991","journal-title":"American Economic Review: Papers & Proceedings"},{"key":"e_1_2_10_4_1","unstructured":"Ainslie G. &Haslam N.(1992).Hyperbolic discounting. In G. Loewenstein & J. Elster (Eds.) Choice over time (pp. 57\u201392). New York: Russell Sage Foundation."},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2012.10.004"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2525325"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(99)00180-9"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040206"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10203-011-0126-y"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90124-2"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1257\/0002828054825637"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884543"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.1801"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.40.2.351"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.01.002"},{"key":"e_1_2_10_16_1","first-page":"989","article-title":"Hedging and the competitive firm under price uncertainty","volume":"69","author":"Holthausen D.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rft048"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938334"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242884"},{"key":"e_1_2_10_20_1","first-page":"331","article-title":"Timing the value\u2010at\u2010risk hedge","volume":"25","author":"Lien D.","year":"2009","journal-title":"Research in Finance"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2014.07.009"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2118482"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.2308\/jmar-10068"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.89.1.103"},{"key":"e_1_2_10_25_1","first-page":"65","article-title":"On the theory of the competitive firm under price uncertainty","volume":"61","author":"Sandmo A.","year":"1971","journal-title":"American Economic Review"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2295722"},{"key":"e_1_2_10_27_1","article-title":"Some empirical evidence on dynamic inconsistency","author":"Thaler R.","year":"1991","journal-title":"In R. Thaler (Ed.), Quasi rational economics"},{"key":"e_1_2_10_28_1","doi-asserted-by":"crossref","unstructured":"Wong K. P.(2008). Production liquidity and futures price dynamics. Journal of Futures Markets 28 1\u201314.","DOI":"10.1002\/fut.20314"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20217"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21697","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21697","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T02:33:48Z","timestamp":1696559628000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21697"}},"issued":{"date-parts":[[2014,10,24]]},"references-count":28,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2015,10]]}},"alternative-id":["10.1002\/fut.21697"],"URL":"https:\/\/doi.org\/10.1002\/fut.21697","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,10,24]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T23:24:33Z","timestamp":1770506673233,"version":"3.49.0"},"reference-count":41,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4045,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,8]]},"DOI":"10.1002\/fut.3990150505","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T06:12:16Z","timestamp":1183702336000},"page":"573-584","source":"Crossref","is-referenced-by-count":41,"title":["Long memory in interest rate futures markets: A fractional cointegration analysis"],"prefix":"10.1002","volume":"15","author":[{"given":"G. Geoffrey","family":"Booth","sequence":"first","affiliation":[]},{"given":"Yiuman","family":"Tse","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(93)90088-U"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05161.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(91)90017-E"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/261502"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90053-X"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391309"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1993.tb00149.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391310"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330769"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(89)90003-2"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(91)90163-F"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1885565"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(92)90027-U"},{"key":"e_1_2_1_17_1","first-page":"987","article-title":"Cointegration and Error Correction: Representation, Estimation, and Testing","volume":"50","author":"Engle F. R.","year":"1987","journal-title":"Econometrica"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(87)90085-6"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140205"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(92)90006-L"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130804"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1995.tb00829.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1983.tb00371.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x"},{"key":"e_1_2_1_25_1","unstructured":"Granger C. W. J. andEscribano A.(1986): \u201cThe Long\u2010Run Relationship between Prices from an Efficient Market: The Case of Gold and Silver \u201d UCSD Discussion Paper."},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1980.tb00297.x"},{"key":"e_1_2_1_27_1","volume-title":"Forecasting Economic Time Series","author":"Granger C. W. J.","year":"1986"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1967.tb02980.x"},{"key":"e_1_2_1_29_1","first-page":"217","article-title":"Fractional Differencing","volume":"73","author":"Hosking J. R. M.","year":"1981","journal-title":"Biometrika"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02706683"},{"key":"e_1_2_1_32_1","doi-asserted-by":"crossref","unstructured":"Lo A. W.(1991 September): \u201cLong\u2010Term Memory in Stock Market Prices \u201d Econometrica 1279\u20131313.","DOI":"10.2307\/2938368"},{"key":"e_1_2_1_33_1","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1093\/oso\/9780198283393.003.0013","volume-title":"Long\u2010Run Economic Relationships","author":"MacKinnon J. G.","year":"1991"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331324"},{"key":"e_1_2_1_35_1","first-page":"259","article-title":"Statistical Methodology for Non\u2010Periodic Cycles: From the Covariance to R\/S Analysis","volume":"1","author":"Mandelbrot B.","year":"1972","journal-title":"Annuals of Economic and Social Measurement"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050111"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913237"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938339"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01206277"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938213"},{"key":"e_1_2_1_41_1","doi-asserted-by":"crossref","unstructured":"Tse Y. andBooth G. G.(1995): \u201cThe Relationship between U.S. and Eurodollar Interest Rates: Evidence from the Futures Markets \u201d Weltwirtschaftliches Archiv (forthcoming).","DOI":"10.1007\/BF02709070"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176350837"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150505","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150505","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,2,15]],"date-time":"2024-02-15T20:10:56Z","timestamp":1708027856000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150505"}},"issued":{"date-parts":[[1995,8]]},"references-count":41,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1995,8]]}},"alternative-id":["10.1002\/fut.3990150505"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150505","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,8]]}},{"indexed":{"date-parts":[[2026,2,6]],"date-time":"2026-02-06T04:57:06Z","timestamp":1770353826779,"version":"3.49.0"},"reference-count":25,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5936,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,6]]},"DOI":"10.1002\/(sici)1096-9934(199906)19:4<457::aid-fut4>3.0.co;2-u","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:29:29Z","timestamp":1030296569000},"page":"457-474","source":"Crossref","is-referenced-by-count":51,"title":["Fractional cointegration and futures hedging"],"prefix":"10.1002","volume":"19","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[]},{"given":"Yiu Kuen","family":"Tse","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB1","doi-asserted-by":"crossref","first-page":"737","DOI":"10.1111\/j.1540-6261.1994.tb05161.x","volume":"49","author":"Baillie","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB2","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/S0304-4076(95)01749-6","volume":"74","author":"Baillie","year":"1995","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB3","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<161::AID-FUT2>3.0.CO;2-H","volume":"17","author":"Barkoulas","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB4","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1016\/0304-405X(89)90063-9","volume":"23","author":"Brenner","year":"1989a","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB5","doi-asserted-by":"crossref","first-page":"303","DOI":"10.1016\/0922-1425(89)90005-4","volume":"1","author":"Brenner","year":"1989b","journal-title":"Japan and the World Economy"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB6","doi-asserted-by":"crossref","first-page":"14","DOI":"10.2469\/faj.v46.n2.14","volume":"46(2)","author":"Brenner","year":"1990","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB17","doi-asserted-by":"crossref","first-page":"93","DOI":"10.1080\/07350015.1993.10509935","volume":"11","author":"Cheung","year":"1993","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB18","doi-asserted-by":"crossref","first-page":"495","DOI":"10.1016\/S1062-9769(96)90048-4","volume":"36","author":"Chou","year":"1996","journal-title":"Quarterly Review of Economics and Finance"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB19","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1002\/(SICI)1096-9934(199706)17:4<433::AID-FUT4>3.0.CO;2-I","volume":"17","author":"Corazza","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB20","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB21","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1002\/fut.3990140205","volume":"14","author":"Fang","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB22","year":"1998","journal-title":"Futures Industry: The Magazine of the Futures Industry Association"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB23","doi-asserted-by":"crossref","first-page":"289","DOI":"10.2307\/1924495","volume":"65","author":"Garbade","year":"1993","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB24","doi-asserted-by":"crossref","first-page":"743","DOI":"10.1002\/fut.3990130703","volume":"13","author":"Ghosh","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB25","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x","volume":"48","author":"Granger","year":"1986","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB26","volume-title":"Introduction to futures and options markets","author":"Hull","year":"1998","unstructured":"(1998). Introduction to futures and options markets (3rd edition), Engelwood Cliffs, NJ: Prentice Hall."},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB27","volume-title":"Bearings lost","author":"Hunt","year":"1996","unstructured":"& (1996). Bearings lost, Singapore: Reed Academic Publishing Asia."},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB28","doi-asserted-by":"crossref","first-page":"1309","DOI":"10.1111\/j.1540-6261.1987.tb04368.x","volume":"42","author":"Kawaller","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB29","doi-asserted-by":"crossref","first-page":"773","DOI":"10.1002\/(SICI)1096-9934(199610)16:7<773::AID-FUT3>3.0.CO;2-L","volume":"16","author":"Lien","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB30","doi-asserted-by":"crossref","first-page":"1184","DOI":"10.1080\/01621459.1997.10474076","volume":"92","author":"Ling","year":"1997","journal-title":"Journal of the American Statistical Association"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB31","author":"Martin","year":"1997","unstructured":"(1997). Fractional cointegration: Bayesian inferences using a Jeffreys prior. Mimeo, Department of Econometrics and Business Statistics, Monash University."},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB32","author":"Masih","year":"1995","unstructured":"& (1995). A fractional cointegration approach to empirical tests of PPP: New evidence and methodological implications from an application to the Taiwan\/US dollar relationship. Weltwirtschaftliches Archiv, 673-693."},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB33","doi-asserted-by":"crossref","first-page":"117","DOI":"10.1016\/0304-4076(94)01697-6","volume":"71","author":"Pesaran","year":"1996","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB34","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/1912017","volume":"48","author":"Sims","year":"1980","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U-BIB35","doi-asserted-by":"crossref","first-page":"553","DOI":"10.1002\/for.3980140702","volume":"14","author":"Tse","year":"1995","journal-title":"Journal of Forecasting"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199906)19:4%3C457::AID-FUT4%3E3.0.CO;2-U","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199906)19:4%3C457::AID-FUT4%3E3.0.CO;2-U","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,2]],"date-time":"2024-12-02T15:42:17Z","timestamp":1733154137000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U"}},"issued":{"date-parts":[[1999,6]]},"references-count":25,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1999,6]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199906)19:4<457::aid-fut4>3.0.co;2-u","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,6]]}},{"indexed":{"date-parts":[[2026,1,28]],"date-time":"2026-01-28T20:21:22Z","timestamp":1769631682845,"version":"3.49.0"},"reference-count":25,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2020,2,13]],"date-time":"2020-02-13T00:00:00Z","timestamp":1581552000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"SFE Fidelity Fund"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,5]]},"abstract":"Abstract<\/jats:title>In February 2012, the Australian Securities Exchange introduced co\u2010location services for futures traders, thus providing a natural experiment to test the impact of algorithmic trading (AT) on the speed of adjustment and price discovery during scheduled macroeconomic releases. Our results demonstrate that, in the presence of AT, the speed of adjustment to new information has improved for both exchange\u2010traded futures and over\u2010the\u2010counter\u2010traded swaps. In addition, we find that the price discovery contribution of the futures market improves in the post\u2010AT period, with this improvement significant for macroeconomic announcement days.<\/jats:p>","DOI":"10.1002\/fut.22104","type":"journal-article","created":{"date-parts":[[2020,2,14]],"date-time":"2020-02-14T07:17:03Z","timestamp":1581664623000},"page":"749-760","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":10,"title":["Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5290-2925","authenticated-orcid":false,"given":"Alex","family":"Frino","sequence":"first","affiliation":[{"name":"School of Accounting, Economics and Finance, Faculty of Business University of Wollongong Keiraville New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8852-0630","authenticated-orcid":false,"given":"Michael","family":"Garcia","sequence":"additional","affiliation":[{"name":"School of Accounting, Economics and Finance, Faculty of Business University of Wollongong Keiraville New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9880-7731","authenticated-orcid":false,"given":"Zeyang","family":"Zhou","sequence":"additional","affiliation":[{"name":"School of Accounting, Economics and Finance, Faculty of Business University of Wollongong Keiraville New South Wales Australia"}]}],"member":"311","published-online":{"date-parts":[[2020,2,13]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"crossref","unstructured":"A\u00eft\u2010Sahalia Y. &Saglam M.(2013).High frequency traders: Taking advantage of speed(Working Paper No. 19531). National Bureau of Economic Research.","DOI":"10.3386\/w19531"},{"key":"e_1_2_8_3_1","unstructured":"Australian Financial Markets Association (AFMA)(2017).Australian Financial Markets Report. Available at:https:\/\/afma.com.au\/data\/afmr\/2017%20AUSTRALIAN%20FINANCIAL%20MARKETS%20REPORT.pdf"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_8_5_1","unstructured":"Boehmer E. Fong K. &Wu J.(2018). Algorithmic trading and market quality: International evidence.Working Paper August."},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv045"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu032"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12186"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy025"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00172"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00132-1"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2016.07.003"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21631"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2016.05.008"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00102"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21775"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.04.002"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.345"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.004"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2012.05.003"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.09.016"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22104","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22104","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22104","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22104","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T01:39:36Z","timestamp":1694050776000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22104"}},"issued":{"date-parts":[[2020,2,13]]},"references-count":25,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2020,5]]}},"alternative-id":["10.1002\/fut.22104"],"URL":"https:\/\/doi.org\/10.1002\/fut.22104","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,2,13]]},"assertion":[{"value":"2020-01-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-20","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-02-13","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,24]],"date-time":"2026-01-24T04:14:53Z","timestamp":1769228093982,"version":"3.49.0"},"reference-count":39,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2023,1,31]],"date-time":"2023-01-31T00:00:00Z","timestamp":1675123200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,8]]},"abstract":"Abstract<\/jats:title>We examine the relations between activities of multiple information channels for stocks simultaneously covered on the StockTwits social media platform, the options market, and the stock market. First, we show that, for our focal firms, net trade options volume ratio from the options market is positively and significantly related to the bullish sentiment of posts on StockTwits. Second, we find that net trade options volume ratio and bullish posts are positively and significantly related to stock returns. Third, we show that higher agreement amongst the sentiment of posts on StockTwits and net trade options volume ratio for options that are deeply out\u2010of\u2010the\u2010money (high leverage) both predict future stock returns for up to 20\u2009days. This finding is consistent with the explanation that informed investors have an affinity to trade deeply levered options to maximize their returns at the lowest cost.<\/jats:p>","DOI":"10.1002\/fut.22399","type":"journal-article","created":{"date-parts":[[2023,2,1]],"date-time":"2023-02-01T04:14:15Z","timestamp":1675224855000},"page":"1091-1125","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["The role of option\u2010based information on StockTwits, options trading volume, and stock returns"],"prefix":"10.1002","volume":"43","author":[{"given":"Zin Yau","family":"Heng","sequence":"first","affiliation":[{"name":"Department of Economics The University of Queensland St Lucia Queensland Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1288-6596","authenticated-orcid":false,"given":"Henry","family":"Leung","sequence":"additional","affiliation":[{"name":"Business School, The University of Sydney Darlington New South Wales Australia"}]}],"member":"311","published-online":{"date-parts":[[2023,1,31]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/503652"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00662.x"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22071"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1049"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109015000484"},{"key":"e_1_2_7_10_1","doi-asserted-by":"crossref","unstructured":"Chen H. De P. Hu Y. J. &Hwang B. H.(2013).Customers as advisors: The role of social media in financial markets[Working paper].","DOI":"10.2139\/ssrn.2024086"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00231"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12852"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.2000.tb00908.x"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00080.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00026-9"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22303"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.101390"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00349"},{"key":"e_1_2_7_21_1","doi-asserted-by":"crossref","unstructured":"Gray W. R. &Kern A. E.(2011). Talking your book: Social networks and price discovery. Available athttps:\/\/doi.org\/10.2139\/ssrn.1767452","DOI":"10.2139\/ssrn.1767452"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01748.x"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.007"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22277"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.01.009"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.10.007"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.653"},{"key":"e_1_2_7_30_1","unstructured":"OptionMetrics LLC. (2021). OptionMetrics.https:\/\/wrds-www.wharton.upenn.edu[dataset]"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.07.002"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22186"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz120"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.5.2150"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_7_37_1","unstructured":"StockTwits LLC. (2019). StockTwits.https:\/\/stocktwits.com[dataset]"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01232.x"},{"key":"e_1_2_7_39_1","unstructured":"The Center for Research in Security Prices LLC. (2021). The Center for Research in Security Prices (CRSP).https:\/\/wrds-www.wharton.upenn.edu[dataset]"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177731868"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22399","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22399","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22399","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,17]],"date-time":"2023-08-17T08:04:17Z","timestamp":1692259457000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22399"}},"issued":{"date-parts":[[2023,1,31]]},"references-count":39,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2023,8]]}},"alternative-id":["10.1002\/fut.22399"],"URL":"https:\/\/doi.org\/10.1002\/fut.22399","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,1,31]]},"assertion":[{"value":"2023-01-07","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-01-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-01-31","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,30]],"date-time":"2026-01-30T02:04:00Z","timestamp":1769738640081,"version":"3.49.0"},"reference-count":44,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2024,7,18]],"date-time":"2024-07-18T00:00:00Z","timestamp":1721260800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,10]]},"abstract":"ABSTRACT<\/jats:title>This paper introduces an innovative genetically optimized dynamic composite strategy for achieving profitability in futures markets. Utilizing daily data from 35 actively traded futures contracts (1984\u20132022), we highlight the potential advantages of integrating the momentum effect into dynamic moving average strategies. This enhancement can boost the strategy's capability to capture and capitalize on market trends, ensuring consistent and stable returns. The developed dynamically composite technical trading strategy aspires to be a valuable reference for investors and the finance academic community, contributing to advancements in the field.<\/jats:p>","DOI":"10.1002\/fut.22543","type":"journal-article","created":{"date-parts":[[2024,7,19]],"date-time":"2024-07-19T04:59:05Z","timestamp":1721365145000},"page":"1640-1661","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1007-3428","authenticated-orcid":false,"given":"Shihan","family":"Li","sequence":"first","affiliation":[{"name":"School of Financial Technology Shanghai Lixin University of Accounting and Finance Shanghai China"},{"name":"School of Economics Fudan University Shanghai China"}]},{"given":"Shuyao","family":"Li","sequence":"additional","affiliation":[{"name":"Business School University of Sydney Sydney New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4252-2360","authenticated-orcid":false,"given":"Qingfu","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Economics Fudan University Shanghai China"},{"name":"Yanqi Lake Beijing Institute of Mathematical Sciences and Applications Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2230-1261","authenticated-orcid":false,"given":"Yiuman","family":"Tse","sequence":"additional","affiliation":[{"name":"Department of Finance and Legal Studies University of Missouri\u2013St. Louis St. Louis Missouri USA"}]}],"member":"311","published-online":{"date-parts":[[2024,7,18]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00052-X"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.06.001"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676188"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21665"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2022.119326"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2011.38.1.029"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2014.03.024"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.07.002"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ins.2022.10.029"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1109\/TEVC.2008.915992"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx131"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.09.012"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.04.013"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2022.118581"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2019.10.002"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00043-7"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04702.x"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00342"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2010.07.008"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2016.05.003"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asoc.2017.02.006"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00656.x"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00037-2"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00206-X"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102209"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2017.04.082"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2010.543084"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/02664763.2013.818624"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331231"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2022.118120"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2010.00254.x"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2012.04.003"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1262055"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2011.631894"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2005.09.004"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asoc.2020.106852"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(97)00017-X"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.08.004"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2010.07.094"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00120-1"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2015.08.132"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.07.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22543","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,11,17]],"date-time":"2024-11-17T09:34:42Z","timestamp":1731836082000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22543"}},"issued":{"date-parts":[[2024,7,18]]},"references-count":44,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2024,10]]}},"alternative-id":["10.1002\/fut.22543"],"URL":"https:\/\/doi.org\/10.1002\/fut.22543","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,7,18]]},"assertion":[{"value":"2024-01-20","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-02","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-18","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,18]],"date-time":"2026-01-18T12:04:11Z","timestamp":1768737851566,"version":"3.49.0"},"reference-count":54,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2020,3,12]],"date-time":"2020-03-12T00:00:00Z","timestamp":1583971200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,7]]},"abstract":"Abstract<\/jats:title>This study examines the impacts of inventory and financial instability on the basis of the crude oil market. The results show that, first, the basis rises with inventory, and this effect is higher during low inventory regimes. This validates the theory of storage in the crude oil market. Second, the basis rises with financial instability, and this effect is higher during turbulent regimes. These results warn the oil market participants that, to make decisions based on the basis variation, traditionally known as a signal of scarcity or abundance, the underlying cause of the variation has to be considered.<\/jats:p>","DOI":"10.1002\/fut.22113","type":"journal-article","created":{"date-parts":[[2020,3,13]],"date-time":"2020-03-13T05:49:36Z","timestamp":1584078576000},"page":"1160-1175","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":14,"title":["The theory of storage in the crude oil futures market, the role of financial conditions"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8333-4297","authenticated-orcid":false,"given":"Maryam","family":"Ahmadi","sequence":"first","affiliation":[{"name":"Department of Economics, Management and Statistics (DEMS) University of Milan\u2010Bicocca Milan Italy"}]},{"given":"Niaz","family":"Bashiri Behmiri","sequence":"additional","affiliation":[{"name":"Department of Economics and Finance University of Stavanger, UiS Business School Stavanger Norway"}]},{"given":"Matteo","family":"Manera","sequence":"additional","affiliation":[{"name":"Department of Economics, Management and Statistics (DEMS) University of Milan\u2010Bicocca and Fondazione Eni Enrico Mattei (FEEM) Milan Italy"}]}],"member":"311","published-online":{"date-parts":[[2020,3,12]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.008"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.06.016"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2015.05.003"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04727.x"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.2000.82.2.344"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_8_8_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0301-4207(96)85057-4"},{"issue":"5","key":"e_1_2_8_10_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.5547\/01956574.38.5.sbyu","article-title":"Speculation in commodity futures markets, inventories and the price of crude oil","volume":"38","author":"Byun S.","year":"2017","journal-title":"The Energy Journal"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2012.10.001"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2013.11.006"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu043"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100605"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_8_16_1","doi-asserted-by":"crossref","unstructured":"Economou F. Panagopoulos Y. &Tsouma E.(2017).Uncovering asymmetries in the relationship between fear and the stock market using a hidden co\u2010integration approach.Research in International Business & Finance(forthcoming).","DOI":"10.1016\/j.ribaf.2017.07.116"},{"key":"e_1_2_8_17_1","unstructured":"EIA. U.S. Energy information administration. Retrieved from:https:\/\/www.eia.gov\/"},{"key":"e_1_2_8_18_1","unstructured":"Energy Information Administration (EIA). (2017). Retrieved from:www.eia.gov\/finance\/markets\/crudeoil\/balance.php"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2017.03.003"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_8_22_1","unstructured":"FRED. Federal reserve economic data. Retrieved from:https:\/\/fred.stlouisfed.org\/"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20144"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.01.014"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2012.06.014"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"issue":"2","key":"e_1_2_8_28_1","first-page":"5","article-title":"Financial stress: What is it, how can it be measured, and why does it matter?","volume":"94","author":"Hakkio C.","year":"2009","journal-title":"Federal Reserve Bank of Kansas City"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171789"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002246"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/reep\/rew001"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2007.04.002"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20140033"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-006-0008-5"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100150210237"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.08.027"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2015.01.003"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1086\/296630"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.07.006"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913712"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/2555858"},{"key":"e_1_2_8_43_1","unstructured":"Quandl. Continuous futures.\u00a0Retrieved from:https:\/\/www.quandl.com\/databases\/SCF\/data"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2015.10.043"},{"issue":"3","key":"e_1_2_8_45_1","first-page":"380","article-title":"The effects of uncertainties on inventory management of petroleum products: A case study of Thailand","volume":"4","author":"Roekchamnong W.","year":"2014","journal-title":"International Journal of Energy Economics & Policy"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2010.12.006"},{"key":"e_1_2_8_47_1","doi-asserted-by":"crossref","first-page":"125","DOI":"10.5547\/ISSN0195-6574-EJ-Vol15-No2-7","article-title":"Business cycles and the behavior of energy prices","volume":"18","author":"Serletis A.","year":"1994","journal-title":"Energy Journal"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2012.07.016"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_8_50_1","doi-asserted-by":"crossref","unstructured":"Tsagkanos A. Evgenidis A. &Vartholomatou K.(2017).Financial and monetary stability across Euro\u2010zone and BRICS: An exogenous threshold VAR approach.Research in International Business & Finance(forthcoming).","DOI":"10.1016\/j.ribaf.2017.07.108"},{"key":"e_1_2_8_51_1","first-page":"6","article-title":"Price relations between July and September wheat futures at Chicago since 1885","volume":"9","author":"Working H.","year":"1933","journal-title":"Wheat Studies of the Food Research Institute"},{"key":"e_1_2_8_52_1","first-page":"5","article-title":"Price relations between May and new\u2010crop wheat futures at Chicago since 1885","volume":"10","author":"Working H.","year":"1934","journal-title":"Wheat Studies of the Food Research Institute"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"issue":"6","key":"e_1_2_8_54_1","first-page":"1254","article-title":"The theory of price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"The American Economic Review"},{"key":"e_1_2_8_55_1","first-page":"1","article-title":"Heterogeneous impacts of international oil price shocks on the stock market\u2014Evidence from China","author":"Zhang X.","year":"2019","journal-title":"Emerging Markets Finance and Trade"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22113","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22113","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22113","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22113","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,2]],"date-time":"2024-08-02T02:45:12Z","timestamp":1722566712000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22113"}},"issued":{"date-parts":[[2020,3,12]]},"references-count":54,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2020,7]]}},"alternative-id":["10.1002\/fut.22113"],"URL":"https:\/\/doi.org\/10.1002\/fut.22113","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,3,12]]},"assertion":[{"value":"2019-09-04","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-02-23","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-03-12","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,22]],"date-time":"2026-01-22T02:02:24Z","timestamp":1769047344467,"version":"3.49.0"},"reference-count":37,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2003,2,24]],"date-time":"2003-02-24T00:00:00Z","timestamp":1046044800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,4]]},"abstract":"Abstract<\/jats:title>In this article, we examine the impact of 21 different types of scheduled macroeconomic news announcements on\nS&P 100 stock\u2010index option volume and implied volatility. We find that there is a 2\u2010h delay\nafter the announcement before volume increases. However, there is an immediate increase in volatility, which\nslowly dissipates over several hours. Further analysis shows that most of the high volume and volatility after\nannouncements come from the announcements that are considered bad news. That is, bad news creates high\nvolatility and high volume, whereas good news elicits lower volume and is not associated with higher volatility.\nThese results are not consistent with the predictions of any one model. We also find that the announcements that\ncause the largest reaction in the equity option market are Consumer Credit, Consumer Spending, Factory\nInventories, NAPM, and Non\u2010Farm Payrolls. Six other announcements elicit a mild response. \u00a9 2003\nWiley Periodicals, Inc. Jrl Fut Mark 23:315\u2013345, 2003<\/jats:p>","DOI":"10.1002\/fut.10064","type":"journal-article","created":{"date-parts":[[2003,2,25]],"date-time":"2003-02-25T14:02:33Z","timestamp":1046181753000},"page":"315-345","source":"Crossref","is-referenced-by-count":48,"title":["Option volume and volatility response to scheduled economic news releases"],"prefix":"10.1002","volume":"23","author":[{"given":"John R.","family":"Nofsinger","sequence":"first","affiliation":[]},{"given":"Brian","family":"Prucyk","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,2,24]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Adams G. McQueen G. &Wood R.(1999).The effects of inflation news on high frequency stock returns (Working paper). University of Memphis.","DOI":"10.2139\/ssrn.176268"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331101"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.85732"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676223"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00027-0"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.4.1211"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331344"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1999.tb00714.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331256"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331358"},{"key":"e_1_2_1_14_1","article-title":"Macroeconomic factors do influence aggregate stock returns","author":"Flannery M.","journal-title":"Review of Financial Studies"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(98)00002-4"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150303"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00172"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<665::AID-FUT3>3.0.CO;2-N"},{"key":"e_1_2_1_19_1","article-title":"Risk\u2013return relationships in foreign currency futures following macroeconomic\nannouncements","author":"Han L. M.","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00184"},{"key":"e_1_2_1_21_1","volume-title":"Options, futures, and other derivatives","author":"Hull J.","year":"1997"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00047-0"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491051"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(91)90033-G"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(94)90004-3"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(92)90021-S"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02711.x"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.683"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00133-3"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb03531.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02647.x"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb05002.x"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676247"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02728.x"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.5.975"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407868"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10064","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10064","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T22:23:58Z","timestamp":1700259838000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10064"}},"issued":{"date-parts":[[2003,2,24]]},"references-count":37,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2003,4]]}},"alternative-id":["10.1002\/fut.10064"],"URL":"https:\/\/doi.org\/10.1002\/fut.10064","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,2,24]]}},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T09:23:57Z","timestamp":1773221037917,"version":"3.50.1"},"reference-count":36,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2026,1,26]],"date-time":"2026-01-26T00:00:00Z","timestamp":1769385600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"},{"start":{"date-parts":[[2026,1,26]],"date-time":"2026-01-26T00:00:00Z","timestamp":1769385600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,4]]},"abstract":"ABSTRACT<\/jats:title>\n This paper revisits the relationship between the US dollar and cross\u2010currency basis (XCB) swap spreads. We show that the strength and direction of this relationship depend on the prevailing regime of the broad dollar. The evidence suggests that the well\u2010documented \u201cdollar appreciates, basis widens\u201d result holds primarily when the dollar is in a low or intermediate regime. However, once the dollar transitions into a high regime, this association either weakens or reverses: a stronger dollar no longer widens the basis and may tighten it. Our findings reveal that not all dollar appreciations are created equal. For the same magnitude of dollar appreciation, basis spreads tend to widen significantly more in low\u2010 or intermediate\u2010dollar regimes than in high\u2010dollar regimes. We explain these results through a theoretical framework grounded in hedging demand and supply imbalances and validate them empirically using the term structure of XCB swap spreads of G10 currencies.<\/jats:p>","DOI":"10.1002\/fut.70081","type":"journal-article","created":{"date-parts":[[2026,1,26]],"date-time":"2026-01-26T08:08:39Z","timestamp":1769414919000},"page":"754-772","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross\u2010Currency Basis"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6736-6432","authenticated-orcid":false,"given":"Daniel Felix","family":"Ahelegbey","sequence":"first","affiliation":[{"name":"School of Mathematics, Statistics, and Actuarial Science University of Essex Wivenhoe Park Colchester Essex UK"},{"name":"Financial Research Unit BAUM TenPers Institute Arlington Virginia USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4136-8341","authenticated-orcid":false,"given":"Oyakhilome Wallace","family":"Ibhagui","sequence":"additional","affiliation":[{"name":"Financial Research Unit BAUM TenPers Institute Arlington Virginia USA"},{"name":"Department of Financial Economics Johns Hopkins University Baltimore Maryland USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4809-9789","authenticated-orcid":false,"given":"Florian","family":"Gerth","sequence":"additional","affiliation":[{"name":"Stephen Zuellig Graduate School of Development Management Asian Institute of Management Legazpi Village Makati City Metro Manila Philippines"}]}],"member":"311","published-online":{"date-parts":[[2026,1,26]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12189"},{"key":"e_1_2_10_3_1","doi-asserted-by":"crossref","unstructured":"Ahelegbey D. andO. W.Ibhagui.2020.Interconnected Deviations From Covered Interest Parity. Technical Report 3693013. SSRN Electronic Journal.https:\/\/ssrn.com\/abstract=3693013.","DOI":"10.2139\/ssrn.3693013"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1596"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1257\/aeri.20180322"},{"key":"e_1_2_10_6_1","unstructured":"Avdjiev S. E.Eren andP.McGuire.2020.Dollar Funding Costs During the Covid\u201019 Crisis Through the Lens of the FX Swap Market. Technical Report. Bank for International Settlements."},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2018.08.013"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.05.007"},{"issue":"1","key":"e_1_2_10_9_1","first-page":"14","article-title":"Agency Costs, Net Worth, and Business Fluctuations","volume":"79","author":"Bernanke B.","year":"1989","journal-title":"American Economic Review"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn098"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2014.11.011"},{"issue":"1","key":"e_1_2_10_12_1","first-page":"1","article-title":"Covered Interest Parity Deviations and the US Dollar","volume":"69","author":"Cerutti E.","year":"2021","journal-title":"IMF Economic Review"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1057\/s41308-023-00222-x"},{"key":"e_1_2_10_14_1","doi-asserted-by":"crossref","unstructured":"Coffey N. W. B.Hrung andA.Sarkar.2009.Capital Constraints Counterparty Risk and Deviations from Covered Interest Rate Parity. Staff Reports. Federal Reserve Bank of New York.","DOI":"10.2139\/ssrn.1473377"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-021-02164-7"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12620"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjv016"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr027"},{"key":"e_1_2_10_19_1","first-page":"3","article-title":"Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs","volume":"17","author":"Goldberg L. S.","year":"2011","journal-title":"Economic Policy Review"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00124"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.2.732"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355397555316"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconbus.2020.105909"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2021.01.013"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2020.1824928"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2021.101304"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2021.101393"},{"key":"e_1_2_10_28_1","unstructured":"Iida T. T.Kimura andN.Sudo.2016. \u201cRegulatory Reforms and the Dollar Funding of Global Banks: Evidence From the Impact of Monetary Policy Divergence.\u201d Working Paper Series 16\u2010E\u201014. Bank of Japan."},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjv017"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhae072"},{"key":"e_1_2_10_31_1","first-page":"1","article-title":"The Cross\u2010Currency Basis: A Review of the Literature","volume":"67","author":"Liao Y.","year":"2016","journal-title":"Journal of International Money and Finance"},{"key":"e_1_2_10_32_1","doi-asserted-by":"crossref","unstructured":"Mancini\u2010Griffoli T. andA.Ranaldo.2010. \u201cLimits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity.\u201d Working Paper 2010\u201014. Swiss National Bank.","DOI":"10.2139\/ssrn.1569504"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2362.2012.01300.x"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.03.003"},{"key":"e_1_2_10_35_1","doi-asserted-by":"crossref","unstructured":"Rime D. A.Schrimpf andO.Syrstad.2017. \u201cSegmented Money Markets and Covered Interest Parity Arbitrage.\u201d Working Paper 651. Bank for International Settlements.","DOI":"10.2139\/ssrn.3057973"},{"key":"e_1_2_10_36_1","doi-asserted-by":"crossref","unstructured":"Sushko V. C.Borio R.McCauley andP.McGuire.2016. \u201cFailure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets.\u201d BIS Working Papers 594. Bank for International Settlements.","DOI":"10.2139\/ssrn.2910319"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12300"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70081","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70081","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70081","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T11:50:52Z","timestamp":1773143452000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70081"}},"issued":{"date-parts":[[2026,1,26]]},"references-count":36,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2026,4]]}},"alternative-id":["10.1002\/fut.70081"],"URL":"https:\/\/doi.org\/10.1002\/fut.70081","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2026,1,26]]},"assertion":[{"value":"2025-10-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-01-11","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-01-26","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,16]],"date-time":"2025-10-16T19:50:40Z","timestamp":1760644240318},"reference-count":44,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6970,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,8]]},"DOI":"10.1002\/(sici)1096-9934(199608)16:5<475::aid-fut1>3.0.co;2-d","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T21:44:44Z","timestamp":1031694284000},"page":"475-517","source":"Crossref","is-referenced-by-count":41,"title":["Do managed futures make good investments?"],"prefix":"10.1002","volume":"16","author":[{"given":"Franklin R.","family":"Edwards","sequence":"first","affiliation":[]},{"given":"James M.","family":"Park","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB1","author":"Amihud","year":"1992","unstructured":"and (1992): \u201cFurther Evidence on the Risk Return Relationship,\u201d Stern School NYU Working Paper."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB2","author":"Baratz","year":"1990","unstructured":"and (1990): \u201cThe Role of Managed Futures Accounts in an Investment Portfolio,\u201d MAR Conference on Futures Money Management, January."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB3","author":"Baratz","year":"1986","unstructured":"and (1986, July): \u201cThe Role of Managed Futures Accounts in an Investment Portfolio,\u201d MAR Mid-Year Conference on Futures Money Management, Chicago, IL."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB4","volume-title":"Discrete Multivariate Analysis: Theory and Practice","author":"Bishop","year":"1975","unstructured":", and (1975): Discrete Multivariate Analysis: Theory and Practice, Cambridge, MA: MIT Press."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB5","author":"Bodie","year":"1983","unstructured":"(1983, Spring): \u201cCommodity Futures as a Hedge against Inflation,\u201d The Journal of Portfolio Management."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB6","author":"Bodie","year":"1980","unstructured":"and 1980, \u201cRisk and Return in Commodity Futures,\u201d Financial Analysts Journal, May\u2014June."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB7","doi-asserted-by":"crossref","DOI":"10.3905\/jpm.1980.408731","volume":"6","author":"Brightman","year":"1980","journal-title":"The Journal of Portfolio Management"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB8","author":"Brorsen","year":"1985","unstructured":"and (1985): \u201cExamination of Commodity Fund Performance,\u201d Review of Research in the Futures Markets, 4."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB9","author":"Brown","year":"1992","unstructured":"and (1992, March): \u201cMutual Fund Styles,\u201d preliminary draft."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB10","author":"Burr","year":"1994","unstructured":"(1994): \u201cMore Put Their Faith in Futures,\u201d Pensions and Investments, March."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB11","author":"Carlson","year":"1970","unstructured":"(1970): \u201cAggregate Performance of Mutual Funds,\u201d Journal of Financial and Quantitative Analysis, 5."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB12","author":"Connor","year":"1986","unstructured":"and (1986): \u201cPerformance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis,\u201d Journal of Financial Economics, 15."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB13","author":"Edwards","year":"1988","unstructured":"and (1988, October): \u201cCommodity Pool Performance: Is the Information Contained in Pool Prospectuses Useful?\u201d The Journal of Futures Markets, 589\u2013616."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB14","volume-title":"The Minimum Number of Commodity Traders Needed for Diversification","author":"Edwards","year":"1995a","unstructured":"and (1995a): \u201cThe Minimum Number of Commodity Traders Needed for Diversification,\u201d Center for the Study of Futures Markets Working Paper, Columbia Business School."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB15","doi-asserted-by":"crossref","DOI":"10.1086\/296392","volume":"60","author":"Elton","year":"1987","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB16","volume-title":"Efficiency With Costly Information: A Reinterpretation of Evidence For Managed Portfolios","author":"Elton","year":"1992","unstructured":", , and (1992): \u201cEfficiency With Costly Information: A Reinterpretation of Evidence For Managed Portfolios,\u201d Working Paper, Leonard Stern School of Business, New York University, forthcoming, Review of Financial Studies."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB17","volume-title":"Modern Portfolio Theory and Investment Management","author":"Elton","year":"1989","unstructured":"and (1989): Modern Portfolio Theory and Investment Management. New York: Wiley."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB18","author":"Fama","year":"1970","unstructured":"(1970): \u201cEfficient Capital Markets: A Review of Theory and Empirical Work,\u201d Journal of Finance, 25."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB19","author":"Fama","year":"1991","unstructured":"(1991): \u201cEfficient Capital Markets: II,\u201d Journal of Finance, 46."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB20","author":"Fischmar","year":"1991","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB21","volume":"14","author":"Frost","year":"1988","journal-title":"Journal of Portfolio Management"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB22","volume-title":"A Further Examination of the Risk-Return Characteristics of Portfolios Combining Commodity Futures Contracts with Common Stocks","author":"Herbst","year":"1988","unstructured":"and (1988): \u201cA Further Examination of the Risk-Return Characteristics of Portfolios Combining Commodity Futures Contracts with Common Stocks,\u201d Working Paper Series, Center for the Study of Futures Markets, Columbia University, February."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB23","author":"Ibbotson","year":"1985","unstructured":"and (1985): \u201cWorld Wealth: U.S. and Foreign Market Values and Returns,\u201d Journal of Portfolio Management, 11."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB24","doi-asserted-by":"crossref","DOI":"10.2307\/2937832","volume":"104","author":"Ippolito","year":"1989","journal-title":"The Quarterly Journal of Economics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB25","doi-asserted-by":"crossref","DOI":"10.1002\/fut.3990050318","volume":"5","author":"Irwin","year":"1985","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB26","author":"Irwin","year":"1987","unstructured":"and (1987, Fall): \u201cReal Estate, Futures, and Gold as Portfolio Assets,\u201d The Journal of Portfolio Management."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB27","author":"Irwin","year":"1992","unstructured":", and (1992): \u201cThe Investment Performance of Public Commodity Pools over 1979\u20131989,\u201d submitted to The Journal of Futures Markets and accepted for publication."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB28","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1968.tb00815.x","volume":"23","author":"Jensen","year":"1968","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB29","author":"Lee","year":"1985","unstructured":"and (1985, July-August): \u201cThe Stock Market and Commodities Futures Market: Diversification and Arbitrage Potential,\u201d Financial Analysts Journal."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB30","volume":"42","author":"Lehman","year":"1987","journal-title":"The Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB31","author":"Lintner","year":"1983","unstructured":"(1983): \u201cThe Potential Role of Managed Commodity-Financial Futures Accounts (and\/or Funds) in Portfolios of Stocks and Bonds,\u201d Presented at the Annual Conference of the Financial Analysts Federation, May, Toronto, Canada."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB32","volume-title":"Portfolio Selection: Efficient Diversification of Investments","author":"Markowitz","year":"1959","unstructured":"(1959): Portfolio Selection: Efficient Diversification of Investments. New York: Wiley."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB33","author":"Mattlin","year":"1991","unstructured":", (1991): \u201cCommodity Futures Catch on With Pensions,\u201d Institutional Investor, May 1991."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB34","doi-asserted-by":"crossref","DOI":"10.1002\/fut.3990060202","volume":"6","author":"Murphy","year":"1986","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB35","author":"Oberuc","year":"1990","unstructured":"(1990): \u201cHow to Diversify Portfolios of Euro-stocks and bonds with hedged U.S. Managed Futures,\u201d First International Conference on Futures Money Management, May, Geneva, Switzerland."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB36","author":"Orr","year":"1985","unstructured":"(1985, revised 1987): \u201cJohn Lintner and the Theory of Portfolio Management,\u201d Presented at the Sixth Annual Managed Accounts Reports Conference, February, Chicago, IL."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB37","volume-title":"Investment Flows and Performance: Evidence from Mutual Funds, Cross Border Investments and New Issues","author":"Patel","year":"1990","unstructured":", and (1990): \u201cInvestment Flows and Performance: Evidence from Mutual Funds, Cross Border Investments and New Issues,\u201d Harvard University Working Paper."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB38","author":"Peltz","year":"1996","unstructured":"(1996): \u201cMixed Year\u2014Good News catches Up With Bad,\u201d Managed Account Reports, Issue No. 203, January."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB39","author":"Peters","year":"1989","unstructured":"(1989): \u201cNew Perspectives on Portfolio Risk Management\u201d Presented at the 10th annual MAR Conference on Futures Money Management, January, Scottsdale, AZ."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB40","volume-title":"Managed Futures: Performance, Evaluation and Analysis of Commodity Funds, Pools and Accounts","author":"Peters","year":"1992","unstructured":"ed. (1992): Managed Futures: Performance, Evaluation and Analysis of Commodity Funds, Pools and Accounts. Chicago: Probus."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB41","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1978.tb02047.x","volume":"33","author":"Roll","year":"1978","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB42","volume-title":"Cross Sectional Correlation Between Security Returns and Measures of Systematic Risk","author":"Roll","year":"1992","unstructured":"and (1992): \u201cCross Sectional Correlation Between Security Returns and Measures of Systematic Risk,\u201d Working Paper Yale University."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB43","doi-asserted-by":"crossref","DOI":"10.1086\/294846","volume":"39","author":"Sharpe","year":"1966","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D-BIB44","volume-title":"Stocks, Bond, Bills and Inflation","year":"1992","unstructured":"Stocks, Bond, Bills and Inflation: 1992 Yearbook, Chicago: Ibbotson Associates, Inc."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199608)16:5%3C475::AID-FUT1%3E3.0.CO;2-D","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199608)16:5%3C475::AID-FUT1%3E3.0.CO;2-D","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:33:04Z","timestamp":1625135584000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199608)16:5<475::AID-FUT1>3.0.CO;2-D"}},"issued":{"date-parts":[[1996,8]]},"references-count":44,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1996,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199608)16:5<475::aid-fut1>3.0.co;2-d","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,8]]}},{"indexed":{"date-parts":[[2025,11,4]],"date-time":"2025-11-04T23:39:23Z","timestamp":1762299563162,"version":"3.37.3"},"reference-count":33,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T00:00:00Z","timestamp":1604966400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,2]]},"abstract":"Abstract<\/jats:title>This study utilizes a novel method of isolating oil\u2010price shocks into demand and supply driven contributors to analyze their impacts on stock returns in China. Empirical results suggest that oil shocks related to supply limitations generate positive abnormal stock returns for industries that can help alleviate these constraints. Conversely, demand\u2010driven oil shocks have mixed effects on industries which may relate to the uncertain impact of increasing demand for goods and higher production costs. These results are robust to alternative specifications of country\u2010specific control factors and provide evidence that different types of oil shocks have distinctive impacts on industries.<\/jats:p>","DOI":"10.1002\/fut.22176","type":"journal-article","created":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T14:54:37Z","timestamp":1605020077000},"page":"179-193","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":31,"title":["Stock market reactions to different types of oil shocks: Evidence from China"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9144-7478","authenticated-orcid":false,"given":"Jin Boon","family":"Wong","sequence":"first","affiliation":[{"name":"Macquarie Business School, Macquarie University Sydney New South Wales Australia"}]}],"member":"311","published-online":{"date-parts":[[2020,11,10]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.12.004"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1353\/eca.2016.0029"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1365100516000237"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1475-679X.2003.00122.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2016.11.004"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.08.008"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.37.SI1.dbro"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2014.09.007"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2015.03.007"},{"key":"e_1_2_7_12_1","unstructured":"China Stock Market & Accounting Research (CSMAR). (2020). CSMAR; January 1 2000\u2013November 30 2019."},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2008.06.006"},{"key":"e_1_2_7_14_1","unstructured":"Datastream. (2020). Datastream; January 1 2000\u2013November 30 2019."},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.07.013"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2016.11.037"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104656"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12512"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/261140"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(02)00207-5"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.1053"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2009.00568.x"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.12.007"},{"key":"e_1_2_7_24_1","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/j.eneco.2013.10.009","article-title":"Oil demand shocks reconsidered: A cointegrated vector autoregression","volume":"41","author":"Kolodzeij M.","year":"2014","journal-title":"Energy Economics"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.08.027"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.03.008"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2016.08.005"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.04.007"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfw071"},{"key":"e_1_2_7_30_1","unstructured":"Thomson Reuters. (2020). Thomson Reuters Tick History; January 1 2000\u2013November 30 2019."},{"key":"e_1_2_7_31_1","unstructured":"Wharton Research Data Services. (2020). Wharton Research Data Services; January 1 2000\u2013November 30 2019."},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22090"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2011.08.052"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.11.017"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22176","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22176","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22176","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,3]],"date-time":"2023-09-03T12:05:59Z","timestamp":1693742759000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22176"}},"issued":{"date-parts":[[2020,11,10]]},"references-count":33,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2021,2]]}},"alternative-id":["10.1002\/fut.22176"],"URL":"https:\/\/doi.org\/10.1002\/fut.22176","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,11,10]]},"assertion":[{"value":"2020-07-17","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-10-29","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-11-10","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,21]],"date-time":"2025-11-21T05:54:09Z","timestamp":1763704449256},"reference-count":15,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6720,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,4]]},"DOI":"10.1002\/fut.3990080207","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:48:51Z","timestamp":1183628931000},"page":"199-209","source":"Crossref","is-referenced-by-count":20,"title":["Arbitrage opportunities in metal futures markets"],"prefix":"10.1002","volume":"8","author":[{"given":"Christopher K.","family":"Ma","sequence":"first","affiliation":[]},{"given":"Luc A.","family":"Soenen","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010405"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_4_1","first-page":"55","article-title":"The Relationship Between Forward Prices and Futures Prices","volume":"5","author":"Cox J.","year":"1981","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060308"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050408"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050406"},{"key":"e_1_2_1_9_1","unstructured":"Ma C. K. Rao R. P. andWeinraub H. J.(1988): \u201cThe January Effect in Convertible Bond Returns: The Impact of Tax\u2010Loss Selling and Stock Market Seasonality \u201dThe Journal of Financial Research forthcoming."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060304"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060311"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050402"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Peters E.(1985): \u201cThe Growing Efficiency of Index Futures Markets \u201dThe Journal of Portfolio Management 52\u201356.","DOI":"10.3905\/jpm.1985.409021"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329871"},{"key":"e_1_2_1_15_1","first-page":"58","article-title":"New Option Instruments: Arbitrageable Linkages and Valuation","volume":"1","author":"Stoll H.","year":"1985","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511571848"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080207","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080207","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:47:09Z","timestamp":1697921229000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080207"}},"issued":{"date-parts":[[1988,4]]},"references-count":15,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1988,4]]}},"alternative-id":["10.1002\/fut.3990080207"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080207","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,4]]}},{"indexed":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T04:49:16Z","timestamp":1766983756801,"version":"3.40.5"},"reference-count":67,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2025,3,19]],"date-time":"2025-03-19T00:00:00Z","timestamp":1742342400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,6]]},"abstract":"ABSTRACT<\/jats:title>In this paper, we investigate alternative one\u2010factor and two\u2010factor continuous\u2010time models with both affine and non\u2010affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non\u2010affine feature and the multi\u2010factor structure. For performance evaluation, we examine various measures from both aggregate and dynamic perspectives. Our results are statistically significant.<\/jats:p>","DOI":"10.1002\/fut.22579","type":"journal-article","created":{"date-parts":[[2025,3,19]],"date-time":"2025-03-19T09:25:22Z","timestamp":1742376322000},"page":"612-636","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Modeling the Implied Volatility Smirk in China: Do Non\u2010Affine Two\u2010Factor Stochastic Volatility Models Work?"],"prefix":"10.1002","volume":"45","author":[{"given":"Yifan","family":"Ye","sequence":"first","affiliation":[{"name":"Financial Technology Thrust, Society Hub The Hong Kong University of Science and Technology (Guangzhou) Guangzhou China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4752-9019","authenticated-orcid":false,"given":"Zheqi","family":"Fan","sequence":"additional","affiliation":[{"name":"Financial Technology Thrust, Society Hub The Hong Kong University of Science and Technology (Guangzhou) Guangzhou China"},{"name":"Division of Emerging Interdisciplinary Areas, Academy of Interdisciplinary Studies The Hong Kong University of Science and Technology Hong Kong China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1447-6603","authenticated-orcid":false,"given":"Xinfeng","family":"Ruan","sequence":"additional","affiliation":[{"name":"Department of Finance, International Business School Suzhou Xi'an Jiaotong Liverpool University Suzhou China"}]}],"member":"311","published-online":{"date-parts":[[2025,3,19]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_12_2_1","DOI":"10.1016\/j.jfineco.2005.10.006"},{"doi-asserted-by":"publisher","key":"e_1_2_12_3_1","DOI":"10.1007\/s00780-006-0011-7"},{"doi-asserted-by":"publisher","key":"e_1_2_12_4_1","DOI":"10.2307\/2527343"},{"doi-asserted-by":"crossref","unstructured":"Andersen T. G. T.Bollerslev andF. X.Diebold.2010. \u201cParametric and Nonparametric Volatility Measurement.\u201d InHandbook of Financial Econometrics: Tools and Techniques 67\u2013137.Elsevier.","key":"e_1_2_12_5_1","DOI":"10.1016\/B978-0-444-50897-3.50005-5"},{"doi-asserted-by":"publisher","key":"e_1_2_12_6_1","DOI":"10.1111\/1468-0262.00418"},{"doi-asserted-by":"publisher","key":"e_1_2_12_7_1","DOI":"10.1016\/j.jfineco.2015.06.005"},{"doi-asserted-by":"publisher","key":"e_1_2_12_8_1","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"doi-asserted-by":"publisher","key":"e_1_2_12_9_1","DOI":"10.1093\/rfs\/16.1.0101"},{"doi-asserted-by":"publisher","key":"e_1_2_12_10_1","DOI":"10.1016\/j.ejor.2021.08.023"},{"doi-asserted-by":"publisher","key":"e_1_2_12_11_1","DOI":"10.1016\/j.jfineco.2018.09.008"},{"doi-asserted-by":"publisher","key":"e_1_2_12_12_1","DOI":"10.1093\/rfs\/9.1.69"},{"doi-asserted-by":"publisher","key":"e_1_2_12_13_1","DOI":"10.1016\/S0304-4076(99)00021-4"},{"unstructured":"Black F.1976. \u201cStudies of Stock Market Volatility Changes.\u201dProceedings of the American Statistical Association Business & Economic Statistics Section 1976.","key":"e_1_2_12_14_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_15_1","DOI":"10.1017\/9781009028943"},{"doi-asserted-by":"publisher","key":"e_1_2_12_16_1","DOI":"10.21314\/JCF.1999.043"},{"doi-asserted-by":"publisher","key":"e_1_2_12_17_1","DOI":"10.1016\/j.jfineco.2006.03.010"},{"unstructured":"Chen H. A.Didisheim andS.Scheidegger.2023.Deep Surrogates for Finance: With an Application to Option Pricing. SSRN 3782722.","key":"e_1_2_12_18_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_19_1","DOI":"10.1016\/S0304-4076(03)00108-8"},{"doi-asserted-by":"publisher","key":"e_1_2_12_20_1","DOI":"10.1002\/fut.22294"},{"doi-asserted-by":"publisher","key":"e_1_2_12_21_1","DOI":"10.1287\/mnsc.1090.1065"},{"doi-asserted-by":"publisher","key":"e_1_2_12_22_1","DOI":"10.1016\/j.jfineco.2003.02.001"},{"doi-asserted-by":"publisher","key":"e_1_2_12_23_1","DOI":"10.1287\/mnsc.1040.0276"},{"doi-asserted-by":"publisher","key":"e_1_2_12_24_1","DOI":"10.1093\/rfs\/hhq032"},{"doi-asserted-by":"publisher","key":"e_1_2_12_25_1","DOI":"10.1111\/jofi.13300"},{"doi-asserted-by":"publisher","key":"e_1_2_12_26_1","DOI":"10.1201\/9780203485217"},{"doi-asserted-by":"publisher","key":"e_1_2_12_27_1","DOI":"10.1007\/BF02551274"},{"doi-asserted-by":"publisher","key":"e_1_2_12_28_1","DOI":"10.1080\/07350015.2014.983236"},{"doi-asserted-by":"publisher","key":"e_1_2_12_29_1","DOI":"10.1198\/073500102753410444"},{"doi-asserted-by":"publisher","key":"e_1_2_12_30_1","DOI":"10.1016\/0304-4076(95)01750-X"},{"doi-asserted-by":"publisher","key":"e_1_2_12_31_1","DOI":"10.1017\/S0022109023000753"},{"doi-asserted-by":"publisher","key":"e_1_2_12_32_1","DOI":"10.1111\/1468-0262.00164"},{"doi-asserted-by":"publisher","key":"e_1_2_12_33_1","DOI":"10.1137\/080718061"},{"doi-asserted-by":"crossref","unstructured":"Follett L. S.Kou M.Stuart andC.Yu.2022.Inverse Leverage Effect for Cryptocurrencies and Meme Stocks: A Comprehensive Framework. SSRN 4284817.","key":"e_1_2_12_34_1","DOI":"10.2139\/ssrn.4284817"},{"doi-asserted-by":"publisher","key":"e_1_2_12_35_1","DOI":"10.1287\/mnsc.2020.3689"},{"doi-asserted-by":"publisher","key":"e_1_2_12_36_1","DOI":"10.1093\/rfs\/6.2.327"},{"doi-asserted-by":"publisher","key":"e_1_2_12_37_1","DOI":"10.1016\/0893-6080(89)90020-8"},{"doi-asserted-by":"publisher","key":"e_1_2_12_38_1","DOI":"10.1080\/14697688.2020.1817974"},{"doi-asserted-by":"publisher","key":"e_1_2_12_39_1","DOI":"10.1111\/j.1540-6261.2004.00667.x"},{"doi-asserted-by":"crossref","unstructured":"Johannes M. andN.Polson.2010. \u201cMCMC Methods for Continuous\u2010Time Financial Econometrics.\u201d InHandbook of Financial Econometrics: Applications 1\u201372.Elsevier.","key":"e_1_2_12_40_1","DOI":"10.1016\/B978-0-444-53548-1.50003-9"},{"doi-asserted-by":"publisher","key":"e_1_2_12_41_1","DOI":"10.1016\/S0304-4076(03)00107-6"},{"doi-asserted-by":"publisher","key":"e_1_2_12_42_1","DOI":"10.1016\/j.jbankfin.2012.07.012"},{"doi-asserted-by":"crossref","unstructured":"Kwok Y. K. K. S.Leung andH. Y.Wong.2011. \u201cEfficient Options Pricing Using the Fast Fourier Transform.\u201d InHandbook of Computational Finance 579\u2013604.Springer.","key":"e_1_2_12_43_1","DOI":"10.1007\/978-3-642-17254-0_21"},{"doi-asserted-by":"publisher","key":"e_1_2_12_44_1","DOI":"10.1287\/mnsc.1100.1222"},{"doi-asserted-by":"publisher","key":"e_1_2_12_45_1","DOI":"10.1002\/fut.22012"},{"doi-asserted-by":"publisher","key":"e_1_2_12_46_1","DOI":"10.1007\/s11147-018-9145-y"},{"doi-asserted-by":"publisher","key":"e_1_2_12_47_1","DOI":"10.1002\/fut.22298"},{"doi-asserted-by":"publisher","key":"e_1_2_12_48_1","DOI":"10.1002\/fut.21572"},{"key":"e_1_2_12_49_1","first-page":"225","article-title":"Speculative Trading and Stock Prices: Evidence From Chinese AB Share Premia","volume":"10","author":"Mei J.","year":"2009","journal-title":"Annals of Economics and Finance"},{"doi-asserted-by":"publisher","key":"e_1_2_12_50_1","DOI":"10.1016\/j.jfineco.2012.12.003"},{"doi-asserted-by":"publisher","key":"e_1_2_12_51_1","DOI":"10.1016\/0304-4076(90)90092-8"},{"doi-asserted-by":"publisher","key":"e_1_2_12_52_1","DOI":"10.2307\/2526578"},{"doi-asserted-by":"publisher","key":"e_1_2_12_53_1","DOI":"10.2307\/2297912"},{"doi-asserted-by":"publisher","key":"e_1_2_12_54_1","DOI":"10.1093\/rof\/rfv059"},{"doi-asserted-by":"publisher","key":"e_1_2_12_55_1","DOI":"10.1016\/j.jeconom.2016.01.001"},{"doi-asserted-by":"crossref","unstructured":"Renault E.1997. \u201cEconometric Models of Option Pricing Errors.\u201d InAdvances in Economics and Econometrics: Theory and Applications vol.III 221\u2013278.Cambridge University Press.","key":"e_1_2_12_56_1","DOI":"10.1017\/CBO9781139051996.008"},{"doi-asserted-by":"publisher","key":"e_1_2_12_57_1","DOI":"10.1038\/323533a0"},{"doi-asserted-by":"publisher","key":"e_1_2_12_58_1","DOI":"10.1515\/9781400829231"},{"doi-asserted-by":"publisher","key":"e_1_2_12_59_1","DOI":"10.1093\/rfs\/hhp036"},{"doi-asserted-by":"crossref","unstructured":"Wang Y. andX.Zhou.2021.Information\u2010Based Trading in China's Option Markets. Available at SSRN 3888540.","key":"e_1_2_12_60_1","DOI":"10.2139\/ssrn.3888540"},{"doi-asserted-by":"publisher","key":"e_1_2_12_61_1","DOI":"10.1093\/rof\/rfw001"},{"doi-asserted-by":"publisher","key":"e_1_2_12_62_1","DOI":"10.1287\/mnsc.2021.4168"},{"author":"Yuan P.","journal-title":"Management Science","article-title":"A New Model for the Joint Valuation of S&P 500 and VIX Options: Specification Analysis","key":"e_1_2_12_63_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_64_1","DOI":"10.1016\/j.pacfin.2021.101624"},{"doi-asserted-by":"publisher","key":"e_1_2_12_65_1","DOI":"10.1080\/14697680601173444"},{"unstructured":"[data\u2010set] SSE 50 ETF Option Implied Volatility Surface; 2024; Wind Finance Terminal.","key":"e_1_2_12_66_1"},{"unstructured":"[data\u2010set] SSE 50 ETF Option Prices; 2024; CSMAR.","key":"e_1_2_12_67_1"},{"unstructured":"[data\u2010set] SSE 50 Realized Indicators Research Database; 2024; CSMAR.","key":"e_1_2_12_68_1"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22579","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,5,10]],"date-time":"2025-05-10T03:41:27Z","timestamp":1746848487000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22579"}},"issued":{"date-parts":[[2025,3,19]]},"references-count":67,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2025,6]]}},"alternative-id":["10.1002\/fut.22579"],"URL":"https:\/\/doi.org\/10.1002\/fut.22579","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,3,19]]},"assertion":[{"value":"2024-01-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-02-15","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-03-19","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,9,25]],"date-time":"2025-09-25T14:42:00Z","timestamp":1758811320255,"version":"3.37.3"},"reference-count":34,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2021,10,4]],"date-time":"2021-10-04T00:00:00Z","timestamp":1633305600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,2]]},"abstract":"Abstract<\/jats:title>This paper investigates options trading activity before Federal Open Market Committee (FOMC) announcements. We find evidence that informed traders use options to speculate on their private information for the upcoming FOMC announcements. Specifically, abnormal trading volume of call options on S&P 500 index during the preannouncement window positively predicts postannouncement index returns, and this predictability mainly comes from near\u2010the\u2010money call options. Moreover, we further break down trading volume based on the direction of trades and show that buyer\u2010initiated call option trading volume positively predicts postannouncement index returns. We find no evidence that investors use options to hedge postannouncement market uncertainty.<\/jats:p>","DOI":"10.1002\/fut.22277","type":"journal-article","created":{"date-parts":[[2021,10,6]],"date-time":"2021-10-06T05:20:43Z","timestamp":1633497643000},"page":"212-230","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Speculation or hedging?\u2014Options trading prior to FOMC announcements"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3045-9608","authenticated-orcid":false,"given":"George J.","family":"Jiang","sequence":"first","affiliation":[{"name":"Department of Finance and Management Science, Carson College of Business Washington State University Pullman Washington USA"}]},{"given":"Guanzhong","family":"Pan","sequence":"additional","affiliation":[{"name":"School of Finance Yunnan University of Finance and Economics Kunming China"}]}],"member":"311","published-online":{"date-parts":[[2021,10,4]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1997.tb00531.x"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2018.3122"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000410"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.05.008"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22071"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.09.012"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106060"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2019.3529"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2016.07.013"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.08.019"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2015.11.003"},{"volume-title":"Options, futures, and other derivatives","year":"2006","author":"Hull J. C.","key":"e_1_2_8_19_1"},{"key":"e_1_2_8_20_1","unstructured":"[Intraday CBOE volatility index]TickData;2016; Intraday CBOE volatility index (VIX);https:\/\/www.tickdata.com\/"},{"key":"e_1_2_8_21_1","unstructured":"[Intraday S&P500 index]TickData;2016; Intraday S&P500 index;https:\/\/www.tickdata.com\/"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.681813"},{"volume-title":"Specification searches: Ad hoc inference with nonexperimental data","year":"1978","author":"Leamer E. E.","key":"e_1_2_8_24_1"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12196"},{"volume-title":"Introduction to econometrics","year":"1988","author":"Maddala G. S.","key":"e_1_2_8_27_1"},{"key":"e_1_2_8_28_1","unstructured":"[Options trade data]CBOE;2016; Options trade data;https:\/\/www.cboe.com\/"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21960"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912557"},{"key":"e_1_2_8_33_1","unstructured":"Weinbaum D. Andy F. Dmitriy M. &Martijn C.(2021).Option trading activity news releases and stock return predictability. Available at SSRN:https:\/\/ssrn.com\/abstract=2544344"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/fima.12187"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22277","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22277","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22277","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T04:52:37Z","timestamp":1693198357000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22277"}},"issued":{"date-parts":[[2021,10,4]]},"references-count":34,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,2]]}},"alternative-id":["10.1002\/fut.22277"],"URL":"https:\/\/doi.org\/10.1002\/fut.22277","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,10,4]]},"assertion":[{"value":"2021-09-19","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-22","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-10-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T11:33:56Z","timestamp":1761824036397,"version":"3.37.3"},"reference-count":33,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2018,7,27]],"date-time":"2018-07-27T00:00:00Z","timestamp":1532649600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71301027","71671004"],"award-info":[{"award-number":["71301027","71671004"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,1]]},"abstract":"Using an extended LHARG model proposed by Majewski et al. (2015, J Econ<\/jats:italic>, 187, 521\u2013531), we derive the closed\u2010form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long\u2010term volatility dynamics. By using the realized volatility based on high\u2010frequency data, the proposed model provides superior pricing performance compared with the classic Heston\u2013Nandi GARCH model under a variance\u2010dependent pricing kernel, both in\u2010sample and out\u2010of\u2010sample. The improvement is more pronounced during high volatility periods.<\/jats:p>","DOI":"10.1002\/fut.21955","type":"journal-article","created":{"date-parts":[[2018,7,27]],"date-time":"2018-07-27T13:45:25Z","timestamp":1532699125000},"page":"72-93","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":41,"title":["VIX term structure and VIX futures pricing with realized volatility"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3336-5706","authenticated-orcid":false,"given":"Zhuo","family":"Huang","sequence":"first","affiliation":[{"name":"National School of Development Peking University Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3065-5978","authenticated-orcid":false,"given":"Chen","family":"Tong","sequence":"additional","affiliation":[{"name":"National School of Development Peking University Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3073-5908","authenticated-orcid":false,"given":"Tianyi","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of Financial Engineering School of Banking and Finance, University of International Business and Economics Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2018,7,27]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2296826"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6495"},{"volume-title":"Term structure of variance risk premium and returns\u2019 predictability","year":"2016","author":"Bormetti G.","key":"e_1_2_8_1_6_1"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000428"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht033"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.12.003"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118272039.ch15"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.08.015"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.018"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.04.007"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21913"},{"key":"e_1_2_8_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21867"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.978"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1234"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs026"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.03.035"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20291"},{"key":"e_1_2_8_1_25_1","unstructured":"Luo X. &ZhangJ.(2014).Instantaneous squared VIX and VIX derivatives(Working Paper). Available at SSRN:https:\/\/ssrn.com\/abstract=2484989"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.036"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_8_1_28_1","first-page":"84","article-title":"VIX option pricing in a jump\u2010diffusion model","author":"Sepp A.","year":"2008","journal-title":"Risk Magazine"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1158"},{"key":"e_1_2_8_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21820"},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20448"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"},{"key":"e_1_2_8_1_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20512"},{"key":"e_1_2_8_1_34_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024907004123"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21955","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21955","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.21955","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21955","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T07:19:48Z","timestamp":1693984788000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21955"}},"issued":{"date-parts":[[2018,7,27]]},"references-count":33,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2019,1]]}},"alternative-id":["10.1002\/fut.21955"],"URL":"https:\/\/doi.org\/10.1002\/fut.21955","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,7,27]]},"assertion":[{"value":"2018-01-02","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-06-13","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-07-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,4,28]],"date-time":"2025-04-28T07:05:29Z","timestamp":1745823929445,"version":"3.37.3"},"reference-count":40,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2021,5,20]],"date-time":"2021-05-20T00:00:00Z","timestamp":1621468800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,9]]},"abstract":"Abstract<\/jats:title>We conduct a comprehensive study on the specifications of VXX option pricing models under L\u00e9vy processes during the period from 2010 to 2017 based on in\u2010sample and out\u2010of\u2010sample performance tests. Our empirical results imply that a jump component plays an important role in VXX option pricing. In particular, we find that infinite\u2010activity jump models are superior to finite\u2010activity jump models. More importantly, this paper corrects the VXX option pricing theory in the literature; that is the discounted VXX price should be a martingale under the risk\u2010neutral measure as the VXX is an exchange\u2010traded debt security.<\/jats:p>","DOI":"10.1002\/fut.22218","type":"journal-article","created":{"date-parts":[[2021,5,20]],"date-time":"2021-05-20T18:23:49Z","timestamp":1621535029000},"page":"1456-1477","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Specification analysis of VXX option pricing models under L\u00e9vy processes"],"prefix":"10.1002","volume":"41","author":[{"given":"Jiling","family":"Cao","sequence":"first","affiliation":[{"name":"Department of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences Auckland University of Technology Auckland New Zealand"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1447-6603","authenticated-orcid":false,"given":"Xinfeng","family":"Ruan","sequence":"additional","affiliation":[{"name":"Department of Accountancy and Finance, Otago Business School University of Otago Dunedin New Zealand"}]},{"given":"Shu","family":"Su","sequence":"additional","affiliation":[{"name":"Department of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences Auckland University of Technology Auckland New Zealand"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7992-8204","authenticated-orcid":false,"given":"Wenjun","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences Auckland University of Technology Auckland New Zealand"}]}],"member":"311","published-online":{"date-parts":[[2021,5,20]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.006"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/fmii.12032"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511755323"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2012.06.006"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1061\/(ASCE)HE.1943-5584.0000379"},{"key":"e_1_2_12_7_1","unstructured":"Bloomberg. (2017). VIX futures open interest and trading volume and adjusted VXX available at subscription service.https:\/\/www.bloomberg.com\/professional\/solution\/data-and-content\/"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0305004100019733"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22074"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22093"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/338705"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev.financial.050808.114304"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00544"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00171-5"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp010"},{"key":"e_1_2_12_16_1","article-title":"Financial modelling with jump processes","author":"Cont R.","year":"2004","journal-title":"Chapman & HALL\/CRC"},{"key":"e_1_2_12_17_1","first-page":"2360","article-title":"The pricing of jump propagation:evidence from spot and options markets","volume":"65","author":"Du D.","year":"2019","journal-title":"Management Science"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21913"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00264-9"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00506.x"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00667.x"},{"volume-title":"Stochastic differential equations and diffusion processes","year":"1992","author":"Ikeda N.","key":"e_1_2_12_23_1"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.03.035"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2013.06.012"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2010.08310"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"volume-title":"Applied stochastic control of jump diffusion","year":"2005","author":"\u00d8ksendal B.","key":"e_1_2_12_29_1"},{"key":"e_1_2_12_30_1","unstructured":"OptionMetrics. (2017). VXX VXX option price open interest and trading volume available at subscription service.https:\/\/optionmetrics.com\/data-products\/"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"volume-title":"Trading VIX derivatives: Trading and hedging strategies using VIX futures, options and exchange\u2010traded notes","year":"2011","author":"Rhoads R.","key":"e_1_2_12_32_1"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4296-1"},{"key":"e_1_2_12_34_1","doi-asserted-by":"crossref","unstructured":"Tan X. Wang C. Lin W. Zhang J. E. Li S. Zhao X. &Zhang Z.(2021). The term structure of the VXX option smirk: Pricing VXX option with a two\u2010factor model and asymmetry jumps.Journal of Futures Markets forthcoming.","DOI":"10.1002\/fut.22182"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2010.08342"},{"volume-title":"Rethinking valuation and pricing models: Lessons learned from the crisis and future challenges","year":"2013","author":"Wehn C. S.","key":"e_1_2_12_36_1"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407868"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2013.40.1.095"},{"volume-title":"New computing environments: Microcomputers in large\u2010scale scientific computing","year":"1987","author":"Wouk A.","key":"e_1_2_12_39_1"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.037"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfw001"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22218","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22218","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22218","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T20:15:14Z","timestamp":1693340114000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22218"}},"issued":{"date-parts":[[2021,5,20]]},"references-count":40,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2021,9]]}},"alternative-id":["10.1002\/fut.22218"],"URL":"https:\/\/doi.org\/10.1002\/fut.22218","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,5,20]]},"assertion":[{"value":"2020-08-18","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-04-19","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-20","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,24]],"date-time":"2025-10-24T07:44:38Z","timestamp":1761291878140},"reference-count":41,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,7]]},"DOI":"10.1002\/1096-9934(200007)20:6<545::aid-fut3>3.0.co;2-o","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:45:46Z","timestamp":1030304746000},"page":"545-571","source":"Crossref","is-referenced-by-count":26,"title":["Cointegration, unbiased expectations, and forecasting in the BIFFEX freight futures market"],"prefix":"10.1002","volume":"20","author":[{"given":"Michael S.","family":"Haigh","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB1","volume-title":"Second International Symposium on Information Theory","author":"Akaike","year":"1973","unstructured":"(1973). Information theory and an extension of the maximum likelihood principle. In & (Eds.), Second International Symposium on Information Theory. Budapest: Akademiai Kiado."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB2","first-page":"17","volume":"3","author":"Antoniou","year":"1994","journal-title":"Financial Markets, Institutions & Instruments"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB3","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1002\/fut.3990110406","volume":"11","author":"Bessler","year":"1991","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB4","doi-asserted-by":"crossref","first-page":"481","DOI":"10.1111\/j.1467-9787.1993.tb00844.x","volume":"33","author":"Bessler","year":"1993","journal-title":"Journal of Regional Science"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB5","doi-asserted-by":"crossref","first-page":"435","DOI":"10.1086\/296139","volume":"54","author":"Bilson","year":"1981","journal-title":"Journal of Business"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB6","doi-asserted-by":"crossref","first-page":"23","DOI":"10.2307\/2331251","volume":"30","author":"Brenner","year":"1995","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB7","author":"Chang","year":"1991","unstructured":"(1991). Forward pricing function of freight futures prices. Unpublished Ph.D. dissertation, University of Wales, U.K."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB8","doi-asserted-by":"crossref","first-page":"103","DOI":"10.1080\/03088839600000068","volume":"23","author":"Chang","year":"1996","journal-title":"Maritime Policy and Management"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB9","doi-asserted-by":"crossref","first-page":"91","DOI":"10.1080\/03088839200000018","volume":"19","author":"Cullinane","year":"1992","journal-title":"Maritime Policy and Management"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB10","doi-asserted-by":"crossref","first-page":"399","DOI":"10.1016\/1059-0560(94)90004-3","volume":"3","author":"Denning","year":"1994","journal-title":"International Review of Economics and Finance"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB11","first-page":"427","volume":"74","author":"Dickey","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB12","doi-asserted-by":"crossref","first-page":"1057","DOI":"10.2307\/1912517","volume":"49","author":"Dickey","year":"1981","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB13","author":"Dickey","year":"1991","unstructured":"& (1991). A primer on co-integration with an application to money and income. Federal Bank of St. Louis."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB14","doi-asserted-by":"crossref","first-page":"365","DOI":"10.1002\/fut.3990080309","volume":"8","author":"Elam","year":"1988","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB15","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB16","author":"Fackler","year":"1999","unstructured":"& (1999). Spatial price analysis. Forthcoming, Handbook of Agricultural Economics. Amsterdam: North-Holland Press."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB17","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1002\/(SICI)1096-9934(199705)17:3<279::AID-FUT2>3.0.CO;2-F","volume":"17","author":"Fortenbery","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB18","volume-title":"Introduction to statistical time series","author":"Fuller","year":"1976","unstructured":"(1976). Introduction to statistical time series. New York: Wiley."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB19","doi-asserted-by":"crossref","first-page":"193","DOI":"10.1002\/fut.3990130206","volume":"13","author":"Ghosh","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB20","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x","volume":"48","author":"Granger","year":"1986","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB21","volume-title":"Forecasting economic time series","author":"Granger","year":"1977","unstructured":"& (1977). Forecasting economic time series. New York: Academic."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB23","author":"Haigh","year":"1999","unstructured":"& (1999). Volatility spillovers between foreign exchange, commodity and freight futures prices: Implications for hedging strategies. Paper presented at the American Agricultural Economics Association Annual Meeting, August 8-11, Nashville, TN."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB22","author":"Haigh","year":"2000","unstructured":"& (2000). Hedging multiple price uncertainty in international grain trade. Forthcoming, American Journal of Agricultural Economics."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB24","doi-asserted-by":"crossref","first-page":"229","DOI":"10.1111\/j.1468-0084.1986.mp48003003.x","volume":"48","author":"Hall","year":"1986","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB25","doi-asserted-by":"crossref","first-page":"829","DOI":"10.1086\/260910","volume":"88","author":"Hansen","year":"1980","journal-title":"Journal of Political Economy"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB26","doi-asserted-by":"crossref","first-page":"579","DOI":"10.1002\/fut.3990130602","volume":"13","author":"Hauser","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB27A","doi-asserted-by":"crossref","DOI":"10.1002\/9780470316672","volume-title":"Multiple comparison procedures","author":"Hochberg","year":"1987","unstructured":"& (1987). Multiple comparison procedures. New York: Wiley."},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB27B","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1016\/0165-1889(88)90041-3","volume":"12","author":"Johansen","year":"1988","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB28","doi-asserted-by":"crossref","first-page":"1551","DOI":"10.2307\/2938278","volume":"59","author":"Johansen","year":"1991","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB29","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1111\/j.1468-0084.1990.mp52002003.x","volume":"52","author":"Johansen","year":"1990","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB30","first-page":"71","volume":"20","author":"Kahl","year":"1986","journal-title":"Food Research Institute Studies"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB31","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1002\/(SICI)1096-9934(199905)19:3<353::AID-FUT6>3.0.CO;2-6","volume":"19","author":"Kavussanos","year":"1999","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB32","doi-asserted-by":"crossref","first-page":"567","DOI":"10.1002\/fut.3990110505","volume":"11","author":"Lai","year":"1991","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB33","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1002\/(SICI)1099-1255(199609)11:5<519::AID-JAE410>3.0.CO;2-Q","volume":"11","author":"Lin","year":"1996","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB34","doi-asserted-by":"crossref","first-page":"393","DOI":"10.1002\/fut.3990090504","volume":"9","author":"Ma","year":"1989","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB35","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1111\/j.1468-0084.1992.tb00013.x","volume":"54","author":"Osterwald-Lenum","year":"1992","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB36","doi-asserted-by":"crossref","first-page":"1035","DOI":"10.2307\/1911260","volume":"55","author":"Stock","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB37","first-page":"58","volume":"29","author":"Thoung","year":"1990","journal-title":"Transportation Journal"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB38","doi-asserted-by":"crossref","first-page":"372","DOI":"10.2307\/1237388","volume":"48","author":"Tomek","year":"1970","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB39","first-page":"447","volume":"31","author":"Veenstra","year":"1997","journal-title":"Transportation Research"},{"key":"10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O-BIB40","doi-asserted-by":"crossref","first-page":"711","DOI":"10.1002\/fut.3990130702","volume":"13","author":"Wahab","year":"1993","journal-title":"The Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200007)20:6%3C545::AID-FUT3%3E3.0.CO;2-O","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200007)20:6%3C545::AID-FUT3%3E3.0.CO;2-O","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:02:32Z","timestamp":1625133752000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200007)20:6<545::AID-FUT3>3.0.CO;2-O"}},"issued":{"date-parts":[[2000]]},"references-count":41,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2000,7]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200007)20:6<545::aid-fut3>3.0.co;2-o","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2025,11,9]],"date-time":"2025-11-09T18:04:56Z","timestamp":1762711496804,"version":"build-2065373602"},"reference-count":38,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2025,9,22]],"date-time":"2025-09-22T00:00:00Z","timestamp":1758499200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,12]]},"abstract":"ABSTRACT<\/jats:title>\n Using option order imbalance as a proxy for market makers' inventory pressure, we identify a distinct return reversal pattern between option trading activity and underlying asset returns. Specifically, call (put) order imbalances are contemporaneously positively (negatively) associated with underlying returns, followed by rapid reversals in the subsequent period. This reversal stems primarily from temporary price pressures caused by market makers' delta\u2010hedging activities and remains robust after controlling for multiple factors and across various option classifications. Two empirical scenarios reinforce that option order imbalance reflects market makers' inventory risks rather than informed trading. Additional analyses\u2014including event studies, out\u2010of\u2010sample tests, examinations of dynamic hedging behavior, and panel regressions with expanded SSE\u2010listed exchange traded fund option data\u2014further substantiate these findings. Overall, our results emphasize the critical role of market makers as a noninformational trading channel, significantly shaping the relationship between option trading and underlying asset prices.<\/jats:p>","DOI":"10.1002\/fut.70038","type":"journal-article","created":{"date-parts":[[2025,9,22]],"date-time":"2025-09-22T07:41:31Z","timestamp":1758526891000},"page":"2377-2402","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Market Maker or Informed Trader: Who Drive the Relationship Between Option Trading and Underlying Returns? Evidence From Shanghai Stock Exchange 50 ETF Options"],"prefix":"10.1002","volume":"45","author":[{"given":"Haiqiang","family":"Chen","sequence":"first","affiliation":[{"name":"Shenzhen Audencia Financial Technology Institute Shenzhen University Shenzhen China"}]},{"given":"Zimin","family":"Cheng","sequence":"additional","affiliation":[{"name":"Wang Yanan Institute for Studies in Economics (WISE) Xiamen University Xiamen China"}]},{"given":"Yingxing","family":"Li","sequence":"additional","affiliation":[{"name":"School of Business Sun Yat\u2010sen University Guangzhou China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7229-6742","authenticated-orcid":false,"given":"Xiaoqun","family":"Liu","sequence":"additional","affiliation":[{"name":"Department of Finance International Business School Hainan University Haikou China"}]}],"member":"311","published-online":{"date-parts":[[2025,9,22]]},"reference":[{"issue":"1","key":"e_1_2_11_2_1","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S1386-4181(01)00024-6","article-title":"Illiquidity and Stock Returns: Cross\u2010Section and Time\u2010Series Effects","volume":"5","author":"Amihud Y.","year":"2002","journal-title":"Journal of Financial Markets"},{"issue":"12","key":"e_1_2_11_3_1","doi-asserted-by":"crossref","first-page":"2015","DOI":"10.1080\/14697688.2020.1814015","article-title":"The Impact of Options Introduction on the Volatility of the Underlying Equities: Evidence From the Chinese Stock Markets","volume":"20","author":"Arkorful G. B.","year":"2020","journal-title":"Quantitative Finance"},{"issue":"6","key":"e_1_2_11_4_1","doi-asserted-by":"crossref","first-page":"417","DOI":"10.1088\/1469-7688\/3\/6\/301","article-title":"A Market\u2010Induced Mechanism for Stock Pinning","volume":"3","author":"Avellaneda M.","year":"2003","journal-title":"Quantitative Finance"},{"issue":"1","key":"e_1_2_11_5_1","doi-asserted-by":"crossref","first-page":"377","DOI":"10.1016\/j.jfineco.2021.04.029","article-title":"Hedging Demand and Market Intraday Momentum","volume":"142","author":"Baltussen G.","year":"2021","journal-title":"Journal of Financial Economics"},{"volume-title":"Gamma Fragility (Working Paper)","year":"2021","author":"Barbon A.","key":"e_1_2_11_6_1"},{"issue":"4","key":"e_1_2_11_7_1","doi-asserted-by":"crossref","first-page":"36","DOI":"10.2469\/faj.v31.n4.36","article-title":"Fact and Fantasy in the Use of Options","volume":"31","author":"Black F.","year":"1975","journal-title":"Financial Analysts Journal"},{"issue":"2","key":"e_1_2_11_8_1","doi-asserted-by":"crossref","first-page":"711","DOI":"10.1111\/j.1540-6261.2004.00647.x","article-title":"Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?","volume":"59","author":"Bollen N. P. B.","year":"2004","journal-title":"Journal of Finance"},{"issue":"4","key":"e_1_2_11_9_1","doi-asserted-by":"crossref","first-page":"1509","DOI":"10.1093\/rfs\/hhm055","article-title":"Predicting Excess Stock Returns out of Sample: Can Anything Beat the Historical Average?","volume":"21","author":"Campbell J. Y.","year":"2007","journal-title":"Review of Financial Studies"},{"key":"e_1_2_11_10_1","doi-asserted-by":"crossref","first-page":"13","DOI":"10.1016\/j.jempfin.2022.12.013","article-title":"Option Price Implied Information and REIT Returns","volume":"71","author":"Cao J.","year":"2023","journal-title":"Journal of Empirical Finance"},{"issue":"1","key":"e_1_2_11_11_1","doi-asserted-by":"crossref","first-page":"20","DOI":"10.1016\/j.finmar.2009.09.004","article-title":"Option Market Liquidity: Commonality and Other Characteristics","volume":"13","author":"Cao M.","year":"2010","journal-title":"Journal of Financial Markets"},{"issue":"1","key":"e_1_2_11_12_1","doi-asserted-by":"crossref","first-page":"228","DOI":"10.1093\/rfs\/hhy004","article-title":"Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets","volume":"32","author":"Chen H.","year":"2019","journal-title":"The Review of Financial Studies"},{"issue":"3","key":"e_1_2_11_13_1","doi-asserted-by":"crossref","first-page":"1758","DOI":"10.1287\/mnsc.2019.3529","article-title":"Index Option Trading Activity and Market Returns","volume":"67","author":"Chordia T.","year":"2021","journal-title":"Management Science"},{"issue":"3","key":"e_1_2_11_14_1","doi-asserted-by":"crossref","first-page":"485","DOI":"10.1016\/S0304-405X(03)00175-2","article-title":"Order Imbalance and Individual Stock Returns: Theory and Evidence","volume":"72","author":"Chordia T.","year":"2004","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"e_1_2_11_15_1","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1016\/j.jacceco.2014.06.001","article-title":"Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?","volume":"58","author":"Chordia T.","year":"2014","journal-title":"Journal of Accounting and Economics"},{"issue":"3","key":"e_1_2_11_16_1","doi-asserted-by":"crossref","first-page":"811","DOI":"10.1093\/rfs\/hhx113","article-title":"Illiquidity Premia in the Equity Options Market","volume":"31","author":"Christoffersen P.","year":"2018","journal-title":"Review of Financial Studies"},{"issue":"2","key":"e_1_2_11_17_1","doi-asserted-by":"crossref","first-page":"335","DOI":"10.1017\/S002210901000013X","article-title":"Deviations From Put\u2010Call Parity and Stock Return Predictability","volume":"45","author":"Cremers M.","year":"2010","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"2","key":"e_1_2_11_18_1","doi-asserted-by":"crossref","first-page":"431","DOI":"10.1111\/0022-1082.194060","article-title":"Option Volume and Stock Prices: Evidence on Where Informed Traders Trade","volume":"53","author":"Easley D.","year":"1998","journal-title":"The Journal of Finance"},{"issue":"4","key":"e_1_2_11_19_1","doi-asserted-by":"crossref","first-page":"1117","DOI":"10.1017\/S0022109019000462","article-title":"A Tractable Framework for Option Pricing With Dynamic Market Maker Inventory and Wealth","volume":"55","author":"Fournier M.","year":"2020","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"3","key":"e_1_2_11_20_1","doi-asserted-by":"crossref","first-page":"566","DOI":"10.1016\/j.jfineco.2012.06.010","article-title":"Pinning in the S&P 500 Futures","volume":"106","author":"Golez B.","year":"2012","journal-title":"Journal of Financial Economics"},{"issue":"9","key":"e_1_2_11_21_1","doi-asserted-by":"crossref","first-page":"3903","DOI":"10.1287\/mnsc.2019.3398","article-title":"Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market","volume":"66","author":"Goncalves\u2010Pinto L.","year":"2020","journal-title":"Management Science"},{"key":"e_1_2_11_22_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.irfa.2024.103440","article-title":"How Do Market Volatility and Risk Aversion Sentiment Inter\u2010Influence over Time? Evidence From Chinese SSE 50 Etf Options","volume":"95","author":"Gong J.","year":"2024","journal-title":"International Review of Financial Analysis"},{"issue":"3","key":"e_1_2_11_23_1","doi-asserted-by":"crossref","first-page":"625","DOI":"10.1016\/j.jfineco.2013.12.004","article-title":"Does Option Trading Convey Stock Price Information?","volume":"111","author":"Hu J.","year":"2014","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"e_1_2_11_24_1","doi-asserted-by":"crossref","first-page":"262","DOI":"10.1016\/j.jfineco.2012.05.008","article-title":"The Option to Stock Volume Ratio and Future Returns","volume":"106","author":"Johnson T. L.","year":"2012","journal-title":"Journal of Financial Economics"},{"issue":"9","key":"e_1_2_11_25_1","doi-asserted-by":"crossref","first-page":"1556","DOI":"10.1002\/fut.22530","article-title":"Option\u2010Implied Ambiguity and Equity Return Predictability","volume":"44","author":"Liu Y.","year":"2024","journal-title":"Journal of Futures Markets"},{"issue":"4","key":"e_1_2_11_26_1","doi-asserted-by":"crossref","first-page":"580","DOI":"10.1002\/fut.22298","article-title":"Information Contents of Intraday SSE 50 ETF Options Trades","volume":"42","author":"Luo X.","year":"2022","journal-title":"Journal of Futures Markets"},{"issue":"11","key":"e_1_2_11_27_1","doi-asserted-by":"crossref","first-page":"1665","DOI":"10.1002\/fut.22108","article-title":"Option Trading and the Cross\u2010Listed Stock Returns: Evidence From Chinese A\u2013H Shares","volume":"40","author":"Luo X.","year":"2020","journal-title":"Journal of Futures Markets"},{"issue":"2","key":"e_1_2_11_28_1","doi-asserted-by":"crossref","first-page":"673","DOI":"10.1111\/jofi.12380","article-title":"Order Flow and Expected Option Returns","volume":"71","author":"Muravyev D.","year":"2016","journal-title":"Journal of Finance"},{"issue":"3","key":"e_1_2_11_29_1","doi-asserted-by":"crossref","first-page":"1059","DOI":"10.1111\/j.1540-6261.2008.01352.x","article-title":"Volatility Information Trading in the Option Market","volume":"63","author":"Ni S. X.","year":"2008","journal-title":"Journal of Finance"},{"issue":"1","key":"e_1_2_11_30_1","doi-asserted-by":"crossref","first-page":"49","DOI":"10.1016\/j.jfineco.2004.08.005","article-title":"Stock Price Clustering on Option Expiration Dates","volume":"78","author":"Ni S. X.","year":"2005","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"e_1_2_11_31_1","doi-asserted-by":"crossref","first-page":"1952","DOI":"10.1093\/rfs\/hhaa082","article-title":"Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?","volume":"34","author":"Ni S. X.","year":"2021","journal-title":"Review of Financial Studies"},{"issue":"2","key":"e_1_2_11_32_1","doi-asserted-by":"crossref","first-page":"305","DOI":"10.1016\/j.jfineco.2003.05.008","article-title":"Limited Arbitrage and Short Sales Restrictions: Evidence From the Options Markets","volume":"74","author":"Ofek E.","year":"2004","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"e_1_2_11_33_1","doi-asserted-by":"crossref","first-page":"871","DOI":"10.1093\/rfs\/hhj024","article-title":"The Information in Option Volume for Future Stock Prices","volume":"19","author":"Pan J.","year":"2006","journal-title":"Review of Financial Studies"},{"key":"e_1_2_11_34_1","doi-asserted-by":"crossref","first-page":"418","DOI":"10.1016\/j.iref.2021.11.006","article-title":"Information Content of Order Imbalance in the Index Options Market","volume":"78","author":"Sensoy A.","year":"2022","journal-title":"International Review of Economics & Finance"},{"key":"e_1_2_11_35_1","doi-asserted-by":"crossref","first-page":"60","DOI":"10.1016\/j.iref.2020.12.034","article-title":"Index Option Trading and Equity Volatility: Evidence From the SSE 50 and CSI 500 Stocks","volume":"73","author":"Sui C.","year":"2021","journal-title":"International Review of Economics & Finance"},{"issue":"4","key":"e_1_2_11_36_1","doi-asserted-by":"crossref","first-page":"150","DOI":"10.3390\/jrfm15040150","article-title":"The Effect of Index Option Trading on Stock Market Volatility in China: An Empirical Investigation","volume":"15","author":"Wu K.","year":"2022","journal-title":"Journal of Risk and Financial Management"},{"key":"e_1_2_11_37_1","doi-asserted-by":"crossref","first-page":"609","DOI":"10.1016\/j.iref.2022.07.009","article-title":"Implied Volatility Information of Chinese SSE 50 ETF Options","volume":"82","author":"Wu L.","year":"2022","journal-title":"International Review of Economics & Finance"},{"issue":"3","key":"e_1_2_11_38_1","doi-asserted-by":"crossref","first-page":"641","DOI":"10.1017\/S0022109010000220","article-title":"What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?","volume":"45","author":"Xing Y.","year":"2010","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_11_39_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.pacfin.2024.102534","article-title":"Is There an Intraday Reversal Effect in Commodity Futures and Options? Evidence From the Chinese Market","volume":"88","author":"Zheng L.","year":"2024","journal-title":"Pacific\u2010Basin Finance Journal"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70038","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,11,9]],"date-time":"2025-11-09T17:59:00Z","timestamp":1762711140000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70038"}},"issued":{"date-parts":[[2025,9,22]]},"references-count":38,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2025,12]]}},"alternative-id":["10.1002\/fut.70038"],"URL":"https:\/\/doi.org\/10.1002\/fut.70038","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,9,22]]},"assertion":[{"value":"2024-09-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-08-22","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-22","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:28:40Z","timestamp":1762522120061,"version":"3.37.3"},"reference-count":15,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2018,3,2]],"date-time":"2018-03-02T00:00:00Z","timestamp":1519948800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,7]]},"abstract":"This study examines the impact of releasing macroeconomic information during trading breaks versus during continuous trading in futures markets. Recently, the Chicago Mercantile Exchange changed its trading hours, while the United States Department of Agriculture changed the release time of its monthly report. These changes provide a natural experiment for assessing the role of trading breaks in futures markets. In this study, price volatility and bid\u2010ask spreads are found to be abnormally elevated and market depth abnormally low for a longer period during the continuous trading period. Therefore, releasing macroeconomic information during trading breaks in futures markets improves market quality.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21908","type":"journal-article","created":{"date-parts":[[2018,3,2]],"date-time":"2018-03-02T06:38:35Z","timestamp":1519972715000},"page":"775-787","source":"Crossref","is-referenced-by-count":4,"title":["Should macroeconomic information be released during trading breaks in futures markets?"],"prefix":"10.1002","volume":"38","author":[{"given":"Alex","family":"Frino","sequence":"first","affiliation":[{"name":"University of Wollongong Wollongong NSW Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8852-0630","authenticated-orcid":false,"given":"Michael","family":"Garcia","sequence":"additional","affiliation":[{"name":"University of Wollongong Wollongong NSW Australia"}]}],"member":"311","published-online":{"date-parts":[[2018,3,2]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_8_2_1","DOI":"10.1093\/ajae\/aar131"},{"doi-asserted-by":"publisher","key":"e_1_2_8_3_1","DOI":"10.1111\/1540-6261.00466"},{"doi-asserted-by":"publisher","key":"e_1_2_8_4_1","DOI":"10.1111\/jbfa.12058"},{"doi-asserted-by":"publisher","key":"e_1_2_8_5_1","DOI":"10.1016\/j.pacfin.2010.12.003"},{"unstructured":"International Organization of Securities Commissions [IOSCO]. (2002). Report on trading halts and market closures. IOSCO.","key":"e_1_2_8_6_1"},{"doi-asserted-by":"publisher","key":"e_1_2_8_7_1","DOI":"10.1017\/S1074070800027991"},{"key":"e_1_2_8_8_1","first-page":"67","article-title":"Have extended trading hours made agricultural commodity markets riskier","volume":"98","author":"Kaufman N.","year":"2013","journal-title":"Economic Review (Kansas City)"},{"doi-asserted-by":"publisher","key":"e_1_2_8_9_1","DOI":"10.1093\/rfs\/6.2.345"},{"doi-asserted-by":"publisher","key":"e_1_2_8_10_1","DOI":"10.1111\/j.1540-6261.1994.tb04425.x"},{"doi-asserted-by":"publisher","key":"e_1_2_8_11_1","DOI":"10.1093\/aepp\/ppu010"},{"doi-asserted-by":"publisher","key":"e_1_2_8_12_1","DOI":"10.1016\/j.jeconom.2006.05.019"},{"doi-asserted-by":"publisher","key":"e_1_2_8_13_1","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"doi-asserted-by":"publisher","key":"e_1_2_8_14_1","DOI":"10.1002\/fut.3990140106"},{"doi-asserted-by":"publisher","key":"e_1_2_8_15_1","DOI":"10.1093\/aepp\/ppq033"},{"doi-asserted-by":"publisher","key":"e_1_2_8_16_1","DOI":"10.1093\/wbro\/lkr016"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21908","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21908","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T03:40:32Z","timestamp":1694662832000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21908"}},"issued":{"date-parts":[[2018,3,2]]},"references-count":15,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2018,7]]}},"alternative-id":["10.1002\/fut.21908"],"URL":"https:\/\/doi.org\/10.1002\/fut.21908","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,3,2]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:15:53Z","timestamp":1762521353139},"reference-count":37,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1735,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,2]]},"DOI":"10.1002\/fut.20467","type":"journal-article","created":{"date-parts":[[2010,5,27]],"date-time":"2010-05-27T00:22:37Z","timestamp":1274919757000},"page":"126-164","source":"Crossref","is-referenced-by-count":11,"title":["Demutualization and customer protection at self-regulatory financial exchanges"],"prefix":"10.1002","volume":"31","author":[{"given":"David","family":"Reiffen","sequence":"first","affiliation":[]},{"given":"Michel","family":"Robe","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,12,1]]},"reference":[{"key":"10.1002\/fut.20467-BIB1|cit1","doi-asserted-by":"crossref","first-page":"96","DOI":"10.1111\/j.1745-6622.2006.00102.x","article-title":"Demutualization and public offerings of financial exchanges","volume":"18","author":"Aggarwal","year":"2006","journal-title":"Journal of Applied Corporate Finance"},{"key":"10.1002\/fut.20467-BIB2|cit2","volume-title":"Solutions and case studies","author":"Akhtar","year":"2002"},{"key":"10.1002\/fut.20467-BIB3|cit3","volume-title":"Corporate governance","author":"Bruno","year":"2010"},{"key":"10.1002\/fut.20467-BIB4|cit4","doi-asserted-by":"crossref","DOI":"10.1016\/j.jfi.2009.10.001","article-title":"Corporate governance and regulation: Can there be too much of a good thing","author":"Bruno","year":"2010","journal-title":"Journal of Financial Intermediation"},{"key":"10.1002\/fut.20467-BIB5|cit5","unstructured":"CFTC 2007 Rules on conflicts of interest in self-regulation & self-regulatory organizations (Federal Register, 2\/14\/07), U.S."},{"key":"10.1002\/fut.20467-BIB6|cit6","doi-asserted-by":"crossref","unstructured":"Carson , J. W. 2003 Conflicts of interest in self-regulation: Can demutualized exchanges successfully manage them?","DOI":"10.1596\/1813-9450-3183"},{"key":"10.1002\/fut.20467-BIB7|cit7","doi-asserted-by":"crossref","first-page":"455","DOI":"10.1016\/j.jfineco.2005.06.008","article-title":"Competition and cooperation among exchanges: A theory of cross-listing and endogenous listing standards","volume":"82","author":"Chemmanur","year":"2006","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20467-BIB8|cit8","doi-asserted-by":"crossref","first-page":"454","DOI":"10.1093\/aler\/ahn009","article-title":"Global market surveillance","volume":"10","author":"Cumming","year":"2008","journal-title":"American Law and Economics Review"},{"key":"10.1002\/fut.20467-BIB9|cit9","doi-asserted-by":"crossref","first-page":"687","DOI":"10.1111\/j.1467-937X.2005.00348.x","article-title":"Self-regulation and government oversight","volume":"72","author":"DeMarzo","year":"2005","journal-title":"Review of Economic Studies"},{"key":"10.1002\/fut.20467-BIB10|cit10","unstructured":"DeMarzo , P. M. Fishman , M. J. Hagerty , K. M. 2007 Reputations, investigations, and self-regulation"},{"key":"10.1002\/fut.20467-BIB11|cit11","doi-asserted-by":"crossref","unstructured":"Elliott , J. 2002 Demutualization of securities exchanges: A regulatory perspective","DOI":"10.5089\/9781451854183.001"},{"key":"10.1002\/fut.20467-BIB12|cit12","doi-asserted-by":"crossref","first-page":"273","DOI":"10.1002\/fut.3990040303","article-title":"Customer protection in futures and securities markets","volume":"4","author":"Fischel","year":"1984","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20467-BIB13|cit13","first-page":"2541","article-title":"Stock exchanges at the crossroads","volume":"74","author":"Fleckner","year":"2006","journal-title":"Fordham Law Review"},{"key":"10.1002\/fut.20467-BIB14|cit14","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1093\/oxrep\/12.4.53","article-title":"The governance of exchanges: Members' cooperatives versus outside ownership","volume":"12","author":"Hart","year":"1996","journal-title":"Oxford Review of Economic Policy"},{"key":"10.1002\/fut.20467-BIB15|cit15","doi-asserted-by":"crossref","unstructured":"Hart , O. Moore , J. 1998 Cooperatives vs. outside ownership","DOI":"10.3386\/w6421"},{"key":"10.1002\/fut.20467-BIB16|cit16","doi-asserted-by":"crossref","first-page":"1743","DOI":"10.1016\/S0378-4266(03)00099-2","article-title":"Technology, automation, and productivity of stock exchanges: International evidence","volume":"27","author":"Hasan","year":"2003","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20467-BIB17|cit17","unstructured":"Hazarika , S. 2005 Governance change in stock exchanges"},{"key":"10.1002\/fut.20467-BIB18|cit18","volume-title":"Financial sector assessment: A handbook","author":"IMF","year":"2005"},{"key":"10.1002\/fut.20467-BIB19|cit19","volume-title":"Regulatory issues arising from exchange evolution","author":"IOSCO Technical Committee","year":"2006"},{"key":"10.1002\/fut.20467-BIB20|cit20","volume-title":"Derivatives regulation","author":"Johnson","year":"2004"},{"key":"10.1002\/fut.20467-BIB21|cit21","first-page":"367","article-title":"Turning seats into shares: Implications of demutualization for the regulation of stock exchanges","volume":"53","author":"Karmel","year":"2002","journal-title":"Hastings Law Journal"},{"key":"10.1002\/fut.20467-BIB22|cit22","doi-asserted-by":"crossref","first-page":"1859","DOI":"10.1016\/S0378-4266(03)00105-5","article-title":"Stock exchange governance and market quality","volume":"27","author":"Krishnamurti","year":"2003","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20467-BIB23|cit23","first-page":"563","article-title":"From markets to venues: Securities regulation in an evolving world","volume":"58","author":"Macey","year":"2005","journal-title":"Stanford Law Review"},{"key":"10.1002\/fut.20467-BIB24|cit24","doi-asserted-by":"crossref","first-page":"1453","DOI":"10.2307\/1073764","article-title":"The exchange as regulator","volume":"83","author":"Mahoney","year":"1997","journal-title":"Virginia Law Review"},{"key":"10.1002\/fut.20467-BIB25|cit25","doi-asserted-by":"crossref","first-page":"867","DOI":"10.1007\/s00199-004-0535-z","article-title":"Optimal contracts in a dynamic costly state verification model","volume":"26","author":"Monnet","year":"2005","journal-title":"Economic Theory"},{"key":"10.1002\/fut.20467-BIB26|cit26","doi-asserted-by":"crossref","first-page":"926","DOI":"10.1016\/j.jcorpfin.2006.02.003","article-title":"Stock exchange self-listing and value effects","volume":"12","author":"Otchere","year":"2006","journal-title":"Journal of Corporate Finance"},{"key":"10.1002\/fut.20467-BIB27|cit27","doi-asserted-by":"crossref","first-page":"512","DOI":"10.1016\/j.jbankfin.2007.07.011","article-title":"Stock exchange demutualization, self-listing and performance: The case of the Australian stock exchange","volume":"32","author":"Otchere","year":"2008","journal-title":"Journal of Banking & Finance"},{"key":"10.1002\/fut.20467-BIB28|cit28","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1086\/467328","article-title":"The self-regulation of commodity exchanges: The case of market manipulation","volume":"38","author":"Pirrong","year":"1995","journal-title":"Journal of Law and Economics"},{"key":"10.1002\/fut.20467-BIB29|cit29","doi-asserted-by":"crossref","first-page":"329","DOI":"10.1016\/S1386-4181(99)00005-1","article-title":"The organization of financial exchange markets: Theory and evidence","volume":"2","author":"Pirrong","year":"1999","journal-title":"Journal of Financial Markets"},{"key":"10.1002\/fut.20467-BIB30|cit30","doi-asserted-by":"crossref","first-page":"437","DOI":"10.1086\/467462","article-title":"A theory of financial exchange organization","volume":"43","author":"Pirrong","year":"2000","journal-title":"Journal of Law and Economics"},{"key":"10.1002\/fut.20467-BIB31|cit31","doi-asserted-by":"crossref","first-page":"1027","DOI":"10.1162\/00335530152466304","article-title":"Competition among exchanges","volume":"116","author":"Santos","year":"2001","journal-title":"Quarterly Journal of Economics"},{"key":"10.1002\/fut.20467-BIB32|cit32","unstructured":"SEC 2004 http:\/\/www.sec.gov\/rules\/concept\/34-50700.pdf"},{"key":"10.1002\/fut.20467-BIB33|cit33","doi-asserted-by":"crossref","first-page":"305","DOI":"10.1007\/s10101-007-0037-0","article-title":"Demutualization, outside ownership, and stock exchange performance-empirical evidence","volume":"9","author":"Serifsoy","year":"2008","journal-title":"Economics of Governance"},{"key":"10.1002\/fut.20467-BIB34|cit34","doi-asserted-by":"crossref","unstructured":"Serifsoy , B. Tyrell , M. 2006 Investment behavior of stock exchanges and the rationale for demutualization-Theory and empirical evidence","DOI":"10.2139\/ssrn.928610"},{"key":"10.1002\/fut.20467-BIB35|cit35","doi-asserted-by":"crossref","DOI":"10.4159\/9780674043497","volume-title":"Foundations of economic analysis of law","author":"Shavell","year":"2004"},{"key":"10.1002\/fut.20467-BIB36|cit36","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1353\/pfs.2002.0021","article-title":"Changes in the ownership and governance of securities exchanges: Causes and consequences","volume":"2002","author":"Steil","year":"2002","journal-title":"Brookings-Wharton Papers on Financial Services"},{"key":"10.1002\/fut.20467-BIB37|cit37","first-page":"xiv+111","volume-title":"The economics of demutualization: An empirical analysis of the securities exchange industry","author":"Treptow","year":"2006"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20467","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/onlinelibrary.wiley.com\/wol1\/doi\/10.1002\/fut.20467\/fullpdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,27]],"date-time":"2024-03-27T01:36:55Z","timestamp":1711503415000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20467"}},"issued":{"date-parts":[[2010,12,1]]},"references-count":37,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2011,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20467","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2010,12,1]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:08:56Z","timestamp":1762520936719},"reference-count":22,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":4261,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,1]]},"DOI":"10.1002\/fut.20138","type":"journal-article","created":{"date-parts":[[2004,11,16]],"date-time":"2004-11-16T21:16:36Z","timestamp":1100639796000},"page":"39-77","source":"Crossref","is-referenced-by-count":5,"title":["The global market for OTC derivatives: An analysis of dealer holdings"],"prefix":"10.1002","volume":"25","author":[{"given":"Ekaterina E.","family":"Emm","sequence":"first","affiliation":[]},{"given":"Gerald D.","family":"Gay","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004]]},"reference":[{"key":"10.1002\/fut.20138-BIB1","first-page":"1","author":"Abken","year":"1993,march\/april","journal-title":"Federal Reserve Bank of Atlanta Economic Review"},{"key":"10.1002\/fut.20138-BIB2","doi-asserted-by":"crossref","first-page":"273","DOI":"10.1016\/S0261-5606(00)00050-4","volume":"20","author":"Allayannis","year":"2001,april","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/fut.20138-BIB3","author":"Bank of International Settlements","year":"2003,may8","unstructured":"Bank of International Settlements. (2003, May 8). OTC derivatives market activity in the second half of 2002. Basel, Switzerland: Monetary and Economic Department."},{"key":"10.1002\/fut.20138-BIB4","author":"Bartram","year":"2003","unstructured":"& (2003). International evidence on financial derivatives usage. Working paper, University of North Carolina, Chapel Hill, North Carolina."},{"key":"10.1002\/fut.20138-BIB5","author":"Bomfim","year":"2002","unstructured":"(2002). Counterparty credit risk in interest rate swaps during times of market stress. Working paper, Board of Governors of the Federal Reserve System, Washington, D.C."},{"key":"10.1002\/fut.20138-BIB6","doi-asserted-by":"crossref","first-page":"743","DOI":"10.1093\/rfs\/8.3.743","volume":"8","author":"DeMarzo","year":"1995","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20138-BIB7","first-page":"1","volume":"9","author":"Dodd","year":"2002","journal-title":"The Financier"},{"key":"10.1002\/fut.20138-BIB8","first-page":"17","author":"Farooqi","year":"2002,december","journal-title":"Asia Risk"},{"key":"10.1002\/fut.20138-BIB9","doi-asserted-by":"crossref","first-page":"1629","DOI":"10.1111\/j.1540-6261.1993.tb05123.x","volume":"48","author":"Froot","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20138-BIB10","doi-asserted-by":"crossref","first-page":"78","DOI":"10.3905\/jod.1996.407955","volume":"3","author":"Gay","year":"1996","journal-title":"Journal of Derivatives"},{"key":"10.1002\/fut.20138-BIB11","volume-title":"Derivatives: Practices and principles","author":"Group of Thirty","year":"1993,july","unstructured":"Group of Thirty. (1993, July). Derivatives: Practices and principles. Washington, DC: Global Derivatives Study Group."},{"key":"10.1002\/fut.20138-BIB12","first-page":"101","volume":"4","author":"Hentschel","year":"1995","journal-title":"Journal of Financial Engineering"},{"key":"10.1002\/fut.20138-BIB13","doi-asserted-by":"crossref","first-page":"357","DOI":"10.1093\/rfs\/1.4.357","author":"Kamara","year":"1988,winter","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/fut.20138-BIB14","first-page":"1","author":"Kambhu","year":"1996,april","journal-title":"FRBNY Economic Policy Review"},{"key":"10.1002\/fut.20138-BIB15","first-page":"19","author":"Malhotra","year":"1997,spring","journal-title":"Quarterly Journal of Business and Economics"},{"key":"10.1002\/fut.20138-BIB16","doi-asserted-by":"crossref","first-page":"391","DOI":"10.2307\/2330757","author":"Smith","year":"1985,december","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20138-BIB17","first-page":"55","author":"Smithson","year":"1995","journal-title":"CIBC Wood Gundy"},{"key":"10.1002\/fut.20138-BIB18","first-page":"91","author":"Smithson","year":"1996","journal-title":"CIBC Wood Gundy"},{"key":"10.1002\/fut.20138-BIB19","author":"Smithson","year":"1998","unstructured":"(1998). Questions regarding the use of price risk management by industrial corporations. Working paper, CIBCWorld Markets, New York."},{"key":"10.1002\/fut.20138-BIB20","volume-title":"Risk management & derivatives","author":"Stulz","year":"2003","unstructured":"(2003). Risk management & derivatives. Mason, OH: Thompson-Southwestern."},{"key":"10.1002\/fut.20138-BIB21","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1016\/0304-405X(93)90041-9","author":"Sun","year":"1993,august","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20138-BIB22","first-page":"1","author":"Weinstein","year":"2003,may","journal-title":"Futures and Derivatives Law Report"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20138","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20138","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:08:46Z","timestamp":1625166526000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20138"}},"issued":{"date-parts":[[2004]]},"references-count":22,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2005,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20138","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004]]}},{"indexed":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T13:31:59Z","timestamp":1765287119896,"version":"3.46.0"},"reference-count":58,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2025,10,16]],"date-time":"2025-10-16T00:00:00Z","timestamp":1760572800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,1]]},"abstract":"ABSTRACT<\/jats:title>\n To delve deeper into the risk spillover in the commodity and stock markets, this study proposes an interconnected multilayer extreme risk spillover network using the TVP\u2010VAR\u2010DY model, block aggregation technique, and network measures. Specifically, we focus on the interconnectedness among commodity futures, commodity spot markets (iron ore, coal, and crude oil), and stock markets in the US and China. The results confirm that: (i) commodity futures markets are the largest transmitters to other markets at the aggregate level, (ii) energy markets are viewed as a bridge for extreme cross\u2010market risk spillovers in commodity and stock markets, and (iii) risk contagion between markets is stronger in extreme cases compared to the volatility\u2010based one, while unexpected events, including trade wars and COVID\u201019, exacerbate the risk transmission strength. Our study provides a new perspective on extreme risk contagion in the commodity and stock markets and contributes to risk management in financial markets.<\/jats:p>","DOI":"10.1002\/fut.70054","type":"journal-article","created":{"date-parts":[[2025,10,16]],"date-time":"2025-10-16T10:23:17Z","timestamp":1760610197000},"page":"157-174","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets"],"prefix":"10.1002","volume":"46","author":[{"given":"Hongyue","family":"Guo","sequence":"first","affiliation":[{"name":"School of Maritime Economics and Management Dalian Maritime University Dalian 116026 China"},{"name":"Collaborative Innovation Center for Transport Studies Dalian Maritime University Dalian 116026 China"}]},{"given":"Yongxuan","family":"Han","sequence":"additional","affiliation":[{"name":"School of Maritime Economics and Management Dalian Maritime University Dalian 116026 China"}]},{"ORCID":"https:\/\/orcid.org\/0009-0007-0216-6652","authenticated-orcid":false,"given":"Boxiang","family":"Jia","sequence":"additional","affiliation":[{"name":"School of Maritime Economics and Management Dalian Maritime University Dalian 116026 China"},{"name":"Collaborative Innovation Center for Transport Studies Dalian Maritime University Dalian 116026 China"}]},{"given":"Bin","family":"Meng","sequence":"additional","affiliation":[{"name":"School of Maritime Economics and Management Dalian Maritime University Dalian 116026 China"},{"name":"Collaborative Innovation Center for Transport Studies Dalian Maritime University Dalian 116026 China"}]},{"given":"Cong","family":"Sui","sequence":"additional","affiliation":[{"name":"School of Maritime Economics and Management Dalian Maritime University Dalian 116026 China"},{"name":"Collaborative Innovation Center for Transport Studies Dalian Maritime University Dalian 116026 China"}]}],"member":"311","published-online":{"date-parts":[[2025,10,16]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20130456"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104741"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.101382"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102789"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2016.11.002"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.101366"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2013.09.036"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.010"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.02.006"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101882"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102200"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22398"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106639"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.10.3115"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb02428.x"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103264"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21587"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2020.10.003"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu010"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1177\/0958305X20907081"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.12.013"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2015.10.025"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2018.12.001"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101730"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/s41109-016-0008-x"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.12.011"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.017"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2018.02.016"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104548"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2022.101794"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.3390\/e20100805"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.105083"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2013.01.023"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102892"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2024.102300"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22388"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22542"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.107007"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00271-6"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102518"},{"key":"e_1_2_11_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.107253"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103066"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102772"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102100"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1679"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20499"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101438"},{"key":"e_1_2_11_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2019.123448"},{"key":"e_1_2_11_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22583"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100275"},{"key":"e_1_2_11_58_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22412"},{"key":"e_1_2_11_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22551"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70054","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T13:29:11Z","timestamp":1765286951000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70054"}},"issued":{"date-parts":[[2025,10,16]]},"references-count":58,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2026,1]]}},"alternative-id":["10.1002\/fut.70054"],"URL":"https:\/\/doi.org\/10.1002\/fut.70054","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,10,16]]},"assertion":[{"value":"2025-04-10","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-10-03","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-10-16","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,15]],"date-time":"2026-01-15T01:03:57Z","timestamp":1768439037747,"version":"3.49.0"},"reference-count":30,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5990,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,4]]},"DOI":"10.1002\/fut.3990100206","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:46:35Z","timestamp":1183643195000},"page":"153-168","source":"Crossref","is-referenced-by-count":2,"title":["Expiration and delivery on the world sugar futures contract"],"prefix":"10.1002","volume":"10","author":[{"given":"Sarahelen","family":"Thompson","sequence":"first","affiliation":[]},{"given":"Thomas J.","family":"McNeill","sequence":"additional","affiliation":[]},{"given":"James S.","family":"Eales","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"The Time Pattern of Hedging, Volatility of Futures, and the Resolution of Uncertainty","author":"Anderson R. W.","year":"1980"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02182.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/261148"},{"key":"e_1_2_1_6_1","unstructured":"Coffee Sugar and Cocoa Exchange Statistical Annuals 1980\u20131986."},{"key":"e_1_2_1_7_1","unstructured":"Cootner P. H.(1960): \u201cReturns to Speculators: Telser versus Keynes \u201d as reprinted in Peck (1977) 41\u201351."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_9_1","unstructured":"Grauer F. L. A.(1977): \u201cEquilibrium in Commodity Futures Markets: Theory and Test \u201d Unpublished Ph. D. dissertation Stanford University."},{"key":"e_1_2_1_10_1","unstructured":"Gray R. W.(1960): \u201cThe Characteristic Bias in Some Thin Futures Markets\u201d as reprinted in Peck (1977) 83\u2013100."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/258467"},{"key":"e_1_2_1_12_1","unstructured":"Gray R. W.(1965): \u201cWhy Does Futures Trading Succeed or Fail: An Analysis of Selected Commodities \u201d as reprinted in Peck (1978)."},{"key":"e_1_2_1_13_1","volume-title":"Economics of Futures Trading","author":"Hieronymus T. A.","year":"1977"},{"key":"e_1_2_1_14_1","first-page":"143","article-title":"Can Speculators Forecast Prices?","volume":"42","author":"Houthakker H. S.","year":"1959","journal-title":"Review of Economics and Statistics"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070108"},{"key":"e_1_2_1_17_1","volume-title":"Treatise on Money. Vol. II: The Applied Theory of Money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_1_18_1","volume-title":"Elements of Econometrics","author":"Kmenta J.","year":"1986"},{"key":"e_1_2_1_19_1","volume-title":"The Theory and Practice of Futures Markets","author":"Leuthold R. M.","year":"1989"},{"key":"e_1_2_1_20_1","volume-title":"Treatment of Hedging in Commodity Market Regulation","author":"Paul A. B.","year":"1976"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241433"},{"key":"e_1_2_1_22_1","volume-title":"Selected Writings on Futures Markets","author":"Peck A. E.","year":"1977"},{"key":"e_1_2_1_23_1","volume-title":"Readings in Futures Markets \u2010 Views from the Trade","author":"Peck A. E.","year":"1978"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060310"},{"key":"e_1_2_1_25_1","first-page":"107","article-title":"Normal Backwardation, Forecasting, and the Returns to Commodity Futures Traders","volume":"7","author":"Rockwell C. S.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_26_1","unstructured":"Rutledge D. J. S.(1976): \u201cA Note on the Variablity of Futures Prices \u201d as reprinted in Peck (1977) pp.307\u2013311."},{"key":"e_1_2_1_27_1","first-page":"41","article-title":"Proof that Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_28_1","first-page":"225","article-title":"Spot, Forward and Futures","volume":"1","author":"Stein J. L.","year":"1979","journal-title":"Research in Finance"},{"key":"e_1_2_1_29_1","unstructured":"Telser L. G.(1958): \u201cFutures Trading and the Storage of Cotton and Wheat \u201d as reprinted in Peck (1977) pp.105\u2013129."},{"key":"e_1_2_1_30_1","unstructured":"Wall Street Journal. (1978\u20131979): Various Issues."},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1246888"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100206","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100206","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:21:22Z","timestamp":1697991682000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100206"}},"issued":{"date-parts":[[1990,4]]},"references-count":30,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1990,4]]}},"alternative-id":["10.1002\/fut.3990100206"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100206","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,4]]}},{"indexed":{"date-parts":[[2026,1,8]],"date-time":"2026-01-08T19:36:01Z","timestamp":1767900961673,"version":"3.49.0"},"reference-count":16,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6355,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,4]]},"DOI":"10.1002\/fut.3990090204","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T11:47:11Z","timestamp":1183636031000},"page":"113-121","source":"Crossref","is-referenced-by-count":59,"title":["Price discovery for feeder cattle"],"prefix":"10.1002","volume":"9","author":[{"given":"Charles M.","family":"Oellermann","sequence":"first","affiliation":[]},{"given":"B. Wade","family":"Brorsen","sequence":"additional","affiliation":[]},{"given":"Paul L.","family":"Farris","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241185"},{"key":"e_1_2_1_3_1","first-page":"170","article-title":"Investigation of Price Discovery and Efficiency for Cash and Futures Cotton Prices","volume":"9","author":"Brorsen B. W.","year":"1984","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391723"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349200"},{"key":"e_1_2_1_6_1","unstructured":"Chicago Mercantile Exchange. (Various issues):Yearbook Statistical Department Chicago Mercantile Exchange."},{"key":"e_1_2_1_7_1","unstructured":"Chicago Mercantile Exchange. (1983): \u201cFutures Trading in Live Beef Cattle \u201d Office Services Department Chicago Mercantile Exchange."},{"key":"e_1_2_1_8_1","unstructured":"Chicago Mercantile Exchange. (1983): \u201cFutures Trading in Feeder Cattle.\u201d Office Services Department Chicago Mercantile Exchange."},{"key":"e_1_2_1_9_1","first-page":"1","article-title":"The Impossibility of Causality Testing","volume":"36","author":"Conway Roger K.","year":"1984","journal-title":"Agricultural Economics Research"},{"key":"e_1_2_1_10_1","unstructured":"Gamber E. N. andHudson M. A.(1984) \u201cCausality Testing with Messy Data: Some Preliminary Experimental Evidence \u201d Selected paper 1984 American Agricultural Economics Association Meetings Ithaca New York."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_1_13_1","unstructured":"Kanda Eugene L. andGarcia Philip. (1985 August): \u201cThe Transmission of Soybean Prices at the Product Assembly Level in Illinois \u201d American Agricultural Economics Association selected paper Ames Iowa."},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226531922.001.0001"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050404"},{"key":"e_1_2_1_16_1","unstructured":"Koontz Stephen R. Hudson Michael A. andGarcia Philip. (1987 April): \u201cDominant\u2010Satellite Relationships Between Futures and Selected Cash Prices for Live Cattle \u201d Paper presented to the NCR\u2010134 conference on Applied Commodity Price Analysis Forecasting and Market Risk Management Chicago Illinois."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240652"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090204","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090204","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T15:56:45Z","timestamp":1697990205000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090204"}},"issued":{"date-parts":[[1989,4]]},"references-count":16,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1989,4]]}},"alternative-id":["10.1002\/fut.3990090204"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090204","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,4]]}},{"indexed":{"date-parts":[[2026,2,23]],"date-time":"2026-02-23T19:22:08Z","timestamp":1771874528786,"version":"3.50.1"},"reference-count":12,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6294,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,6]]},"DOI":"10.1002\/fut.3990090303","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:01:42Z","timestamp":1183636902000},"page":"199-213","source":"Crossref","is-referenced-by-count":7,"title":["Memory and equilibrium futures prices"],"prefix":"10.1002","volume":"9","author":[{"given":"David H.","family":"Goldenberg","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02479833"},{"key":"e_1_2_1_3_1","volume-title":"Time Series Analysis, Forecasting and Control","author":"Box G.","year":"1976"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2683112"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330873"},{"key":"e_1_2_1_6_1","volume-title":"Introduction to Statistical Time Series","author":"Fuller W.","year":"1976"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331084"},{"key":"e_1_2_1_8_1","volume-title":"Forecasting Economic Time Series","author":"Granger C.","year":"1977"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176344793"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040408"},{"key":"e_1_2_1_11_1","volume-title":"Financial Economics, Essays in honor of Paul Cootner","author":"Merton R.","year":"1982"},{"key":"e_1_2_1_12_1","volume-title":"Spectral Analysis and Time Series","author":"Priestley M. B.","year":"1981"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924192"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090303","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090303","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:20:36Z","timestamp":1697991636000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090303"}},"issued":{"date-parts":[[1989,6]]},"references-count":12,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1989,6]]}},"alternative-id":["10.1002\/fut.3990090303"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090303","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,6]]}},{"indexed":{"date-parts":[[2026,2,26]],"date-time":"2026-02-26T11:03:51Z","timestamp":1772103831057,"version":"3.50.1"},"reference-count":10,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4775,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,8]]},"DOI":"10.1002\/fut.3990130509","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:04:37Z","timestamp":1183683877000},"page":"563-577","source":"Crossref","is-referenced-by-count":105,"title":["A modified lattice approach to option pricing"],"prefix":"10.1002","volume":"13","author":[{"given":"Yisong","family":"Tian","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_3_1","first-page":"7","article-title":"Option Valuation Using a Three\u2010jump Process","volume":"3","author":"Boyle P. P.","year":"1986","journal-title":"International Options Journal"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331019"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_6_1","volume-title":"An Introduction to Probability Theory and Its Applications","author":"Feller W.","year":"1971"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330330"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.523"},{"key":"e_1_2_1_9_1","volume-title":"Options, Futures and Other Derivative Securities","author":"Hull J. C.","year":"1989"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331065"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330879"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130509","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130509","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T03:00:17Z","timestamp":1698289217000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130509"}},"issued":{"date-parts":[[1993,8]]},"references-count":10,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1993,8]]}},"alternative-id":["10.1002\/fut.3990130509"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130509","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,8]]}},{"indexed":{"date-parts":[[2026,3,4]],"date-time":"2026-03-04T10:31:26Z","timestamp":1772620286886,"version":"3.50.1"},"reference-count":24,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,3,5]],"date-time":"2015-03-05T00:00:00Z","timestamp":1425513600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,2]]},"abstract":"Abstract<\/jats:title>In this study, we analyze the dependence of hedging effectiveness on the realization of spot return by introducing the concept of a quantile hedge ratio. We estimate quantile hedge ratios for 20 different commodities at 15 quantiles. For daily data, we find that the quantile hedge ratio varies with the spot return distribution, displaying an inverted\u2010U relationship such that the quantile hedge ratios are generally smaller at the upper and lower tails of the spot distribution. The severity of these characteristics differs across commodities. However, for weekly and four\u2010weekly data, these characteristics are less prominent. Thus, the conventional hedge ratio would be appropriate for longer horizons, but not for shorter horizons. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:194\u2013214, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21712","type":"journal-article","created":{"date-parts":[[2015,3,5]],"date-time":"2015-03-05T06:15:01Z","timestamp":1425536101000},"page":"194-214","source":"Crossref","is-referenced-by-count":20,"title":["Quantile Estimation of Optimal Hedge Ratio"],"prefix":"10.1002","volume":"36","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[{"name":"Donald Lien is at the University of Texas at San Antonio San Antonio TX 78249 USA"}]},{"given":"Keshab","family":"Shrestha","sequence":"additional","affiliation":[{"name":"Keshab Shrestha is at the School of Business Monash University Malaysia Bandar Sunway Selangor Darul Ehsan Malaysia"}]},{"given":"Jing","family":"Wu","sequence":"additional","affiliation":[{"name":"Jing Wu is at the GE Capital Norwalk CT USA"}]}],"member":"311","published-online":{"date-parts":[[2015,3,5]]},"reference":[{"key":"e_1_2_6_2_1","volume-title":"Second international symposium on information theory (pp. 267\u2013281)","author":"Akaike H.","year":"1973"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.11.011"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.020"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.10.015"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(02)00191-6"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(96)90048-4"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<817::AID-FUT5>3.0.CO;2-Q"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000370"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130703"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.01.035"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100500394127"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1365-2486.2003.00666.x"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130808"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20166"},{"key":"e_1_2_6_21_1","first-page":"131","article-title":"A note on the length effect of futures hedging","volume":"7","author":"Lien D.","year":"2000","journal-title":"Advances in Investment Analysis and Portfolio Management"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.03.020"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150603"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199904)19:2<175::AID-FUT3>3.0.CO;2-H"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319106"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21712","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21712","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:34:31Z","timestamp":1696584871000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21712"}},"issued":{"date-parts":[[2015,3,5]]},"references-count":24,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2016,2]]}},"alternative-id":["10.1002\/fut.21712"],"URL":"https:\/\/doi.org\/10.1002\/fut.21712","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,3,5]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T19:13:39Z","timestamp":1771010019508,"version":"3.50.1"},"reference-count":19,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5384,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,12]]},"DOI":"10.1002\/fut.3990110605","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:58:57Z","timestamp":1183661937000},"page":"697-710","source":"Crossref","is-referenced-by-count":30,"title":["Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation"],"prefix":"10.1002","volume":"11","author":[{"given":"Charles T.","family":"Howard","sequence":"first","affiliation":[]},{"given":"Louis J.","family":"D'Antonio","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Anderson R. andDanthine J.(1980): \u201cHedging and Joint Production \u201dJournal of Finance May 487\u2013498.","DOI":"10.1111\/j.1540-6261.1980.tb02180.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Baesel F. andGrant D.(1982): \u201cOptimal Sequential Futures Trading \u201dJournal of Financial and Quantitative AnalysisDecember 689\u2013695.","DOI":"10.2307\/2330856"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Black F.(1989): \u201cUniversal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios \u201dFinancial Analysts Journal July 16\u201325.","DOI":"10.2469\/faj.v45.n4.16"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Castelino M. G.(1990): \u201cMinimum\u2010Variance Hedging with Futures Revisited \u201dThe Journal of Portfolio Management Spring 74\u201380.","DOI":"10.3905\/jpm.1990.409269"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Ederington L.(1979): \u201cThe Hedging Performance of the New Futures Markets \u201dJournal of Finance March 157\u2013170.","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_7_1","volume-title":"Hedging with Financial Futures for Institutional Investors","author":"Figlewski S.","year":"1986"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090104"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Gardner B. L.(1989): \u201cRollover Hedging and Missing Long\u2010Term Futures Markets \u201dAmerican Journal of Agricultura1 Economics May311\u2013323.","DOI":"10.2307\/1241588"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090302"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Hilliard J. andJordan S.(1989): \u201cHedging Interest Rate Risk with Futures Portfolios under Full\u2010Rank Assumptions \u201dJournal of Financial and Quantitative Analysis June 217\u2013228.","DOI":"10.2307\/2330773"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Howard C. andD'Antonio L.(1984): \u201cA Risk\u2010Return Measure of Hedging Effectiveness \u201dJournal of Financial and Quantitative Analysis March101\u2013112.","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Howard C. andD'Antonio L.(1986): \u201cTreasury Bill Futures as a Hedging Tool: A Risk\u2010Return Approach \u201dJournal of Financial ResearchSpring 25\u201339.","DOI":"10.1111\/j.1475-6803.1986.tb00433.x"},{"key":"e_1_2_1_14_1","first-page":"112","article-title":"An Empirical Analysis of Strip and Rollover Interest Rate Hedging","volume":"49","author":"Leatham D.","year":"1988","journal-title":"Agricultural Finance Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090208"},{"key":"e_1_2_1_16_1","unstructured":"Maddala G. S. andYoo J. (1990): \u201cRisk Premia and Price Volatilities in Futures Markets.\u201d Center for the Study of Futures Markets Columbia Universisty WP# CSFM 205."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090606"},{"key":"e_1_2_1_18_1","first-page":"375","article-title":"Optimal Futures Positions for Large Banking Firms","volume":"63","author":"Morgan G. E.","year":"1988","journal-title":"Journal of Finance"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Rolfo J.(1980): \u201cOptimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer \u201dJournal of Political Economy pp.100\u2013116.","DOI":"10.1086\/260849"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","unstructured":"Thomas L.(1989): \u201cThe Performance of Currency\u2010Hedged Foreign Bonds \u201dFinancial Analysts Journal May 25\u201335.","DOI":"10.2469\/faj.v45.n3.25"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110605","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110605","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:39:48Z","timestamp":1698014388000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110605"}},"issued":{"date-parts":[[1991,12]]},"references-count":19,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1991,12]]}},"alternative-id":["10.1002\/fut.3990110605"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110605","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,12]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T19:14:17Z","timestamp":1771010057057,"version":"3.50.1"},"reference-count":9,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4744,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,9]]},"DOI":"10.1002\/fut.3990130607","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:37:59Z","timestamp":1183682279000},"page":"665-676","source":"Crossref","is-referenced-by-count":32,"title":["Estimating the extended mean\u2010gini coefficient for futures hedging"],"prefix":"10.1002","volume":"13","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[]},{"given":"Xiangdong","family":"Luo","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100106"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120206"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(84)90126-5"},{"key":"e_1_2_1_6_1","first-page":"116","article-title":"Nonparametric Estimation of Smooth Distribution Functions","volume":"8","author":"Reiss R. D.","year":"1981","journal-title":"Canadian Journal of Statistics"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-011-3222-0_20"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4899-3324-9"},{"key":"e_1_2_1_9_1","first-page":"178","article-title":"Stochastic Dominance, Mean Variance, and Gini's Mean Difference","volume":"72","author":"Yitzhaki S.","year":"1982","journal-title":"American Economic Review"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2648789"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130607","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130607","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T00:31:07Z","timestamp":1698280267000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130607"}},"issued":{"date-parts":[[1993,9]]},"references-count":9,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1993,9]]}},"alternative-id":["10.1002\/fut.3990130607"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130607","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,9]]}},{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T05:05:28Z","timestamp":1771563928703,"version":"3.50.1"},"reference-count":16,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,9]]},"DOI":"10.1002\/1096-9934(200009)20:8<753::aid-fut3>3.0.co;2-f","type":"journal-article","created":{"date-parts":[[2002,9,11]],"date-time":"2002-09-11T01:20:53Z","timestamp":1031707253000},"page":"753-774","source":"Crossref","is-referenced-by-count":22,"title":["Determinants of endogenous price risk in corn and wheat futures markets"],"prefix":"10.1002","volume":"20","author":[{"given":"Barry K.","family":"Goodwin","sequence":"first","affiliation":[]},{"given":"Randy","family":"Schnepf","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB1","doi-asserted-by":"crossref","first-page":"331","DOI":"10.1002\/fut.3990050305","volume":"5","author":"Anderson","year":"1985","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB2","doi-asserted-by":"crossref","first-page":"249","DOI":"10.2307\/2297415","volume":"50","author":"Anderson","year":"1983","journal-title":"Review of Economic Studies"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB3","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB4","doi-asserted-by":"crossref","first-page":"153","DOI":"10.1002\/fut.3990110203","volume":"11","author":"Brorsen","year":"1991","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB5","volume-title":"A practical guide to splines","author":"de Boor","year":"1981","unstructured":"(1981). A practical guide to splines. New York: Springer-Verlag."},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB6","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","volume":"50","author":"Engle","year":"1982","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB7","author":"Fackler","year":"1986","unstructured":"(1986). Futures price volatility: Modeling non-constant variance. Presented at the 1986 Annual Meeting of the American Agricultural Economics Association in Reno, Nevada."},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB8","author":"Glauber","year":"1986","unstructured":"& (1986). Forecasting futures price variability. Proceedings of the NCR-134 Annual Meeting. St. Louis, MO. pp. 153-165."},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB9","doi-asserted-by":"crossref","first-page":"461","DOI":"10.2307\/1913974","volume":"44","author":"Harvey","year":"1976","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB10","doi-asserted-by":"crossref","first-page":"591","DOI":"10.2307\/1243277","volume":"78","author":"Hennessy","year":"1996","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB11","doi-asserted-by":"crossref","first-page":"73","DOI":"10.1002\/fut.3990070108","volume":"73","author":"Kenyon","year":"1987","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB12","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/1913641","volume":"46","author":"Kloek","year":"1978","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB13","doi-asserted-by":"crossref","first-page":"121","DOI":"10.2307\/1242960","volume":"75","author":"Myers","journal-title":"American Journal of Agricultural Economic"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB14","first-page":"138","volume-title":"Research on Speculation","author":"Peck","year":"1981","unstructured":"(1981). Measures and price effects of changes in speculation on the wheat, corn, and soybean futures markets. In Research on Speculation (pp. 138-149). Chicago: Chicago Board of Trade."},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB15","first-page":"41","volume":"6","author":"Samuelson","year":"1965","journal-title":"Industrial Management Review"},{"key":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F-BIB16","doi-asserted-by":"crossref","first-page":"705","DOI":"10.1002\/fut.3990120609","volume":"12","author":"Streeter","year":"1992","journal-title":"Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200009)20:8%3C753::AID-FUT3%3E3.0.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200009)20:8%3C753::AID-FUT3%3E3.0.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:43:30Z","timestamp":1625136210000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F"}},"issued":{"date-parts":[[2000]]},"references-count":16,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2000,9]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200009)20:8<753::aid-fut3>3.0.co;2-f","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T06:47:59Z","timestamp":1770965279309,"version":"3.50.1"},"reference-count":13,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6903,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,10]]},"DOI":"10.1002\/fut.3990070510","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:46:21Z","timestamp":1183625181000},"page":"591-595","source":"Crossref","is-referenced-by-count":8,"title":["A note on the factors affecting technical trading system returns"],"prefix":"10.1002","volume":"7","author":[{"given":"Scott H.","family":"Irwin","sequence":"first","affiliation":[]},{"given":"B. Wade","family":"Brorsen","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","first-page":"235","DOI":"10.1111\/j.1540-6261.1980.tb02151.x","article-title":"On the Dynamic Behavior of Prices in Disequilibrium","volume":"32","author":"Beja A.","year":"1980","journal-title":"Journal of Finance"},{"key":"e_1_2_1_3_1","first-page":"767","article-title":"Rational Response to Shocks in a Dynamic Model of Capital Asset Prices","volume":"66","author":"Black S. W.","year":"1976","journal-title":"American Economic Review"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240896"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/296392"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Fisher S.(1981): \u201cRelative Shocks Relative Price Variability and Inflation.\u201d Brookings Paper on Economic Activity No. 2 pp.381\u2013431.","DOI":"10.2307\/2534344"},{"key":"e_1_2_1_8_1","unstructured":"Irwin S. H.andBrorsen B. W.(1984): \u201cAn Economic Evaluation of Technical Analysis.\u201d Staff Paper No. 84\u20137 Department of Agricultural Economics Purdue University."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050318"},{"key":"e_1_2_1_10_1","first-page":"264","article-title":"Do Technical Analysts Have Holes in Their Shoes?","volume":"3","author":"Irwin S. H.","year":"1984","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90025-9"},{"key":"e_1_2_1_12_1","series-title":"Station Bulletin No. 495","volume-title":"A Comparison of Twelve Technical Trading Systems with Market Efficiency Implications","author":"Lukac L. P.","year":"1986"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060202"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036848400000001"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070510","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070510","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:39:35Z","timestamp":1697920775000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070510"}},"issued":{"date-parts":[[1987,10]]},"references-count":13,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1987,10]]}},"alternative-id":["10.1002\/fut.3990070510"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070510","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,10]]}},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T20:22:22Z","timestamp":1773951742421,"version":"3.50.1"},"reference-count":23,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,10]]},"DOI":"10.1002\/fut.20175","type":"journal-article","created":{"date-parts":[[2005,8,18]],"date-time":"2005-08-18T18:17:03Z","timestamp":1124389023000},"page":"989-1009","source":"Crossref","is-referenced-by-count":26,"title":["Is it important to consider the jump component for pricing and hedging short-term options?"],"prefix":"10.1002","volume":"25","author":[{"given":"In Joon","family":"Kim","sequence":"first","affiliation":[]},{"given":"Sol","family":"Kim","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"key":"10.1002\/fut.20175-BIB1","doi-asserted-by":"crossref","first-page":"1239","DOI":"10.1111\/1540-6261.00460","volume":"57","author":"Andersen","year":"2002","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20175-BIB2","doi-asserted-by":"crossref","first-page":"2003","DOI":"10.1111\/j.1540-6261.1997.tb02749.x","volume":"52","author":"Bakshi","year":"1997","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20175-BIB3","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1016\/S0304-4076(99)00023-8","volume":"94","author":"Bakshi","year":"2000","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20175-BIB4","doi-asserted-by":"crossref","first-page":"53","DOI":"10.2307\/2330804","volume":"18","author":"Ball","year":"1983","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20175-BIB5","doi-asserted-by":"crossref","first-page":"155","DOI":"10.1111\/j.1540-6261.1985.tb04942.x","volume":"40","author":"Ball","year":"1985","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20175-BIB6","doi-asserted-by":"crossref","first-page":"1009","DOI":"10.1111\/j.1540-6261.1991.tb03775.x","volume":"46","author":"Bates","year":"1991","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20175-BIB7","author":"Bates","year":"1995","unstructured":"(1995). Testing option pricing models (working paper). University of Pennsylvania and National Bureau of Economic Research."},{"key":"10.1002\/fut.20175-BIB8","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1093\/rfs\/9.1.69","volume":"9","author":"Bates","year":"1996","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20175-BIB9","doi-asserted-by":"crossref","first-page":"181","DOI":"10.1016\/S0304-4076(99)00021-4","volume":"94","author":"Bates","year":"2000","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20175-BIB10","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20175-BIB11","first-page":"273","volume":"20","author":"Chang","year":"1997","journal-title":"Journal of Korean Securities Association"},{"key":"10.1002\/fut.20175-BIB12","first-page":"213","volume":"20","author":"Chang","year":"2003","journal-title":"Korean Journal of Financial Management"},{"key":"10.1002\/fut.20175-BIB13","doi-asserted-by":"crossref","first-page":"211","DOI":"10.2307\/2676279","volume":"34","author":"Das","year":"1999","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20175-BIB14","doi-asserted-by":"crossref","first-page":"2059","DOI":"10.1111\/0022-1082.00083","volume":"53","author":"Dumas","year":"1998","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20175-BIB15","author":"Eraker","year":"2000","unstructured":", & (2000). The impact of jumps in returns and volatility (working paper). Chicago: University of Chicago."},{"key":"10.1002\/fut.20175-BIB16","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1017\/S1365100597002058","volume":"1","author":"Gallant","year":"1997","journal-title":"Macroeconomic Dynamics"},{"key":"10.1002\/fut.20175-BIB17","doi-asserted-by":"crossref","first-page":"83","DOI":"10.3905\/jod.2000.319123","volume":"22","author":"Gemmill","year":"2000","journal-title":"Journal of Derivatives"},{"key":"10.1002\/fut.20175-BIB18","doi-asserted-by":"crossref","first-page":"427","DOI":"10.1093\/rfs\/1.4.427","volume":"1","author":"Jorion","year":"1988","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20175-BIB19","first-page":"349","volume":"1","author":"Kim","year":"1996","journal-title":"Journal of Economic Research"},{"key":"10.1002\/fut.20175-BIB20","doi-asserted-by":"crossref","first-page":"609","DOI":"10.2307\/2331112","volume":"29","author":"Kim","year":"1994","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20175-BIB21","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/0304-405X(76)90022-2","volume":"3","author":"Merton","year":"1976","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20175-BIB22","doi-asserted-by":"crossref","first-page":"1969","DOI":"10.1111\/j.1540-6261.1993.tb05137.x","volume":"48","author":"Naik","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20175-BIB23","doi-asserted-by":"crossref","first-page":"493","DOI":"10.1093\/rfs\/3.4.493","volume":"3","author":"Naik","year":"1990","journal-title":"Review of Financial Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20175","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20175","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:07:04Z","timestamp":1625166424000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20175"}},"issued":{"date-parts":[[2005]]},"references-count":23,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2005,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20175","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T13:50:42Z","timestamp":1773237042718,"version":"3.50.1"},"reference-count":54,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2009,7,31]],"date-time":"2009-07-31T00:00:00Z","timestamp":1248998400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,4]]},"abstract":"Abstract<\/jats:title>This study examines whether conditional skewness forecasts of the underlying asset returns can be used to trade profitably in the index options market. The results indicate that a more general skewness\u2010based option\u2010pricing model can generate better trading performance for strip and strap trades. The results show that conditional skewness model forecasts, when combined with forward\u2010looking option implied volatilities, can significantly improve the performance of skewness\u2010based trades but trading costs considerably weaken the profitability of index option strategies. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:378\u2013406, 2010<\/jats:p>","DOI":"10.1002\/fut.20414","type":"journal-article","created":{"date-parts":[[2009,7,31]],"date-time":"2009-07-31T19:36:39Z","timestamp":1249068999000},"page":"378-406","source":"Crossref","is-referenced-by-count":11,"title":["The economic significance of conditional skewness in index option markets"],"prefix":"10.1002","volume":"30","author":[{"given":"Ranjini","family":"Jha","sequence":"first","affiliation":[]},{"given":"Madhu","family":"Kalimipalli","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,31]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00091-9"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.1"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01736-4"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-6803.t01-1-00008"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.2.495"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00616.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.03.010"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1108\/S0196-3821(2009)25"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00046-5"},{"key":"e_1_2_1_16_1","volume-title":"Elements of financial risk management","author":"Christoffersen P.","year":"2003"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.010"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.02.001"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn009"},{"key":"e_1_2_1_20_1","first-page":"1996","article-title":"Skewness and kurtosis in S&P 500 index returns implied by option prices","volume":"19","author":"Corrado C. J.","journal-title":"Journal of Financial Research"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407978"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00352"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676279"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594989"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00425"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02654.x"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.710"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527081"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676230"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_36_1","volume-title":"Options, futures, and other derivatives","author":"Hull J.","year":"2000"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/3595007"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.2.433"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286597"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(02)00079-9"},{"key":"e_1_2_1_43_1","first-page":"2003","article-title":"The dynamics of stochastic volatility: Evidence from underlying and options markets","volume":"116","author":"Jones C.","journal-title":"Journal of Econometrics"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2003.319199"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.762"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2005.08.004"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v58.n4.2453"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.2005.00410.x"},{"key":"e_1_2_1_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00047-8"},{"key":"e_1_2_1_50_1","first-page":"1987","article-title":"A simple positive definite heteroskedasticity and autocorrelation consistent covariance matrix","volume":"55","author":"Newey W. K.","journal-title":"Econometrica"},{"key":"e_1_2_1_51_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407901"},{"key":"e_1_2_1_52_1","first-page":"2002","article-title":"The jump\u2010risk premia implicit in options: Evidence from an integrated time\u2010series study","volume":"63","author":"Pan J.","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_53_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh006"},{"key":"e_1_2_1_54_1","doi-asserted-by":"crossref","unstructured":"Santa\u2010Clara P. &Saretto A.(2005).Option strategies: Good deals and margin calls (working paper). UCLA.","DOI":"10.2139\/ssrn.681643"},{"key":"e_1_2_1_55_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912557"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20414","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20414","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:53:02Z","timestamp":1700653982000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20414"}},"issued":{"date-parts":[[2009,7,31]]},"references-count":54,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2010,4]]}},"alternative-id":["10.1002\/fut.20414"],"URL":"https:\/\/doi.org\/10.1002\/fut.20414","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,31]]}},{"indexed":{"date-parts":[[2026,3,17]],"date-time":"2026-03-17T16:31:14Z","timestamp":1773765074559,"version":"3.50.1"},"reference-count":34,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2016,11,9]],"date-time":"2016-11-09T00:00:00Z","timestamp":1478649600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,4]]},"abstract":"Abstract<\/jats:title>Using a difference\u2010in\u2010difference approach, we find that restrictions placed on the CSI 300 and CSI 500 index futures trading during the recent Chinese stock market crisis deteriorated spot market quality, particularly the September trade restrictions. Our results can be explained by the sudden risk exposure faced by alpha\u2010strategy traders who stop trading spots after the index futures trading restrictions are introduced, thus worsening the spot market quality. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:411\u2013428, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21825","type":"journal-article","created":{"date-parts":[[2016,11,10]],"date-time":"2016-11-10T04:43:05Z","timestamp":1478752985000},"page":"411-428","source":"Crossref","is-referenced-by-count":52,"title":["Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash"],"prefix":"10.1002","volume":"37","author":[{"given":"Qian","family":"Han","sequence":"first","affiliation":[{"name":"Qian Han is an Associate Professor at Wang Yanan Institute for Studies in Economics (WISE) and School of Economics MOE Key Lab of Econometrics and Fujian Key Lab of Statistics, Xiamen University"}]},{"given":"Jufang","family":"Liang","sequence":"additional","affiliation":[{"name":"Jufang Liang is an Assistant Professor at Department of Financial Engineering College of Finance and Statistics, Hunan University"}]}],"member":"311","published-online":{"date-parts":[[2016,11,9]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.11.008"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355304772839588"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04695.x"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109015000241"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00056-9"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21573"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb05068.x"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/503662"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04738.x"},{"key":"e_1_2_7_14_1","author":"Foley S.","year":"2016","journal-title":"Journal of Financial Economics. Forthcoming"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150702"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296591"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.06.002"},{"key":"e_1_2_7_18_1","doi-asserted-by":"crossref","unstructured":"Grossman S. J.(1989).An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies. NBER Working paper Cambridge MA.","DOI":"10.1086\/296433"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04594.x"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2753\/REE1540-496X4905S414"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02648.x"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/296600"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03997.x"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-538X(95)00006-7"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.285595"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110305"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr075"},{"key":"e_1_2_7_28_1","unstructured":"Miller M. H. Malkiel B. G. &Exchange C. M.(1987). Preliminary report of the committee of inquiry appointed by the Chicago Mercantile Exchange to examine the events surrounding October 19 1987."},{"key":"e_1_2_7_29_1","unstructured":"Presidential Task Force on Market Mechanisms.(1988). Brady report. U.S. Government Printing Office Washington DC."},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01273.x"},{"key":"e_1_2_7_31_1","author":"Silber W. L.","year":"1985","journal-title":"The economic role of financial futures."},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.17"},{"key":"e_1_2_7_33_1","year":"1988","journal-title":"The October 1987 market break"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21650"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20514"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21825","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21825","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21825","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T07:54:30Z","timestamp":1694678070000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21825"}},"issued":{"date-parts":[[2016,11,9]]},"references-count":34,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2017,4]]}},"alternative-id":["10.1002\/fut.21825"],"URL":"https:\/\/doi.org\/10.1002\/fut.21825","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,11,9]]}},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T18:18:49Z","timestamp":1773944329911,"version":"3.50.1"},"reference-count":65,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2022,1,14]],"date-time":"2022-01-14T00:00:00Z","timestamp":1642118400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,4]]},"abstract":"Abstract<\/jats:title>This paper investigates the predictive content of risk\u2010neutral skewness (RNSK) for the dynamics of commodity futures prices. A trading strategy that buys futures with positive RNSK and sells futures with negative RNSK generates a significant excess return. Unlike traditional commodity risk factors' signals, the positive return generated from the RNSK signal is more pronounced in the contango phase. After controlling traditional commodity risk factors, the RNSK signal exhibits a more stable and prolonged predictive ability. The directional\u2010learning hypothesis explains the RNSK impact when commodity futures show higher idiosyncratic risks and illiquidity (positive RNSK) and overpriced (negative RNSK).<\/jats:p>","DOI":"10.1002\/fut.22308","type":"journal-article","created":{"date-parts":[[2022,1,14]],"date-time":"2022-01-14T12:04:16Z","timestamp":1642161856000},"page":"751-785","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Risk\u2010neutral skewness and commodity futures pricing"],"prefix":"10.1002","volume":"42","author":[{"given":"Ana\u2010Maria","family":"Fuertes","sequence":"first","affiliation":[{"name":"Finance and Econometrics Department, Cass Business School City University London UK"}]},{"given":"Zhenya","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Finance Renmin University of China Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0730-4624","authenticated-orcid":false,"given":"Weiqing","family":"Tang","sequence":"additional","affiliation":[{"name":"Clearing CME Group London UK"}]}],"member":"311","published-online":{"date-parts":[[2022,1,14]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.02.009"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00021-4"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.014"},{"key":"e_1_2_9_9_1","volume-title":"Empirical asset pricing: The cross section of stock returns","author":"Bali T. G.","year":"2016"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000410"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.5.2066"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.031"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2020.06.003"},{"key":"e_1_2_9_18_1","volume-title":"Elements of statistics","author":"Bowley A. L.","year":"1920"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp041"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.11.010"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2015.10.010"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109020000551"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00020-2"},{"key":"e_1_2_9_25_1","unstructured":"Commodity Futures Trading Commission. (2021).Commodity Futures Trading Commission Website. Data are openly available athttps:\/\/www.cftc.gov\/MarketReports\/CommitmentsofTraders\/HistoricalCompressed\/index.htm"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01795.x"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594989"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.06.015"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2016.06.002"},{"issue":"3","key":"e_1_2_9_34_1","first-page":"1159","article-title":"Commodity markets, long\u2010run predictability, and intertemporal pricing","volume":"21","author":"Fernandez\u2010Perez A.","year":"2017","journal-title":"Review of Finance"},{"key":"e_1_2_9_35_1","unstructured":"French K. R.\u00a0(2021).Kenneth R. French Website. Data are openly available athttps:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21656"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106112"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1110.1431"},{"key":"e_1_2_9_40_1","doi-asserted-by":"crossref","unstructured":"Hansis A. Schlag C. &Vilkov G.(2010). The dynamics of risk\u2010neutral implied moments: Evidence from individual options (Working Paper). Available at SSRN 1470674.","DOI":"10.2139\/ssrn.1470674"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.005"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05219.x"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04943.x"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.2307\/1403192"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.681813"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110103"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2007.01.001"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1544-6123(03)00003-5"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.11.002"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht039"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1212167"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg029"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<229::AID-FUT5>3.0.CO;2-L"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/hhm011"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs101"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526578"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2015.2379"},{"key":"e_1_2_9_63_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"key":"e_1_2_9_64_1","unstructured":"The Center for Research in Security Prices. (2021).The Center for Research in Security Prices Website. Data subject to third party restrictions athttp:\/\/www.crsp.org\/products\/research-products\/crsp-historical-indexes"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.1111\/1477-9552.12101"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122574"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22308","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22308","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22308","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,27]],"date-time":"2023-08-27T03:43:09Z","timestamp":1693107789000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22308"}},"issued":{"date-parts":[[2022,1,14]]},"references-count":65,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2022,4]]}},"alternative-id":["10.1002\/fut.22308"],"URL":"https:\/\/doi.org\/10.1002\/fut.22308","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,1,14]]},"assertion":[{"value":"2021-07-16","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-12-21","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-01-14","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,14]],"date-time":"2026-03-14T06:48:04Z","timestamp":1773470884919,"version":"3.50.1"},"reference-count":67,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2023,1,4]],"date-time":"2023-01-04T00:00:00Z","timestamp":1672790400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,8]]},"abstract":"Abstract<\/jats:title>We extract commodity\u2010level sentiment from the Twittersphere in 2009\u20132020. A long\u2013short strategy based on sentiment shifts more than doubles the Sharpe ratio of extant commodity factors. Commodities with lower (higher) sentiment shifts tend to be overvalued (undervalued) when the aggregate market is in backwardation (contango). The sentiment premium is more pronounced during periods of macro contraction and deteriorating funding liquidity. While the premium concentrates in commodities with higher tweet intensity, sentiment extracted from influential tweets (i.e., high number of retweets\/likes) does not exhibit stronger predictive ability than low\u2010attention tweets. Consistent with the overreaction hypothesis, the sentiment premium fully reverses 3\u2009years postformation.<\/jats:p>","DOI":"10.1002\/fut.22393","type":"journal-article","created":{"date-parts":[[2023,1,4]],"date-time":"2023-01-04T12:23:26Z","timestamp":1672835006000},"page":"1040-1068","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":10,"title":["Wisdom of crowds and commodity pricing"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2649-0960","authenticated-orcid":false,"given":"John Hua","family":"Fan","sequence":"first","affiliation":[{"name":"Department of AFE Griffith Business School Griffith University Nathan Queensland Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1346-5590","authenticated-orcid":false,"given":"Sebastian","family":"Binnewies","sequence":"additional","affiliation":[{"name":"School of Information and Communication Technology, Griffith University, Gold Coast Queensland Australia"}]},{"given":"Sanuri","family":"De Silva","sequence":"additional","affiliation":[{"name":"Department of AFE Griffith Business School Griffith University Nathan Queensland Australia"}]}],"member":"311","published-online":{"date-parts":[[2023,1,4]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.03.003"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2018.44.7.085"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2016.42.5.123"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.08.025"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_9_9_1","doi-asserted-by":"crossref","unstructured":"Bakshi G. S. Panayotov G. &Skoulakis G.(2011). The baltic dry index as a predictor of global stock returns commodity returns and global economic activity. Available at SSRN:https:\/\/ssrn.com\/abstract=1747345","DOI":"10.2139\/ssrn.1787757"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/s42521-021-00038-2"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.031"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105823"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.018"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2016.42.3.044"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2020.100157"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.006"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.08.002"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.101451"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2044"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu001"},{"key":"e_1_2_9_24_1","doi-asserted-by":"crossref","unstructured":"Cheng D. Liao Y. &Pan Z.(2022).The pricing of geopolitical risk in cross\u2010sectional commodity returns\u00a0[Working Paper Macquarie University].","DOI":"10.2139\/ssrn.4009736"},{"key":"e_1_2_9_25_1","unstructured":"Chi Y. El\u2010Jahel L. &Vu T.(2022).Hidden in the spotlight: Media emotion intensity and commodity futures pricing\u00a0[Working the paper University of Auckland]."},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12947"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00665.x"},{"key":"e_1_2_9_28_1","doi-asserted-by":"crossref","unstructured":"Cotter J. Eyiah\u2010Donkor E. &Pot\u00ec V.(2020).Commodity futures return predictability and intertemporal asset pricing\u00a0[Michael J. Brennan Irish Finance Working Paper Series Research Paper 20\u20108].","DOI":"10.2139\/ssrn.3710435"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01679.x"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12754"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.014"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.06.015"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105902"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22308"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.07.001"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/rax020"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht082"},{"key":"e_1_2_9_41_1","unstructured":"Gu M. Kang W. Lou D. &Tang K.(2021).Relative basis and expected returns in commodity futures markets\u00a0[Working Paper available at SSRN 3404561]."},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21853"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v73.n3.3"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1145\/1014052.1014073"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12845"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2017.43.2.136"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12398"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.11.002"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-psych-010213-115043"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v74.n2.4"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<229::AID-FUT5>3.0.CO;2-L"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01625.x"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1145\/2392622.2392634"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr075"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_9_56_1","unstructured":"Mohammad S. M. Kiritchenko S. &Zhu X.(2013). NRC\u2010Canada: Building the state\u2010of\u2010the\u2010art in sentiment analysis of tweets. InProceedings of the seventh international workshop on Semantic Evaluation Exercises (SemEval\u20102013) June 2013 Atlanta USA."},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_9_58_1","first-page":"93","volume-title":"Proceedings of the ESWC2011 Workshop on \u2018Making Sense of Microposts\u2019: Big things come in small packages","author":"Nielsen F. \u00c5.","year":"2011"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.06.002"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22010"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2016.06.008"},{"key":"e_1_2_9_63_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.1"},{"key":"e_1_2_9_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.006"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.001"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10017"},{"key":"e_1_2_9_68_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110217-022725"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22393","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22393","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22393","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,17]],"date-time":"2023-08-17T08:04:07Z","timestamp":1692259447000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22393"}},"issued":{"date-parts":[[2023,1,4]]},"references-count":67,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2023,8]]}},"alternative-id":["10.1002\/fut.22393"],"URL":"https:\/\/doi.org\/10.1002\/fut.22393","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,1,4]]},"assertion":[{"value":"2022-12-08","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-12-12","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-01-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T07:00:57Z","timestamp":1772780457990,"version":"3.50.1"},"reference-count":20,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5356,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2001,2]]},"DOI":"10.1002\/1096-9934(200102)21:2<127::aid-fut2>3.0.co;2-b","type":"journal-article","created":{"date-parts":[[2004,10,28]],"date-time":"2004-10-28T09:14:36Z","timestamp":1098954876000},"page":"127-144","source":"Crossref","is-referenced-by-count":16,"title":["Time variation in the correlation structure of exchange rates: high-frequency analyses"],"prefix":"10.1002","volume":"21","author":[{"given":"Jayaram","family":"Muthuswamy","sequence":"first","affiliation":[]},{"given":"Sudipto","family":"Sarkar","sequence":"additional","affiliation":[]},{"given":"Aaron","family":"Low","sequence":"additional","affiliation":[]},{"given":"Eric","family":"Terry","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001]]},"reference":[{"key":"BIB1","doi-asserted-by":"crossref","first-page":"111","DOI":"10.1111\/j.1540-6261.1987.tb02553.x","volume":"42","author":"Atchison","year":"1987","journal-title":"Journal of Finance"},{"key":"BIB2","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1111\/j.1540-6261.1978.tb03395.x","volume":"33","author":"Cohen","year":"1978","journal-title":"Journal of Finance"},{"key":"BIB3","doi-asserted-by":"crossref","first-page":"413","DOI":"10.1016\/0261-5606(93)90004-U","volume":"12","author":"Dacarogna","year":"1993","journal-title":"Journal of International Money and Finance"},{"key":"BIB4","doi-asserted-by":"crossref","first-page":"197","DOI":"10.1016\/0304-405X(79)90013-8","volume":"7","author":"Dimson","year":"1979","journal-title":"Journal of Financial Economics"},{"key":"BIB5","first-page":"291","volume":"74","author":"Epps","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"BIB6","doi-asserted-by":"crossref","first-page":"285","DOI":"10.1086\/294788","volume":"38","author":"Fama","year":"1965","journal-title":"Journal of Business"},{"key":"BIB7","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1086\/294848","volume":"39","author":"Fisher","year":"1966","journal-title":"Journal of Business"},{"key":"BIB8","doi-asserted-by":"crossref","first-page":"1421","DOI":"10.1111\/j.1540-6261.1989.tb02663.x","volume":"44","author":"Korkie","year":"1989","journal-title":"Journal of Finance"},{"key":"BIB9","doi-asserted-by":"crossref","first-page":"181","DOI":"10.1016\/0304-4076(90)90098-E","volume":"45","author":"Lo","year":"1990","journal-title":"Journal of Econometrics"},{"key":"BIB10","volume-title":"Forecasting in financial markets","author":"Low","year":"1996","unstructured":"& (1996). Information flows in high frequency exchange rates. In (Ed.), Forecasting in financial markets. New York: Wiley."},{"key":"BIB11","author":"Low","year":"1994","unstructured":"& (1994). The effects of infrequent trading on the time-series structure of portfolio excess returns. Manuscript in preparation."},{"key":"BIB12","doi-asserted-by":"crossref","first-page":"479","DOI":"10.1111\/j.1540-6261.1994.tb05149.x","volume":"49","author":"Miller","year":"1994","journal-title":"Journal of Finance"},{"key":"BIB13","doi-asserted-by":"crossref","first-page":"1189","DOI":"10.1016\/0378-4266(90)90009-Q","volume":"14","author":"Muller","year":"1990","journal-title":"Journal of Banking and Finance"},{"key":"BIB14","author":"Muthuswamy","year":"1990","unstructured":"(1990). Nonsynchronous trading and the index autocorrelation problem. Unpublished doctoral dissertation, University of Chicago, Graduate School of Business."},{"key":"BIB15","doi-asserted-by":"crossref","first-page":"76","DOI":"10.3905\/jod.1995.407928","volume":"3","author":"Pearson","year":"1995","journal-title":"Journal of Derivatives"},{"key":"BIB16","author":"Rubinstein","year":"1990","unstructured":"(1990). Exchange options. Unpublished manuscript, University of California, Berkeley."},{"key":"BIB17","author":"Scholes","year":"1976","unstructured":"& (1976). Estimating betas from daily data. Unpublished manuscript, University of Chicago, Graduate School of Business."},{"key":"BIB18","doi-asserted-by":"crossref","first-page":"309","DOI":"10.1016\/0304-405X(77)90041-1","volume":"5","author":"Scholes","year":"1977","journal-title":"Journal of Financial Economics"},{"key":"BIB19","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1016\/0304-405X(82)90011-3","volume":"10","author":"Stulz","year":"1982","journal-title":"Journal of Financial Economics"},{"key":"BIB20","doi-asserted-by":"crossref","first-page":"723","DOI":"10.1111\/j.1540-6261.1985.tb04996.x","volume":"40","author":"Wood","year":"1985","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200102)21:2%3C127::AID-FUT2%3E3.0.CO;2-B","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200102)21:2%3C127::AID-FUT2%3E3.0.CO;2-B","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:53:38Z","timestamp":1625136818000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200102)21:2<127::AID-FUT2>3.0.CO;2-B"}},"issued":{"date-parts":[[2001]]},"references-count":20,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2001,2]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200102)21:2<127::aid-fut2>3.0.co;2-b","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001]]}},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T21:17:51Z","timestamp":1773091071984,"version":"3.50.1"},"reference-count":24,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,10]]},"DOI":"10.1002\/1096-9934(200010)20:9<803::aid-fut1>3.0.co;2-q","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T05:44:13Z","timestamp":1100411053000},"page":"803-821","source":"Crossref","is-referenced-by-count":14,"title":["Normal backwardation is normal"],"prefix":"10.1002","volume":"20","author":[{"given":"Jo\ufffdlle","family":"Miffre","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB1","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1111\/j.1540-6261.1988.tb02594.x","volume":"43","author":"Adler","year":"1988","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB2","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB3","doi-asserted-by":"crossref","first-page":"424","DOI":"10.2307\/1909887","volume":"30","author":"Borch","year":"1962","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB4","doi-asserted-by":"crossref","first-page":"279","DOI":"10.2307\/2330239","volume":"16","author":"Brennan","year":"1981","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB5","doi-asserted-by":"crossref","first-page":"949","DOI":"10.1016\/0014-2921(93)90103-H","volume":"37","author":"Briys","year":"1993","journal-title":"European Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB6","volume-title":"Optimal positioning in derivative securities","author":"Carr","year":"1997","unstructured":"& (1997). Optimal positioning in derivative securities. College Park, MD: University of Maryland."},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB7","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/0022-0531(89)90067-7","volume":"49","author":"Cox","year":"1989","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB8","doi-asserted-by":"crossref","first-page":"221","DOI":"10.1016\/0378-4266(85)90019-6","volume":"9","author":"Eaker","year":"1985","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB9","doi-asserted-by":"crossref","first-page":"1129","DOI":"10.1111\/j.1540-6261.1979.tb00060.x","volume":"34","author":"Feiger","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB10","doi-asserted-by":"crossref","first-page":"89","DOI":"10.1006\/jeth.1998.2420","volume":"82","author":"Franke","year":"1998","journal-title":"Journal of Economic Theory"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB11","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1016\/S0261-5606(83)80001-1","volume":"2","author":"Garman","year":"1983","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB12","volume-title":"International financial management: theory and application","author":"Giddy","year":"1985","unstructured":"(1985). The foreign exchange option as a hedging tool. In (Ed.), International financial management: theory and application. New York: John Wiley & Sons."},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB13","volume-title":"Fundamentals of pure and applied economics","author":"Hodrick","year":"1987","unstructured":"(1987). The empirical evidence on the efficiency of forward and futures foreign exchange markets. In (Ed.), Fundamentals of pure and applied economics. London: Harwood Academic."},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB14","doi-asserted-by":"crossref","first-page":"565","DOI":"10.2307\/2331413","volume":"26","author":"Kerkvliet","year":"1991","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB15","doi-asserted-by":"crossref","first-page":"66","DOI":"10.2307\/1242884","volume":"20000","author":"Lapan","year":"1991","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB16","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1007\/BF01225932","volume":"59","author":"Lehrbass","year":"1994","journal-title":"Journal of Economics"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB17","doi-asserted-by":"crossref","first-page":"581","DOI":"10.1111\/j.1540-6261.1980.tb02190.x","volume":"35","author":"Leland","year":"1980","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB18","volume-title":"Handbook of international economics","volume":"III","author":"Lewis","year":"1995","unstructured":"(1995). Puzzles in international financial markets. In & (Eds.), Handbook of international economics. Vol. III, New York: Elsevier Science B.V."},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB20","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"Merton","year":"1973","journal-title":"Bell Journal of Economics and Management Science"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB21","doi-asserted-by":"crossref","first-page":"607","DOI":"10.2307\/2527128","volume":"33","author":"Moschini","year":"1992","journal-title":"International Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB22","doi-asserted-by":"crossref","first-page":"1025","DOI":"10.2307\/2527271","volume":"36","author":"Moschini","year":"1995","journal-title":"International Economic Review"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB23","volume-title":"The new palgrave: finance","author":"Newbery","year":"1989","unstructured":"(1989). Futures markets, hedging and speculation. In and (Eds.), The new palgrave: finance. New York: Macmillan."},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB24","doi-asserted-by":"crossref","first-page":"413","DOI":"10.2307\/2554570","volume":"60","author":"Steil","year":"1993","journal-title":"Economica"},{"key":"10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q-BIB25","doi-asserted-by":"crossref","first-page":"127","DOI":"10.2307\/2330894","volume":"19","author":"Stulz","year":"1984","journal-title":"Journal of Financial and Quantitative Analysis"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200010)20:9%3C803::AID-FUT1%3E3.0.CO;2-Q","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200010)20:9%3C803::AID-FUT1%3E3.0.CO;2-Q","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T11:03:18Z","timestamp":1625137398000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q"}},"issued":{"date-parts":[[2000]]},"references-count":24,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2000,10]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200010)20:9<803::aid-fut1>3.0.co;2-q","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T13:32:02Z","timestamp":1773322322237,"version":"3.50.1"},"reference-count":18,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2011,4,20]],"date-time":"2011-04-20T00:00:00Z","timestamp":1303257600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,5]]},"abstract":"Abstract<\/jats:title>In this study, we investigate the estimates of the convenience yield implied in European natural gas hub trading. In addition to the net convenience yield, we provide two option\/based approaches, which connect to the economic idea of the convenience yield as being the benefits from holding the physical commodity. In particular, we approximate the convenience yield via lookback and Asian options. Our empirical results are consistent with the intuition conveyed by the theory of storage. We conclude that the choice of an adequate approximation method should depend on the market under investigation, in particular, on the existence of market frictions such as short\/sale constraints or restricted storage access. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20523","type":"journal-article","created":{"date-parts":[[2011,4,20]],"date-time":"2011-04-20T16:21:30Z","timestamp":1303316490000},"page":"459-479","source":"Crossref","is-referenced-by-count":16,"title":["The convenience yield implied in European natural gas hub trading"],"prefix":"10.1002","volume":"32","author":[{"given":"Markus","family":"Hochradl","sequence":"first","affiliation":[]},{"given":"Margarethe","family":"Rammerstorfer","sequence":"additional","affiliation":[{"name":"The Department of Finance Accounting and Statistics Vienna University of Economics and Business Vienna Austria"}]}],"member":"311","published-online":{"date-parts":[[2011,4,20]]},"reference":[{"key":"e_1_2_7_2_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_7_3_1","unstructured":"European Commission. (2007).DG competition report on energy sector inquiry. Discussion Paper SEC (2006) 1724 Brussels."},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10036"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100508"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_7_8_1","first-page":"65","volume-title":"Les Clewlow, Chris Strickland","author":"Levy E.","year":"1997"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05197.x"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/erae\/24.2.267"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199702)17:1<1::AID-FUT1>3.0.CO;2-P"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2234529"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"e_1_2_7_14_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_7_17_1","first-page":"1226","article-title":"The supply of storage revisited","volume":"56","author":"Weymar F. H.","year":"1966","journal-title":"American Economic Review"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_7_19_1","first-page":"1254","article-title":"The theory of the price of storage","volume":"34","author":"Working H.","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20523","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20523","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T22:07:25Z","timestamp":1698703645000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20523"}},"issued":{"date-parts":[[2011,4,20]]},"references-count":18,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2012,5]]}},"alternative-id":["10.1002\/fut.20523"],"URL":"https:\/\/doi.org\/10.1002\/fut.20523","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,4,20]]}},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T17:14:23Z","timestamp":1772817263303,"version":"3.50.1"},"reference-count":70,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2002,10,16]],"date-time":"2002-10-16T00:00:00Z","timestamp":1034726400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,12]]},"abstract":"Abstract<\/jats:title>Option pricing is complicated by the theoretical existence of risk premiums. This article utilizes a testable\nmethodology to extract the pricing impact resulting from these risk premiums. First, option prices (based on\nthe full dynamics of the underlying) are computed under the assumption that these risk premiums are not\npriced. The pricing methodology is independent of any particular option\u2010pricing model or distributional\nassumptions on the return process for the underlying. The difference between the actual market prices and these\n\u201cno\u2010premium base case\u201d prices reflects the effect of risk premiums. For\nat\u2010the\u2010money, 13\u2010week S&P 500 options trading from 1989 until 1993, the effect of risk\npremiums is statistically significant and averages slightly over 20% (in units of Black\u2013Scholes\nimplied volatility). A simple delta\u2010hedging strategy is used to demonstrate the economic significance\nof risk premiums, as the trading strategy provides enough profit to absorb a crash similar in magnitude to the\n1987 crash once every 6.20 years. \u00a9 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1147\u20131178, 2002<\/jats:p>","DOI":"10.1002\/fut.10051","type":"journal-article","created":{"date-parts":[[2002,10,18]],"date-time":"2002-10-18T16:17:19Z","timestamp":1034957839000},"page":"1147-1178","source":"Crossref","is-referenced-by-count":6,"title":["Economic significance of risk premiums in the S&P 500 option market"],"prefix":"10.1002","volume":"22","author":[{"given":"R. Brian","family":"Balyeat","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,10,16]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00091-9"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(91)90013-A"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04023.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951574"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330744"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(96)00009-8"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04822.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_13_1","series-title":"Handbook of statistics","volume-title":"Statistical methods in finance","author":"Bates D. S.","year":"1996"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_1_15_1","unstructured":"Black F.(1976).Studies of stock market volatility changes. Proceedings of the American Statistical Association Business and Economics Section 177\u2013181."},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.43.3.371"},{"key":"e_1_2_1_18_1","unstructured":"Brenner M. &Eom Y. H.(1997).No\u2010arbitrage option pricing: New evidence on the validity of the martingale property(Working Paper S\u201097\u201010). Salomon Center Leonard N. Stern School of Business New York University June."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.2.495"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90045-6"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00046-5"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1987.10478543"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90073-Z"},{"key":"e_1_2_1_27_1","first-page":"32","article-title":"Riding the smile","volume":"7","author":"Derman E.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1996.407952"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_30_1","first-page":"18","article-title":"Pricing with a smile","volume":"7","author":"Duprire B.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90074-2"},{"key":"e_1_2_1_32_1","unstructured":"Feinstein S.(1989).The Black\u2013Scholes formula is nearly linear in s for at\u2010the\u2010money options; Therefore implied volatilities from at\u2010the\u2010money options are virtually unbiased(Working Paper 88\u20109). Federal Reserve Bank of Atlanta December."},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01752-6"},{"key":"e_1_2_1_34_1","unstructured":"Ferson W. E. Heuson A. &Su T.(2000).How much do expected stock returns vary over time? Answers from the options markets(Working Paper). University of Washington."},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(98)00002-4"},{"key":"e_1_2_1_36_1","first-page":"219","article-title":"The economic significance of the forecast bias of S&P 100 index option implied volatility","volume":"10","author":"Fleming J.","year":"1999","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150303"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913241"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.2.199"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913624"},{"key":"e_1_2_1_42_1","unstructured":"Gallant A. R. &Tauchen G.(1996a).SNP: A program for nonparametric time series analysis version 8.5 user's guide(Working Paper). University of North Carolina at Chapel Hill Chapel Hill NC."},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600006976"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00152"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90047-4"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_1_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05219.x"},{"key":"e_1_2_1_51_1","unstructured":"Jackwerth J. C. &Rubinstein M.(2001).Recovering stochastic processes from option prices(Working Paper). Haas School of Business University of California at Berkley Berkley CA."},{"key":"e_1_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01892.x"},{"key":"e_1_2_1_53_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.4.1091"},{"key":"e_1_2_1_54_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009703431535"},{"key":"e_1_2_1_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90100-8"},{"key":"e_1_2_1_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00003-W"},{"key":"e_1_2_1_57_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_1_59_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_1_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_1_61_1","unstructured":"Poteshman A. M.(1998).Estimating a general stochastic variance model from option prices(Working Paper). University of Illinois at Urbana\u2010Champaign Urbana\u2010Champaign IL October."},{"key":"e_1_2_1_62_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_1_63_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176344136"},{"key":"e_1_2_1_64_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330793"},{"key":"e_1_2_1_65_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00039"},{"key":"e_1_2_1_66_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.235793"},{"key":"e_1_2_1_67_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.727"},{"key":"e_1_2_1_68_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05220.x"},{"key":"e_1_2_1_69_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04495.x"},{"key":"e_1_2_1_70_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05150.x"},{"key":"e_1_2_1_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90009-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10051","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10051","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T03:25:11Z","timestamp":1694575511000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10051"}},"issued":{"date-parts":[[2002,10,16]]},"references-count":70,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2002,12]]}},"alternative-id":["10.1002\/fut.10051"],"URL":"https:\/\/doi.org\/10.1002\/fut.10051","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,10,16]]}},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T12:31:41Z","timestamp":1772800301916,"version":"3.50.1"},"reference-count":49,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2021,5,6]],"date-time":"2021-05-06T00:00:00Z","timestamp":1620259200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100000155","name":"Social Sciences and Humanities Research Council of Canada","doi-asserted-by":"publisher","award":["430\u20102018\u201000557"],"award-info":[{"award-number":["430\u20102018\u201000557"]}],"id":[{"id":"10.13039\/501100000155","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,9]]},"abstract":"Abstract<\/jats:title>This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high\u2010frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020. We find that bitcoin spot and futures prices exhibit long memory properties and they are fractionally cointegrated. The result shows that the bitcoin futures market dominates the price discovery process. Interestingly, during the Covid\u201019 pandemic, the bitcoin price discovery leadership has switched to the spot market. Moreover, we find that the bitcoin futures market follows a long\u2010run contango. The nonfractional CVAR model overestimates the price discovery of the futures market.<\/jats:p>","DOI":"10.1002\/fut.22216","type":"journal-article","created":{"date-parts":[[2021,5,8]],"date-time":"2021-05-08T11:33:54Z","timestamp":1620473634000},"page":"1478-1494","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":34,"title":["Fractional cointegration in bitcoin spot and futures markets"],"prefix":"10.1002","volume":"41","author":[{"given":"Jinghong","family":"Wu","sequence":"first","affiliation":[{"name":"Department of Economics University of Victoria Victoria British Columbia Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9354-9104","authenticated-orcid":false,"given":"Ke","family":"Xu","sequence":"additional","affiliation":[{"name":"Department of Economics University of Victoria Victoria British Columbia Canada"}]},{"given":"Xinwei","family":"Zheng","sequence":"additional","affiliation":[{"name":"Department of Finance Deakin University Melbourne Victoria Australia"}]},{"given":"Jian","family":"Chen","sequence":"additional","affiliation":[{"name":"Department of Electrical and Computer Engineering Queen's University Kingston Ontario Canada"}]}],"member":"311","published-online":{"date-parts":[[2021,5,6]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22163"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22050"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05161.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22004"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2012.723463"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2015.02.010"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.02.001"},{"key":"e_1_2_8_9_1","unstructured":"Barchart.com.BTC; Historical Data Download (17\u2010Dec\u20102017 till 31\u2010Jul\u20102020); Data Downloaded on October 27 2020 [data set]."},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.02.010"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.03.009"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106124"},{"key":"e_1_2_8_14_1","unstructured":"Chiu J. &Koeppl T. V.(2019).The economics of cryptocurrencies\u2014Bitcoin and beyond.https:\/\/www.bankofcanada.ca\/2019\/09\/staff-working-paper-2019-40"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101607"},{"key":"e_1_2_8_17_1","unstructured":"deJong F. Mahieu R. Schotman P. &vanLeeuwen I.(2001).Price discovery on foreign exchange markets with differentially informed traders\u00a0(working paper).\u00a0Maastricht: Limburg Institute of Financial Economics."},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21866"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21693"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.11.005"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.07.032"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22101"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.013"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0140-9883(96)00020-5"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(81)90079-8"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.06.006"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22171"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2021.03.001"},{"key":"e_1_2_8_32_1","unstructured":"Investing.com. (n.d.).Bitcoin futures CME.https:\/\/www.investing.com\/crypto\/bitcoin\/bitcoin-futures-historical-data"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080274"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA9299"},{"key":"e_1_2_8_36_1","unstructured":"Johansen S. &Nielsen M. \u00d8.(2014).The role of initial values in nonstationary fractional time series models\u00a0(QED Working Paper 1300).\u00a0Kingston ON: Queen's University."},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.10.031"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1023\/B:REDR.0000004824.99648.73"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2017.07.014"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.02.014"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-131X(199907)18:4<259::AID-FOR723>3.0.CO;2-7"},{"key":"e_1_2_8_42_1","unstructured":"Livni E.(2019).Facebook's Libra is spurring central banks' interest in issuing cryptocurrency.https:\/\/qz.com\/1655896\/facebooks-libra-forces-central-banks-to-tackle-cryptocurrencies"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101798"},{"key":"e_1_2_8_44_1","unstructured":"Nielsen M. \u00d8. &Popiel M. K.(2018).A Matlab program and user's guide for the fractionally cointegrated VAR model\u00a0(QED Working Paper 1330).\u00a0Kingston ON: Queen's University."},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020207"},{"key":"e_1_2_8_46_1","doi-asserted-by":"crossref","unstructured":"O'Hara M. &Zhou X.(2020). Anatomy of a liquidity crisis: Corporate bonds in the COVID\u201019 crisis. Advance online publication.https:\/\/doi.org\/10.2139\/ssrn.3615155","DOI":"10.2139\/ssrn.3615155"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20556"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22164"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2020.03.011"},{"key":"e_1_2_8_50_1","unstructured":"Vigna P.(2019 March 23\u201324). Most bitcoin trading is faked study finds.Wall Street Journal p. B13."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22216","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22216","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22216","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T20:14:55Z","timestamp":1693340095000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22216"}},"issued":{"date-parts":[[2021,5,6]]},"references-count":49,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2021,9]]}},"alternative-id":["10.1002\/fut.22216"],"URL":"https:\/\/doi.org\/10.1002\/fut.22216","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,5,6]]},"assertion":[{"value":"2020-08-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-04-12","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,8,18]],"date-time":"2023-08-18T04:45:47Z","timestamp":1692333947881},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2023,7,5]],"date-time":"2023-07-05T00:00:00Z","timestamp":1688515200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,8]]},"DOI":"10.1002\/fut.22449","type":"journal-article","created":{"date-parts":[[2023,7,6]],"date-time":"2023-07-06T04:07:50Z","timestamp":1688616470000},"page":"1039-1039","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"43","member":"311","published-online":{"date-parts":[[2023,7,5]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22449","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,17]],"date-time":"2023-08-17T08:04:25Z","timestamp":1692259465000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22449"}},"issued":{"date-parts":[[2023,7,5]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2023,8]]}},"alternative-id":["10.1002\/fut.22449"],"URL":"https:\/\/doi.org\/10.1002\/fut.22449","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,7,5]]},"assertion":[{"value":"2023-07-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T06:10:18Z","timestamp":1698127818302},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8613,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,2]]},"DOI":"10.1002\/fut.v12:1","type":"journal-issue","created":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:25:44Z","timestamp":1698074744000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"12","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v12:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v12:1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:25:44Z","timestamp":1698074744000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/12\/1"}},"issued":{"date-parts":[[1992,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1992,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v12:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,2]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T06:10:18Z","timestamp":1698127818575},"reference-count":8,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4379,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,9]]},"DOI":"10.1002\/fut.3990140604","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T02:17:28Z","timestamp":1183688248000},"page":"661-684","source":"Crossref","is-referenced-by-count":15,"title":["Should actively traded futures contracts come under the dual\u2010trading ban?"],"prefix":"10.1002","volume":"14","author":[{"given":"Sugato","family":"Chakravarty","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04404.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_1_5_1","volume-title":"Long\u2010Lived Private Information and Imperfect Competition","author":"Holden C. W.","year":"1991"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/1042-9573(90)90001-V"},{"key":"e_1_2_1_8_1","unstructured":"Sarker A.(1993): \u201cThe Regulation of Dual Trading: Winners Losers and Market Impact \u201d Working Paper Unliversity of Illinois IL 61820."},{"key":"e_1_2_1_9_1","volume-title":"Assessing the Cost of Regulation: The Case of Dual Trading","author":"Smith T.","year":"1991"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140604","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140604","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T00:53:43Z","timestamp":1698108823000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140604"}},"issued":{"date-parts":[[1994,9]]},"references-count":8,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1994,9]]}},"alternative-id":["10.1002\/fut.3990140604"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140604","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,9]]}},{"indexed":{"date-parts":[[2022,4,2]],"date-time":"2022-04-02T09:46:40Z","timestamp":1648892800707},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6179,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,10]]},"DOI":"10.1002\/(sici)1096-9934(199810)18:7<867::aid-fut6>3.0.co;2-9","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T21:44:44Z","timestamp":1031694284000},"page":"867-870","source":"Crossref","is-referenced-by-count":7,"title":["A note on a risk-return measure of hedging effectiveness"],"prefix":"10.1002","volume":"18","author":[{"given":"Sudhakar","family":"Satyanarayan","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199810)18:7%3C867::AID-FUT6%3E3.0.CO;2-9","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199810)18:7%3C867::AID-FUT6%3E3.0.CO;2-9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:03:58Z","timestamp":1625133838000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199810)18:7<867::AID-FUT6>3.0.CO;2-9"}},"issued":{"date-parts":[[1998,10]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1998,10]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199810)18:7<867::aid-fut6>3.0.co;2-9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,10]]}},{"indexed":{"date-parts":[[2023,12,13]],"date-time":"2023-12-13T16:09:31Z","timestamp":1702483771561},"reference-count":37,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8668,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,12]]},"DOI":"10.1002\/fut.3990020407","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:50:40Z","timestamp":1183585840000},"page":"367-389","source":"Crossref","is-referenced-by-count":7,"title":["Cash price variation in the live beef cattle market: The causal role of futures trade"],"prefix":"10.1002","volume":"2","author":[{"given":"Robert D.","family":"Weaver","sequence":"first","affiliation":[]},{"given":"Aniruddha","family":"Banerjee","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"issue":"3","key":"e_1_2_1_2_1","first-page":"503","article-title":"A Comparative Study of Alternative Estimators in a Distributed Lag Model","volume":"35","author":"Amemiya T.","year":"1967","journal-title":"Econometrica"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1914072"},{"key":"e_1_2_1_4_1","volume-title":"The Fourier Transform and Its Application","author":"Bracewell R. N.","year":"1978"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912356"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260509"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90124-2"},{"key":"e_1_2_1_8_1","volume-title":"Econometrics: Statistical Foundations and Applications","author":"Dhrymes P. J.","year":"1970"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.4159\/harvard.9780674334076"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(78)90067-2"},{"key":"e_1_2_1_11_1","unstructured":"Geweke J. Meese R. andDent W. T.(1979): \u201cComparing Alternative Tests of Causality in Temporal Systems: Analytic Results and Experimental Evidence \u201dSSRI Workshop Series No. 7928 University of Wisconsin\u2014Madison October."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_1_13_1","volume-title":"Spectral Analysis of Economic Time Series","author":"Granger C. W. J.","year":"1964"},{"key":"e_1_2_1_14_1","volume-title":"Forecasting Economic Times Series","author":"Granger C. W. J.","year":"1977"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296900"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90043-1"},{"issue":"2","key":"e_1_2_1_17_1","first-page":"246","article-title":"Information and Competitive Price Systems","volume":"66","author":"Grossman S. J.","year":"1976","journal-title":"American Economic Review"},{"key":"e_1_2_1_18_1","volume-title":"Proceedings of a Symposium on Time Series Analysis","author":"Hannan E. J.","year":"1963"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911896"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/54.3-4.409"},{"key":"e_1_2_1_21_1","volume-title":"Spectral Analysis and Its Applications","author":"Jenkins G. M.","year":"1968"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924214"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238755"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239556"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/259363"},{"key":"e_1_2_1_26_1","unstructured":"Nerlove M.(1970): \u201cOn the Structure of Serial Dependence in Some U.S. Price Series \u201d inThe Econometrics of Price Determination Conference O. Eckstein Ed. Washington DC October pp.60\u2013112."},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1886041"},{"issue":"3","key":"e_1_2_1_28_1","first-page":"460","article-title":"Does Futures Trading Reduce Price Fluctuations in the Cash Markets?","volume":"60","author":"Powers M. J.","year":"1970","journal-title":"American Economic Review"},{"key":"e_1_2_1_29_1","unstructured":"Purcell W. D. Flood D. andPlaxico J. S.(1979): \u201cCash\u2010Futures Interrelationships in Live Cattle: Causality Variability and Price Processes \u201d inProceedings from the First Annual Livestock Futures Research Symposium R. M. Leuthold and P. Dixon Eds. Chicago June."},{"issue":"4","key":"e_1_2_1_30_1","first-page":"540","article-title":"Money, Income, and Causality","volume":"62","author":"Sims C. A.","year":"1972","journal-title":"American Economic Review"},{"key":"e_1_2_1_31_1","volume-title":"Frontiers of Quantitative Economics","author":"Sims C. A.","year":"1974"},{"issue":"1","key":"e_1_2_1_32_1","first-page":"29","article-title":"The Influence of Futures Trading on Cash Cattle Price Variations","volume":"13","author":"Taylor G. S.","year":"1974","journal-title":"Food Research Institute Studies"},{"issue":"3","key":"e_1_2_1_33_1","doi-asserted-by":"crossref","first-page":"372","DOI":"10.2307\/1237388","article-title":"Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles","volume":"52","author":"Tomek W. G.","journal-title":"American Journal of Agricultural Economics"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0047-2727(79)90035-5"},{"key":"e_1_2_1_35_1","unstructured":"Weaver R. D.(1981): \u201cAgricultural Price Expectations: An Erroneous But Better Approach to Measurement \u201d Staff Paper No. 43 Department of Agricultural Economics and Rural Sociology The Pennsylvania State University January presented at the Meeting of the American Agricultural Economics Association Clemson July 26\u201329 1981."},{"key":"e_1_2_1_36_1","unstructured":"Weaver R. D.(1977):The Theory and Measurement of Provisional Agricultural Production Decisions unpublished Ph.D. dissertation University of Wisconsin."},{"key":"e_1_2_1_37_1","unstructured":"Weaver R. D. andBanerjee A.(1981): \u201cCash Price Stability in the Presence of Futures Markets: A Multivariate Causality Test for Live Beef Cattle \u201d Staff Paper No. 45 Department of Agricultural Economics and Rural Sociology The Pennsylvania State University July presented at the Meeting of the Southern Agricultural Economics Association Orlando February 7\u201310 1982."},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(74)90028-1"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020407","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020407","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:27:36Z","timestamp":1699802856000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020407"}},"issued":{"date-parts":[[1982,12]]},"references-count":37,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1982,12]]}},"alternative-id":["10.1002\/fut.3990020407"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020407","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,12]]}},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T11:31:42Z","timestamp":1700393502070},"reference-count":15,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4167,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,4]]},"DOI":"10.1002\/fut.3990150203","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T05:08:39Z","timestamp":1183698519000},"page":"111-129","source":"Crossref","is-referenced-by-count":11,"title":["The welfare costs of Arkansas Best<\/i>: The inefficiency of asymmetric taxation of hedging gains and losses"],"prefix":"10.1002","volume":"15","author":[{"given":"Craig","family":"Pirrong","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/261206"},{"key":"e_1_2_1_3_1","unstructured":"Diamond D.(1989):Monitoring and Reputation: The Choice Between Bank Loans and Directly Placed Debt Mimeo The University of Chicago."},{"key":"e_1_2_1_4_1","first-page":"10","article-title":"Taxes and Risk Sharing","volume":"60","author":"Fellingham J.","year":"1985","journal-title":"The Accounting Review"},{"key":"e_1_2_1_5_1","first-page":"216","article-title":"Aversion to Risk Aversion in the New Institutional Economics","volume":"146","author":"Goldberg V.","year":"1990","journal-title":"Journal of Institutional and Theoretical Economics"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1885733"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Gordon R. andWilson J.(1986):Measuring the Efficiency Cost of Taxing Risky Capital Income N.B.E.R. Working Paper No. 1992.","DOI":"10.3386\/w1992"},{"key":"e_1_2_1_8_1","volume-title":"The Economics of Information and Uncertainty","author":"Grossman S.","year":"1984"},{"key":"e_1_2_1_9_1","volume-title":"The Theory of Financial Decision Making","author":"Ingersoll J.","year":"1987"},{"key":"e_1_2_1_10_1","first-page":"323","article-title":"Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers","volume":"76","author":"Jensen M.","year":"1986","journal-title":"American Economic Review"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90023-0"},{"key":"e_1_2_1_13_1","unstructured":"Pirrong C.(1993a): \u201cThe Economic Implications of Arkansas Best: Asymmetric Tax Treatment of Hedge Income Hedging Effectiveness and Price Discovery \u201d Mimeo: The University of Michigan."},{"key":"e_1_2_1_14_1","unstructured":"Pirrong C.(1993b):The Effects of Arkansas Best on Variance Minimizing Hedge Ratios Mimeo: The University of Michigan."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"},{"key":"e_1_2_1_16_1","first-page":"223","article-title":"The Role of Risk Aversion in Economic Modeling","volume":"146","author":"Varian H.","year":"1990","journal-title":"Journal of Institutional and Theoretical Economics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150203","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150203","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T00:57:41Z","timestamp":1698281861000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150203"}},"issued":{"date-parts":[[1995,4]]},"references-count":15,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1995,4]]}},"alternative-id":["10.1002\/fut.3990150203"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150203","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,4]]}},{"indexed":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T17:24:17Z","timestamp":1700241857687},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6697,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,5]]},"DOI":"10.1002\/(sici)1096-9934(199705)17:3<341::aid-fut5>3.0.co;2-i","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:24:55Z","timestamp":1031700295000},"page":"341-367","source":"Crossref","is-referenced-by-count":6,"title":["Crop year influences and variability of the agricultural futures spreads"],"prefix":"10.1002","volume":"17","author":[{"given":"Hans R.","family":"Dutt","sequence":"first","affiliation":[]},{"given":"John","family":"Fenton","sequence":"additional","affiliation":[]},{"given":"Jonathan D.","family":"Smith","sequence":"additional","affiliation":[]},{"given":"George H. K.","family":"Wang","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199705)17:3%3C341::AID-FUT5%3E3.0.CO;2-I","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199705)17:3%3C341::AID-FUT5%3E3.0.CO;2-I","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:03:41Z","timestamp":1625133821000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199705)17:3<341::AID-FUT5>3.0.CO;2-I"}},"issued":{"date-parts":[[1997,5]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1997,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199705)17:3<341::aid-fut5>3.0.co;2-i","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,5]]}},{"indexed":{"date-parts":[[2023,9,30]],"date-time":"2023-09-30T05:40:09Z","timestamp":1696052409326},"reference-count":16,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2013,4,18]],"date-time":"2013-04-18T00:00:00Z","timestamp":1366243200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,7]]},"abstract":"Abstract<\/jats:title>This study uses equilibrium arguments to derive closed\u2010form solutions for the price of European call and put options written on an individual stock when shareholders might lose all their claims on the firm. The stock price accounts for both a random probability of bankruptcy and a random probability of remaining a going concern. With a random probability of bankruptcy, shareholders lose all their claims in the firm. With a random probability of remaining a going concern, the stock price is lognormal as in the Black\u2013Scholes model. The bankruptcy probability is correlated with aggregated wealth if the bankruptcy risk is systematic. The model is consistent with a bankruptcy probability negatively correlated with the firm's stock price. If the bankruptcy probability of a given firm increases then its stock price decreases which leads to the value of the call options written on that stock to decrease. This result is not obtainable under Merton's (1976) ruin model where the stock price and the bankruptcy probability are independent. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:637\u2013657, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21616","type":"journal-article","created":{"date-parts":[[2013,4,18]],"date-time":"2013-04-18T21:19:43Z","timestamp":1366319983000},"page":"637-657","source":"Crossref","is-referenced-by-count":0,"title":["Options on Troubled Stock"],"prefix":"10.1002","volume":"34","author":[{"given":"Ant\u00f3nio","family":"C\u00e2mara","sequence":"first","affiliation":[{"name":"Ant\u00f3nio C\u00e2mara (deceased) was the Watson Family Chair in Commodity and Financial Risk Management and Associate Professor of Finance in the Finance Department, Spears School of Business Oklahoma State University Stillwater, Oklahoma"}]},{"given":"Ivilina","family":"Popova","sequence":"additional","affiliation":[{"name":"Ivilina Popova is Associate Professor of Finance at the McCoy College of Business Administration Texas State University \u2013 San Marcos San Marcos, Texas"}]},{"given":"Betty","family":"Simkins","sequence":"additional","affiliation":[{"name":"Betty Simkins is the Williams Companies Professor of Business and Professor of Finance in the Finance Department, Spears School of Business Oklahoma State University Stillwater, Oklahoma"}]}],"member":"311","published-online":{"date-parts":[[2013,4,18]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04023.x"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.10.001"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02070.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00546"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/431439"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.02.019"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-007-9009-3"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04025.x"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03678.x"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-075064751-9.50010-2"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00702.x"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03869.x"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2008.707210"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21616","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21616","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T19:27:36Z","timestamp":1696015656000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21616"}},"issued":{"date-parts":[[2013,4,18]]},"references-count":16,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2014,7]]}},"alternative-id":["10.1002\/fut.21616"],"URL":"https:\/\/doi.org\/10.1002\/fut.21616","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,4,18]]}},{"indexed":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T07:10:11Z","timestamp":1698736211776},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1095,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,9]]},"DOI":"10.1002\/fut.2012.32.issue-9","type":"journal-issue","created":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T06:29:30Z","timestamp":1698647370000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"32","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2012.32.issue-9","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T06:29:30Z","timestamp":1698647370000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/32\/9"}},"issued":{"date-parts":[[2012,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2012,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.2012.32.issue-9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,9]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T05:40:14Z","timestamp":1698385214687},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4897,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,4]]},"DOI":"10.1002\/fut.3990130201","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:02:09Z","timestamp":1183683729000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"13","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130201","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130201","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T04:17:37Z","timestamp":1698293857000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130201"}},"issued":{"date-parts":[[1993,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1993,4]]}},"alternative-id":["10.1002\/fut.3990130201"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130201","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,4]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T05:40:16Z","timestamp":1698385216173},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8066,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,8]]},"DOI":"10.1002\/fut.v13:5","type":"journal-issue","created":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:59:38Z","timestamp":1698289178000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"13","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v13:5","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v13:5","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:59:38Z","timestamp":1698289178000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/13\/5"}},"issued":{"date-parts":[[1993,8]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1993,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v13:5","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,8]]}},{"indexed":{"date-parts":[[2023,8,22]],"date-time":"2023-08-22T04:47:52Z","timestamp":1692679672038},"reference-count":0,"publisher":"Wiley","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,1]]},"DOI":"10.1002\/fut.v43.1","type":"journal-issue","created":{"date-parts":[[2022,12,3]],"date-time":"2022-12-03T04:18:55Z","timestamp":1670041135000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"43","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T09:07:39Z","timestamp":1692608859000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/43\/1"}},"issued":{"date-parts":[[2023,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2023,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v43.1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,1]]}},{"indexed":{"date-parts":[[2024,3,21]],"date-time":"2024-03-21T11:20:36Z","timestamp":1711020036669},"reference-count":22,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2002,1,8]],"date-time":"2002-01-08T00:00:00Z","timestamp":1010448000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,3]]},"abstract":"Abstract<\/jats:title>This paper examines the impact of the introduction of the Nasdaq\u2010100 Index Tracking Stock\n(referred to as Cubes) on the pricing relationship between Nasdaq\u2010100 futures and the\nunderlying index. Observations obtained from tick\u2010by\u2010tick Nasdaq\u2010100 futures transactions\nand index value data support the hypothesis that the introduction of Cubes in March 1999 has led to improvements\nin the Nasdaq\u2010100 index futures pricing efficiency. Both the size and frequency of violations in futures\nprice boundaries appear to be reduced. Furthermore, there appears to be an increase in the speed of the market\nresponse to observed violations. These results are attributed to the increased ease in establishing a spot\nNasdaq\u2010100 index position after the introduction of the tracking stock. \u00a9 2002 John Wiley &\nSons, Inc. Jrl Fut Mark 22: 197\u2013218, 2002<\/jats:p>","DOI":"10.1002\/fut.2214","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T16:33:59Z","timestamp":1030293239000},"page":"197-218","source":"Crossref","is-referenced-by-count":29,"title":["The effect of the introduction of Cubes on the Nasdaq\u2010100 index spot\u2010futures pricing relationship"],"prefix":"10.1002","volume":"22","author":[{"given":"Alexander A.","family":"Kurov","sequence":"first","affiliation":[]},{"given":"Dennis J.","family":"Lasser","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,1,8]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(93)90006-Y"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","first-page":"791","DOI":"10.1111\/j.1540-6261.1991.tb04644.x","article-title":"A transactions data test of stock index futures market efficiency and\nindex arbitrage profitability","volume":"46","author":"Chung P. Y.","year":"1991","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.301"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Garrett I. &Taylor N.(2000).Intraday and interday basis dynamics: Evidence from the FTSE 100 Index futures market. Working Paper University of Manchester England.","DOI":"10.2202\/1558-3708.1076"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02405.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331277"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.4.653"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.4.631"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330874"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110304"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05149.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331359"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150206"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407871"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Tse Y.(2000).Index arbitrage with heterogeneous investors: A smooth transition error correction analysis. Working Paper SUNY\u2010Binghamton NY.","DOI":"10.1016\/S0378-4266(00)00162-X"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00026-3"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2214","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2214","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T23:40:42Z","timestamp":1696635642000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2214"}},"issued":{"date-parts":[[2002,1,8]]},"references-count":22,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2002,3]]}},"alternative-id":["10.1002\/fut.2214"],"URL":"https:\/\/doi.org\/10.1002\/fut.2214","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,1,8]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T14:20:16Z","timestamp":1698416416873},"reference-count":9,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5445,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,10]]},"DOI":"10.1002\/fut.3990110502","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:48:58Z","timestamp":1183661338000},"page":"519-537","source":"Crossref","is-referenced-by-count":7,"title":["Dual trading and futures market liquidity: An analysis of three chicago board of trade contract markets"],"prefix":"10.1002","volume":"11","author":[{"given":"Michael J.","family":"Walsh","sequence":"first","affiliation":[]},{"given":"Stephen J.","family":"Dinehart","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296265"},{"key":"e_1_2_1_3_1","volume-title":"Economic Analysis of Dual Trading on Commodity Exchanges","author":"Commodity Futures Trading Commission","year":"1989"},{"key":"e_1_2_1_4_1","unstructured":"Grossman S. J.(1990 July): \u201cAn Empirical Analysis of the Quality of Order Execution of Dual and Nondual Trading Brokers\u201d unpublished manuscript."},{"key":"e_1_2_1_5_1","volume-title":"Econometrics","author":"Maddala G. S.","year":"1977"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511810176"},{"key":"e_1_2_1_7_1","unstructured":"Smith T. andWhaley R. E.(1990 June): \u201cAssessing the Costs of Regulation: The Case of Dual Trading\u201d unpublished manuscript."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010305"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Stoll H. R.(1989): \u201cInferring the Components of the Bid\u2010Ask Spread: Theory and Empirical Tests\u201d The Journal of Finance March 115\u2013134.","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_1_10_1","unstructured":"Thompson S. R. andWaller M. L.(1988): \u201cDeterminants of Liquidity Costs in Commodity Futures Markets\u201d Review of Futures Markets Spring 111\u2013125."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110502","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110502","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:13:03Z","timestamp":1698009183000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110502"}},"issued":{"date-parts":[[1991,10]]},"references-count":9,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1991,10]]}},"alternative-id":["10.1002\/fut.3990110502"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110502","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,10]]}},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:22:18Z","timestamp":1694118138478},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2018,12,4]],"date-time":"2018-12-04T00:00:00Z","timestamp":1543881600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,1]]},"DOI":"10.1002\/fut.21942","type":"journal-article","created":{"date-parts":[[2018,12,4]],"date-time":"2018-12-04T13:57:08Z","timestamp":1543931828000},"page":"1-1","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 39, Number 1, January 2019"],"prefix":"10.1002","volume":"39","member":"311","published-online":{"date-parts":[[2018,12,4]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21942","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21942","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21942","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T07:19:56Z","timestamp":1693984796000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21942"}},"issued":{"date-parts":[[2018,12,4]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2019,1]]}},"alternative-id":["10.1002\/fut.21942"],"URL":"https:\/\/doi.org\/10.1002\/fut.21942","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,12,4]]},"assertion":[{"value":"2018-12-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,12,22]],"date-time":"2023-12-22T20:35:56Z","timestamp":1703277356034},"reference-count":1,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2013,3,19]],"date-time":"2013-03-19T00:00:00Z","timestamp":1363651200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,9]]},"DOI":"10.1002\/fut.21612","type":"journal-article","created":{"date-parts":[[2013,3,19]],"date-time":"2013-03-19T15:50:13Z","timestamp":1363708213000},"page":"889-890","source":"Crossref","is-referenced-by-count":9,"title":["Valuing Stock Options When Prices are Subject to a Lower Boundary: A Correction"],"prefix":"10.1002","volume":"33","author":[{"given":"Markus","family":"Hertrich","sequence":"first","affiliation":[{"name":"Markus Hertrich is a PhD student at the Wirtschaftswissenschaftliches Zentrum, Statistik und Oekonometrie Universit\u00e4t Basel Basel Switzerland"}]},{"given":"Dirk","family":"Veestraeten","sequence":"additional","affiliation":[{"name":"Dirk Veestraeten is an Assistant Professor at the Department of Economics University of Amsterdam Amsterdam The Netherlands"}]}],"member":"311","published-online":{"date-parts":[[2013,3,19]]},"reference":[{"key":"e_1_2_2_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20299"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21612","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21612","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:01:17Z","timestamp":1696597277000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21612"}},"issued":{"date-parts":[[2013,3,19]]},"references-count":1,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2013,9]]}},"alternative-id":["10.1002\/fut.21612"],"URL":"https:\/\/doi.org\/10.1002\/fut.21612","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,3,19]]}},{"indexed":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T05:25:49Z","timestamp":1697779549184},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8578,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,3]]},"DOI":"10.1002\/fut.3990030110","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:48:11Z","timestamp":1183585691000},"page":"103-109","source":"Crossref","is-referenced-by-count":0,"title":["Futures Bibliography"],"prefix":"10.1002","volume":"3","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030110","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030110","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T23:57:22Z","timestamp":1697759842000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030110"}},"issued":{"date-parts":[[1983,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1983,3]]}},"alternative-id":["10.1002\/fut.3990030110"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030110","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,3]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T05:03:53Z","timestamp":1700283833496},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2004,8,25]],"date-time":"2004-08-25T00:00:00Z","timestamp":1093392000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,11]]},"DOI":"10.1002\/fut.20128","type":"journal-article","created":{"date-parts":[[2004,8,25]],"date-time":"2004-08-25T21:01:28Z","timestamp":1093467688000},"page":"1091-1091","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"24","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20128","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20128","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:27:09Z","timestamp":1700267229000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20128"}},"issued":{"date-parts":[[2004,8,25]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2004,11]]}},"alternative-id":["10.1002\/fut.20128"],"URL":"https:\/\/doi.org\/10.1002\/fut.20128","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,8,25]]}},{"indexed":{"date-parts":[[2023,10,5]],"date-time":"2023-10-05T12:10:17Z","timestamp":1696507817282},"reference-count":0,"publisher":"Wiley","issue":"11","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,11]]},"DOI":"10.1002\/fut.v43.11","type":"journal-issue","created":{"date-parts":[[2023,10,4]],"date-time":"2023-10-04T08:33:25Z","timestamp":1696408405000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"43","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,10,4]],"date-time":"2023-10-04T08:33:26Z","timestamp":1696408406000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/43\/11"}},"issued":{"date-parts":[[2023,11]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2023,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v43.11","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,11]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:35Z","timestamp":1698043235406},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,2]]},"DOI":"10.1002\/fut.3990100110","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:23:26Z","timestamp":1183641806000},"page":"97-102","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"10","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100110","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100110","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:44:09Z","timestamp":1697993049000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100110"}},"issued":{"date-parts":[[1990,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1990,2]]}},"alternative-id":["10.1002\/fut.3990100110"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100110","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,2]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:44Z","timestamp":1698043244789},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":9892,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,8]]},"DOI":"10.1002\/fut.v8:4","type":"journal-issue","created":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T08:11:00Z","timestamp":1697962260000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"8","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v8:4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v8:4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T08:11:00Z","timestamp":1697962260000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/8\/4"}},"issued":{"date-parts":[[1988,8]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1988,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v8:4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,8]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:40:26Z","timestamp":1697956826570},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7207,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,12]]},"DOI":"10.1002\/fut.3990060411","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:45:01Z","timestamp":1183614301000},"page":"659-670","source":"Crossref","is-referenced-by-count":0,"title":["Dispute resolution systems in the commodity futures industry"],"prefix":"10.1002","volume":"6","author":[{"given":"James J.","family":"Moylan","sequence":"first","affiliation":[]},{"given":"Laren","family":"Ukman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060411","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060411","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:49:41Z","timestamp":1697914181000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060411"}},"issued":{"date-parts":[[1986,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1986,12]]}},"alternative-id":["10.1002\/fut.3990060411"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060411","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,12]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:40:50Z","timestamp":1698010850771},"reference-count":15,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7207,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,12]]},"DOI":"10.1002\/fut.3990060412","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:45:01Z","timestamp":1183614301000},"page":"671-676","source":"Crossref","is-referenced-by-count":0,"title":["A note on agricultural options and the variance of futures prices"],"prefix":"10.1002","volume":"6","author":[{"given":"Nikolaos T.","family":"Milonas","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2978484"},{"key":"e_1_2_1_4_1","unstructured":"Castelino M.(1981 September):Futures Markets: The Maturity Effect on Risk and Return. Unpublished Ph.D. Dissertation The City University of New York."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020211"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050208"},{"key":"e_1_2_1_7_1","unstructured":"Cox J.(1975 September): \u201cNotes on Option Pricing I: Constant Elasticity of Variance Diffusions \u201d Unpublished manuscript Stanford University."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060209"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050405"},{"key":"e_1_2_1_10_1","first-page":"188","volume-title":"Option Pricing","author":"Jarrow R. A.","year":"1983"},{"key":"e_1_2_1_11_1","first-page":"25","volume-title":"Commodity Markets and Futures Prices","author":"Miller K. D.","year":"1979"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060309"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Milonas N. T.(1986b): \u201cLiquidity and Price Variability in Futures Markets.\u201dFinancial Review Forthcoming.","DOI":"10.1111\/j.1540-6288.1986.tb01120.x"},{"key":"e_1_2_1_14_1","first-page":"314","article-title":"Sources of Nonstationarity in Cash and Futures Prices","volume":"4","author":"Milonas N. T.","year":"1985","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936017"},{"key":"e_1_2_1_16_1","first-page":"41","article-title":"Proof that Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060412","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060412","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:49:47Z","timestamp":1697914187000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060412"}},"issued":{"date-parts":[[1986,12]]},"references-count":15,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1986,12]]}},"alternative-id":["10.1002\/fut.3990060412"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060412","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,12]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T05:01:04Z","timestamp":1698037264659},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5929,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,6]]},"DOI":"10.1002\/fut.3990100301","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:51:03Z","timestamp":1183643463000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"10","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100301","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100301","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:26:56Z","timestamp":1697992016000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100301"}},"issued":{"date-parts":[[1990,6]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1990,6]]}},"alternative-id":["10.1002\/fut.3990100301"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100301","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,6]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T20:10:49Z","timestamp":1699906249587},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2009,4,1]],"date-time":"2009-04-01T00:00:00Z","timestamp":1238544000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,6]]},"DOI":"10.1002\/fut.20399","type":"journal-article","created":{"date-parts":[[2009,4,1]],"date-time":"2009-04-01T20:49:13Z","timestamp":1238618953000},"page":"495-495","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"29","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,4]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20399","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20399","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T19:51:13Z","timestamp":1699905073000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20399"}},"issued":{"date-parts":[[2009,4]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2009,6]]}},"alternative-id":["10.1002\/fut.20399"],"URL":"https:\/\/doi.org\/10.1002\/fut.20399","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,4]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T05:12:53Z","timestamp":1698124373043},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5201,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,6]]},"DOI":"10.1002\/fut.3990120301","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:09:12Z","timestamp":1183662552000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"12","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120301","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120301","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T13:06:02Z","timestamp":1698066362000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120301"}},"issued":{"date-parts":[[1992,6]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1992,6]]}},"alternative-id":["10.1002\/fut.3990120301"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120301","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,6]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T04:57:08Z","timestamp":1698037028508},"reference-count":4,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,9,18]],"date-time":"2006-09-18T00:00:00Z","timestamp":1158537600000},"content-version":"vor","delay-in-days":7049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,6]]},"DOI":"10.1002\/fut.3990070309","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T06:04:33Z","timestamp":1183615473000},"page":"333-337","source":"Crossref","is-referenced-by-count":4,"title":["A note on volatility and pricing of futures options during choppy markets"],"prefix":"10.1002","volume":"7","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,18]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03269.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04935.x"},{"key":"e_1_2_1_4_1","first-page":"36","article-title":"Information Dissemination Uncertainty, the Continuity of Trading and the Structure of International Futures Markets","volume":"2","author":"Marsh T. A.","year":"1983","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_5_1","volume-title":"Elements of Pure Economics or the Theory of Social Wealth","author":"Walras L.","year":"1954"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070309","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070309","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T17:07:27Z","timestamp":1697994447000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070309"}},"issued":{"date-parts":[[1987,6]]},"references-count":4,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1987,6]]}},"alternative-id":["10.1002\/fut.3990070309"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070309","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,6]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:24:54Z","timestamp":1697916294984},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7937,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,12]]},"DOI":"10.1002\/fut.3990040410","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T04:08:05Z","timestamp":1183608485000},"page":"579-583","source":"Crossref","is-referenced-by-count":2,"title":["Trading bond spreads in the delivery month"],"prefix":"10.1002","volume":"4","author":[{"given":"Jay R.","family":"Feuerstein","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040410","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040410","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T06:07:28Z","timestamp":1697782048000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040410"}},"issued":{"date-parts":[[1984,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1984,12]]}},"alternative-id":["10.1002\/fut.3990040410"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040410","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,12]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:40:33Z","timestamp":1697913633172},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7847,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,3]]},"DOI":"10.1002\/fut.3990050115","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:13:44Z","timestamp":1183612424000},"page":"131-143","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"5","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050115","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050115","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T15:17:19Z","timestamp":1697815039000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050115"}},"issued":{"date-parts":[[1985,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1985,3]]}},"alternative-id":["10.1002\/fut.3990050115"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050115","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,3]]}},{"indexed":{"date-parts":[[2023,9,15]],"date-time":"2023-09-15T07:42:41Z","timestamp":1694763761495},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2018,6,7]],"date-time":"2018-06-07T00:00:00Z","timestamp":1528329600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,7]]},"DOI":"10.1002\/fut.21928","type":"journal-article","created":{"date-parts":[[2018,6,7]],"date-time":"2018-06-07T16:20:23Z","timestamp":1528388423000},"page":"757-757","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"38","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2018,6,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21928","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21928","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T03:40:38Z","timestamp":1694662838000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21928"}},"issued":{"date-parts":[[2018,6,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2018,7]]}},"alternative-id":["10.1002\/fut.21928"],"URL":"https:\/\/doi.org\/10.1002\/fut.21928","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,6,7]]},"assertion":[{"value":"2018-04-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-04-05","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-06-07","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:23:18Z","timestamp":1740104598725,"version":"3.37.3"},"reference-count":43,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2019,1,16]],"date-time":"2019-01-16T00:00:00Z","timestamp":1547596800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,6]]},"abstract":"Abstract<\/jats:title>This study investigates compound basket options, which are options on portfolios of options. Although they may be new to financial markets, they are available as equity basket options, equity spread options, stocks of holding companies, and collateralized debt obligations. Using moments of portfolio values, we provide formulas for pricing compound basket options. According to numerical analysis, a lower bound and a weighted average of bounds yield relatively small errors. Additionally, ignoring the compound feature increases the pricing error of equity basket options because the feature captures the capital structure and leverage effect of stock prices.<\/jats:p>","DOI":"10.1002\/fut.21996","type":"journal-article","created":{"date-parts":[[2019,1,17]],"date-time":"2019-01-17T07:16:10Z","timestamp":1547709370000},"page":"704-720","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Valuation and applications of compound basket options"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3797-5050","authenticated-orcid":false,"given":"Kwangil","family":"Bae","sequence":"first","affiliation":[{"name":"Department of Business Administration, Chonnam National University Gwangju South Korea"}]}],"member":"311","published-online":{"date-parts":[[2019,1,16]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_7_1_2_1","DOI":"10.1080\/13504860210132897"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_3_1","DOI":"10.21314\/JCF.2016.312"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_4_1","DOI":"10.24033\/asens.476"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_5_1","DOI":"10.1086\/260062"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_6_1","DOI":"10.3905\/jod.2007.686420"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_7_1","DOI":"10.3905\/jod.2012.19.3.077"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_8_1","DOI":"10.1287\/mnsc.40.12.1705"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_9_1","DOI":"10.1080\/14697688.2011.630324"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_10_1","DOI":"10.3905\/jod.2017.24.3.084"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_11_1","DOI":"10.1002\/fut.21859"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_12_1","DOI":"10.2307\/2330330"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_13_1","DOI":"10.1016\/0304-405X(79)90022-9"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_14_1","DOI":"10.1016\/j.jfineco.2016.03.009"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_15_1","DOI":"10.1093\/rfs\/6.2.327"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_16_1","DOI":"10.1002\/fut.21923"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_17_1","DOI":"10.1108\/S1569-3759(2012)0000094008"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_18_1","DOI":"10.1016\/0304-405X(82)90007-1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_19_1","DOI":"10.1093\/biomet\/36.1-2.149"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_20_1","DOI":"10.21314\/JCF.2002.088"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_21_1","DOI":"10.1002\/fut.20403"},{"unstructured":"1995 E. Kirk Correlation in the energy markets 71 78","key":"e_1_2_7_1_22_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_23_1","DOI":"10.1016\/0261-5606(92)90013-N"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_24_1","DOI":"10.1002\/fut.20348"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_25_1","DOI":"10.3905\/jod.2008.702506"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_26_1","DOI":"10.1002\/fut.21659"},{"volume-title":"A 'horse race' among competing option pricing models using S&P 500 Index options (Working Paper)","year":"2007","author":"Li M.","key":"e_1_2_7_1_27_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_28_1","DOI":"10.1080\/14697680802626323"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_29_1","DOI":"10.3905\/jod.2014.21.4.103"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_30_1","DOI":"10.1111\/j.1540-6261.1978.tb03397.x"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_31_1","DOI":"10.2307\/3003143"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_32_1","DOI":"10.1016\/0304-405X(76)90022-2"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_33_1","DOI":"10.1002\/fut.21700"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_34_1","DOI":"10.2307\/2331102"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_35_1","DOI":"10.3905\/jod.1998.408005"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_36_1","DOI":"10.2307\/4126759"},{"issue":"2","key":"e_1_2_7_1_37_1","first-page":"109","article-title":"Valuing exotic options by approximating the SPD with higher moments","volume":"7","author":"Posner S.","year":"1998","journal-title":"Journal of Financial Engineering"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_38_1","DOI":"10.2307\/3215221"},{"issue":"4","key":"e_1_2_7_1_39_1","first-page":"107","article-title":"Valuation of barrier options using sequential Monte Carlo","volume":"20","author":"Shevchenko P.","year":"2017","journal-title":"Journal of Computational Finance"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_40_1","DOI":"10.1002\/fut.21576"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_41_1","DOI":"10.2307\/2331213"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_42_1","DOI":"10.1016\/j.insmatheco.2004.06.001"},{"key":"e_1_2_7_1_43_1","first-page":"121","article-title":"An accurate analytical approximation for the price of a European\u2010style arithmetic Asian option","volume":"25","author":"Vyncke D.","year":"2004","journal-title":"Finance"},{"doi-asserted-by":"publisher","key":"e_1_2_7_1_44_1","DOI":"10.1007\/s11147-016-9125-z"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21996","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21996","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.21996","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21996","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T11:12:31Z","timestamp":1694344351000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21996"}},"issued":{"date-parts":[[2019,1,16]]},"references-count":43,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2019,6]]}},"alternative-id":["10.1002\/fut.21996"],"URL":"https:\/\/doi.org\/10.1002\/fut.21996","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,1,16]]},"assertion":[{"value":"2018-03-20","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-01-04","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-01-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T04:57:21Z","timestamp":1692593841010},"reference-count":0,"publisher":"Wiley","issue":"5","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,5]]},"DOI":"10.1002\/fut.v43.5","type":"journal-issue","created":{"date-parts":[[2023,4,6]],"date-time":"2023-04-06T13:39:17Z","timestamp":1680788357000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"43","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T00:03:39Z","timestamp":1692576219000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/43\/5"}},"issued":{"date-parts":[[2023,5]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2023,5]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v43.5","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,5]]}},{"indexed":{"date-parts":[[2023,8,20]],"date-time":"2023-08-20T04:51:26Z","timestamp":1692507086675},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2023,3,6]],"date-time":"2023-03-06T00:00:00Z","timestamp":1678060800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,4]]},"DOI":"10.1002\/fut.22349","type":"journal-article","created":{"date-parts":[[2023,3,6]],"date-time":"2023-03-06T10:10:25Z","timestamp":1678097425000},"page":"435-435","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 43, Number 4, April 2023"],"prefix":"10.1002","volume":"43","member":"311","published-online":{"date-parts":[[2023,3,6]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22349","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22349","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T05:37:26Z","timestamp":1692423446000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22349"}},"issued":{"date-parts":[[2023,3,6]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2023,4]]}},"alternative-id":["10.1002\/fut.22349"],"URL":"https:\/\/doi.org\/10.1002\/fut.22349","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,3,6]]},"assertion":[{"value":"2023-03-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:44:20Z","timestamp":1709243060840},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5875,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,8]]},"DOI":"10.1002\/(sici)1096-9934(199908)19:5<523::aid-fut2>3.3.co;2-y","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T16:05:22Z","timestamp":1030291522000},"page":"523-540","source":"Crossref","is-referenced-by-count":0,"title":["Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets"],"prefix":"10.1002","volume":"19","author":[{"given":"Ah\u2010Boon","family":"Sim","sequence":"first","affiliation":[]},{"given":"Ralf","family":"Zurbreugg","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199908)19:5%3C523::AID-FUT2%3E3.3.CO;2-Y","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T14:36:26Z","timestamp":1507646186000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199908%2919%3A5%3C523%3A%3AAID-FUT2%3E3.3.CO%3B2-Y"}},"issued":{"date-parts":[[1999,8]]},"references-count":0,"journal-issue":{"issue":"5"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199908)19:5<523::aid-fut2>3.3.co;2-y","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,8]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:44:22Z","timestamp":1709243062362},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5601,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,5]]},"DOI":"10.1002\/(sici)1096-9934(200005)20:5<445::aid-fut3>3.3.co;2-n","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T00:06:00Z","timestamp":1030233960000},"page":"445","source":"Crossref","is-referenced-by-count":1,"title":["Examining futures price changes and volatility on the trading day after a limit-lock day"],"prefix":"10.1002","volume":"20","author":[{"given":"Chul Woo","family":"Park","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200005)20:5%3C445::AID-FUT3%3E3.3.CO;2-N","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T11:57:07Z","timestamp":1507636627000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28200005%2920%3A5%3C445%3A%3AAID-FUT3%3E3.3.CO%3B2-N"}},"issued":{"date-parts":[[2000,5]]},"references-count":0,"journal-issue":{"issue":"5"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200005)20:5<445::aid-fut3>3.3.co;2-n","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,5]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T06:18:13Z","timestamp":1696659493561},"reference-count":57,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2013,6,28]],"date-time":"2013-06-28T00:00:00Z","timestamp":1372377600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,10]]},"abstract":"Abstract<\/jats:title>Foucault [Journal of Financial Markets, 2, 99\u2013134, 1999] provides a theoretical basis for how stock price volatility influences the aggressiveness of limit order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of NYSE\u2010listed stocks from November 2007 to January 2008 and find strong evidence that, as predicted, the aggressiveness of the stock limit order book and option volatility trading Granger\u2010cause each other. Further, I find that the aggressiveness of the stock limit order book and option volatility trading are inversely related, which is both statistically and economically significant. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:934\u2013956, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21628","type":"journal-article","created":{"date-parts":[[2013,6,28]],"date-time":"2013-06-28T13:06:50Z","timestamp":1372424810000},"page":"934-956","source":"Crossref","is-referenced-by-count":3,"title":["Volatility Discovery Across Stock Limit Order Book and Options Markets"],"prefix":"10.1002","volume":"34","author":[{"given":"Qin","family":"Wang","sequence":"first","affiliation":[{"name":"Qin Wang is an Assistant Professor of Finance, College of Business, University of Michigan\u2013Dearborn"}]}],"member":"311","published-online":{"date-parts":[[2013,6,28]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00345"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.12.001"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1997.tb00531.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02614.x"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2005.03.001"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00047-2"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v27.n2.12"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.3.977"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05192.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.07.001"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20334"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1049"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v56.n5.2387"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb03834.x"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04738.x"},{"key":"e_1_2_7_24_1","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1111\/j.1540-6261.1993.tb04706.x","article-title":"Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models","volume":"48","author":"Foster F. D.","year":"1990","journal-title":"Journal of Finance"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(98)00012-3"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm027"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02450.x"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_7_29_1","first-page":"423","article-title":"Investigating causal relations by econometric models and cross\u2010spectral methods","volume":"37","author":"Granger C. W. J.","year":"1969","journal-title":"Econometrics"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(80)90069-X"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00059-8"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05228.x"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331180"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2004.07.001"},{"key":"e_1_2_7_35_1","doi-asserted-by":"crossref","unstructured":"Hasbrouck J. &Saar G.(2002). Limit orders and volatility in a hybrid market: The island ECN Working paper New York University.","DOI":"10.2139\/ssrn.310940"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01004.x"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1086\/503651"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00124"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg057"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03998.x"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.293"},{"key":"e_1_2_7_43_1","doi-asserted-by":"crossref","first-page":"733","DOI":"10.1111\/j.1540-6261.1991.tb02683.x","article-title":"Inferring trade direction from intraday data","volume":"2","author":"Lee C. M. C.","year":"1991","journal-title":"Journal of Finance"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676221"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01576.x"},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00134-4"},{"key":"e_1_2_7_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03597.x"},{"key":"e_1_2_7_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05191.x"},{"key":"e_1_2_7_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01352.x"},{"key":"e_1_2_7_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_7_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-044451558-2.50007-6"},{"key":"e_1_2_7_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20147"},{"key":"e_1_2_7_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00069-1"},{"key":"e_1_2_7_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2004.06.001"},{"key":"e_1_2_7_55_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.1.103"},{"key":"e_1_2_7_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_7_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00124"},{"key":"e_1_2_7_58_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb02431.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21628","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21628","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T15:39:44Z","timestamp":1696606784000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21628"}},"issued":{"date-parts":[[2013,6,28]]},"references-count":57,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2014,10]]}},"alternative-id":["10.1002\/fut.21628"],"URL":"https:\/\/doi.org\/10.1002\/fut.21628","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,6,28]]}},{"indexed":{"date-parts":[[2024,4,4]],"date-time":"2024-04-04T18:32:45Z","timestamp":1712255565782},"reference-count":0,"publisher":"Wiley","issue":"6","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,6]]},"DOI":"10.1002\/fut.v41.6","type":"journal-issue","created":{"date-parts":[[2021,5,14]],"date-time":"2021-05-14T10:51:03Z","timestamp":1620989463000},"source":"Crossref","is-referenced-by-count":2,"prefix":"10.1002","volume":"41","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T19:03:20Z","timestamp":1693595000000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/41\/6"}},"issued":{"date-parts":[[2021,6]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2021,6]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v41.6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,6]]}},{"indexed":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T04:22:53Z","timestamp":1694665373254},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2003,11,11]],"date-time":"2003-11-11T00:00:00Z","timestamp":1068508800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,1]]},"DOI":"10.1002\/fut.10123","type":"journal-article","created":{"date-parts":[[2003,11,12]],"date-time":"2003-11-12T14:58:09Z","timestamp":1068649089000},"page":"1-1","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"24","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,11,11]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10123","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10123","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T00:39:42Z","timestamp":1694651982000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10123"}},"issued":{"date-parts":[[2003,11,11]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2004,1]]}},"alternative-id":["10.1002\/fut.10123"],"URL":"https:\/\/doi.org\/10.1002\/fut.10123","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,11,11]]}},{"indexed":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T05:05:13Z","timestamp":1694667913983},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3196,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,12]]},"DOI":"10.1002\/fut.v26:12","type":"journal-issue","created":{"date-parts":[[2006,10,18]],"date-time":"2006-10-18T20:16:26Z","timestamp":1161202586000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"26","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v26:12","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v26:12","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T04:41:16Z","timestamp":1694580076000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/26\/12"}},"issued":{"date-parts":[[2006,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2006,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v26:12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,12]]}},{"indexed":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T13:57:46Z","timestamp":1700056666283},"reference-count":15,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4410,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,8]]},"DOI":"10.1002\/fut.3990140506","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:26:45Z","timestamp":1183685205000},"page":"575-596","source":"Crossref","is-referenced-by-count":1,"title":["The pricing of municipal bond index futures"],"prefix":"10.1002","volume":"14","author":[{"given":"Thomas R.","family":"Hamilton","sequence":"first","affiliation":[]},{"given":"Scott E.","family":"Hein","sequence":"additional","affiliation":[]},{"given":"Timothy W.","family":"Koch","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070402"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070107"},{"key":"e_1_2_1_4_1","unstructured":"Chicago Board of Trade(1985):The Chicago Board of Trade's Municipal; Futures Contract: Based on The Bond Buyer Municipal Bond Index Chicago."},{"key":"e_1_2_1_5_1","first-page":"31","volume-title":"Trading Municipal Bond Index Futures: A Comparative Analysis for Total Return Traders","author":"Education and Marketing Services","year":"1989"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Heaton H.(1986): \u201cThe Relative Yields on Taxable and Tax\u2010Exempt Debt \u201dJournal of Money Credit and Banking 482\u2013494.","DOI":"10.2307\/1992467"},{"key":"e_1_2_1_7_1","first-page":"9","volume-title":"Industry Insights: Municipal Bond Index Futures and Options","author":"Johnson D.","year":"1989"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100407"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130207"},{"key":"e_1_2_1_10_1","volume-title":"Understanding the MOB Spread","author":"Phelps B.","year":"1986"},{"key":"e_1_2_1_11_1","volume-title":"Understanding the MOB Spread: A Reprise","author":"Phelps B.","year":"1988"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Rendleman R. andCarabini C.(1979): \u201cThe Efficiency of the Treasury Bill Futures Market \u201dJournal of Finance 895\u2013914.","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_13_1","first-page":"367","volume-title":"Readings in Futures Markets: Explorations in Financial Futures Markets","author":"Resnick B.","year":"1983"},{"key":"e_1_2_1_14_1","unstructured":"Whittaker G. Bowyer L. andHein D.(1987): \u201cThe Effect of Futures Trading on the Municipal Bond Market \u201dReview of Futures Markets 196\u2013204."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070204"},{"key":"e_1_2_1_16_1","unstructured":"Working H.(1949): \u201cThe Theory of Price Storage \u201dAmerican Economic Review."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140506","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140506","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T16:58:06Z","timestamp":1698166686000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140506"}},"issued":{"date-parts":[[1994,8]]},"references-count":15,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1994,8]]}},"alternative-id":["10.1002\/fut.3990140506"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140506","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,8]]}},{"indexed":{"date-parts":[[2024,11,13]],"date-time":"2024-11-13T05:12:27Z","timestamp":1731474747102,"version":"3.28.0"},"reference-count":0,"publisher":"Wiley","issue":"12","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,12]]},"DOI":"10.1002\/fut.v44.12","type":"journal-issue","created":{"date-parts":[[2024,11,12]],"date-time":"2024-11-12T05:50:40Z","timestamp":1731390640000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"44","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2024,11,12]],"date-time":"2024-11-12T05:50:40Z","timestamp":1731390640000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/44\/12"}},"issued":{"date-parts":[[2024,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2024,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v44.12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,12]]}},{"indexed":{"date-parts":[[2024,11,17]],"date-time":"2024-11-17T10:10:03Z","timestamp":1731838203142,"version":"3.28.0"},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2024,9,9]],"date-time":"2024-09-09T00:00:00Z","timestamp":1725840000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,10]]},"DOI":"10.1002\/fut.22436","type":"journal-article","created":{"date-parts":[[2024,9,10]],"date-time":"2024-09-10T04:42:21Z","timestamp":1725943341000},"page":"1579-1579","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 44, Number 10, October 2024"],"prefix":"10.1002","volume":"44","member":"311","published-online":{"date-parts":[[2024,9,9]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22436","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,11,17]],"date-time":"2024-11-17T09:34:54Z","timestamp":1731836094000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22436"}},"issued":{"date-parts":[[2024,9,9]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2024,10]]}},"alternative-id":["10.1002\/fut.22436"],"URL":"https:\/\/doi.org\/10.1002\/fut.22436","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2024,9,9]]},"assertion":[{"value":"2024-09-09","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,5,11]],"date-time":"2025-05-11T04:01:04Z","timestamp":1746936064530,"version":"3.40.5"},"reference-count":0,"publisher":"Wiley","issue":"6","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,6]]},"DOI":"10.1002\/fut.v45.6","type":"journal-issue","created":{"date-parts":[[2025,5,10]],"date-time":"2025-05-10T03:41:11Z","timestamp":1746848471000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"45","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2025,5,10]],"date-time":"2025-05-10T03:41:12Z","timestamp":1746848472000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/45\/6"}},"issued":{"date-parts":[[2025,6]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2025,6]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v45.6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,6]]}},{"indexed":{"date-parts":[[2025,5,13]],"date-time":"2025-05-13T15:05:39Z","timestamp":1747148739381,"version":"3.40.5"},"reference-count":45,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2022,12,20]],"date-time":"2022-12-20T00:00:00Z","timestamp":1671494400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["109\u20102221\u2010E\u2010002\u2010141\u2010MY3"],"award-info":[{"award-number":["109\u20102221\u2010E\u2010002\u2010141\u2010MY3"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,3]]},"abstract":"Abstract<\/jats:title>This paper proposes the first lattice to price multiasset double\u2010barrier options when barriers, volatilities, correlations, and interest rates are all time varying. The nodes are strategically placed to both match the volatilities and align with the two barriers per asset for fast convergence. The branching probabilities are provably valid. The size of our lattice is , where is the number of time steps and is the number of assets, and is only for continuously monitored double\u2010barrier knock\u2010out options.<\/jats:p>","DOI":"10.1002\/fut.22392","type":"journal-article","created":{"date-parts":[[2022,12,21]],"date-time":"2022-12-21T05:05:28Z","timestamp":1671599128000},"page":"404-434","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Pricing multiasset time\u2010varying double\u2010barrier options with time\u2010dependent parameters"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2079-8825","authenticated-orcid":false,"given":"Yuh\u2010Dauh","family":"Lyuu","sequence":"first","affiliation":[{"name":"Department of Finance National Taiwan University Taipei Taiwan"},{"name":"Department of Computer Science & Information Engineering National Taiwan University Taipei Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0746-6033","authenticated-orcid":false,"given":"Yu\u2010Quan","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Computer Science & Information Engineering National Taiwan University Taipei Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2022,12,20]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_12_2_1","DOI":"10.3905\/jod.1999.319127"},{"doi-asserted-by":"publisher","key":"e_1_2_12_3_1","DOI":"10.1080\/13504860210124607"},{"unstructured":"Bennett C.(2014).Trading volatility: Trading volatility correlation term structure and skew.CreateSpace.http:\/\/www.trading-volatility.com","key":"e_1_2_12_4_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_5_1","DOI":"10.1111\/j.1540-6261.1976.tb01891.x"},{"doi-asserted-by":"publisher","key":"e_1_2_12_6_1","DOI":"10.1086\/260062"},{"doi-asserted-by":"publisher","key":"e_1_2_12_7_1","DOI":"10.1016\/0304-405X(77)90005-8"},{"doi-asserted-by":"publisher","key":"e_1_2_12_8_1","DOI":"10.2307\/2331019"},{"doi-asserted-by":"publisher","key":"e_1_2_12_9_1","DOI":"10.1093\/rfs\/2.2.241"},{"doi-asserted-by":"publisher","key":"e_1_2_12_10_1","DOI":"10.3905\/jod.1994.407891"},{"volume-title":"Fundamentals of corporate finance","year":"2017","author":"Brealey R.","key":"e_1_2_12_11_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_12_1","DOI":"10.3905\/jod.1996.407958"},{"doi-asserted-by":"publisher","key":"e_1_2_12_13_1","DOI":"10.1016\/0304-405X(79)90015-1"},{"volume-title":"Options markets","year":"1985","author":"Cox J. C.","key":"e_1_2_12_14_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_15_1","DOI":"10.3905\/jod.2010.17.4.007"},{"doi-asserted-by":"publisher","key":"e_1_2_12_16_1","DOI":"10.1002\/fut.21565"},{"doi-asserted-by":"publisher","key":"e_1_2_12_17_1","DOI":"10.21314\/JCF.2001.090"},{"doi-asserted-by":"publisher","key":"e_1_2_12_18_1","DOI":"10.1002\/9781119289258"},{"volume-title":"Dynamic asset pricing theory","year":"2001","author":"Duffie D.","key":"e_1_2_12_19_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_20_1","DOI":"10.1016\/S0304-405X(99)00024-0"},{"volume-title":"Scientific computing and differential equations: An introduction to numerical methods","year":"1991","author":"Golub G. H.","key":"e_1_2_12_21_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_22_1","DOI":"10.3905\/jod.2010.18.1.059"},{"doi-asserted-by":"publisher","key":"e_1_2_12_23_1","DOI":"10.1002\/(SICI)1096-9934(199709)17:6<667::AID-FUT3>3.0.CO;2-C"},{"volume-title":"Options, futures, and other derivatives","year":"2017","author":"Hull J.","key":"e_1_2_12_24_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_25_1","DOI":"10.2307\/2330889"},{"doi-asserted-by":"publisher","key":"e_1_2_12_26_1","DOI":"10.3905\/jod.1994.407908"},{"doi-asserted-by":"publisher","key":"e_1_2_12_27_1","DOI":"10.1287\/mnsc.37.12.1640"},{"doi-asserted-by":"publisher","key":"e_1_2_12_28_1","DOI":"10.1016\/j.amc.2014.01.173"},{"issue":"4","key":"e_1_2_12_29_1","first-page":"955","article-title":"On pricing of discrete barrier options","volume":"13","author":"Kou S. G.","year":"2003","journal-title":"Statistica Sinica"},{"doi-asserted-by":"publisher","key":"e_1_2_12_30_1","DOI":"10.1111\/j.1467-9965.1992.tb00033.x"},{"doi-asserted-by":"publisher","key":"e_1_2_12_31_1","DOI":"10.1002\/fut.22306"},{"doi-asserted-by":"publisher","key":"e_1_2_12_32_1","DOI":"10.1111\/j.1467-9965.2011.00501.x"},{"doi-asserted-by":"publisher","key":"e_1_2_12_33_1","DOI":"10.1093\/rfs\/14.1.113"},{"doi-asserted-by":"publisher","key":"e_1_2_12_34_1","DOI":"10.3905\/jod.1998.407999"},{"doi-asserted-by":"publisher","key":"e_1_2_12_35_1","DOI":"10.1017\/CBO9780511546839"},{"doi-asserted-by":"publisher","key":"e_1_2_12_36_1","DOI":"10.1016\/j.camwa.2010.12.061"},{"doi-asserted-by":"publisher","key":"e_1_2_12_37_1","DOI":"10.1080\/14697680500040157"},{"doi-asserted-by":"publisher","key":"e_1_2_12_38_1","DOI":"10.2307\/3003143"},{"doi-asserted-by":"publisher","key":"e_1_2_12_39_1","DOI":"10.2307\/2978814"},{"doi-asserted-by":"publisher","key":"e_1_2_12_40_1","DOI":"10.3905\/jod.1995.407939"},{"doi-asserted-by":"publisher","key":"e_1_2_12_41_1","DOI":"10.21314\/CF.1997.003"},{"issue":"11","key":"e_1_2_12_42_1","first-page":"67","article-title":"Return to Oz","volume":"7","author":"Rubinstein M.","year":"1994","journal-title":"Risk"},{"issue":"8","key":"e_1_2_12_43_1","first-page":"28","article-title":"Breaking down the barriers","volume":"4","author":"Rubinstein M.","year":"1991","journal-title":"Risk"},{"doi-asserted-by":"publisher","key":"e_1_2_12_44_1","DOI":"10.21314\/JCF.2003.104"},{"volume-title":"Structured products handbook 2005","year":"2005","author":"Tan G. L. H.","key":"e_1_2_12_45_1"},{"doi-asserted-by":"publisher","key":"e_1_2_12_46_1","DOI":"10.1016\/j.ejor.2014.02.024"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22392","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22392","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22392","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T23:57:31Z","timestamp":1692489451000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22392"}},"issued":{"date-parts":[[2022,12,20]]},"references-count":45,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2023,3]]}},"alternative-id":["10.1002\/fut.22392"],"URL":"https:\/\/doi.org\/10.1002\/fut.22392","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,12,20]]},"assertion":[{"value":"2022-05-17","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-11-27","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-12-20","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,9,26]],"date-time":"2025-09-26T04:54:41Z","timestamp":1758862481639},"reference-count":32,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5814,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,10]]},"DOI":"10.1002\/(sici)1096-9934(199910)19:7<777::aid-fut3>3.0.co;2-g","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:46:13Z","timestamp":1030297573000},"page":"777-797","source":"Crossref","is-referenced-by-count":17,"title":["An empirical comparison of continuous time models of the short term interest rate"],"prefix":"10.1002","volume":"19","author":[{"given":"Turan G.","family":"Bali","sequence":"first","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB1","author":"Bali","year":"1999","unstructured":"(1999). Another look at the BDT term structure model. Working paper, Queens College, City University of New York."},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB2","doi-asserted-by":"crossref","first-page":"24","DOI":"10.3905\/jfi.1999.319242","volume":"8","author":"Bali","year":"1999","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB3","doi-asserted-by":"crossref","first-page":"87","DOI":"10.3905\/jfi.1991.408028","volume":"1","author":"Barone","year":"1991","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB4","doi-asserted-by":"crossref","first-page":"117","DOI":"10.2307\/1912251","volume":"51","author":"Bergstrom","year":"1983","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB5","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2469\/faj.v46.n1.33","volume":"46","author":"Black","year":"1990","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB6","doi-asserted-by":"crossref","first-page":"907","DOI":"10.2307\/2330567","volume":"15","author":"Brennan","year":"1980","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB7","doi-asserted-by":"crossref","first-page":"75","DOI":"10.2307\/2330832","volume":"17","author":"Brennan","year":"1982","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB8","doi-asserted-by":"crossref","first-page":"617","DOI":"10.1111\/j.1540-6261.1986.tb04523.x","volume":"41","author":"Brown","year":"1986","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB9","doi-asserted-by":"crossref","first-page":"199","DOI":"10.1016\/0927-5398(95)00003-D","volume":"2","author":"Broze","year":"1995","journal-title":"Journal of Empirical Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB10","doi-asserted-by":"crossref","first-page":"623","DOI":"10.2307\/1935825","volume":"70","author":"Cecchetti","year":"1988","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB11","doi-asserted-by":"crossref","first-page":"1209","DOI":"10.1111\/j.1540-6261.1992.tb04011.x","volume":"47","author":"Chan","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB12","doi-asserted-by":"crossref","first-page":"14","DOI":"10.3905\/jfi.1993.408090","volume":"3","author":"Chen","year":"1993","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB13","doi-asserted-by":"crossref","first-page":"299","DOI":"10.1016\/0304-405X(84)90002-3","volume":"13","author":"Constantinides","year":"1984","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB14","doi-asserted-by":"crossref","first-page":"75","DOI":"10.2307\/2330930","volume":"17","author":"Courdaton","year":"1982","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB15","author":"Cox","year":"1975","unstructured":"(1975). Notes on option pricing I: Constant elasticity of variance diffusions. Working paper, Stanford University."},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB16","doi-asserted-by":"crossref","first-page":"145","DOI":"10.1016\/0304-405X(76)90023-4","volume":"3","author":"Cox","year":"1976","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB17","doi-asserted-by":"crossref","first-page":"389","DOI":"10.1111\/j.1540-6261.1980.tb02169.x","volume":"35","author":"Cox","year":"1980","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB18","doi-asserted-by":"crossref","first-page":"385","DOI":"10.2307\/1911242","volume":"53","author":"Cox","year":"1985","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB19","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1016\/0304-405X(86)90033-4","volume":"16","author":"Dietrich-Campbell","year":"1986","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB20","doi-asserted-by":"crossref","first-page":"59","DOI":"10.1016\/0304-405X(78)90020-X","volume":"7","author":"Dothan","year":"1978","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB21","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/07474938608800095","volume":"5","author":"Engle","year":"1986","journal-title":"Econometric Reviews"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB22","doi-asserted-by":"crossref","first-page":"391","DOI":"10.2307\/1913242","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB23","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1016\/0304-4076(90)90099-F","volume":"45","author":"Engle","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB24","doi-asserted-by":"crossref","first-page":"529","DOI":"10.1016\/0304-405X(84)90014-X","volume":"13","author":"Fama","year":"1984","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB25","doi-asserted-by":"crossref","first-page":"619","DOI":"10.1093\/rfs\/5.3.619","volume":"6","author":"Gibbons","year":"1993","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB26","doi-asserted-by":"crossref","first-page":"1029","DOI":"10.2307\/1912775","volume":"50","author":"Hansen","year":"1982","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB27","doi-asserted-by":"crossref","first-page":"635","DOI":"10.1111\/j.1540-6261.1983.tb02275.x","volume":"38","author":"Marsh","year":"1983","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB28","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"Merton","year":"1973","journal-title":"Bell Journal of Economics and Management Science"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB29","doi-asserted-by":"crossref","first-page":"1695","DOI":"10.1111\/j.1540-6261.1997.tb01127.x","volume":"4","author":"Nowman","year":"1997","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB30","doi-asserted-by":"crossref","first-page":"1279","DOI":"10.1111\/j.1540-6261.1994.tb02454.x","volume":"49","author":"Pearson","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB31","doi-asserted-by":"crossref","first-page":"11","DOI":"10.2307\/2979016","volume":"15","author":"Rendleman","year":"1980","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G-BIB32","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1016\/0304-405X(77)90016-2","volume":"5","author":"Vasicek","year":"1977","journal-title":"Journal of Financial Economics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199910)19:7%3C777::AID-FUT3%3E3.0.CO;2-G","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199910)19:7%3C777::AID-FUT3%3E3.0.CO;2-G","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:55:37Z","timestamp":1625133337000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G"}},"issued":{"date-parts":[[1999,10]]},"references-count":32,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1999,10]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199910)19:7<777::aid-fut3>3.0.co;2-g","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,10]]}},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T11:39:08Z","timestamp":1761824348664,"version":"3.37.3"},"reference-count":124,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2021,5,20]],"date-time":"2021-05-20T00:00:00Z","timestamp":1621468800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["MOST 107\u20102410\u2010H\u2010035\u2010023"],"award-info":[{"award-number":["MOST 107\u20102410\u2010H\u2010035\u2010023"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,9]]},"abstract":"Abstract<\/jats:title>This study examines the effect of investor sentiment on misreaction and explores the time\u2010series relationship between risk\u2010neutral skewness (RNS) and subsequent stock market returns contingent on sentiment\u2010induced overreaction. Using the adjusted put\u2010call implied volatility spread as a misreaction proxy and Bakshi et al.'s\u00a0method to measure RNS, we find that pessimism leads to overreaction. This overreaction could strengthen the negative RNS\u2010return relationship, with higher market returns following lower RNS. Our results are robust even after excluding the sample period of the 2008 financial crisis, profiting from market\u2010timing strategies based on the levels of RNS and overreaction, and using an alternative RNS measure.<\/jats:p>","DOI":"10.1002\/fut.22215","type":"journal-article","created":{"date-parts":[[2021,5,20]],"date-time":"2021-05-20T18:18:10Z","timestamp":1621534690000},"page":"1427-1455","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Investor sentiment, misreaction, and the skewness\u2010return relationship"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4365-9660","authenticated-orcid":false,"given":"Chin\u2010Ho","family":"Chen","sequence":"first","affiliation":[{"name":"Department of Finance Feng Chia University Seatwen Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2021,5,20]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2806"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20369"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12181"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.10.007"},{"key":"e_1_2_8_6_1","article-title":"The predictive power of the dividend risk premium","author":"Avino D. E.","year":"2019","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.21.2.129"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00023-8"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00050-1"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.014"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_8_15_1","unstructured":"Bali T. G. Hu J. &Murray S.(2019).Option implied volatility skewness and kurtosis and the cross\u2010section of expected stock returns. Working paper McDonough School of Business Georgetown University Washington DC."},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000410"},{"key":"e_1_2_8_17_1","first-page":"27","article-title":"Measures of investor sentiment: A comparative analysis put\u2010call ratio vs. volatility index","volume":"6","author":"Bandopadhyaya A.","year":"2008","journal-title":"Journal of Business and Economics Research"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn046"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.5.2066"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00027-0"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01051.x"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(97)00010-4"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.102.4.1596"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1988.409184"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002143"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01695.x"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_8_33_1","unstructured":"Borochin P. &Zhao Y.(2019).What information does risk neutral skewness contain? Evidence from price rebounds and momentum crashes. Working paper."},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2002.12.001"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1086\/427633"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.2.159"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109015000484"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.11.001"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109015000290"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20170"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21655"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109020000551"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2012.01.002"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01795.x"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00077"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00350"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v55.n6.2312"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009765322522"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1086\/503662"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb03695.x"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.1086\/296523"},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594989"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002118"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.09.012"},{"key":"e_1_2_8_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00490"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00226-X"},{"key":"e_1_2_8_59_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_8_60_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_8_61_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02654.x"},{"key":"e_1_2_8_62_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331405"},{"key":"e_1_2_8_63_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_8_64_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht131"},{"key":"e_1_2_8_65_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00152"},{"key":"e_1_2_8_66_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_8_67_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm071"},{"key":"e_1_2_8_68_1","first-page":"1","article-title":"Information content of aggregate implied volatility spread","volume":"67","author":"Han B.","year":"2020","journal-title":"Management Science"},{"key":"e_1_2_8_69_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_8_70_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04357.x"},{"key":"e_1_2_8_71_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg006"},{"key":"e_1_2_8_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.12.004"},{"key":"e_1_2_8_73_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05219.x"},{"key":"e_1_2_8_74_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_8_75_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.681813"},{"key":"e_1_2_8_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.02.022"},{"key":"e_1_2_8_77_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.008"},{"key":"e_1_2_8_78_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331275"},{"key":"e_1_2_8_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90008-2"},{"key":"e_1_2_8_80_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01063.x"},{"key":"e_1_2_8_81_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02751.x"},{"key":"e_1_2_8_82_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl025"},{"key":"e_1_2_8_83_1","doi-asserted-by":"publisher","DOI":"10.1086\/367683"},{"key":"e_1_2_8_84_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03746.x"},{"key":"e_1_2_8_85_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676221"},{"key":"e_1_2_8_86_1","doi-asserted-by":"crossref","unstructured":"Lemmon M. &Ni S. X.(2010).The effects of investor sentiment on speculative trading and prices of stock and index options. Working Paper University of Utah.","DOI":"10.2139\/ssrn.1340762"},{"key":"e_1_2_8_87_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj038"},{"key":"e_1_2_8_88_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.11.008"},{"key":"e_1_2_8_89_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg029"},{"key":"e_1_2_8_90_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1354-7798.2005.00299.x"},{"key":"e_1_2_8_91_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2007.11.001"},{"key":"e_1_2_8_92_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05191.x"},{"key":"e_1_2_8_93_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"key":"e_1_2_8_94_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03317.x"},{"key":"e_1_2_8_95_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/hhm011"},{"key":"e_1_2_8_96_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2011.18.4.009"},{"key":"e_1_2_8_97_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_8_98_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(92)90021-Q"},{"key":"e_1_2_8_99_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00078"},{"key":"e_1_2_8_100_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00560"},{"key":"e_1_2_8_101_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.008"},{"key":"e_1_2_8_102_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_8_103_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_8_104_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.09.008"},{"key":"e_1_2_8_105_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00348"},{"key":"e_1_2_8_106_1","doi-asserted-by":"crossref","unstructured":"Rehman Z. &Vilkov G.(2012).Risk\u2010neutral skewness: Return predictability and its sources. Working Paper Goethe University Frankfurt.","DOI":"10.2139\/ssrn.1301648"},{"key":"e_1_2_8_107_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_8_108_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_8_109_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.01.002"},{"key":"e_1_2_8_110_1","doi-asserted-by":"publisher","DOI":"10.1086\/378531"},{"volume-title":"A behavioral approach to asset pricing","year":"2005","author":"Shefrin H.","key":"e_1_2_8_111_1"},{"key":"e_1_2_8_112_1","doi-asserted-by":"publisher","DOI":"10.1207\/S15327760JPFM0101_05"},{"key":"e_1_2_8_113_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_8_114_1","doi-asserted-by":"publisher","DOI":"10.1086\/296585"},{"key":"e_1_2_8_115_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21763"},{"key":"e_1_2_8_116_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.4"},{"key":"e_1_2_8_117_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02635.x"},{"key":"e_1_2_8_118_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2015.2379"},{"key":"e_1_2_8_119_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_8_120_1","unstructured":"Taiwan Economic Journal; 2005\u20132016; Taiwan stock index option tick data.https:\/\/www.tej.com.tw\/\u00a0[Derivatives market data]."},{"key":"e_1_2_8_121_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2000.319728"},{"key":"e_1_2_8_122_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"},{"key":"e_1_2_8_123_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.011"},{"key":"e_1_2_8_124_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.10.011"},{"key":"e_1_2_8_125_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl023"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22215","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22215","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22215","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T20:14:50Z","timestamp":1693340090000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22215"}},"issued":{"date-parts":[[2021,5,20]]},"references-count":124,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2021,9]]}},"alternative-id":["10.1002\/fut.22215"],"URL":"https:\/\/doi.org\/10.1002\/fut.22215","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,5,20]]},"assertion":[{"value":"2020-04-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-04-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-20","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,19]],"date-time":"2025-10-19T21:13:39Z","timestamp":1760908419328},"reference-count":30,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5018,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,12]]},"DOI":"10.1002\/fut.3990120602","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:51:21Z","timestamp":1183665081000},"page":"609-620","source":"Crossref","is-referenced-by-count":15,"title":["Inter\u2010currency transmission of volatility in Foreign exchange futures"],"prefix":"10.1002","volume":"12","author":[{"given":"Mohammad","family":"Najand","sequence":"first","affiliation":[]},{"given":"Hamid","family":"Rahman","sequence":"additional","affiliation":[]},{"given":"Kenneth","family":"Yung","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391527"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_4_1","unstructured":"Bollerslev T. Chou R. Jayaraman N. andKroner K.(1990 May): \u201cArch Modeling in Finance: A Selective Review of the Theory and Empirical Evidence with Suggestions for Future Research\u201d Unpublished manuscript J. L. Kellogg Graduate School Northwestern University Evanston IL."},{"key":"e_1_2_1_5_1","unstructured":"Booth G. G. Kaen F. R. andKoevos P. E.(1981): \u201cForeign Exchange Market Behavior: 1975\u20131978 \u201dRevista Internationale di Scienze Economiche e Commericale 311\u2013325."},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Booth G. G. Kaen F. R. andKoevos P. E.(1982): \u201cR\/S Analysis of Foreign Exchange Rate Under Two International Monetary Regimes \u201dJournal of Monetary Eonomics 407\u2013415.","DOI":"10.1016\/0304-3932(82)90035-6"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(87)90004-0"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950040102"},{"key":"e_1_2_1_9_1","volume-title":"Exchange Rate and Trade Instability","author":"Dooley M. P.","year":"1983"},{"key":"e_1_2_1_10_1","volume-title":"Multinational Business Finance","author":"Eiteman D. K.","year":"1989"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938189"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(82)90012-5"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.2.281"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.543"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(90)90014-Q"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(84)90027-5"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(87)90020-1"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(88)90025-6"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/296466"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391528"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.5"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05088.x"},{"key":"e_1_2_1_25_1","volume-title":"International Financial Management","author":"Levich R. M.","year":"1979"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1086\/294632"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0169-2070(87)90083-5"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(83)90017-X"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02300516"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jibs.8490663"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(77)90030-7"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120602","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120602","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T10:25:14Z","timestamp":1698056714000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120602"}},"issued":{"date-parts":[[1992,12]]},"references-count":30,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1992,12]]}},"alternative-id":["10.1002\/fut.3990120602"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120602","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,12]]}},{"indexed":{"date-parts":[[2025,10,13]],"date-time":"2025-10-13T00:18:46Z","timestamp":1760314726279,"version":"build-2065373602"},"reference-count":43,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T00:00:00Z","timestamp":1754870400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,11]]},"abstract":"ABSTRACT<\/jats:title>This paper explores the trading dynamics of the options market during extended trading hours (ETHs). During ETH, the options market is characterized by low liquidity and decreased trading activities, yet there is an increased likelihood of informed trading. The introduction of ETH improves overall market liquidity on the following trading day, as reflected by a reduction in the quoted and effective bid\u2013ask spreads, for both index options and their underlying constituents. The improvement of liquidity is due to the timely incorporation of overnight news into option prices during ETH. Moreover, option prices during ETH are informative for the index level and realized volatility in the subsequent regular trading hours.<\/jats:p>","DOI":"10.1002\/fut.70026","type":"journal-article","created":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T11:15:59Z","timestamp":1754910959000},"page":"2013-2033","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours"],"prefix":"10.1002","volume":"45","author":[{"given":"Liangyi","family":"Mu","sequence":"first","affiliation":[{"name":"Queen's Business School Queen's University Belfast Belfast UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7998-0704","authenticated-orcid":false,"given":"Arie E.","family":"Gozluklu","sequence":"additional","affiliation":[{"name":"Warwick Business School University of Warwick Coventry UK"}]}],"member":"311","published-online":{"date-parts":[[2025,8,11]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2015.2274"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2005.12.002"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg030"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00646.x"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.03.001"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/fima.12284"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.004"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.10.007"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_13_13_1","doi-asserted-by":"crossref","first-page":"3105","DOI":"10.1111\/jofi.13377","article-title":"Business News and Business Cycles","volume":"79","author":"Bybee L.","year":"2023","journal-title":"Journal of Finance, Forthcoming"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331344"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21922"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.04.005"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1024883004298"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn009"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_13_21_1","unstructured":"Cui B. A. E.Gozluklu andO.Haykir.2025. \u201cA Pond for Small Fish? News and Retail Trading After Hours.\u201d Working paper."},{"key":"e_1_2_13_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20354"},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/296574"},{"key":"e_1_2_13_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12302"},{"key":"e_1_2_13_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00043-8"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_13_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03985.x"},{"key":"e_1_2_13_28_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2867"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfx015"},{"issue":"13","key":"e_1_2_13_30_1","first-page":"1251","article-title":"What Effect Did the Introduction of Bitcoin Futures Have on the Bitcoin Spot Market? The European","volume":"27","author":"Jalan A.","year":"2021","journal-title":"Journal of Finance"},{"key":"e_1_2_13_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/296600"},{"key":"e_1_2_13_32_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901200049X"},{"key":"e_1_2_13_33_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109021000181"},{"key":"e_1_2_13_34_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2018.3154"},{"key":"e_1_2_13_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_13_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22002"},{"key":"e_1_2_13_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00447"},{"key":"e_1_2_13_38_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2014.21.3.070"},{"key":"e_1_2_13_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"e_1_2_13_40_1","unstructured":"Saglam M. T.Tuzun andR.Wermers.2025. \u201cDo ETFs Increase Liquidity?\u201d Working Paper."},{"key":"e_1_2_13_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12969"},{"key":"e_1_2_13_42_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2016.2658"},{"key":"e_1_2_13_43_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603101003724315"},{"key":"e_1_2_13_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/fima.12187"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70026","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T07:34:15Z","timestamp":1760254455000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70026"}},"issued":{"date-parts":[[2025,8,11]]},"references-count":43,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2025,11]]}},"alternative-id":["10.1002\/fut.70026"],"URL":"https:\/\/doi.org\/10.1002\/fut.70026","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,8,11]]},"assertion":[{"value":"2024-01-03","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-28","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-08-11","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:26:15Z","timestamp":1761017175790},"reference-count":15,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2016,12,14]],"date-time":"2016-12-14T00:00:00Z","timestamp":1481673600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,9]]},"abstract":"We analyze whether and how the trading activity of different trader types impacts the rate of convergence between spot and futures markets for a broad range of commodity futures markets over the 1999\u20132014 period. There is strong evidence that speculators (commodity index traders) increase (reduce) the rate of convergence between spot and futures markets. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:930\u2013938, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21831","type":"journal-article","created":{"date-parts":[[2016,12,15]],"date-time":"2016-12-15T15:15:35Z","timestamp":1481814935000},"page":"930-938","source":"Crossref","is-referenced-by-count":4,"title":["Trading Activity and Rate of Convergence in Commodity Futures Markets"],"prefix":"10.1002","volume":"37","author":[{"given":"David","family":"Bosch","sequence":"first","affiliation":[{"name":"David Bosch and Elina Pradkhan are at the Humboldt University of Berlin, Institute of Finance Berlin Germany"}]},{"given":"Elina","family":"Pradkhan","sequence":"additional","affiliation":[{"name":"David Bosch and Elina Pradkhan are at the Humboldt University of Berlin, Institute of Finance Berlin Germany"}]}],"member":"311","published-online":{"date-parts":[[2016,12,14]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331149"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2014.08.001"},{"key":"e_1_2_7_4_1","unstructured":"CFTC. (2009). Disaggregated commitments of trader reports: Explanatory notes. Accessed September 2015 available at:http:\/\/www.cftc.gov\/ucm\/groups\/public\/@commitmentsoftraders\/documents\/file\/disaggregatedcotexplanatorynot.pdf."},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-014-0486-9"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110613-034432"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.013"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_7_11_1","volume-title":"Economics of Futures Trading","author":"Hieronymus T. A.","year":"1971"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.10.008"},{"key":"e_1_2_7_13_1","doi-asserted-by":"crossref","unstructured":"Kang W. Rouwenhorst G. G. &Tang K.(2014). The role of hedgers and speculators in liquidity provision to commodity futures markets. Yale ICF Working paper No. 14\u201324.","DOI":"10.2139\/ssrn.2449315"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297551"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppv019"},{"key":"e_1_2_7_16_1","first-page":"7","article-title":"Commodity index investing and commodity futures prices","volume":"20","author":"Stoll H. R.","year":"2010","journal-title":"Journal of Applied Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21831","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21831","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21831","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T01:37:46Z","timestamp":1696556266000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21831"}},"issued":{"date-parts":[[2016,12,14]]},"references-count":15,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2017,9]]}},"alternative-id":["10.1002\/fut.21831"],"URL":"https:\/\/doi.org\/10.1002\/fut.21831","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,12,14]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:26:26Z","timestamp":1761017186843,"version":"3.37.3"},"reference-count":52,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2017,6,14]],"date-time":"2017-06-14T00:00:00Z","timestamp":1497398400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,10]]},"abstract":"We study the joint credit risk in the UK banking sector using the weekly CDS spreads of global systemically important banks over 2007\u20132015. We show that the time\u2010varying and asymmetric dependence structure of the CDS spread changes is closely related to the joint default probability that two or more banks simultaneously default. We are able to flexibly measure the joint credit risk at the high\u2010frequency level by applying the combination of the reduced\u2010form model and the GAS\u2010based dynamic asymmetric copula model to the CDS spreads. We also verify that much of the dependence structure of the CDS spread changes are driven by the market factors. Overall, our study demonstrates that the market factors are key inputs for the effective management of the systemic credit risk in the banking sector.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21855","type":"journal-article","created":{"date-parts":[[2017,6,14]],"date-time":"2017-06-14T14:46:41Z","timestamp":1497451601000},"page":"964-988","source":"Crossref","is-referenced-by-count":10,"title":["The joint credit risk of UK global\u2010systemically important banks"],"prefix":"10.1002","volume":"37","author":[{"given":"Mario","family":"Cerrato","sequence":"first","affiliation":[{"name":"Adam Smith Business School\/Economics University of Glasgow Glasgow Scotland UK"}]},{"given":"John","family":"Crosby","sequence":"additional","affiliation":[{"name":"Business School University of Technology Sydney Sydney New South Wales Australia"}]},{"given":"Minjoo","family":"Kim","sequence":"additional","affiliation":[{"name":"Adam Smith Business School\/Economics University of Glasgow Glasgow Scotland UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7833-1657","authenticated-orcid":false,"given":"Yang","family":"Zhao","sequence":"additional","affiliation":[{"name":"International Institute for Financial Studies and RCFMRP Jiangxi University of Finance and Economics Nanchang China"}]}],"member":"311","published-online":{"date-parts":[[2017,6,14]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_7_2_1","DOI":"10.1111\/jofi.12206"},{"doi-asserted-by":"publisher","key":"e_1_2_7_3_1","DOI":"10.2307\/2951764"},{"doi-asserted-by":"publisher","key":"e_1_2_7_4_1","DOI":"10.1016\/j.jimonfin.2012.05.029"},{"doi-asserted-by":"publisher","key":"e_1_2_7_5_1","DOI":"10.2307\/2951753"},{"unstructured":"Bank of England. (2007). Financial stability report. Bank of England London.","key":"e_1_2_7_6_1"},{"unstructured":"Bank of England. (2013). A framework for stress testing the UK banking system. Bank of England London.","key":"e_1_2_7_7_1"},{"unstructured":"Bank of England. (2015). Stress testing the UK banking system: Guidance on the traded risk methodology for participating banks and building societies. Bank of England London.","key":"e_1_2_7_8_1"},{"unstructured":"Basel Committee on Banking Supervision. (2011). Globally systemically important banks: Assessment methodology and the additional loss absorbency requirement. Bank for International Settlements Basel.","key":"e_1_2_7_9_1"},{"unstructured":"Basel Committee on Banking Supervision. (2012). A framework for dealing with domestic systemically important banks. Bank for International Settlements Basel.","key":"e_1_2_7_10_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_11_1","DOI":"10.1016\/j.jbankfin.2015.09.007"},{"doi-asserted-by":"publisher","key":"e_1_2_7_12_1","DOI":"10.1046\/j.1540-6261.2003.00607.x"},{"doi-asserted-by":"publisher","key":"e_1_2_7_13_1","DOI":"10.1016\/j.jempfin.2016.11.007"},{"doi-asserted-by":"publisher","key":"e_1_2_7_14_1","DOI":"10.1093\/rfs\/hhs104"},{"doi-asserted-by":"publisher","key":"e_1_2_7_15_1","DOI":"10.1017\/S0022109013000598"},{"unstructured":"Christoffersen P. Jacobs K. Jin X. &Langlois H.(2016). Dynamic dependence and diversification in corporate credit. Working Paper University of Toronto.","key":"e_1_2_7_16_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_17_1","DOI":"10.1111\/0022-1082.00402"},{"doi-asserted-by":"publisher","key":"e_1_2_7_18_1","DOI":"10.1016\/j.jfineco.2011.02.002"},{"doi-asserted-by":"publisher","key":"e_1_2_7_19_1","DOI":"10.1002\/jae.1279"},{"doi-asserted-by":"publisher","key":"e_1_2_7_20_1","DOI":"10.1162\/REST_a_00393"},{"doi-asserted-by":"publisher","key":"e_1_2_7_21_1","DOI":"10.1080\/07350015.2014.902763"},{"doi-asserted-by":"publisher","key":"e_1_2_7_22_1","DOI":"10.1016\/S0378-4266(99)00053-9"},{"doi-asserted-by":"publisher","key":"e_1_2_7_23_1","DOI":"10.1111\/j.1751-5823.2005.tb00254.x"},{"doi-asserted-by":"publisher","key":"e_1_2_7_24_1","DOI":"10.1093\/rof\/rfr015"},{"doi-asserted-by":"publisher","key":"e_1_2_7_25_1","DOI":"10.1093\/rof\/rft030"},{"doi-asserted-by":"publisher","key":"e_1_2_7_26_1","DOI":"10.1017\/S0022109009090061"},{"unstructured":"European Central Bank. (2007). Financial stability review. European Central Bank Frankfurt.","key":"e_1_2_7_27_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_28_1","DOI":"10.1016\/0304-405X(89)90095-0"},{"doi-asserted-by":"publisher","key":"e_1_2_7_29_1","DOI":"10.1016\/j.jbankfin.2013.12.005"},{"doi-asserted-by":"publisher","key":"e_1_2_7_30_1","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"doi-asserted-by":"publisher","key":"e_1_2_7_31_1","DOI":"10.2307\/2527081"},{"doi-asserted-by":"publisher","key":"e_1_2_7_32_1","DOI":"10.1016\/j.jbankfin.2009.05.017"},{"doi-asserted-by":"publisher","key":"e_1_2_7_33_1","DOI":"10.1016\/j.jfs.2011.10.004"},{"doi-asserted-by":"publisher","key":"e_1_2_7_34_1","DOI":"10.3905\/jod.2000.319115"},{"doi-asserted-by":"publisher","key":"e_1_2_7_35_1","DOI":"10.1016\/j.jempfin.2014.09.007"},{"unstructured":"Jones S.(2009).The formula that felled Wall Street. Retrieved fromhttps:\/\/www.ft.com\/content\/912d85e8\u20102d75\u201011de\u20109eba\u201000144feabdc0","key":"e_1_2_7_36_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_37_1","DOI":"10.21314\/JCR.2006.036"},{"doi-asserted-by":"publisher","key":"e_1_2_7_38_1","DOI":"10.3905\/jfi.2000.319253"},{"doi-asserted-by":"publisher","key":"e_1_2_7_39_1","DOI":"10.1093\/rfs\/hhn090"},{"unstructured":"Lohr S.(2009 September 12). Wall Street's math wizards forgot a few variables. Retrieved fromhttp:\/\/www.nytimes.com\/2009\/09\/13\/business\/13unboxed.html","key":"e_1_2_7_40_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_41_1","DOI":"10.1111\/j.1540-6261.1995.tb04037.x"},{"doi-asserted-by":"publisher","key":"e_1_2_7_42_1","DOI":"10.1080\/07350015.2013.873540"},{"doi-asserted-by":"publisher","key":"e_1_2_7_43_1","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"doi-asserted-by":"publisher","key":"e_1_2_7_44_1","DOI":"10.1080\/07350015.2016.1177535"},{"volume-title":"Modelling single\u2010name and multi\u2010name credit derivatives","year":"2008","author":"O'Kane D.","key":"e_1_2_7_45_1"},{"key":"e_1_2_7_46_1","first-page":"Q1","article-title":"Valuation of credit default swaps","volume":"2003","author":"O'Kane D.","year":"2003","journal-title":"Lehman Brothers Quantitative Credit Research Quarterly"},{"doi-asserted-by":"publisher","key":"e_1_2_7_47_1","DOI":"10.1016\/B978-0-444-62731-5.00016-6"},{"doi-asserted-by":"publisher","key":"e_1_2_7_48_1","DOI":"10.3905\/jfi.2012.21.3.044"},{"unstructured":"Salmon F.(2009).Recipe for disaster: The formula that killed Wall Street. Retrieved fromhttps:\/\/www.wired.com\/2009\/02\/wp\u2010quant\/","key":"e_1_2_7_49_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_50_1","DOI":"10.1016\/j.jempfin.2014.11.008"},{"volume-title":"Credit derivatives pricing models: Models, pricing and implementation","year":"2003","author":"Sch\u00f6nbucher P. J.","key":"e_1_2_7_51_1"},{"doi-asserted-by":"publisher","key":"e_1_2_7_52_1","DOI":"10.1002\/jae.1215"},{"doi-asserted-by":"publisher","key":"e_1_2_7_53_1","DOI":"10.1007\/s10693-006-7626-x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21855","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21855","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T16:22:30Z","timestamp":1694622150000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21855"}},"issued":{"date-parts":[[2017,6,14]]},"references-count":52,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2017,10]]}},"alternative-id":["10.1002\/fut.21855"],"URL":"https:\/\/doi.org\/10.1002\/fut.21855","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,6,14]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:24:23Z","timestamp":1761017063976},"reference-count":25,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2014,2,19]],"date-time":"2014-02-19T00:00:00Z","timestamp":1392768000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"Fujian Soft Science Research Project Grant","award":["K42006"],"award-info":[{"award-number":["K42006"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,8]]},"abstract":"We develop the Nelson\u2013Siegel model in the context of option\u2010implied volatility term structure and study the time series of volatility components. Three components, corresponding to the level, slope, and curvature of the volatility term structure, can be interpreted as the long\u2010, medium\u2010, and short\u2010term volatilities. The long\u2010term component is persistent and driven by macroeconomic variables, the medium\u2010term by market default risk, and the short\u2010term by financial market conditions. The three\u2010factor Nelson\u2013Siegel model has superior performance in forecasting the volatility term structure, with better out\u2010of\u2010sample forecasts than the popular deterministic implied volatility function and a restricted two\u2010factor model, providing support to the literature of component volatility models. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 34:788\u2013806, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21653","type":"journal-article","created":{"date-parts":[[2014,2,20]],"date-time":"2014-02-20T14:29:15Z","timestamp":1392906555000},"page":"788-806","source":"Crossref","is-referenced-by-count":26,"title":["The Nelson\u2013Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components"],"prefix":"10.1002","volume":"34","author":[{"given":"Biao","family":"Guo","sequence":"first","affiliation":[{"name":"Biao Guo is Assistant Professor of Finance at the School of Finance & China Financial Policy Research Center Renmin University of China Beijing China"}]},{"given":"Qian","family":"Han","sequence":"additional","affiliation":[{"name":"Qian Han is Assistant Professor of Finance at the Wang Yanan Institute for Studies in Economics (WISE) Xiamen University Fujian Province China"}]},{"given":"Bin","family":"Zhao","sequence":"additional","affiliation":[{"name":"Bin Zhao is Assistant Professor of Finance at the Shanghai Advanced Institute of Finance (SAIF) Shanghai Jiaotong University Shanghai China"}]}],"member":"311","published-online":{"date-parts":[[2014,2,19]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171860"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_7_4_1","doi-asserted-by":"crossref","unstructured":"Bekaert G. Hoerova M. &Duca M.(2010). Risk uncertainty and monetary policy (No. w16397). Working paper National Bureau of Economic Research.","DOI":"10.3386\/w16397"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbg003"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2011.02.001"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1065"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.12.003"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00071-9"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474930500405683"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v52.n4.2008"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.005"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130306"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn004"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331189"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1100.1222"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.06.003"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/296409"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901300032X"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00127-4"},{"key":"e_1_2_7_23_1","doi-asserted-by":"crossref","unstructured":"Park Y.\u2010H.(2011). The roles of short\u2010run and long\u2010run volatility factors in options market: A term structure perspective. Available at SSRN:http:\/\/ssrn.com\/abstract=1783937or doi:10.2139\/ssrn.1783937.","DOI":"10.2139\/ssrn.1783937"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00134-4"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00348"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02635.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21653","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21653","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:43:44Z","timestamp":1696599824000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21653"}},"issued":{"date-parts":[[2014,2,19]]},"references-count":25,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2014,8]]}},"alternative-id":["10.1002\/fut.21653"],"URL":"https:\/\/doi.org\/10.1002\/fut.21653","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,2,19]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:21:13Z","timestamp":1761016873322},"reference-count":38,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2011,1,12]],"date-time":"2011-01-12T00:00:00Z","timestamp":1294790400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,1]]},"abstract":"Abstract<\/jats:title>This study investigates the dynamic relationship between option happiness (the steepness of the volatility smirk) and relative index option liquidity. We find that, on a daily basis, option happiness is significantly dependent on the relative liquidity between option series with different moneyness. In particular, deterioration (improvement) in liquidity of an out\u2010of\u2010the\u2010money put option relative to a concurrent at\u2010the\u2010money call option would lead to higher (lower) option happiness. This relationship is robust to relative option liquidity measures based on bid\u2013ask spreads, option price impacts, and option order book imbalances. The results also show a significant maturity effect in option happiness, consistent with the notion that options are \u201cdying smiling.\u201d \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20507","type":"journal-article","created":{"date-parts":[[2011,1,12]],"date-time":"2011-01-12T15:58:31Z","timestamp":1294847911000},"page":"47-74","source":"Crossref","is-referenced-by-count":11,"title":["Option happiness and liquidity: Is the dynamics of the volatility smirk affected by relative option liquidity?"],"prefix":"10.1002","volume":"32","author":[{"given":"Lars","family":"Nord\u00e9n","sequence":"first","affiliation":[]},{"given":"Caihong","family":"Xu","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2011,1,12]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.06.007"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90065-6"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00113-1"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj022"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.004"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj014"},{"key":"e_1_2_7_15_1","doi-asserted-by":"crossref","unstructured":"Chou R. Chung S. Hsiao Y. &Wang Y.(2009).The impacts of liquidity risk on option prices. Available at SSRN:http:\/\/ssrn.com\/abstract=1467403.","DOI":"10.2139\/ssrn.1467403"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676279"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594989"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.05.012"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10258-003-0024-5"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2002.319193"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-444X(02)00012-9"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02654.x"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1177\/00131649921970134"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04594.x"},{"key":"e_1_2_7_27_1","unstructured":"Harris L.(1990).Liquidity trading rules and electronic trading system. New York University Salomon Center Monograph Series in Finance and Economics Monograph 1990\u20131994."},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg029"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.4.1091"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_7_32_1","first-page":"349","article-title":"Option exchange design: Liquidity and trading activity at the Swedish index options market","volume":"14","author":"Nord\u00e9n L.","year":"2006","journal-title":"Review of Futures Markets"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1086\/374184"},{"key":"e_1_2_7_34_1","doi-asserted-by":"crossref","unstructured":"Pearson N. D. Poteshman A. M. &White J. S.(2007).Does option trading have a pervasive impact on underlying stock prices? Paper presented at the annual meeting of American Finance Association New Orleans.","DOI":"10.2139\/ssrn.970592"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00134-4"},{"key":"e_1_2_7_36_1","first-page":"1141","article-title":"The persistence of volatility and stock market fluctuations","volume":"76","author":"Poterba J.","year":"1986","journal-title":"American Economic Review"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20507","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20507","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T03:10:54Z","timestamp":1698635454000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20507"}},"issued":{"date-parts":[[2011,1,12]]},"references-count":38,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2012,1]]}},"alternative-id":["10.1002\/fut.20507"],"URL":"https:\/\/doi.org\/10.1002\/fut.20507","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,1,12]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:28:49Z","timestamp":1761017329178,"version":"3.37.3"},"reference-count":34,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2020,12,28]],"date-time":"2020-12-28T00:00:00Z","timestamp":1609113600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["11171304","71371168","71771199"],"award-info":[{"award-number":["11171304","71371168","71771199"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,4]]},"abstract":"Abstract<\/jats:title>This paper proposes a comprehensive jump\u2010to\u2010default extended two\u2010factor stochastic volatility plus asymmetry jumps model for the valuation of VXX derivatives. The model provides a more flexible modeling of the time variation in VXX options smirk and VXX options volatility term structure compared with previous model alternatives. Empirical results indicate that our model outperforms Bao et al.'s model by 28.19% in\u2010sample and 23.38% out\u2010of\u2010sample. Moreover, our model improves the probability that the estimated prices fall inside the quoted option bid\u2010ask spread and has a better fitting capacity for the term structure of VXX implied volatility, especially for out\u2010of\u2010the\u2010money options.<\/jats:p>","DOI":"10.1002\/fut.22182","type":"journal-article","created":{"date-parts":[[2020,12,28]],"date-time":"2020-12-28T23:20:18Z","timestamp":1609197618000},"page":"439-457","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["The term structure of the VXX option smirk: Pricing VXX option with a two\u2010factor model and asymmetry jumps"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1382-2682","authenticated-orcid":false,"given":"Xiaoyu","family":"Tan","sequence":"first","affiliation":[{"name":"Department of Finance, Guanghua School of Management Peking University Beijing China"},{"name":"Harvest Fund Management Beijing China"},{"name":"Department of Mathematics, School of Science Zhejiang University Hangzhou China"}]},{"given":"Chengxiang","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of Mathematics, School of Science Zhejiang University Hangzhou China"},{"name":"Huatai Securities Nanjing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7822-1458","authenticated-orcid":false,"given":"Wei","family":"Lin","sequence":"additional","affiliation":[{"name":"Department of Mathematics, School of Science Hangzhou Normal University Hangzhou China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8556-474X","authenticated-orcid":false,"given":"Jin E.","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Accountancy and Finance, Otago Business School University of Otago Dunedin New Zealand"}]},{"given":"Shenghong","family":"Li","sequence":"additional","affiliation":[{"name":"Department of Mathematics, School of Science Zhejiang University Hangzhou China"}]},{"given":"Xuejun","family":"Zhao","sequence":"additional","affiliation":[{"name":"Harvest Fund Management Beijing China"}]},{"given":"Zili","family":"Zhang","sequence":"additional","affiliation":[{"name":"Harvest Fund Management Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2020,12,28]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.006"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2012.06.006"},{"key":"e_1_2_8_5_1","unstructured":"Bloomberg(2019a).VIX Index.https:\/\/www.bloomberg.com\/[dataset]."},{"key":"e_1_2_8_6_1","unstructured":"Bloomberg(2019b).S&P 500 Index.https:\/\/www.bloomberg.com\/[dataset]."},{"key":"e_1_2_8_7_1","unstructured":"Bloomberg(2019c).iPath S&P 500 VIX Short\u2010Term Futures ETN.https:\/\/www.bloomberg.com\/[dataset]."},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-006-0012-6"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1065"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2011.615218"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12153"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009814324980"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.01.011"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21913"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22145"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1646402"},{"key":"e_1_2_8_17_1","unstructured":"Gerber H. U. &Shiu E. S.(1993). Option pricing by Esscher transforms. HEC (Ecole des hautes \u00e9tudes commerciales)."},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/38.3-4.481"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00506.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024920500338"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00034-8"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11766-020-3650-0"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.01.008"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2004.121"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-018-9145-y"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2015.1092165"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_8_29_1","unstructured":"OptionMetrics. (2019a).VIX options.https:\/\/optionmetrics.com\/data-products\/[dataset]."},{"key":"e_1_2_8_30_1","unstructured":"OptionMetrics. (2019b).VXX options.https:\/\/optionmetrics.com\/data-products\/[dataset]."},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-009-0153-8"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11766-018-3347-9"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp036"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331190"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22182","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22182","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22182","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T18:01:14Z","timestamp":1693591274000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22182"}},"issued":{"date-parts":[[2020,12,28]]},"references-count":34,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2021,4]]}},"alternative-id":["10.1002\/fut.22182"],"URL":"https:\/\/doi.org\/10.1002\/fut.22182","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,12,28]]},"assertion":[{"value":"2020-04-11","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-11-28","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-12-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T01:44:28Z","timestamp":1761788668809,"version":"3.30.0"},"reference-count":56,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6056,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,2]]},"DOI":"10.1002\/(sici)1096-9934(199902)19:1<1::aid-fut1>3.0.co;2-d","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:24:07Z","timestamp":1031700247000},"page":"1-29","source":"Crossref","is-referenced-by-count":4,"title":["An empirical examination of the SIMEX Nikkei 225 futures contract around the Kob\ufffd earthquake and the Barings Bank collapse"],"prefix":"10.1002","volume":"19","author":[{"given":"David M.","family":"Walsh","sequence":"first","affiliation":[]},{"given":"Jinwei","family":"Quek","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"year":"1995","author":"Baker","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB1","unstructured":"(1995a, February 28). The Barings crisis: Exchanges may have to widen their margins. Financial Times."},{"year":"1995","author":"Baker","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB2","unstructured":"(1995b). The Markets: Whither Nikkei without Leeson Largesse? Financial Times (London), 6 March:22."},{"year":"1995","author":"Baker","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB3","unstructured":"(1995c). The Barings Crisis: Collapse Adds to Japanese Banks? Woes. Financial Times (London), 6 March:2."},{"year":"1995","author":"Baker","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB4","unstructured":"(1995d). Muted Bark of a Market Watchdog: Barings Affair Raises Japan Supervision Questions. Financial Times (London), 7 March:8."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB5","doi-asserted-by":"crossref","first-page":"54","DOI":"10.2307\/3666004","volume":"16","author":"Berstein","year":"1987","journal-title":"Financial Management"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB6","doi-asserted-by":"crossref","first-page":"21","DOI":"10.2307\/2331149","volume":"28","author":"Bessembinder","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB7","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1016\/0304-3878(92)90004-S","volume":"38","author":"Chishti","year":"1992","journal-title":"Journal of Development Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB8","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2307\/1882244","volume":"82","author":"Demsetz","year":"1968","journal-title":"Quarterly Journal of Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB9","volume-title":"RATS Version 4.0 User's Manual","author":"Doan","year":"1989","unstructured":"(1989). RATS Version 4.0 User's Manual. Estima, IL: RATS."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB10","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/07474938408800053","volume":"3","author":"Doan","year":"1984","journal-title":"Econometric Review"},{"year":"1995","author":"Ferguson","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB11","unstructured":"& (1995). Depth and Tightness. unpublished manuscript, University of Kentucky."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB12","first-page":"1","volume":"10","author":"Followill","year":"1991","journal-title":"The Review of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB13","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1111\/j.1540-6261.1993.tb04706.x","volume":"48","author":"Foster","year":"1993","journal-title":"Journal of Finance"},{"year":"1996","author":"Frino","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB14","unstructured":"& (1996). Why Are Spreads Tighter on the Australian Stock Exchange Than the NYSE? An Electronic Open Limit Order Book versus the Specialist Structure. Securities Industry Research Center of Asia-Pacific working paper."},{"year":"1995","author":"Gapper","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB15","unstructured":"(1995). The Barings Crisis: Why Did Directors Not Recognize the Risks? Financial Times (London), 2 March, 2."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB16","doi-asserted-by":"crossref","first-page":"623","DOI":"10.1093\/rfs\/4.4.623","volume":"4","author":"George","year":"1991","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB17","doi-asserted-by":"crossref","first-page":"381","DOI":"10.2307\/2331420","volume":"28","author":"George","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB18","doi-asserted-by":"crossref","first-page":"1293","DOI":"10.1111\/j.1540-6261.1987.tb04367.x","volume":"42","author":"Glosten","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB19","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1016\/0304-405X(88)90034-7","volume":"21","author":"Glosten","year":"1988","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB20","doi-asserted-by":"crossref","first-page":"617","DOI":"10.1111\/j.1540-6261.1988.tb04594.x","volume":"43","author":"Grossman","year":"1988","journal-title":"Journal of Finance"},{"year":"1992","author":"Handa","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB21","unstructured":"(1992). A Direct Test of the Theory of Intraday Concentrated Trading Patterns. New York University Stern School of Business working paper."},{"year":"1988","author":"Harris","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB22","unstructured":"(1988). Liquidity, Trading Rules and Electronic Trading Systems. New York University Salomon Center Monograph Number 1990-4."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB23","doi-asserted-by":"crossref","first-page":"10","DOI":"10.3905\/jpm.1988.409160","volume":"14","author":"Hasbrouck","year":"1988","journal-title":"Journal of Portfolio Management"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB24","doi-asserted-by":"crossref","first-page":"8","DOI":"10.1111\/j.1745-6622.1994.tb00414.x","volume":"7","author":"Hentschel","year":"1994","journal-title":"Journal of Applied Corporate Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB25","doi-asserted-by":"crossref","first-page":"259","DOI":"10.1111\/j.1540-6261.1980.tb02153.x","volume":"35","author":"Ho","year":"1980","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB26","first-page":"15","volume":"30","author":"Jeon","year":"1990","journal-title":"Quarterly Review of Economics and Business"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB27","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1016\/0304-405X(94)90032-9","volume":"36","author":"Jones","year":"1994","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB28","doi-asserted-by":"crossref","first-page":"747","DOI":"10.1016\/S0164-0704(05)80008-4","volume":"15","author":"Kamas","year":"1993","journal-title":"Journal of Macroeconomics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB29","doi-asserted-by":"crossref","first-page":"109","DOI":"10.2307\/2330874","volume":"22","author":"Karpoff","year":"1987","journal-title":"Journal of Financial and Quantitative Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB30","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1016\/0304-4076(94)01717-4","volume":"72","author":"Koop","year":"1996","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB31","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","volume":"53","author":"Kyle","year":"1985","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB32","doi-asserted-by":"crossref","first-page":"621","DOI":"10.1002\/fut.3990120603","volume":"12","author":"Laux","year":"1992","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB33","doi-asserted-by":"crossref","first-page":"345","DOI":"10.1093\/rfs\/6.2.345","volume":"6","author":"Lee","year":"1993","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB34","first-page":"30","volume":"14","author":"Littleman","year":"1984","journal-title":"Federal Reserve Bank of Minneapolis Quarterly Review"},{"year":"1995","author":"Lim","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB35","unstructured":"& (1995). The Report of the Inspectors Appointed by the Minister for Finance, Price Waterhouse (Singapore), Ministry of Finance, Singapore."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB36","volume-title":"Introduction to Econometrics","author":"Maddala","year":"1989","unstructured":"(1989). Introduction to Econometrics. New York: Macmillan."},{"year":"1995","author":"Martin","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB37","unstructured":"(1995). The Barings Report: Questions Unanswered about $190m Hole in Accounts. Financial Times (London), 19 July, 6."},{"year":"1995","author":"Martin","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB38","unstructured":"& Financial Times writers. (1995). The Barings Report: Blunders That Bust the Bank. Financial Times (London), 24 March, 24."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB39","doi-asserted-by":"crossref","first-page":"319","DOI":"10.2307\/1992259","volume":"20","author":"McMillin","year":"1991","journal-title":"Journal of Money, Credit, and Banking"},{"year":"1995","author":"Montagnon","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB40","unstructured":"& (1995a). The Barings Crisis: Exchange Members Fear Big Bill?SIMEX. Financial Times (London), 1 March, 2."},{"year":"1995","author":"Montagnon","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB41","unstructured":"& (1995b). Prompt Treatment for Futures Shock: Singapore Has Moved Fast to Mend Its Reputation after the Barings Havoc. Financial Times (London), 3 March, 17."},{"year":"1995","author":"Morse","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB42","unstructured":"(1995). SIMEX Shrugs Off Barings Crisis. Financial Times (London), 5 April, 34."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB43","doi-asserted-by":"crossref","first-page":"317","DOI":"10.1086\/296573","volume":"65","author":"Neal","year":"1992","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB44","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1016\/0304-405X(94)90034-5","volume":"35","author":"Petersen","year":"1993","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB45","doi-asserted-by":"crossref","first-page":"1127","DOI":"10.1111\/j.1540-6261.1984.tb03897.x","volume":"39","author":"Roll","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB46","doi-asserted-by":"crossref","first-page":"437","DOI":"10.1080\/07350015.1987.10509609","volume":"5","author":"Runkle","year":"1987","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB47","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1093\/rfs\/3.1.77","volume":"3","author":"Schwert","year":"1990","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB48","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/1912017","volume":"48","author":"Sims","year":"1980","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB49","doi-asserted-by":"crossref","first-page":"107","DOI":"10.2307\/2534318","volume":"1","author":"Sims","year":"1982","journal-title":"Brooking Papers on Economic Activity"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB50","doi-asserted-by":"crossref","first-page":"1133","DOI":"10.1111\/j.1540-6261.1978.tb02053.x","volume":"33","author":"Stoll","year":"1978","journal-title":"Journal of Finance"},{"year":"1995","author":"Terazono","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB51","unstructured":"(1995a). Nikkei at 14-Month Low As Manila Drops 4 Per Cent. Financial Times (London), 28 February, 39."},{"year":"1995","author":"Terazono","key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB52","unstructured":"(1995b). When Talk Proved Cheaper Than Reality. Financial Times (London), 4 March, 2."},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB53","doi-asserted-by":"crossref","first-page":"79","DOI":"10.2307\/1880494","volume":"86","author":"Tinic","year":"1972","journal-title":"Quarterly Journal of Economics"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB54","first-page":"141","volume":"20","author":"Thompson","year":"1987","journal-title":"Stanford Food Research Institute Studies"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB55","first-page":"111","volume":"7","author":"Thompson","year":"1988","journal-title":"The Review of Futures Market"},{"key":"10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D-BIB56","doi-asserted-by":"crossref","first-page":"1157","DOI":"10.1111\/j.1540-6261.1990.tb02431.x","volume":"45","author":"Vijh","year":"1990","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199902)19:1%3C1::AID-FUT1%3E3.0.CO;2-D","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199902)19:1%3C1::AID-FUT1%3E3.0.CO;2-D","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,2]],"date-time":"2024-12-02T19:59:22Z","timestamp":1733169562000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D"}},"issued":{"date-parts":[[1999,2]]},"references-count":56,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1999,2]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199902)19:1<1::aid-fut1>3.0.co;2-d","ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[1999,2]]}},{"indexed":{"date-parts":[[2025,11,1]],"date-time":"2025-11-01T17:04:18Z","timestamp":1762016658123},"reference-count":9,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7092,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,4]]},"DOI":"10.1002\/(sici)1096-9934(199604)16:2<131::aid-fut1>3.0.co;2-l","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:24:07Z","timestamp":1031700247000},"page":"131-145","source":"Crossref","is-referenced-by-count":35,"title":["Macroeconomic news and the efficiency of international bond futures markets"],"prefix":"10.1002","volume":"16","author":[{"given":"Kent G.","family":"Becker","sequence":"first","affiliation":[]},{"given":"Joseph E.","family":"Finnerty","sequence":"additional","affiliation":[]},{"given":"Kenneth J.","family":"Kopecky","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB1","doi-asserted-by":"crossref","first-page":"1161","DOI":"10.1111\/j.1540-6261.1993.tb04750.x","volume":"48","author":"Ederington","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB2","doi-asserted-by":"crossref","first-page":"23","DOI":"10.1016\/0261-5606(88)90003-4","volume":"7","author":"Hardouvelis","year":"1988","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB3","doi-asserted-by":"crossref","first-page":"219","DOI":"10.1086\/296429","volume":"61","author":"Jain","year":"1988","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB4","doi-asserted-by":"crossref","first-page":"12","DOI":"10.2307\/2552679","volume":"40","author":"Modigliani","year":"1973","journal-title":"Economica"},{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB5","volume-title":"Trading the Fundamentals","author":"Niemira","year":"1994","unstructured":"and (1994): Trading the Fundamentals. Chicago: Probus Publishing Co."},{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB6","doi-asserted-by":"crossref","first-page":"49","DOI":"10.1086\/296282","volume":"58","author":"Pearce","year":"1985","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB7","author":"Roley","year":"1983","unstructured":"and (1983): \u201cThe Impact of New Economic Information on the Volatility of Short-Term Interest Rates,\u201d Federal Reserve Bank of Kansas City, Economic Review, 3\u201315."},{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB8","doi-asserted-by":"crossref","first-page":"329","DOI":"10.2307\/1925515","volume":"68","author":"Smirlock","year":"1986","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L-BIB9","doi-asserted-by":"crossref","first-page":"1177","DOI":"10.1111\/j.1540-6261.1984.tb03901.x","volume":"39","author":"Urich","year":"1984","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199604)16:2%3C131::AID-FUT1%3E3.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199604)16:2%3C131::AID-FUT1%3E3.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:30:48Z","timestamp":1625131848000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L"}},"issued":{"date-parts":[[1996,4]]},"references-count":9,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1996,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199604)16:2<131::aid-fut1>3.0.co;2-l","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,4]]}},{"indexed":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T13:32:16Z","timestamp":1765287136422,"version":"3.46.0"},"reference-count":71,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T00:00:00Z","timestamp":1759449600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,1]]},"abstract":"ABSTRACT<\/jats:title>\n This paper explores information dissemination under macroeconomic conditions and market performance across various commodity markets. It includes 11 markets, including tangible and virtual commodities, of which the tangible markets are distinguished into futures markets of four different commodity sectors (energy commodities, agricultural products, livestock, and precious metals), while the virtual markets are represented by cryptocurrency. The results show that when the economy is in a period of high volatility, that is, when commodity markets tend to experience a sharp rise (bubble) or a sharp fall (crash), the information dissemination level between various commodities increases. This paper also uses Social Network Analysis to analyze information dissemination channels under different circumstances and finds that regardless of economic conditions, the commodity market that dominates the dissemination function differs whether prices are rising or falling. Changes in the effect of Bitcoin's information dissemination could act as a signal of a turning point in these markets.<\/jats:p>","DOI":"10.1002\/fut.70048","type":"journal-article","created":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T12:55:51Z","timestamp":1759496151000},"page":"56-75","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Virtual Commodities and Futures Markets of Tangible Commodities"],"prefix":"10.1002","volume":"46","author":[{"given":"Che\u2010Chun","family":"Lin","sequence":"first","affiliation":[{"name":"Department of Quantitative Finance, College of Technology Management National Tsing Hua University Hsinchu Taiwan"}]},{"given":"Hung\u2010Wei","family":"Lee","sequence":"additional","affiliation":[{"name":"Cornell University Ithaca New York USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8277-2327","authenticated-orcid":false,"given":"I\u2010Chun","family":"Tsai","sequence":"additional","affiliation":[{"name":"Department of Quantitative Finance National Tsing Hua University Hsinchu Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2025,10,3]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104741"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.inteco.2016.06.005"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.04.001"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2022.02.022"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.05.004"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/s12197-022-09594-8"},{"issue":"1","key":"e_1_2_10_8_1","first-page":"31","article-title":"Volatility Spillover Effects in European Equity Markets: Evidence From a Regime Switching Model","volume":"40","author":"Baele L.","year":"2002","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01700.x"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.12.008"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2018.04.011"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pecs.2013.09.003"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1057\/jam.2015.5"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2018.07.004"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2013.799748"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13010"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.10.008"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11009-008-9085-3"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22310"},{"issue":"2","key":"e_1_2_10_22_1","first-page":"27","article-title":"Analysis of the Relationships Between Bitcoin and Exchange Rate, Commodities and Global Indexes by Asymmetric Causality Test","volume":"9","author":"Erdas M. L.","year":"2018","journal-title":"Eastern Journal of European Studies"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102926"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22366"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.03.004"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2022.121909"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh020"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm13060119"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.07.023"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/23322039.2024.2375341"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106162"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.12.011"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jenvman.2022.114493"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2013.08.002"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01753-4"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.3390\/su11061685"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2022.101846"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102166"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2021.2009339"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/manc.12354"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.11.018"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.101399"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101690"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1177\/0030727016649809"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2020.117208"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101836"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102416"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aau003"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105758"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1080\/15435075.2023.2204356"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.04.012"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103710"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000210"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.12.020"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1017\/eso.2024.16"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2019.01.019"},{"key":"e_1_2_10_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2013.02.003"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.1007\/s43546-022-00219-0"},{"key":"e_1_2_10_60_1","first-page":"25","article-title":"Cryptocurrency and Stock Markets: Complements or Substitutes? Evidence From Gulf Countries","volume":"9","author":"Sami M.","year":"2020","journal-title":"Cryptocurrency and Stock Market: Complements or Substitutes"},{"key":"e_1_2_10_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101496"},{"key":"e_1_2_10_62_1","unstructured":"Tejeda H. A. andB. K.Goodwin.2009. Price Volatility Nonlinearity and Asymmetric Adjustments in Corn Soybean And Cattle Markets: Implications of Ethanol\u2010driven (Market) Shocks. InProceedings of the NCCC\u2010134 Conference on Applied Commodity Price Analysis Forecasting and Market Risk Management.St. Louis MO."},{"issue":"4","key":"e_1_2_10_63_1","first-page":"186","article-title":"Asymmetric Price Transmission Effect of Corn on Hog: Evidence From China","volume":"64","author":"Wang G.","year":"2018","journal-title":"Agricultural Economics"},{"key":"e_1_2_10_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100308"},{"key":"e_1_2_10_65_1","doi-asserted-by":"publisher","DOI":"10.4018\/IJORIS.2020040102"},{"key":"e_1_2_10_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106475"},{"key":"e_1_2_10_67_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2021.1965082"},{"key":"e_1_2_10_68_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22270"},{"key":"e_1_2_10_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2021.10.003"},{"key":"e_1_2_10_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101465"},{"key":"e_1_2_10_71_1","doi-asserted-by":"publisher","DOI":"10.3390\/su10041199"},{"key":"e_1_2_10_72_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22551"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70048","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,12,9]],"date-time":"2025-12-09T13:29:33Z","timestamp":1765286973000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70048"}},"issued":{"date-parts":[[2025,10,3]]},"references-count":71,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2026,1]]}},"alternative-id":["10.1002\/fut.70048"],"URL":"https:\/\/doi.org\/10.1002\/fut.70048","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,10,3]]},"assertion":[{"value":"2024-05-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-09","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-10-03","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,5]],"date-time":"2025-12-05T11:53:49Z","timestamp":1764935629977},"reference-count":16,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2004,4,6]],"date-time":"2004-04-06T00:00:00Z","timestamp":1081209600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,6]]},"abstract":"Abstract<\/jats:title>Several earlier theoretical studies on the optimal issuer's calling policy of a convertible bond suggest that the issuer should call the bond as soon as the conversion value exceeds the call price. However, empirical studies on actual cases of calling by convertible bond issuers reveal that firms \u201cdelayed\u201d calling their convertible bonds until the conversion value well exceeded the call price. In this paper, we construct valuation algorithms that price risky convertible bonds with embedded option features. In particular, we examine the impact of the soft call and hard call constraints, notice period requirement and other factors on the optimal issuer's calling policy. Our results show that the critical stock price at which the issuer should optimally call the convertible bond depends quite sensibly on these constraints and requirements. The so\u2010called \u201cdelayed call phenomena\u201d may be largely attributed to the underestimation of the critical call price due to inaccurate modeling of the contractual provisions. \u00a9 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:513\u2013532, 2004<\/jats:p>","DOI":"10.1002\/fut.10127","type":"journal-article","created":{"date-parts":[[2004,4,6]],"date-time":"2004-04-06T17:01:41Z","timestamp":1081270901000},"page":"513-532","source":"Crossref","is-referenced-by-count":34,"title":["Anatomy of option features in convertible bonds"],"prefix":"10.1002","volume":"24","author":[{"given":"Ka Wo","family":"Lau","sequence":"first","affiliation":[]},{"given":"Yue Kuen","family":"Kwok","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,4,6]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04618.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/wilm.42820020120"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03364.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330567"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v58.n1.2509"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504860110046885"},{"key":"e_1_2_1_8_1","unstructured":"Grau A. H.(2003).Moving windows. Unpublished manuscript University of Waterloo Canada."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02382.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90004-6"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03285.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/296496"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2001.319167"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009694326816"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504869600000009"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2001.319302"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1998.408243"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10127","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10127","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T01:18:59Z","timestamp":1700183939000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10127"}},"issued":{"date-parts":[[2004,4,6]]},"references-count":16,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2004,6]]}},"alternative-id":["10.1002\/fut.10127"],"URL":"https:\/\/doi.org\/10.1002\/fut.10127","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,4,6]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T19:41:41Z","timestamp":1771011701237,"version":"3.50.1"},"reference-count":22,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4471,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,6]]},"DOI":"10.1002\/fut.3990140408","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:41:41Z","timestamp":1183682501000},"page":"475-492","source":"Crossref","is-referenced-by-count":33,"title":["The informational content of USDA crop reports: Impacts on uncertainty and expectations in grain futures markets"],"prefix":"10.1002","volume":"14","author":[{"given":"Kevin P.","family":"McNew","sequence":"first","affiliation":[]},{"given":"Juan Andres","family":"Espinosa","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243577"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243147"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349505"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01893.x"},{"key":"e_1_2_1_8_1","volume-title":"Options Markets","author":"Cox J. C.","year":"1985"},{"key":"e_1_2_1_9_1","unstructured":"Fackler P. L.(1985): \u201cOn the Relation Between Futures Price Movements and USDA Reports \u201d Applied Commodity Price Analysis Forecasting and Market Risk Proceedings of NCR\u2010134 Conference pp.247\u2013266."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243146"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130204"},{"key":"e_1_2_1_13_1","unstructured":"Garcia P. andLeuthold R. M.(1992): \u201cThe Effect of Market Information on Corn and Soybean Markets \u201d NCR\u2010134 Conference Proceedings."},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242961"},{"key":"e_1_2_1_15_1","volume-title":"A Course in Nonparametric Statistics","author":"Hajek J.","year":"1969"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0081305200014746"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070509"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120102"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(79)90003-X"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120604"},{"key":"e_1_2_1_21_1","first-page":"386","article-title":"Expected Soybean Futures Price Distributions: Option\u2010Based Assessments","volume":"9","author":"Sherrick B. F.","year":"1990","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241769"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100103"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140408","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140408","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T14:36:06Z","timestamp":1698158166000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140408"}},"issued":{"date-parts":[[1994,6]]},"references-count":22,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1994,6]]}},"alternative-id":["10.1002\/fut.3990140408"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140408","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,6]]}},{"indexed":{"date-parts":[[2025,8,15]],"date-time":"2025-08-15T01:51:38Z","timestamp":1755222698263,"version":"3.43.0"},"reference-count":24,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2025,7,1]],"date-time":"2025-07-01T00:00:00Z","timestamp":1751328000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,9]]},"abstract":"ABSTRACT<\/jats:title>We investigate variance swap pricing by incorporating a self\u2010exciting Hawkes process into a stochastic liquidity risk model. Within this framework, we derive closed\u2010form pricing formulas for discretely sampled variance swaps using two different methods. Through asymptotic analysis, we demonstrate that the discretely sampled pricing formulas converge to their continuously sampled counterparts as the sampling interval approaches zero. Numerical results further highlight the significant impact of jump clustering on the strike prices of variance swaps.<\/jats:p>","DOI":"10.1002\/fut.22603","type":"journal-article","created":{"date-parts":[[2025,7,1]],"date-time":"2025-07-01T05:40:33Z","timestamp":1751348433000},"page":"1388-1408","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Analytically Pricing Variance Swaps Under the Hawkes Jump\u2010Diffusion Process With Liquidity Risks"],"prefix":"10.1002","volume":"45","author":[{"given":"Ke","family":"Wang","sequence":"first","affiliation":[{"name":"Faculty of Science Civil Aviation Flight University of China Deyang China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0827-9080","authenticated-orcid":false,"given":"Xun\u2010xiang","family":"Guo","sequence":"additional","affiliation":[{"name":"School of Mathematics Southwestern University of Finance and Economics Chengdu China"}]},{"ORCID":"https:\/\/orcid.org\/0009-0001-2940-2981","authenticated-orcid":false,"given":"Yang\u2010yang","family":"Wang","sequence":"additional","affiliation":[{"name":"School of Mathematics Southwestern University of Finance and Economics Chengdu China"}]},{"given":"Hong\u2010yu","family":"Zhang","sequence":"additional","affiliation":[{"name":"School of Mathematics Southwestern University of Finance and Economics Chengdu China"}]}],"member":"311","published-online":{"date-parts":[[2025,7]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.002"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht074"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2013.820524"},{"key":"e_1_2_9_5_1","article-title":"Asset Prices and Asset Correlations in Illiquid Markets","author":"Brunetti C.","year":"2006","journal-title":"Available at SSRN"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511569708.013"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319129"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1137\/090771272"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.002"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.camwa.2018.08.022"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2018.10.002"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1142\/9789812778451_0012"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21997"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21843"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1109\/TFUZZ.2016.2637372"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.3934\/jimo.2019103"},{"issue":"4","key":"e_1_2_9_18_1","first-page":"439","article-title":"Modeling and Pricing of Variance Swaps for Multi\u2010Factor Stochastic Volatilities With Delay","volume":"14","author":"Swishchuk A.","year":"2006","journal-title":"Canadian Applied Mathematics"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2004.04.008"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2024.102190"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2023.12.012"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2020.125679"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2015.1050525"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12016"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2010.00436.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22603","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T04:20:18Z","timestamp":1754886018000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22603"}},"issued":{"date-parts":[[2025,7]]},"references-count":24,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2025,9]]}},"alternative-id":["10.1002\/fut.22603"],"URL":"https:\/\/doi.org\/10.1002\/fut.22603","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7]]},"assertion":[{"value":"2024-08-04","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-09","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-01","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,4,23]],"date-time":"2025-04-23T00:35:08Z","timestamp":1745368508876,"version":"3.37.3"},"reference-count":28,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2020,9,4]],"date-time":"2020-09-04T00:00:00Z","timestamp":1599177600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71572091"],"award-info":[{"award-number":["71572091"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,1]]},"abstract":"Abstract<\/jats:title>We investigate the information content in Chinese warrant prices based on an option pricing framework that incorporates short\u2010selling and margin\u2010trading constraints in the underlying stock market. We show that Chinese warrant prices can be explained under this pricing framework. On the basis of this new model, we develop a price deviation measure to quantify stock market investors' unobserved demand for short selling or margin trading due to market constraints. We find that warrant\u2010price deviations are driven by underlying stock valuation to a great extent. Chinese warrant prices, save for the time around expiration dates, are better characterized as derivatives than as pure bubbles.<\/jats:p>","DOI":"10.1002\/fut.22162","type":"journal-article","created":{"date-parts":[[2020,9,4]],"date-time":"2020-09-04T07:34:17Z","timestamp":1599204857000},"page":"3-26","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["The Chinese warrant bubble: A fundamental analysis"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-2112-0883","authenticated-orcid":false,"given":"Yintian","family":"Wang","sequence":"first","affiliation":[{"name":"School of Economics and Management Tsinghua University Beijing China"}]},{"given":"Guofu","family":"Zhou","sequence":"additional","affiliation":[{"name":"Olin Business School Washington University in St. Louis St. Louis Missouri"}]},{"given":"Yingzi","family":"Zhu","sequence":"additional","affiliation":[{"name":"School of Economics and Management Tsinghua University Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2020,9,4]]},"reference":[{"journal-title":"A decomposition of conditional correlations in US equities","year":"2003","author":"Balyeat R. B.","key":"e_1_2_9_2_1"},{"key":"e_1_2_9_3_1","first-page":"106","article-title":"Resale option, inflation illusion and the Chinese stock market bubbles","volume":"5","author":"Chen G.","year":"2009","journal-title":"Journal of Economic Research"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177005576"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177005357"},{"key":"e_1_2_9_6_1","first-page":"216","volume-title":"Mathematics of derivative securities","author":"Davis M.","year":"1997"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1995.tb00462.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/261615"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.4.2.35"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.7551\/mitpress\/2958.001.0001"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.91.2.1"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl025"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01514.x"},{"key":"e_1_2_9_16_1","doi-asserted-by":"crossref","unstructured":"Liao L. Li Z. Zhang W. &Zhu N.(2010).Security supply and bubbles: A natural experiment from the Chinese warrants market. Working paper SSRN Tsinghua University.","DOI":"10.2139\/ssrn.1909698"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.05.007"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.1914"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331336"},{"key":"e_1_2_9_20_1","first-page":"105","article-title":"The stock price bubble test based on homogeneous Markov switching method","volume":"8","author":"Meng Q.","year":"2008","journal-title":"Journal of Financial Research"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01352.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_9_23_1","doi-asserted-by":"crossref","unstructured":"Pearson N. Yang Z. &Zhang Q.(2020). The chinese warrants bubble: Evidence from brokerage account records.Review of Financial Studies Forthcoming.","DOI":"10.1093\/rfs\/hhaa037"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2010.00625.x"},{"key":"e_1_2_9_25_1","unstructured":"Powers E. Xiao G. &Yan H.(2013).Short\u2010sale constraints convenience yield and the Chinese warrants. Working paper SSRN University of South Carolina."},{"key":"e_1_2_9_26_1","unstructured":"RESEET Co. Ltd.(2015).Warrant data. Beijing China: RESSET.\u00a0Retrieved fromwww.resset.cn"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/378531"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.101.6.2723"},{"key":"e_1_2_9_29_1","first-page":"174","article-title":"An empirical study of periodically collapsing speculative bubbles in China stock market based on Markov regime switching method","volume":"4","author":"Zhao P.","year":"2008","journal-title":"Journal of Financial Research"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22162","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22162","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22162","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,4]],"date-time":"2023-09-04T13:54:12Z","timestamp":1693835652000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22162"}},"issued":{"date-parts":[[2020,9,4]]},"references-count":28,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2021,1]]}},"alternative-id":["10.1002\/fut.22162"],"URL":"https:\/\/doi.org\/10.1002\/fut.22162","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,9,4]]},"assertion":[{"value":"2020-04-26","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-08-18","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-09-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,6,25]],"date-time":"2025-06-25T19:25:03Z","timestamp":1750879503216},"reference-count":26,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,9,18]],"date-time":"2006-09-18T00:00:00Z","timestamp":1158537600000},"content-version":"vor","delay-in-days":7110,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,4]]},"DOI":"10.1002\/fut.3990070209","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T04:46:19Z","timestamp":1183610779000},"page":"203-221","source":"Crossref","is-referenced-by-count":6,"title":["Futures trading and oil market conditions"],"prefix":"10.1002","volume":"7","author":[{"given":"Douglas R.","family":"Bohi","sequence":"first","affiliation":[]},{"given":"Michael A.","family":"Toman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,18]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297415"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2232798"},{"key":"e_1_2_1_4_1","unstructured":"Bohi D. R.(1983): \u201cWhat Causes Oil Price Shocks?\u201d Discussion Paper D\u201082S (Washington D.C. Resources for the Future)."},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Bohi D. R. andMontgomery W. D.(1982):Oil Prices Energy Security and Import Policy(Washington D.C. Resources for the Future).","DOI":"10.1080\/05775132.1982.11470794"},{"key":"e_1_2_1_6_1","unstructured":"Bohi D. R. andQuandt W. B.(1984):Energy Security in the 1980s: Economic and Political Perspectives Brookings Institution Staff Paper (Washington D.C. The Brookings Institution)."},{"key":"e_1_2_1_7_1","unstructured":"Bohi D. R. andToman M. A.(1984):Analyzing Nonrenewable Resource Supply(Washington D.C. Resources for the Future)."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb04884.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911241"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0161-8938(84)90053-X"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02071.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/261140"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol6-No1-9"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884643"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2648757"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238343"},{"key":"e_1_2_1_18_1","unstructured":"O'Hara M.(1984): \u201cPrice Risk and Financial Contracts.\u201d Draft manuscript Graduate School of Management (Ithaca N.Y. Cornell University February)."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/260963"},{"key":"e_1_2_1_20_1","volume-title":"Research in Finance I","author":"Stein J. L.","year":"1979"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924093"},{"key":"e_1_2_1_22_1","unstructured":"Sterngold J.(1986): \u201cMerc Leaves Potatoes Behind \u201dNew York Times February 10 First Business Page."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2525929"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912279"},{"key":"e_1_2_1_26_1","volume-title":"Oil Markets in Turmoil","author":"Verleger P. K.","year":"1982"},{"key":"e_1_2_1_27_1","volume-title":"Selected Writings of Holbrook Working","author":"Working H.","year":"1977"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070209","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070209","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T17:16:00Z","timestamp":1697822160000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070209"}},"issued":{"date-parts":[[1987,4]]},"references-count":26,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1987,4]]}},"alternative-id":["10.1002\/fut.3990070209"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070209","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,4]]}},{"indexed":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T17:38:58Z","timestamp":1759513138770,"version":"3.37.3"},"reference-count":50,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2017,5,19]],"date-time":"2017-05-19T00:00:00Z","timestamp":1495152000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71371199","71503280","71501196"],"award-info":[{"award-number":["71371199","71503280","71501196"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100003453","name":"Natural Science Foundation of Guangdong Province","doi-asserted-by":"publisher","award":["2014A030310478"],"award-info":[{"award-number":["2014A030310478"]}],"id":[{"id":"10.13039\/501100003453","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,10]]},"abstract":"We relax the linear conditional mean assumption in Hsiao et al. (2012). Journal of Applied Econometrics, 27(5), 705\u2013740 and extend it to a single\u2010index semi\u2010parametric setting. The asymptotic distribution properties are derived and the semi\u2010parametric model is applied to study the treatment effect of introducing the stock index futures contracts in China. Our empirical results indicate that the introduction of stock index futures significantly reduced stock market volatility before October 2014, but the long\u2010run effect is not significant. This temporary stabilization effect is robust to different underlying spot indexes, to various proxies of volatility, and to placebo tests on the introduction date of stock index futures.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21858","type":"journal-article","created":{"date-parts":[[2017,5,23]],"date-time":"2017-05-23T15:27:59Z","timestamp":1495553279000},"page":"1003-1030","source":"Crossref","is-referenced-by-count":6,"title":["Index futures trading and spot volatility in China: A semiparametric approach with range\u2010based proxies"],"prefix":"10.1002","volume":"37","author":[{"given":"Na","family":"Tan","sequence":"first","affiliation":[{"name":"Lingnan (University) College Sun Yat\u2010sen University Guangzhou China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2002-7003","authenticated-orcid":false,"given":"Yulei","family":"Peng","sequence":"additional","affiliation":[{"name":"Lingnan (University) College Sun Yat\u2010sen University Guangzhou China"}]},{"given":"Yanchu","family":"Liu","sequence":"additional","affiliation":[{"name":"Lingnan (University) College Sun Yat\u2010sen University Guangzhou China"}]},{"given":"Zhewen","family":"Pan","sequence":"additional","affiliation":[{"name":"Lingnan (University) College Sun Yat\u2010sen University Guangzhou China"}]}],"member":"311","published-online":{"date-parts":[[2017,5,19]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00059-C"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.11.003"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110206"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04695.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20460"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100110088085"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/497405"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1177\/097265271101000103"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00318"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21573"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2007.01.012"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504850110068837"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1353\/mcb.2005.0027"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-77117-5_83"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2298"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/260509"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.004"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176349020"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02648.x"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2014.03.001"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1230"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(93)90114-K"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120605"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2008.01.084"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120502"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/1937966"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.019"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2009.01.010"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200103)21:3<237::AID-FUT3>3.0.CO;2-0"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"issue":"02","key":"e_1_2_9_38_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1017\/S0266466600008409","article-title":"Kernel estimation of partial means and a general variance estimator","volume":"10","author":"Newey W. K.","year":"1994","journal-title":"Econometric Theory"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.10.029"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.03.017"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.06.005"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199712)17:8<957::AID-FUT6>3.0.CO;2-K"},{"key":"e_1_2_9_44_1","first-page":"129","article-title":"Options and efficiency","volume":"4","author":"Ross S.","year":"1977","journal-title":"Quarterly Journal of Economics"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/wilm.42820030123"},{"volume-title":"Modelling financial time series","year":"1986","author":"Taylor S. J.","key":"e_1_2_9_46_1"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/86.4.831"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.2753\/REE1540-496X5001S111"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21650"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20514"},{"issue":"3","key":"e_1_2_9_51_1","first-page":"237","article-title":"Limiting behavior of U\u2010statistics for stationary, absolutely regular processes","volume":"35","author":"Yoshihara K. I.","year":"1976","journal-title":"Probability Theory and Related Fields"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21858","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21858","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T16:22:35Z","timestamp":1694622155000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21858"}},"issued":{"date-parts":[[2017,5,19]]},"references-count":50,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2017,10]]}},"alternative-id":["10.1002\/fut.21858"],"URL":"https:\/\/doi.org\/10.1002\/fut.21858","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,5,19]]}},{"indexed":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T17:38:38Z","timestamp":1759513118572},"reference-count":24,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2016,11,9]],"date-time":"2016-11-09T00:00:00Z","timestamp":1478649600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,4]]},"abstract":"Previous research has identified that the information effects of buyer\u2010initiated trades are greater than seller\u2010initiated trades. We develop a theoretical model that predicts block purchases are relatively more informed in bear markets and block sales are relatively more informed in bull markets. Using a sample of large trades executed in the E\u2010mini S&P 500 index futures and SPDR S&P 500 exchange traded fund, we find evidence consistent with our theoretical model. Our results are robust to volatility and macro\u2010economic news announcements categorized as bullish or bearish. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:359\u2013373, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21822","type":"journal-article","created":{"date-parts":[[2016,11,10]],"date-time":"2016-11-10T04:38:45Z","timestamp":1478752725000},"page":"359-373","source":"Crossref","is-referenced-by-count":6,"title":["Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence"],"prefix":"10.1002","volume":"37","author":[{"given":"Alex","family":"Frino","sequence":"first","affiliation":[{"name":"Alex Frino is at the University of Wollongong Wollongong, New South Wales Australia"}]},{"given":"Vito","family":"Mollica","sequence":"additional","affiliation":[{"name":"Vito Mollica and Zeyang Zhou are at the Macquarie University Macquarie Park, New South Wales Australia"}]},{"given":"Maria Grazia","family":"Romano","sequence":"additional","affiliation":[{"name":"Maria Grazia Romano is at the Universita\u2019 di Salerno Salerno Italy"}]},{"given":"Zeyang","family":"Zhou","sequence":"additional","affiliation":[{"name":"Vito Mollica and Zeyang Zhou are at the Macquarie University Macquarie Park, New South Wales Australia"}]}],"member":"311","published-online":{"date-parts":[[2016,11,9]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2041-6156.2010.01016.x"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676223"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90029-B"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(04)00048-2"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.002"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00063-0"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90003-T"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04053.x"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04819.x"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00651.x"},{"key":"e_1_2_10_12_1","unstructured":"Chordia T. Green T. C. &Kottimukkalur B. (2015). Do high frequency traders need to be regulated? Evidence from algorithmic trading on macro news. Available at:http:\/\/www.bus.emory.edu\/cgreen\/docs\/Chordia Green Kottimukkalur_WP2015.pdf."},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90029-8"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01240.x"},{"key":"e_1_2_10_15_1","first-page":"25","article-title":"Transaction fees and trading strategies in financial markets","volume":"111","author":"Frino A.","year":"2013","journal-title":"Studi Economici"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20184"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90004-3"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(90)90013-P"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00985.x"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(82)90046-1"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2012.11.005"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.4.1153"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/295444"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21822","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21822","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21822","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T07:54:27Z","timestamp":1694678067000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21822"}},"issued":{"date-parts":[[2016,11,9]]},"references-count":24,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2017,4]]}},"alternative-id":["10.1002\/fut.21822"],"URL":"https:\/\/doi.org\/10.1002\/fut.21822","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,11,9]]}},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T15:34:11Z","timestamp":1759937651696},"reference-count":16,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5807,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,10]]},"DOI":"10.1002\/fut.3990100510","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:46:51Z","timestamp":1183646811000},"page":"541-554","source":"Crossref","is-referenced-by-count":40,"title":["Margin requirements in futures markets: Their relationship to price volatility"],"prefix":"10.1002","volume":"10","author":[{"given":"Raymond P. H.","family":"Fishe","sequence":"first","affiliation":[]},{"given":"Lawrence G.","family":"Goldberg","sequence":"additional","affiliation":[]},{"given":"Thomas F.","family":"Gosnell","sequence":"additional","affiliation":[]},{"given":"Sujata","family":"Sinha","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"68","volume-title":"Research on Speculation\u2010Seminar Report","author":"Brinkman Walter","year":"1981"},{"key":"e_1_2_1_3_1","unstructured":"Donovan Thomas R.(1983 April):Appendix A to the Comments of the Board of Trade of the City of Chicago."},{"key":"e_1_2_1_4_1","volume-title":"Margins and Market Integrity: Margin Setting for Stock Index Futures and Options","author":"Figlewski Stephen","year":"1984"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060208"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/296330"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/296343"},{"key":"e_1_2_1_8_1","volume-title":"Economics of Futures Trading for Commercial and Personal Profit","author":"Hieronymus T. A.","year":"1971"},{"key":"e_1_2_1_9_1","unstructured":"Irwin Scott andPeck Anna E(1984 ): March \u201cMargins on Futures Markets: Contract Security and Pricing Performance \u201d mimeograph."},{"key":"e_1_2_1_10_1","unstructured":"Kuhn B. A.(1976): \u201cEstimation Model for Futures Contract Margin Requirements \u201d unpublished doctoral dissertation Stanford University."},{"key":"e_1_2_1_11_1","volume-title":"The Determinants of Speculative Margin Requirements","author":"Kuhn Betsey","year":"1974"},{"key":"e_1_2_1_12_1","unstructured":"McCain W. G.(1969):An Empirical Investigation into the Effects of Margin Requirements in Orgainized Community Markets doctoral dissertation Stanford University."},{"key":"e_1_2_1_13_1","volume-title":"Margins, Speculative, and Prices in Grain Futures Markets","author":"Nathan Robert R.","year":"1967"},{"key":"e_1_2_1_14_1","unstructured":"Rutz Roger(1984): \u201cThe Economics of Performance\u2010Margins in Futures Markets \u201d unpublished."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010213"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"Telser Lester andHiginbotham Harlow H(1977 ): October \u201cOrganized Futures Markets: Costs and Benefits \u201d Journal of Political Economy 969\u20131000.","DOI":"10.1086\/260617"},{"key":"e_1_2_1_17_1","first-page":"143","volume-title":"Futures Markets: Regulatory Issues","author":"Tomek William G.","year":"1985"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100510","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100510","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:14:57Z","timestamp":1697991297000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100510"}},"issued":{"date-parts":[[1990,10]]},"references-count":16,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1990,10]]}},"alternative-id":["10.1002\/fut.3990100510"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100510","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,10]]}},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T15:26:21Z","timestamp":1759937181339},"reference-count":31,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5967,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,5]]},"DOI":"10.1002\/(sici)1096-9934(199905)19:3<307::aid-fut4>3.0.co;2-5","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:29:29Z","timestamp":1030296569000},"page":"307-324","source":"Crossref","is-referenced-by-count":32,"title":["The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis"],"prefix":"10.1002","volume":"19","author":[{"given":"David K.","family":"Ding","sequence":"first","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1093\/rfs\/1.1.3","volume":"1","author":"Admati","year":"1988","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB2","doi-asserted-by":"crossref","first-page":"367","DOI":"10.1016\/0304-3932(77)90029-0","volume":"3","author":"Allen","year":"1977","journal-title":"Journal of Monetary Economics"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB3","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1016\/0304-405X(74)90014-2","volume":"1","author":"Benston","year":"1974","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB4","doi-asserted-by":"crossref","first-page":"485","DOI":"10.1111\/j.1465-7295.1988.tb01510.x","volume":"26","author":"Boothe","year":"1988","journal-title":"Economic Inquiry"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB5","doi-asserted-by":"crossref","first-page":"513","DOI":"10.1093\/rfs\/4.3.513","volume":"4","author":"Bossaerts","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB6","doi-asserted-by":"crossref","first-page":"219","DOI":"10.2307\/2330882","volume":"23","author":"Choi","year":"1988","journal-title":"Journal and Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB7","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1007\/BF00290794","volume":"6","author":"Chu","year":"1996","journal-title":"Review of Quantitative Finance and Accounting"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB8","doi-asserted-by":"crossref","first-page":"1457","DOI":"10.1111\/j.1540-6261.1983.tb03834.x","volume":"38","author":"Copeland","year":"1983","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB9","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2307\/1882244","volume":"82","author":"Demsetz","year":"1968","journal-title":"Quarterly Journal of Economics"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB10","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1016\/0304-405X(87)90029-8","volume":"19","author":"Easley","year":"1987","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB11","doi-asserted-by":"crossref","first-page":"409","DOI":"10.2307\/2330488","volume":"10","author":"Fieleke","year":"1975","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB12","doi-asserted-by":"crossref","first-page":"577","DOI":"10.1111\/j.1540-6261.1979.tb02126.x","volume":"34","author":"Garbade","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB13","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1086\/296072","volume":"53","author":"Garman","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB14","doi-asserted-by":"crossref","first-page":"623","DOI":"10.1093\/rfs\/4.4.623","volume":"4","author":"George","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB15","doi-asserted-by":"crossref","first-page":"479","DOI":"10.1016\/0261-5606(87)90024-6","volume":"6","author":"Glassman","year":"1987","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB16","doi-asserted-by":"crossref","first-page":"1293","DOI":"10.1111\/j.1540-6261.1987.tb04367.x","volume":"42","author":"Glosten","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB17","doi-asserted-by":"crossref","first-page":"211","DOI":"10.1086\/296460","volume":"62","author":"Glosten","year":"1989","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB18","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1016\/0304-405X(88)90034-7","volume":"21","author":"Glosten","year":"1988","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB19","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1016\/0304-405X(85)90044-3","volume":"14","author":"Glosten","year":"1985","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB20","doi-asserted-by":"crossref","first-page":"697","DOI":"10.1016\/0378-4266(89)90038-1","volume":"13","author":"Haller","year":"1989","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB21","doi-asserted-by":"crossref","first-page":"543","DOI":"10.1093\/rfs\/4.3.543","volume":"4","author":"Harvey","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB22","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","volume":"53","author":"Kyle","year":"1985","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB23","doi-asserted-by":"crossref","first-page":"621","DOI":"10.1002\/fut.3990120603","volume":"12","author":"Laux","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB24","doi-asserted-by":"crossref","first-page":"219","DOI":"10.1007\/BF01076997","volume":"4","author":"Laux","year":"1994","journal-title":"Review of Quantitative Finance and Accounting"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB25","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1002\/fut.3990120504","volume":"12","author":"Ma","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB26","doi-asserted-by":"crossref","first-page":"753","DOI":"10.1111\/j.1540-6261.1992.tb04408.x","volume":"47","author":"McInish","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB27","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1111\/j.1465-7295.1982.tb01157.x","volume":"20","author":"Overturf","year":"1982","journal-title":"Economic Inquiry"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB28","doi-asserted-by":"crossref","first-page":"1127","DOI":"10.1111\/j.1540-6261.1984.tb03897.x","volume":"39","author":"Roll","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB29","doi-asserted-by":"crossref","first-page":"350","DOI":"10.2307\/2330413","volume":"11","author":"Stoll","year":"1976","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB30","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1111\/j.1540-6261.1989.tb02407.x","volume":"44","author":"Stoll","year":"1989","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5-BIB31","first-page":"621","volume":"12","author":"Wang","year":"1994","journal-title":"The Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199905)19:3%3C307::AID-FUT4%3E3.0.CO;2-5","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199905)19:3%3C307::AID-FUT4%3E3.0.CO;2-5","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:25:10Z","timestamp":1625135110000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5"}},"issued":{"date-parts":[[1999,5]]},"references-count":31,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1999,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199905)19:3<307::aid-fut4>3.0.co;2-5","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,5]]}},{"indexed":{"date-parts":[[2025,10,7]],"date-time":"2025-10-07T14:26:29Z","timestamp":1759847189389},"reference-count":16,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8394,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,9]]},"DOI":"10.1002\/fut.3990030306","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:59:29Z","timestamp":1183589969000},"page":"307-319","source":"Crossref","is-referenced-by-count":13,"title":["The forward pricing efficiency of the live cattle futures market"],"prefix":"10.1002","volume":"3","author":[{"given":"G. D.","family":"Koppenhaver","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1975.tb01020.x"},{"key":"e_1_2_1_3_1","volume-title":"Commodity Yearbook","year":"1969"},{"key":"e_1_2_1_4_1","volume-title":"Databook","year":"1974"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260509"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/258467"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010307"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239555"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb01318.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238755"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239556"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010308"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913738"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"},{"key":"e_1_2_1_17_1","volume-title":"Cattle on Feed","author":"United States Department of Agriculture"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030306","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030306","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T00:49:16Z","timestamp":1697762956000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030306"}},"issued":{"date-parts":[[1983,9]]},"references-count":16,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1983,9]]}},"alternative-id":["10.1002\/fut.3990030306"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030306","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,9]]}},{"indexed":{"date-parts":[[2026,3,3]],"date-time":"2026-03-03T05:34:08Z","timestamp":1772516048603,"version":"3.50.1"},"reference-count":21,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2002,6,3]],"date-time":"2002-06-03T00:00:00Z","timestamp":1023062400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,8]]},"abstract":"Abstract<\/jats:title>This article addresses a misconception in the literature concerning the valuation of warrants when a warrant is\ntreated as an option on the stock of the underlying firm. The magnitude and timing of the impact of a warrant\nissue on the underlying stock price and on the wealth of the firm's shareholders is examined within a\ncontinuous\u2010time arbitrage\u2010free economy. In particular, it is shown that the stock price of the\nunderlying firm conditionally reflects dilution at all times following the announcement of a warrant issue and\nnotwithstanding that the warrants might not even have been issued yet. Valuing a warrant or convertible security\nas an option on the post\u2010announcement underlying stock price means there is no need for any\nexplicit<\/jats:italic> adjustment for dilution to be made to the chosen option pricing model. \u00a9 2002 Wiley\nPeriodicals, Inc. Jrl Fut Mark 22:765\u2013782, 2002<\/jats:p>","DOI":"10.1002\/fut.10032","type":"journal-article","created":{"date-parts":[[2002,10,6]],"date-time":"2002-10-06T11:25:39Z","timestamp":1033903539000},"page":"765-782","source":"Crossref","is-referenced-by-count":21,"title":["On the valuation of warrants"],"prefix":"10.1002","volume":"22","author":[{"given":"John C.","family":"Handley","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,6,3]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"1","article-title":"Black\u2013Scholes\napproximations of warrant prices","volume":"8","author":"Bensoussan A.","year":"1995","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","volume-title":"Principles of corporate finance","author":"Brealey R. A.","year":"1996"},{"key":"e_1_2_1_5_1","first-page":"203","article-title":"Warrant valuation and equity volatility","volume":"5","author":"Crouhy M.","year":"1991","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_6_1","volume-title":"Dynamic asset pricing theory","author":"Duffie D.","year":"1996"},{"key":"e_1_2_1_7_1","volume-title":"Stochastic calculus and applications","author":"Elliott R. J.","year":"1982"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb03423.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009744816785"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90022-9"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1996.407970"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(85)90061-4"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4068(85)90001-1"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr.2001.76.4.589"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331289"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb02432.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1990.tb00539.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00030-1"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v52.n5.2027"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90040-X"},{"key":"e_1_2_1_22_1","volume-title":"Option pricing:\nMathematical models and computation","author":"Wilmott P.","year":"1993"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10032","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10032","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T08:46:10Z","timestamp":1700297170000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10032"}},"issued":{"date-parts":[[2002,6,3]]},"references-count":21,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2002,8]]}},"alternative-id":["10.1002\/fut.10032"],"URL":"https:\/\/doi.org\/10.1002\/fut.10032","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,6,3]]}},{"indexed":{"date-parts":[[2026,3,7]],"date-time":"2026-03-07T00:40:42Z","timestamp":1772844042583,"version":"3.50.1"},"reference-count":40,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,7]],"date-time":"2006-08-07T00:00:00Z","timestamp":1154908800000},"content-version":"vor","delay-in-days":9198,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,6]]},"DOI":"10.1002\/fut.3990010216","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:48:50Z","timestamp":1183578530000},"page":"265-286","source":"Crossref","is-referenced-by-count":23,"title":["The economics of hedging and spreading in futures markets"],"prefix":"10.1002","volume":"1","author":[{"given":"Myron S.","family":"Scholes","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,7]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Arthur Andersen & Co.(1979): \u201cInterest rate futures contracts federal income tax implications \u201d International Monetary Market Chicago Mercantile Exchange."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Bodie Z. andRosansky V.(1980): \u201cRisk and return in futures markets \u201dFinancial Analysts Journal(May\/June).","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_6_1","unstructured":"Breeden D. T.(1978): \u201cRisk and taxes in gold and silver futures spreads \u201d University of Chicago mimeo September."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90016-3"},{"issue":"2","key":"e_1_2_1_8_1","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1980.tb02182.x","article-title":"Consumption risks in futures markets","volume":"35","author":"Breeden D. T.","year":"1980","journal-title":"Journal of Finance"},{"key":"e_1_2_1_9_1","unstructured":"Brennan M. J.(1958): \u201cThe supply of storage \u201dAmerican Economic Review March."},{"key":"e_1_2_1_10_1","unstructured":"Constantinides G. M.(1980): \u201cCapital market equilibrium with personal tax \u201d WP 33 Center for Research in Security Prices Graduate School of Business University of Chicago January."},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1980.tb02174.x","article-title":"Optimal liquidation of assets in the presence of personal taxes: implications for asset pricing","volume":"35","author":"Constantinides G. M.","year":"1980","journal-title":"Journal of Finance"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Cootner P. H.(1960): \u201cReturns to speculators: Telser vs. Keynes \u201dJournal of Political Economy August.","DOI":"10.1086\/258347"},{"key":"e_1_2_1_13_1","article-title":"Speculation and hedging","author":"Cootner P. H.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_14_1","unstructured":"Cox J. Ingersoll J. andRoss S.(1978): \u201cA theory of the term structure of interest rates \u201d Research Paper No. 468 Graduate School of Business\u2014Stanford University August."},{"key":"e_1_2_1_15_1","volume-title":"The relationship between forward prices and future prices","author":"Cox J.","year":"1980"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_17_1","first-page":"1","article-title":"The pricing of commodity futures contracts, nominal bonds and other risky assets under commodity price uncertainty","volume":"31","author":"Grauer F. L. A.","year":"1979","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_18_1","unstructured":"Houthakker H. S.(1953): \u201cCommodity futures I: static theory \u201dCowles Commission Discussion Paper: Economics 2089 November."},{"key":"e_1_2_1_19_1","unstructured":"Houthakker H. S.(1957): \u201cRestatement of the theory of normal backwardation \u201dCowles Foundation Discussion Paper No. 44."},{"key":"e_1_2_1_20_1","unstructured":"Houthakker H. S. andTelser L. G.(1953): \u201cCommodity futures II: gains and losses of hedgers and futures speculators \u201dCowles Commission Discussion Paper: Economics 2090 December."},{"key":"e_1_2_1_21_1","unstructured":"Keynes J. M.(1923): \u201cSome aspects of commodity markets \u201dManchester Guardian Commercial: European Reconstruction Series Section 13."},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Leuthold R. H.(1974): \u201cThe price performance on the futures market of nonstorable commodity: live beef cattle \u201dAmerican Journal of Agricultural Economics May.","DOI":"10.2307\/1238755"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90009-0"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1886041"},{"key":"e_1_2_1_25_1","doi-asserted-by":"crossref","unstructured":"Richard S. F.(1978): \u201cAn arbitrage model of the term structure of interest rates \u201dJournal of Financial Economics March.","DOI":"10.1016\/0304-405X(78)90019-3"},{"key":"e_1_2_1_26_1","unstructured":"Richard S. F. andSundaresan M.(1980): \u201cA continuous time equilibrium model of forward prices and futures prices in a multigood economy \u201d Working Paper No. 37\u201080 Graduate School of Industrial Administration Carnegie\u2010Mellon University November."},{"issue":"3","key":"e_1_2_1_27_1","article-title":"Hedgers' demand for futures contracts: a theoretical framework with applications to the U.S. soybean complex","volume":"10","author":"Rutledge D. J. S.","year":"1972","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936017"},{"key":"e_1_2_1_29_1","unstructured":"Samuelson P. A.(1945): \u201cThe effect of interest rates increases on the banking system \u201dAmerican Economic Review March."},{"issue":"2","key":"e_1_2_1_30_1","article-title":"Intertemporal price equilibrium: a prologue to the theory of speculation","author":"Samuelson P. A.","year":"1957","journal-title":"Weltwirtschaftliches"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936018"},{"issue":"3","key":"e_1_2_1_32_1","article-title":"Capital asset prices: a theory of market equilibrium under conditions of risk","volume":"19","author":"Sharpe W.","year":"1964","journal-title":"Journal of Finance"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296146"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_35_1","article-title":"The supply of speculative services in wheat, corn and soybeans","author":"Telser L. G.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1086\/260617"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"},{"key":"e_1_2_1_38_1","unstructured":"Working Holbrook(1949): \u201cThe theory of the price of storage \u201dAmerican Economic Review December."},{"key":"e_1_2_1_39_1","unstructured":"Working Holbrook(1953a): \u201cFutures Trading and Hedging \u201dAmerican Economic Review June."},{"key":"e_1_2_1_40_1","doi-asserted-by":"crossref","unstructured":"Working Holbrook(1953b): \u201cHedging reconsidered \u201dJournal of Farm Economics November.","DOI":"10.2307\/1233368"},{"key":"e_1_2_1_41_1","doi-asserted-by":"crossref","unstructured":"Working Holbrook(1954): \u201cWhose markets? evidence on some aspects of futures trading \u201dJournal of Marketing July.","DOI":"10.2307\/1246888"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010216","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010216","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:33:09Z","timestamp":1699785189000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010216"}},"issued":{"date-parts":[[1981,6]]},"references-count":40,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1981,6]]}},"alternative-id":["10.1002\/fut.3990010216"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010216","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,6]]}},{"indexed":{"date-parts":[[2026,3,7]],"date-time":"2026-03-07T00:51:38Z","timestamp":1772844698001,"version":"3.50.1"},"reference-count":13,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1791,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,7]]},"DOI":"10.1002\/fut.20489","type":"journal-article","created":{"date-parts":[[2010,10,6]],"date-time":"2010-10-06T19:20:22Z","timestamp":1286392822000},"page":"629-658","source":"Crossref","is-referenced-by-count":20,"title":["Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998"],"prefix":"10.1002","volume":"31","author":[{"given":"Charles","family":"Cao","sequence":"first","affiliation":[]},{"given":"Eric","family":"Ghysels","sequence":"additional","affiliation":[]},{"given":"Frank","family":"Hatheway","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,10,6]]},"reference":[{"key":"10.1002\/fut.20489-BIB1|cit1","doi-asserted-by":"crossref","first-page":"365","DOI":"10.1016\/S1386-4181(00)00011-2","article-title":"Investor risk evaluation in the determination of management incentives in the mutual fund industry","volume":"3","author":"Berkowitz","year":"2000","journal-title":"Journal of Financial Markets"},{"key":"10.1002\/fut.20489-BIB2|cit2","doi-asserted-by":"crossref","first-page":"85","DOI":"10.2307\/2329303","article-title":"Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry","volume":"51","author":"Brown","year":"1996","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20489-BIB3|cit3","doi-asserted-by":"crossref","first-page":"1167","DOI":"10.1086\/516389","article-title":"Risk taking by mutual funds as a response to incentives","volume":"105","author":"Chevalier","year":"1997","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20489-BIB4|cit4","volume-title":"Practical nonparametric statistics","author":"Conover","year":"1980"},{"key":"10.1002\/fut.20489-BIB5|cit5","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1016\/S0304-405X(01)00090-3","article-title":"Contracting in the closed-end fund industry: Retaining the option to invest in derivative securities","volume":"69","author":"Deli","year":"2002","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20489-BIB6|cit6","volume-title":"Theory of rank tests","author":"H\u00e1jek","year":"1967"},{"key":"10.1002\/fut.20489-BIB7|cit7","doi-asserted-by":"crossref","first-page":"513","DOI":"10.1086\/296144","article-title":"On market timing and investment performance II: Statistical procedures for evaluating forecasting skills","volume":"54","author":"Henriksson","year":"1981","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20489-BIB8|cit8","volume-title":"1998 Survey of risk management practices by U.S. Institutional Investors (working paper)","author":"Levich","year":"1999"},{"key":"10.1002\/fut.20489-BIB9|cit9","doi-asserted-by":"crossref","first-page":"791","DOI":"10.1111\/0022-1082.00126","article-title":"How are derivatives used? Evidence from the mutual fund industry","volume":"54","author":"Lynch-Koski","year":"1999","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20489-BIB10|cit10","doi-asserted-by":"crossref","first-page":"183","DOI":"10.1086\/295995","article-title":"The returns and risk of alternative call option investment strategies","volume":"51","author":"Merton","year":"1978","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20489-BIB11|cit11","doi-asserted-by":"crossref","first-page":"1589","DOI":"10.1111\/0022-1082.00066","article-title":"Costly search and mutual fund flows","volume":"53","author":"Sirri","year":"1998","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20489-BIB12|cit12","first-page":"224","article-title":"Futures and options on a stock indexes: Economic purpose, arbitrage, and market structure","volume":"7","author":"Stoll","year":"1988","journal-title":"Review of Futures Markets"},{"key":"10.1002\/fut.20489-BIB13|cit13","volume-title":"The handbook of modern finance","author":"Stulz","year":"1996"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20489","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/onlinelibrary.wiley.com\/wol1\/doi\/10.1002\/fut.20489\/fullpdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:19:49Z","timestamp":1625163589000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20489"}},"issued":{"date-parts":[[2010,10,6]]},"references-count":13,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2011,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20489","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2010,10,6]]}},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T16:53:57Z","timestamp":1772816037892,"version":"3.50.1"},"reference-count":18,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2016,2,15]],"date-time":"2016-02-15T00:00:00Z","timestamp":1455494400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,6]]},"abstract":"We develop a structural model for the price formation and liquidity supply of an asset. Our model facilitates decompositions of both the bid\u2013ask spread and the return variance into components related to adverse selection, inventory, and order processing costs. Furthermore, the model shows how the fragmentation of trading volume across trading venues influences inventory pressure and price discovery. We use the model to analyze intraday price formation for gold futures traded at the Shanghai Futures Exchange. We find that order processing costs explain about 50% of the futures bid\u2013ask spread, whereas the remaining 50% is equally due to asymmetric information and to inventory costs. About a third of the variance in futures returns is attributable to microstructure noise. Trading at the spot market has a significant influence on futures price discovery, but only a limited impact on the futures bid\u2013ask spread. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:545\u2013563, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21776","type":"journal-article","created":{"date-parts":[[2016,2,16]],"date-time":"2016-02-16T06:16:50Z","timestamp":1455603410000},"page":"545-563","source":"Crossref","is-referenced-by-count":9,"title":["Components of the Bid\u2013Ask Spread and Variance: A Unified Approach"],"prefix":"10.1002","volume":"36","author":[{"given":"Bj\u00f6rn","family":"Hagstr\u00f6mer","sequence":"first","affiliation":[{"name":"Bj\u00f6rn Hagstr\u00f6mer and Lars L. Nord\u00e9n are at Stockholm Business School Stockholm University Sweden"}]},{"given":"Richard","family":"Henricsson","sequence":"additional","affiliation":[{"name":"Richard Henricsson is at Swedbank Stockholm Sweden"}]},{"given":"Lars L.","family":"Nord\u00e9n","sequence":"additional","affiliation":[{"name":"Bj\u00f6rn Hagstr\u00f6mer and Lars L. Nord\u00e9n are at Stockholm Business School Stockholm University Sweden"}]}],"member":"311","published-online":{"date-parts":[[2016,2,15]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90020-3"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.12.011"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90034-7"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_6_6_1","unstructured":"Grammig J. Thiessen E. &W\u00fcnsche O.(2011). Time and the price impact of a trade: A structural approach. Working paper University of Mannheim and University of T\u00fcbingen."},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330746"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.995"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp015"},{"key":"e_1_2_6_12_1","doi-asserted-by":"crossref","unstructured":"Kim S. &Murphy D.(2013). The impact of high\u2010frequency trading on stock market liquidity measures. Working paper Kellogg School of Management Northwestern University.","DOI":"10.2139\/ssrn.2278428"},{"key":"e_1_2_6_13_1","unstructured":"Korenok O. Mizrach B. &Radchenko S.(2011). A structural approach to information shares. Working paper Department of Economics Rutgers University."},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.1035"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.01.003"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20533"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.04.005"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb02053.x"},{"key":"e_1_2_6_19_1","first-page":"247","article-title":"Alchemy in the 21st century: Hedging with gold futures","volume":"19","author":"Xu C.","year":"2011","journal-title":"Review of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21776","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21776","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T07:36:02Z","timestamp":1696577762000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21776"}},"issued":{"date-parts":[[2016,2,15]]},"references-count":18,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2016,6]]}},"alternative-id":["10.1002\/fut.21776"],"URL":"https:\/\/doi.org\/10.1002\/fut.21776","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,2,15]]}},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T01:37:08Z","timestamp":1773193028874,"version":"3.50.1"},"reference-count":29,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2019,2,18]],"date-time":"2019-02-18T00:00:00Z","timestamp":1550448000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,7]]},"abstract":"Abstract<\/jats:title>In December 2017, both the Chicago Board Options Exchange and the Chicago Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995,\u00a0J Finance<\/jats:italic>, 50, pp. 1175\u20131199) and Gonzalo and Granger (1995, J Bus Econ Stat, 13, pp. 27\u201335) and find that the spot price leads the futures price. We attribute this result to the higher trading volume and the longer trading hours of the globally distributed bitcoin spot market, compared to the relatively restricted access to the US\u2010based futures markets.<\/jats:p>","DOI":"10.1002\/fut.22004","type":"journal-article","created":{"date-parts":[[2019,2,19]],"date-time":"2019-02-19T04:05:14Z","timestamp":1550549114000},"page":"803-817","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":121,"title":["Price discovery in bitcoin spot or futures?"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0185-0424","authenticated-orcid":false,"given":"Dirk G.","family":"Baur","sequence":"first","affiliation":[{"name":"Accounting and Finance Department, University of Western Australia Business School Perth Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3415-7412","authenticated-orcid":false,"given":"Thomas","family":"Dimpfl","sequence":"additional","affiliation":[{"name":"Department of Statistics and Econometrics Faculty of Economics and Social Sciences, University of T\u00fcbingen T\u00fcbingen Germany"}]}],"member":"311","published-online":{"date-parts":[[2019,2,18]]},"reference":[{"key":"e_1_2_7_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_7_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00798.x"},{"key":"e_1_2_7_1_4_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.29.2.213"},{"key":"e_1_2_7_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_7_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2015.02.010"},{"key":"e_1_2_7_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20352"},{"key":"e_1_2_7_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.06.013"},{"key":"e_1_2_7_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.07.031"},{"key":"e_1_2_7_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2017.01.002"},{"key":"e_1_2_7_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_7_1_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000215"},{"key":"e_1_2_7_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.10.004"},{"key":"e_1_2_7_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_7_1_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000849"},{"key":"e_1_2_7_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21775"},{"key":"e_1_2_7_1_17_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800002856"},{"key":"e_1_2_7_1_18_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2776581"},{"key":"e_1_2_7_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_7_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(92)90025-W"},{"key":"e_1_2_7_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00025-3"},{"key":"e_1_2_7_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20356"},{"key":"e_1_2_7_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.001"},{"key":"e_1_2_7_1_24_1","volume-title":"Bitcoin: A peer\u2010to\u2010peer electronic cash system","author":"Nakamoto S.","year":"2008"},{"key":"e_1_2_7_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2007.00427.x"},{"key":"e_1_2_7_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.004"},{"key":"e_1_2_7_1_27_1","unstructured":"Shiller R. J.(2017 December 15). What is bitcoin really worth? don t even ask.The New York Times. Retrieved fromhttps:\/\/www.nytimes.com\/2017\/12\/15\/business\/bitcoin\u2010investing.html"},{"key":"e_1_2_7_1_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2011.601643"},{"key":"e_1_2_7_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.003"},{"key":"e_1_2_7_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200103)21:3<279::AID-FUT5>3.0.CO;2-L"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22004","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22004","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22004","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22004","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T16:18:23Z","timestamp":1694362703000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22004"}},"issued":{"date-parts":[[2019,2,18]]},"references-count":29,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2019,7]]}},"alternative-id":["10.1002\/fut.22004"],"URL":"https:\/\/doi.org\/10.1002\/fut.22004","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,2,18]]},"assertion":[{"value":"2018-05-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-01-31","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-02-18","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:08:49Z","timestamp":1762520929458},"reference-count":25,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5875,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,8]]},"DOI":"10.1002\/(sici)1096-9934(199908)19:5<603::aid-fut6>3.0.co;2-u","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T19:30:55Z","timestamp":1100460655000},"page":"603-618","source":"Crossref","is-referenced-by-count":20,"title":["A reappraisal of the forecasting performance of corn and soybean new crop futures"],"prefix":"10.1002","volume":"19","author":[{"given":"Carl R.","family":"Zulauf","sequence":"first","affiliation":[]},{"given":"Scott H.","family":"Irwin","sequence":"additional","affiliation":[]},{"given":"Jason E.","family":"Ropp","sequence":"additional","affiliation":[]},{"given":"Anthony J.","family":"Sberna","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB1","doi-asserted-by":"crossref","first-page":"661","DOI":"10.2307\/1242021","volume":"71","author":"Ardeni","year":"1989","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB2","doi-asserted-by":"crossref","first-page":"245","DOI":"10.2307\/2331268","volume":"26","author":"Barnhart","year":"1991","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB3","doi-asserted-by":"crossref","first-page":"249","DOI":"10.1080\/00036849400000006","volume":"26","author":"Beck","year":"1994","journal-title":"Applied Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB4","doi-asserted-by":"crossref","DOI":"10.1515\/9781400830213","volume-title":"The econometrics of financial markets","author":"Campbell","year":"1997","unstructured":"& (1997). The econometrics of financial markets, Princeton, NJ: Princeton University Press."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB5","first-page":"27","volume":"8","author":"Chavas","year":"1983","journal-title":"Western Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB6","doi-asserted-by":"crossref","first-page":"701","DOI":"10.2307\/1243040","volume":"72","author":"Eales","year":"1990","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB7","doi-asserted-by":"crossref","first-page":"365","DOI":"10.1002\/fut.3990080309","volume":"8","author":"Elam","year":"1988","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB8","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1086\/296385","volume":"60","author":"Fama","year":"1987","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB9","doi-asserted-by":"crossref","first-page":"81","DOI":"10.2307\/1238581","volume":"58","author":"Gardner","year":"1976","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB10","doi-asserted-by":"crossref","first-page":"361","DOI":"10.2307\/1237464","volume":"53","author":"Heifner","year":"1971","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB11","doi-asserted-by":"crossref","first-page":"565","DOI":"10.2307\/1240651","volume":"64","author":"Hurt","year":"1982","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB12","volume-title":"Econometric methods","author":"Johnston","year":"1972","unstructured":"(1972). Econometric methods (2nd edition), New York: McGraw-Hill."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB13","doi-asserted-by":"crossref","first-page":"399","DOI":"10.2307\/1242924","volume":"75","author":"Kenyon","year":"1993","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB14","doi-asserted-by":"crossref","first-page":"584","DOI":"10.2307\/1238343","volume":"55","author":"Kofi","year":"1973","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB15","doi-asserted-by":"crossref","first-page":"319","DOI":"10.2307\/1243542","volume":"77","author":"McGuirk","year":"1995","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB16","author":"Nelson","year":"1996","unstructured":"& (1996). Provisions for the Federal Agricultural Improvement and Reform Act of 1996. U.S. Department of Agriculture, Economic Research Service, Agriculture Information Bulletin No. 729 (September)."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB17","doi-asserted-by":"crossref","first-page":"9","DOI":"10.1007\/978-1-4899-4515-0_2","volume-title":"Developments in time series analysis: In honour of Maurice B. Priestley","author":"Newbold","year":"1993","unstructured":"& (1993). Long-term inference based on short-term, forecasting models (pp. 9-25). In (Ed.), Developments in time series analysis: In honour of Maurice B. Priestley, London: Chapman and Hall."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB18","doi-asserted-by":"crossref","first-page":"653","DOI":"10.1080\/000368496328399","volume":"28","author":"Newbold","year":"1996","journal-title":"Applied Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB20","volume-title":"SHAZAM","year":"1997","unstructured":"SHAZAM. (1997). User's reference manual version 8.0, New York: McGraw-Hill."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB21","doi-asserted-by":"crossref","first-page":"223","DOI":"10.2307\/1924093","volume":"63","author":"Stein","year":"1981","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB22","doi-asserted-by":"crossref","first-page":"23","DOI":"10.2307\/1349677","volume":"19","author":"Tomek","year":"1997","journal-title":"Review of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB23","doi-asserted-by":"crossref","first-page":"372","DOI":"10.2307\/1237388","volume":"52","author":"Tomek","year":"1970","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB24","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511571855","volume-title":"Storage and commodity markets","author":"Williams","year":"1991","unstructured":"& (1991). Storage and commodity markets, Cambridge: Cambridge University Press."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB25","author":"Wisner","year":"1997","unstructured":"& (1997). Can pre-harvest marketing strategies increase net returns for corn and soybean growers? Proceedings of NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, Chicago, Illinois, April 21-22, 1997, 26-41."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U-BIB26","author":"Zulauf","year":"1997","unstructured":"& (1997). Market efficiency and marketing to enhance income of crop producers. Proceedings of NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, Chicago, Illinois, April 21-22, 1997, 1-25."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199908)19:5%3C603::AID-FUT6%3E3.0.CO;2-U","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199908)19:5%3C603::AID-FUT6%3E3.0.CO;2-U","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:28:14Z","timestamp":1625131694000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U"}},"issued":{"date-parts":[[1999,8]]},"references-count":25,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1999,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199908)19:5<603::aid-fut6>3.0.co;2-u","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,8]]}},{"indexed":{"date-parts":[[2025,11,5]],"date-time":"2025-11-05T20:56:13Z","timestamp":1762376173319},"reference-count":49,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2016,12,28]],"date-time":"2016-12-28T00:00:00Z","timestamp":1482883200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,7]]},"abstract":"This paper examines whether investor sentiment can predict credit default swap (CDS) spread changes. Among several proxies for investor sentiment, change in equity put\u2013call ratio performs best in predicting variation in CDS spread changes in both firm\u2010 and portfolio\u2010level regressions; in particular, the explanatory power of this proxy is greater for non\u2010investment\u2010grade firms than for investment\u2010grade firms. More importantly, sentiment may be a critical factor in determining CDS spread changes during the global financial crisis and may best explain the differences in CDS spread in the group of firms whose leverage ratio and stock volatility are highest. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:660\u2013688, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21828","type":"journal-article","created":{"date-parts":[[2016,12,28]],"date-time":"2016-12-28T11:53:25Z","timestamp":1482926005000},"page":"660-688","source":"Crossref","is-referenced-by-count":14,"title":["Investor Sentiment and Credit Default Swap Spreads During the Global Financial Crisis"],"prefix":"10.1002","volume":"37","author":[{"given":"Jeehye","family":"Lee","sequence":"first","affiliation":[{"name":"Jeehye Lee is a graduate at Hankuk University of Foreign Studies Seoul Korea"}]},{"given":"Sol","family":"Kim","sequence":"additional","affiliation":[{"name":"Sol Kim is at College of Business, Hankuk University of Foreign Studies Seoul Korea"}]},{"given":"Yuen Jung","family":"Park","sequence":"additional","affiliation":[{"name":"Yuen Jung Park is at Department of Finance Hallym University Gangwon\u2010do Korea"}]}],"member":"311","published-online":{"date-parts":[[2016,12,28]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.08.002"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_8_4_1","first-page":"105","article-title":"Great realizations","volume":"13","author":"Andersen T. G.","year":"2000","journal-title":"Risk"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.17578\/4-3\/4-2"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803321455151"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v63.n2.4525"},{"key":"e_1_2_8_10_1","doi-asserted-by":"crossref","unstructured":"Baker M. &Wurgler J.(2007). Investor sentiment in the stock market. Working paper New York University.","DOI":"10.3386\/w13189"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.11.004"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.01.009"},{"key":"e_1_2_8_14_1","unstructured":"Cesare A. D. &Guazzarotti G.(2010). An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil. Working paper Bank of Italy."},{"key":"e_1_2_8_15_1","first-page":"1","article-title":"Information flow between the stock and option markets: Where do informed traders trade","volume":"14","author":"Chen C.","year":"2005","journal-title":"Review of Economics Studies"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296344"},{"key":"e_1_2_8_17_1","unstructured":"Chen Y. H. &Wang K.(2010). Option\u2010based sentiment measures and credit default swap spreads. Working paper National Chiao Tung University."},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00402"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2010.11.004"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.07.010"},{"key":"e_1_2_8_21_1","volume-title":"The European Central Bank: lender of last resort in the government bond markets","author":"De Grauwe P","year":"2012"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8462.2012.00691.x"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01495.x"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.011"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009090061"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04398.x"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_8_28_1","article-title":"Commodity markets, long\u2010run predictability and intertemporal pricing","author":"Fernandez\u2010Perez A.","year":"2015","journal-title":"Review of Finance"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.12.005"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2013.10.003"},{"key":"e_1_2_8_31_1","doi-asserted-by":"crossref","unstructured":"Greatrex C. A.(2008). The credit default swap market's determinants. Discussion paper series No. 2008\u201305 Department of Economics Fordham University.","DOI":"10.2139\/ssrn.1104887"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm071"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2290916"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2015.12.087"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21595"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21836"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04037.x"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.11.006"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01399.x"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1086\/374184"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01644-F"},{"key":"e_1_2_8_43_1","doi-asserted-by":"crossref","unstructured":"Qiu L. &Welch I.(2004). Investor sentiment measures. No. w10794. National Bureau of Economic Research.","DOI":"10.3386\/w10794"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2008.705542"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2015.03.002"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.001"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.05.018"},{"key":"e_1_2_8_48_1","unstructured":"Tang D. Y. &Yan H.(2013). What moves CDS spreads? Working paper University of South Carolina and Shanghai Advanced Institute of Finance."},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.10.011"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp004"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21828","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21828","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21828","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T03:49:42Z","timestamp":1696564182000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21828"}},"issued":{"date-parts":[[2016,12,28]]},"references-count":49,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2017,7]]}},"alternative-id":["10.1002\/fut.21828"],"URL":"https:\/\/doi.org\/10.1002\/fut.21828","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,12,28]]}},{"indexed":{"date-parts":[[2025,12,1]],"date-time":"2025-12-01T15:39:53Z","timestamp":1764603593985,"version":"3.37.3"},"reference-count":17,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2019,11,11]],"date-time":"2019-11-11T00:00:00Z","timestamp":1573430400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,5]]},"abstract":"Abstract<\/jats:title>Credit default swaps (CDS) have been used to speculate on the default risk of the reference entity. The risk of CDS can be measured by their second moments. We apply a Glosten, Jagannathan, and Runkle (GJR)\u2010t<\/jats:italic> model for the conditional variance and a Dynamic Conditional Correlation (DCC)\u2010t<\/jats:italic> model for the conditional correlation. Based on the CDS of six large US banks from 2002 to 2018, we find that CDS conditional variance is asymmetric and leptokurtic. A positive innovation actually increases CDS conditional variance more than a negative innovation does. CDS conditional correlations have stayed elevated since the financial crisis, in contrast to the decreasing stock conditional correlations.<\/jats:p>","DOI":"10.1002\/fut.22068","type":"journal-article","created":{"date-parts":[[2019,11,11]],"date-time":"2019-11-11T12:30:34Z","timestamp":1573475434000},"page":"710-721","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["The risk of betting on risk: Conditional variance and correlation of bank credit default swaps"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0993-4550","authenticated-orcid":false,"given":"Xin","family":"Huang","sequence":"first","affiliation":[{"name":"Risk Analysis Section Federal Reserve Board Washington District of Columbia"}]}],"member":"311","published-online":{"date-parts":[[2019,11,11]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1925546"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199549498.001.0001"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01416.x"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/8.4.537"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01202.x"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01495.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2003.11.002"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.3390\/risks7030090"},{"issue":"1","key":"e_1_2_9_14_1","first-page":"1","article-title":"Study of correlation impact on credit default swap margin using a GARCH\u2010DCC\u2010copula framework","volume":"8","author":"Li D.","year":"2019","journal-title":"Journal of Financial Market Infrastructures"},{"volume-title":"The CDS Big Bang: Understanding the changes to the global CDS contract and North American conventions","year":"2009","author":"Markit","key":"e_1_2_9_15_1"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_9_18_1","unstructured":"Data citation: [Daily CDS spreads and stock prices data for BAC C GS JPM MS and WFC] Daily CDS spreads data can be acquired with a fee athttps:\/\/products.markit.com\/home\/index.jsp. Daily stock prices data are publicly available athttps:\/\/finance.yahoo.com\/."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22068","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22068","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22068","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22068","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T01:39:26Z","timestamp":1694050766000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22068"}},"issued":{"date-parts":[[2019,11,11]]},"references-count":17,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2020,5]]}},"alternative-id":["10.1002\/fut.22068"],"URL":"https:\/\/doi.org\/10.1002\/fut.22068","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,11,11]]},"assertion":[{"value":"2019-10-10","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-10-11","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-11-11","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,23]],"date-time":"2025-12-23T19:01:56Z","timestamp":1766516516540},"reference-count":15,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2009,6,11]],"date-time":"2009-06-11T00:00:00Z","timestamp":1244678400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,8]]},"abstract":"Abstract<\/jats:title>We investigate the common practice of estimating the dependence structure between credit default swap prices on multi\u2010name credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for high\u2010yield instruments and that it may even be flawed for instruments containing only firms within a sector. To do this, we model individual credit ratings by univariate continuous time Markov chains, and their joint dynamics by copulas. The use of copulas allows us to incorporate our knowledge of the modeling of univariate processes, into a multivariate framework. However, our test and results are robust to the choice of copula. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:695\u2013712, 2009<\/jats:p>","DOI":"10.1002\/fut.20382","type":"journal-article","created":{"date-parts":[[2009,6,11]],"date-time":"2009-06-11T15:29:55Z","timestamp":1244734195000},"page":"695-712","source":"Crossref","is-referenced-by-count":13,"title":["Empirical evidence on the dependence of credit default swaps and equity prices"],"prefix":"10.1002","volume":"29","author":[{"given":"Debbie","family":"Dupuis","sequence":"first","affiliation":[]},{"given":"Eric","family":"Jacquier","sequence":"additional","affiliation":[]},{"given":"Nicolas","family":"Papageorgiou","sequence":"additional","affiliation":[]},{"given":"Bruno","family":"R\u00e9millard","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,6,11]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.05.003"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","first-page":"43","DOI":"10.21314\/JCF.2006.145","article-title":"Credit migration and derivatives pricing using copulas","volume":"10","author":"Berrada T.","year":"2006","journal-title":"Journal of Computational Finance"},{"key":"e_1_2_1_4_1","first-page":"1","article-title":"Credit default swaps and equity volatility: theoretical modelling and market evidence","author":"Consigli G.","year":"2004","journal-title":"Proceedings Workshop on Portfolio optimisation and option pricing, Department of Applied Mathematics of the University Ca'Foscari in Venice"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(99)00053-9"},{"key":"e_1_2_1_6_1","first-page":"633","article-title":"Risk and valuation of collateralized debt obligations","volume":"63","author":"Duffie D.","year":"2001","journal-title":"Financial Analyst's Journal"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2004.07.004"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1214\/07-AIHP148"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9469.2006.00470.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1111\/j.1540-6261.1995.tb05167.x","article-title":"Pricing derivatives on financial securities subject to credit risk","author":"Jarrow R. A.","year":"1995","journal-title":"Journal of Finance"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","first-page":"1765","DOI":"10.1111\/0022-1082.00389","article-title":"Counterparty risk and the pricing of defaultable securities","volume":"56","author":"Jarrow R. A.","journal-title":"Journal of Finance"},{"key":"e_1_2_1_12_1","first-page":"83","article-title":"On the dependence of equity and asset returns","volume":"16","author":"Mashal R.","year":"2003","journal-title":"Risk"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2005.11.005"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2008.05.004"},{"key":"e_1_2_1_16_1","first-page":"229","article-title":"Fonctions de r\u00e9partition \u00e0 n dimensions et leurs marges","volume":"8","author":"Sklar M.","year":"1959","journal-title":"Publications de l'Institut de Statistique de l'Universit\u00e9 de Paris"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20382","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20382","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T02:13:20Z","timestamp":1699928000000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20382"}},"issued":{"date-parts":[[2009,6,11]]},"references-count":15,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2009,8]]}},"alternative-id":["10.1002\/fut.20382"],"URL":"https:\/\/doi.org\/10.1002\/fut.20382","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,6,11]]}},{"indexed":{"date-parts":[[2026,1,22]],"date-time":"2026-01-22T07:39:19Z","timestamp":1769067559582,"version":"3.49.0"},"reference-count":33,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5018,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,12]]},"DOI":"10.1002\/fut.3990120605","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:51:21Z","timestamp":1183665081000},"page":"645-658","source":"Crossref","is-referenced-by-count":47,"title":["The effect of futures trading on the stability of standard and poor 500 returns"],"prefix":"10.1002","volume":"12","author":[{"given":"Avraham","family":"Kamara","sequence":"first","affiliation":[]},{"suffix":"Jr.","given":"Thomas W.","family":"Miller","sequence":"additional","affiliation":[]},{"given":"Andrew F.","family":"Siegel","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110206"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2335355"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/296344"},{"key":"e_1_2_1_5_1","volume-title":"An Economic Justification","author":"Chicago Mercantile Exchange","year":"1980"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Chow G. C.(1960): \u201cTests of Equality between Subsets of Coefficients in Two Linear Regressions \u201dEconometrica 591\u2013605.","DOI":"10.2307\/1910133"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/261569"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080404"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Edwards F. R.(1988b Jan.\u2010Feb.): \u201cDoes Futures Trading Increase Stock Market Volatility? \u201dFinancial Analysts Journal 63\u201369.","DOI":"10.2469\/faj.v44.n1.63"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(84)90036-9"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00461.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02648.x"},{"key":"e_1_2_1_13_1","volume-title":"Understanding Robust and Exploratory Data Analysis","author":"Hoaglin D. C.","year":"1983"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2231(86)90011-4"},{"key":"e_1_2_1_15_1","volume-title":"Stocks, Bonds, Bills, and Inflation","author":"Ibbotson and Associates","year":"1989"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.4.357"},{"key":"e_1_2_1_18_1","volume-title":"Elements of Econometrics","author":"Kmenta J.","year":"1986"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00985.x"},{"key":"e_1_2_1_20_1","first-page":"331","article-title":"Notes on the Use of Propagation of Error Formulas","volume":"1","author":"Ku K. H.","year":"1969","journal-title":"Precision Measurement and Calibration"},{"key":"e_1_2_1_21_1","volume-title":"Econometrics","author":"Maddala G. S.","year":"1977"},{"key":"e_1_2_1_22_1","unstructured":"Miller M. H.(1990 July\u2010August): \u201cIndex Arbitrage and Volatility \u201dFinancial Analysts Journal 6\u20137."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1989.tb00170.x"},{"key":"e_1_2_1_24_1","volume-title":"Introduction to the Theory of Statistics","author":"Mood A. M.","year":"1974"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02615.x"},{"key":"e_1_2_1_26_1","first-page":"27","article-title":"Market Perceptions of U. S. Monetary Policy Since 1982","volume":"71","author":"Roley V. V.","year":"1986","journal-title":"Economic Review, Federal Reserve Bank of Kansas City"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02647.x"},{"key":"e_1_2_1_28_1","volume-title":"Nonparametric Statistics for the Behavioral Sciences","author":"Siegel S.","year":"1956"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331036"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/261508"},{"key":"e_1_2_1_31_1","doi-asserted-by":"crossref","unstructured":"Stoll H. R. andWhaley R. E.(1987 March\u2010April): \u201cProgram Trading and Expiration\u2010Day Effects \u201dFinancial Analysts Journal 16\u201328.","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100105"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911268"},{"key":"e_1_2_1_34_1","first-page":"13","article-title":"Futures Markets under Renewed Attack","volume":"4","author":"Working H.","year":"1963","journal-title":"Food Research Institute Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120605","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120605","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T10:25:31Z","timestamp":1698056731000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120605"}},"issued":{"date-parts":[[1992,12]]},"references-count":33,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1992,12]]}},"alternative-id":["10.1002\/fut.3990120605"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120605","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,12]]}},{"indexed":{"date-parts":[[2026,1,19]],"date-time":"2026-01-19T12:05:41Z","timestamp":1768824341591,"version":"3.49.0"},"reference-count":43,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,9]]},"DOI":"10.1002\/1096-9934(200009)20:8<775::aid-fut4>3.0.co;2-4","type":"journal-article","created":{"date-parts":[[2002,9,11]],"date-time":"2002-09-11T01:20:53Z","timestamp":1031707253000},"page":"775-801","source":"Crossref","is-referenced-by-count":42,"title":["Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract"],"prefix":"10.1002","volume":"20","author":[{"given":"Manolis G.","family":"Kavussanos","sequence":"first","affiliation":[]},{"given":"Nikos K.","family":"Nomikos","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB1","author":"Bera","year":"1997","unstructured":"& (1997). Estimation of time-varying hedge ratios for corn and soybeans: BGARCH and random coefficients approaches. Office for Futures and Options Research, 97-06."},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB2","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1080\/07474939208800229","volume":"11","author":"Bollerslev","year":"1992","journal-title":"Econometric Reviews"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB3","doi-asserted-by":"crossref","first-page":"2959","DOI":"10.1016\/S1573-4412(05)80018-2","volume-title":"Handbook of econometrics","author":"Bollerslev","year":"1994","unstructured":"& (1994). ARCH models. In & (Eds.), Handbook of econometrics (pp. 2959-3038). Amsterdam: North-Holland."},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB4","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1111\/j.1468-0084.1993.mp55003003.x","volume":"55","author":"Cheung","year":"1993","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB5","doi-asserted-by":"crossref","first-page":"495","DOI":"10.1016\/S1062-9769(96)90048-4","volume":"36","author":"Chou","year":"1996","journal-title":"Quarterly Review of Economics and Finance"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB6","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1057\/ijme.1999.10","volume":"1","author":"Cullinane","year":"1999","journal-title":"International Journal of Maritime Economics"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB7","doi-asserted-by":"crossref","first-page":"1057","DOI":"10.2307\/1912517","volume":"49","author":"Dickey","year":"1981","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB8","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","volume":"34","author":"Ederington","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB9","volume-title":"Monographs on statistics and applied probability","author":"Efron","year":"1993","unstructured":"& (1993). An introduction to the bootstrap. Monographs on statistics and applied probability. New York: Chapman & Hall."},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB10","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","volume":"50","author":"Engle","year":"1982","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB11","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB12","doi-asserted-by":"crossref","first-page":"122","DOI":"10.1017\/S0266466600009063","volume":"11","author":"Engle","year":"1995","journal-title":"Econometric Theory"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB13","doi-asserted-by":"crossref","first-page":"1749","DOI":"10.1111\/j.1540-6261.1993.tb05127.x","volume":"48","author":"Engle","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB14","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","volume":"39","author":"Figlewski","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB15","doi-asserted-by":"crossref","first-page":"1273","DOI":"10.1111\/j.1540-6261.1980.tb02211.x","volume":"35","author":"Franckle","year":"1980","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB16","doi-asserted-by":"crossref","first-page":"767","DOI":"10.1002\/fut.3990150703","volume":"15","author":"Gagnon","year":"1995","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB17","doi-asserted-by":"crossref","first-page":"52","DOI":"10.1111\/j.1936-4490.1997.tb00119.x","volume":"14","author":"Gagnon","year":"1997","journal-title":"Canadian Journal of Administrative Science"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB18","doi-asserted-by":"crossref","first-page":"289","DOI":"10.2307\/1924495","volume":"65","author":"Garbade","year":"1983","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB19","doi-asserted-by":"crossref","first-page":"1127","DOI":"10.1080\/00036849500000095","volume":"27","author":"Garcia","year":"1995","journal-title":"Applied Economics"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB20","author":"Gemmill","year":"1985","unstructured":"(1985). The behaviour of the Baltic freight index. London, UK: City University Business School. Unpublished manuscript."},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB21","doi-asserted-by":"crossref","first-page":"743","DOI":"10.1002\/fut.3990130703","volume":"13","author":"Ghosh","year":"1993","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB22","doi-asserted-by":"crossref","first-page":"351","DOI":"10.1080\/03088839700000043","volume":"24","author":"Glen","year":"1997","journal-title":"Maritime Policy and Management"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB23","doi-asserted-by":"crossref","first-page":"203","DOI":"10.1016\/0304-4076(94)90044-2","volume":"60","author":"Gonzalo","year":"1994","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB24","volume-title":"Shipping futures","author":"Gray","year":"1990","unstructured":"(1990). Shipping futures. London, UK: Lloyd?s of London Press."},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB25","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1016\/0165-1889(88)90041-3","volume":"12","author":"Johansen","year":"1988","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB26","doi-asserted-by":"crossref","first-page":"139","DOI":"10.2307\/2296076","volume":"27","author":"Johnson","year":"1960","journal-title":"Review of Economic Studies"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB27","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1002\/(SICI)1096-9934(199905)19:3<353::AID-FUT6>3.0.CO;2-6","volume":"19","author":"Kavussanos","year":"1999","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB28A","doi-asserted-by":"crossref","first-page":"229","DOI":"10.1016\/S1366-5545(99)00029-0","volume":"36","author":"Kavussanos","year":"2000","journal-title":"Transportation Research, Part E (Logistics and Transportation Review)"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB28B","author":"Kavussanos","year":"2000","unstructured":"& (2000b). Short run deviations volatility and hedging in the freight futures market. Journal of Derivatives, (forthcoming)."},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB29","doi-asserted-by":"crossref","first-page":"535","DOI":"10.2307\/2331164","volume":"28","author":"Kroner","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB30","doi-asserted-by":"crossref","first-page":"401","DOI":"10.1016\/S0304-4076(95)01745-3","volume":"73","author":"Lee","year":"1996","journal-title":"Journal of Econometrics"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB31","doi-asserted-by":"crossref","first-page":"541","DOI":"10.1002\/(SICI)1096-9934(199808)18:5<541::AID-FUT3>3.0.CO;2-B","volume":"18","author":"Li","year":"1998","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB32","doi-asserted-by":"crossref","first-page":"773","DOI":"10.1002\/(SICI)1096-9934(199610)16:7<773::AID-FUT3>3.0.CO;2-L","volume":"16","author":"Lien","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB33","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1002\/fut.3990120105","volume":"12","author":"Lindahl","year":"1992","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB34","doi-asserted-by":"crossref","first-page":"297","DOI":"10.1093\/biomet\/65.2.297","volume":"65","author":"Ljung","year":"1978","journal-title":"Biometrika"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB35","doi-asserted-by":"crossref","first-page":"271","DOI":"10.1002\/fut.3990110303","volume":"11","author":"Malliaris","year":"1991","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB36","doi-asserted-by":"crossref","first-page":"39","DOI":"10.1002\/fut.3990110105","volume":"11","author":"Myers","year":"1991","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB37","doi-asserted-by":"crossref","first-page":"858","DOI":"10.2307\/1242663","volume":"71","author":"Myers","year":"1989","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB38","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB39","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1002\/fut.3990150106","volume":"15","author":"Park","year":"1995","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB40","doi-asserted-by":"crossref","first-page":"335","DOI":"10.1093\/biomet\/75.2.335","volume":"75","author":"Phillips","year":"1988","journal-title":"Biometrica"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB41","first-page":"1012","volume":"51","author":"Stein","year":"1961","journal-title":"American Economic Review"},{"key":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4-BIB42","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1016\/0261-5606(95)00040-2","volume":"15","author":"Tong","year":"1996","journal-title":"Journal of International Money and Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200009)20:8%3C775::AID-FUT4%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200009)20:8%3C775::AID-FUT4%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,2]],"date-time":"2024-12-02T15:37:47Z","timestamp":1733153867000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4"}},"issued":{"date-parts":[[2000]]},"references-count":43,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2000,9]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200009)20:8<775::aid-fut4>3.0.co;2-4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2026,1,21]],"date-time":"2026-01-21T16:45:22Z","timestamp":1769013922309,"version":"3.49.0"},"reference-count":69,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2025,5,26]],"date-time":"2025-05-26T00:00:00Z","timestamp":1748217600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,8]]},"abstract":"ABSTRACT<\/jats:title>Using almost three years of minute\u2010level data, we show that the efficiency of Uniswap v3 is much improved relative to v2, and some v3 pools are approaching or even exceeding Bitstamp in terms of price discovery ability. Regression results suggest that the channels of influence for these improvements are an increase in informed liquidity providers and swappers, who nevertheless prefer to use centralized exchanges when markets become volatile. At such times, there are relatively more uninformed speculative traders in all Uniswap pools, and cross\u2010exchange arbitrage activities become more prevalent. However, these decrease the price discovery ability of Uniswap pools relative to Coinbase and Bitstamp. The informed traders that remain on Uniswap during periods of high uncertainty tend to switch to the higher\u2010fee v3 pools to compensate for efficiency loss, or to v2 pools where there is sufficient liquidity to complete large trades.<\/jats:p>","DOI":"10.1002\/fut.22593","type":"journal-article","created":{"date-parts":[[2025,5,26]],"date-time":"2025-05-26T03:55:40Z","timestamp":1748231740000},"page":"1023-1048","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Price Discovery and Efficiency in Uniswap Liquidity Pools"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1247-0184","authenticated-orcid":false,"given":"Carol","family":"Alexander","sequence":"first","affiliation":[{"name":"University of Sussex Business School Brighton UK"},{"name":"Exponential Science London UK"}]},{"given":"Xi","family":"Chen","sequence":"additional","affiliation":[{"name":"University of Sussex Business School Brighton UK"}]},{"given":"Jun","family":"Deng","sequence":"additional","affiliation":[{"name":"China School of Banking and Finance University of International Business and Economics Beijing China"}]},{"given":"Qi","family":"Fu","sequence":"additional","affiliation":[{"name":"Guanghua School of Management Peking University Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2025,5,26]]},"reference":[{"key":"e_1_2_14_2_1","doi-asserted-by":"crossref","unstructured":"Adams A. andG.Liao2022. \u201cWhen Uniswap v3 Returns More Fees for Passive LPs.\u201dAvailable at SSRN 4671238.","DOI":"10.2139\/ssrn.4671238"},{"key":"e_1_2_14_3_1","doi-asserted-by":"crossref","unstructured":"Adams A. X.Wan andN.Zinsmeister2022. \u201cUniswap v3 TWAP Oracles in Proof of Stake.\u201dAvailable at SSRN 4384409.","DOI":"10.2139\/ssrn.4384409"},{"key":"e_1_2_14_4_1","unstructured":"Adams H. M.Salem N.Zinsmeister et al.2023. \u201cUniswap v4 Core.\u201d"},{"key":"e_1_2_14_5_1","unstructured":"Adams H. N.Zinsmeister M.Salem R.Keefer andD.Robinson2021. \u201cUniswap v3 Core.\u201darXiv:2111.09192."},{"key":"e_1_2_14_6_1","doi-asserted-by":"crossref","unstructured":"Aigner A. A. andG.Dhaliwal2021. \u201cUniswap: Impermanent Loss and Risk Profile of a Liquidity Provider.\u201darXiv:2106.14404.","DOI":"10.2139\/ssrn.3872531"},{"key":"e_1_2_14_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22050"},{"key":"e_1_2_14_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2020.100776"},{"key":"e_1_2_14_9_1","doi-asserted-by":"crossref","unstructured":"Alexander C. D. F.Heck andA.Kaeck2022. \u201cPrice Discovery in Bitcoin: The Role of Limit Orders.\u201dAvailable at SSRN 4150979.","DOI":"10.2139\/ssrn.4150979"},{"key":"e_1_2_14_10_1","doi-asserted-by":"crossref","unstructured":"Alipanahloo Z. A. S.Hafid andK.Zhang2024. \u201cMaximal Extractable Value Mitigation Approaches in Ethereum and Layer\u20102 Chains: A Comprehensive Survey.\u201darXiv preprint arXiv:2407.19572.","DOI":"10.1109\/ACCESS.2024.3514375"},{"key":"e_1_2_14_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"e_1_2_14_12_1","first-page":"1","article-title":"An Analysis of Uniswap Markets","volume":"1","author":"Angeris G.","year":"2021","journal-title":"Cryptoeconomic Systems"},{"key":"e_1_2_14_13_1","doi-asserted-by":"crossref","unstructured":"Aoyagi J.2020. \u201cLiquidity Provision by Automated Market Makers.\u201dAvailable at SSRN 3674178.","DOI":"10.2139\/ssrn.3674178"},{"key":"e_1_2_14_14_1","doi-asserted-by":"crossref","unstructured":"Barbon A. andA.Ranaldo2021. \u201cOn the Quality of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges.\u201darXiv:2112.07386.","DOI":"10.2139\/ssrn.3984897"},{"key":"e_1_2_14_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1982.10477764"},{"key":"e_1_2_14_16_1","doi-asserted-by":"publisher","DOI":"10.3390\/app11167572"},{"key":"e_1_2_14_17_1","unstructured":"Capponi A. andR.Jia2021. \u201cThe Adoption of Blockchain\u2010Based Decentralized Exchanges.\u201darXiv:2103.08842."},{"key":"e_1_2_14_18_1","doi-asserted-by":"publisher","DOI":"10.1257\/pandp.20231030"},{"key":"e_1_2_14_19_1","unstructured":"Capponi A. R.Jia andS.Yu2024. \u201cPrice Discovery on Decentralized Exchanges.\u201dAvailable at SSRN 4236993."},{"key":"e_1_2_14_20_1","doi-asserted-by":"crossref","unstructured":"Cartea \u00c1. F.Drissi andM.Monga2023a. \u201cDecentralised Finance and Automated Market Making: Execution and Speculation.\u201darXiv:2307.03499.","DOI":"10.2139\/ssrn.4144743"},{"key":"e_1_2_14_21_1","doi-asserted-by":"crossref","unstructured":"Cartea \u00c1. F.Drissi andM.Monga2023b. \u201cExecution and Statistical Arbitrage With Signals in Multiple Automated Market Makers.\u201dAvailable at SSRN 4388104.","DOI":"10.2139\/ssrn.4388104"},{"key":"e_1_2_14_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_14_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.03.003"},{"key":"e_1_2_14_24_1","doi-asserted-by":"crossref","unstructured":"Chen T. J.Deng J.Nie Q.Fu andB.Zou2024. \u201cLiquidity Provision and its Information Content in Decentralized Markets.\u201dAvailable at SSRN 4568075.","DOI":"10.2139\/ssrn.4577268"},{"key":"e_1_2_14_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22466"},{"key":"e_1_2_14_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199905\/06)14:3<293::AID-JAE503>3.0.CO;2-5"},{"key":"e_1_2_14_27_1","doi-asserted-by":"crossref","unstructured":"Clark J.2020. \u201cThe Replicating Portfolio of a Constant Product Market.\u201dAvailable at SSRN 3550601.","DOI":"10.2139\/ssrn.3550601"},{"key":"e_1_2_14_28_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.02709"},{"key":"e_1_2_14_29_1","unstructured":"Daian P. S.Goldfeder T.Kell et al.2019. \u201cFlash Boys 2.0: Frontrunning Transaction Reordering and Consensus Instability in Decentralized Exchanges.\u201darXiv:1904.05234."},{"key":"e_1_2_14_30_1","unstructured":"Dave K. V.Sj\u00f6berg andX.Sun2021. \u201cTowards Verified Price Oracles for Decentralized Exchange Protocols.\u201d In3rd International Workshop on Formal Methods for Blockchains (FMBC 2021)."},{"key":"e_1_2_14_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.orl.2023.03.002"},{"key":"e_1_2_14_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1979.10482531"},{"key":"e_1_2_14_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_14_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22101"},{"key":"e_1_2_14_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103401"},{"key":"e_1_2_14_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2023.2202708"},{"key":"e_1_2_14_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2017.12.004"},{"key":"e_1_2_14_38_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1995.10524576"},{"issue":"49","key":"e_1_2_14_39_1","first-page":"1","article-title":"Maximal Extractable Value: Current Understanding, Categorization, and Open Research Questions","volume":"34","author":"Gramlich V.","year":"2024","journal-title":"Electronic Markets"},{"key":"e_1_2_14_40_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_14_41_1","unstructured":"Han J. S.Huang andZ.Zhong2023. \u201cTrust in DeFi: An Empirical Study of the Decentralized Exchange.\u201dAvailable at SSRN 3896461."},{"key":"e_1_2_14_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbac034"},{"key":"e_1_2_14_43_1","doi-asserted-by":"crossref","unstructured":"Hansson M.2024. \u201cPrice Discovery in Constant Product Markets.\u201dAvailable at SSRN 4582649.","DOI":"10.2139\/ssrn.4582649"},{"key":"e_1_2_14_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_14_45_1","doi-asserted-by":"crossref","unstructured":"Hasbrouck J. T. J.Rivera andF.Saleh2022. \u201cThe Need for Fees at a DEX: How Increases in Fees Can Increase DEX Trading Volume.\u201dAvailable at SSRN 4192925.","DOI":"10.2139\/ssrn.4192925"},{"key":"e_1_2_14_46_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2024.04510"},{"key":"e_1_2_14_47_1","doi-asserted-by":"crossref","unstructured":"Heimbach L. E.Schertenleib andR.Wattenhofer2022a. \u201cExploring Price Accuracy on Uniswap v3 in Times of Distress.\u201d InProceedings of the 2022 ACM CCS Workshop on Decentralized Finance and Security 47\u201353.","DOI":"10.1145\/3560832.3563435"},{"key":"e_1_2_14_48_1","doi-asserted-by":"crossref","unstructured":"Heimbach L. E.Schertenleib andR.Wattenhofer2022b. \u201cRisks and Returns of Uniswap v3 Liquidity Providers.\u201darXiv:2205.08904.","DOI":"10.1145\/3558535.3559772"},{"issue":"1","key":"e_1_2_14_49_1","first-page":"13","article-title":"Long\u2010Term Storage Capacity of Reservoirs","volume":"116","author":"Hurst H. E.","year":"1951","journal-title":"American Society of Civil Engineers Tans"},{"key":"e_1_2_14_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_14_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2009.04.003"},{"key":"e_1_2_14_52_1","doi-asserted-by":"crossref","unstructured":"Klein O. R.Kozhan G.Viswanath\u2010Natraj andJ.Wang2023. \u201cPrice Discovery in Cryptocurrencies: Trades Versus Liquidity Provision.\u201dAvailable at SSRN 4642411.","DOI":"10.2139\/ssrn.4642411"},{"key":"e_1_2_14_53_1","doi-asserted-by":"publisher","DOI":"10.1080\/0015198X.2020.1733902"},{"key":"e_1_2_14_54_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_14_55_1","doi-asserted-by":"crossref","unstructured":"Lehar A. C.Parlour andM.Zoican2023. \u201cLiquidity Fragmentation on Decentralized Exchanges.\u201darXiv:2307.13772.","DOI":"10.2139\/ssrn.4267429"},{"key":"e_1_2_14_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13405"},{"key":"e_1_2_14_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00098-7"},{"key":"e_1_2_14_58_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20356"},{"key":"e_1_2_14_59_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/65.2.297"},{"issue":"2","key":"e_1_2_14_60_1","first-page":"21","article-title":"Do Dexs Work? Using Uniswap v2 to Explore the Effectiveness of Decentralized Exchanges","volume":"10","author":"Lo Y. C.","year":"2021","journal-title":"Journal of Financial Market Infrastructures"},{"key":"e_1_2_14_61_1","unstructured":"Loesch S. N.Hindman M. B.Richardson andN.Welch2021. \u201cImpermanent Loss in Uniswap v3.\u201darXiv:2111.09192."},{"key":"e_1_2_14_62_1","doi-asserted-by":"crossref","unstructured":"Milionis J. C.Moallemi T.Roughgarden andA.Zhang2022. \u201cQuantifying Loss in Automated Market Making.\u201darXiv:2208.06046.","DOI":"10.1145\/3560832.3563441"},{"key":"e_1_2_14_63_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-021-00314-5"},{"key":"e_1_2_14_64_1","unstructured":"Neuder M. R.Rao D. J.Moroz andD. C.Parkes2021. \u201cStrategic Liquidity Provision in Uniswap v3.\u201darXiv:2106.12033."},{"key":"e_1_2_14_65_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.02802"},{"key":"e_1_2_14_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"issue":"2","key":"e_1_2_14_67_1","first-page":"1","article-title":"To the Moon: A History of Bitcoin Price Manipulation","volume":"13","author":"Peterson T.","year":"2021","journal-title":"Journal of Forensic and Investigative Accounting"},{"key":"e_1_2_14_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2020.100581"},{"key":"e_1_2_14_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2016.09.019"},{"key":"e_1_2_14_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.003"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22593","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,7,18]],"date-time":"2025-07-18T14:47:00Z","timestamp":1752850020000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22593"}},"issued":{"date-parts":[[2025,5,26]]},"references-count":69,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2025,8]]}},"alternative-id":["10.1002\/fut.22593"],"URL":"https:\/\/doi.org\/10.1002\/fut.22593","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,5,26]]},"assertion":[{"value":"2024-03-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-04-21","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-26","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,20]],"date-time":"2026-01-20T02:08:38Z","timestamp":1768874918640,"version":"3.49.0"},"reference-count":28,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6780,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,2]]},"DOI":"10.1002\/fut.3990080106","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:54:50Z","timestamp":1183629290000},"page":"67-77","source":"Crossref","is-referenced-by-count":24,"title":["A semi\u2010strong test of the efficiency of the aluminum and copper markets at the LME"],"prefix":"10.1002","volume":"8","author":[{"given":"Martin","family":"Gross","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"The World Copper Market: An Econometric Analysis","author":"Banks F. E.","year":"1974"},{"key":"e_1_2_1_3_1","first-page":"16","volume-title":"Commodity Year Book","author":"Brisk A.","year":"1984"},{"key":"e_1_2_1_4_1","first-page":"46","volume-title":"Futures Markets","author":"Burns J. M.","year":"1983"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1975.tb01020.x"},{"key":"e_1_2_1_6_1","unstructured":"Charles River Associates Inc.(1970):Economic Analysis of the Copper Industry Cambridge England."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4899-2925-9"},{"issue":"3","key":"e_1_2_1_8_1","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1080\/01603477.1984.11489452","article-title":"Spot and Futures Prices in Copper: The Speculative Link","volume":"6","author":"Choksi S.","year":"1984","journal-title":"Journal of Post\u2010Keynesian Economics"},{"issue":"5","key":"e_1_2_1_9_1","first-page":"102","article-title":"Possible Cycles in Copper Prices 1796\u20131973","volume":"25","author":"Dewey E. R.","year":"1974","journal-title":"Cycles"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036848100000020"},{"key":"e_1_2_1_12_1","unstructured":"Goss B. A.(1982): \u201cThe Semi\u2010Strong Form Efficiency of the London Metal Exchange \u201d Monash University Department of Economics Seminar Papers No. 4\/82."},{"key":"e_1_2_1_13_1","volume-title":"Forecasting Economic Time Series","author":"Granger C. W. J.","year":"1977"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02708116"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239555"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(84)90003-2"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036847100000032"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239434"},{"key":"e_1_2_1_19_1","volume-title":"The World Copper Industry","author":"Mikesell R.","year":"1979"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036848400000009"},{"key":"e_1_2_1_21_1","volume-title":"Long\u2010Run Price Prospects for Aluminum and Copper","author":"Radetzki M.","year":"1983"},{"key":"e_1_2_1_22_1","volume-title":"Futures Markets. Modelling, Managing and Monitoring Futures Trading","author":"Streit M. E.","year":"1983"},{"key":"e_1_2_1_23_1","doi-asserted-by":"crossref","first-page":"385","DOI":"10.1515\/jbnst-1984-0502","article-title":"Information Processing in Futures Markets\u2014An Essay on the Adequacy of an Abstraction","volume":"199","author":"Streit M. E.","year":"1984","journal-title":"Zeitschrift f\u00fcr National\u00f6konomie und Statistik"},{"key":"e_1_2_1_24_1","unstructured":"Takeuchi K. andStrongman J. E. andMaeda S.(1986): \u201cThe World copper Industry\u201d World Bank Staff Commodity Working Papers No. 15 Washington DC."},{"key":"e_1_2_1_25_1","first-page":"165","volume-title":"Futures Markets","author":"Taylor S. J.","year":"1983"},{"key":"e_1_2_1_26_1","unstructured":"UNIDO(1985):The Economic Use of Aluminum Development and Transfer of Technology Series No. 21 New York."},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-45585-8"},{"key":"e_1_2_1_28_1","unstructured":"Wagenhals G.(1985): \u201cEconometric Copper Market Models. Intergovernmental Council of Copper Exporting Countries \u201dQuarterly Review S.30\u201353."},{"key":"e_1_2_1_29_1","volume-title":"World Metal Statistics","author":"World Bureau of Metal Statistics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080106","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080106","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T23:30:07Z","timestamp":1697931007000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080106"}},"issued":{"date-parts":[[1988,2]]},"references-count":28,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1988,2]]}},"alternative-id":["10.1002\/fut.3990080106"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080106","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,2]]}},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T21:02:21Z","timestamp":1773090141848,"version":"3.50.1"},"reference-count":59,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2025,7,20]],"date-time":"2025-07-20T00:00:00Z","timestamp":1752969600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,10]]},"abstract":"ABSTRACT<\/jats:title>\n This study explores the bidirectional forecasting between the realized volatility of VIX and S&P 500 index, especially the impact of asymmetric jumps and cojumps. Empirical results show that stock market jumps contain positive content for predicting the realized volatility of VIX while jumps contained in VIX can also improve predictive power for the realized volatility of the stock market. The positive and negative jumps of stock market and VIX have different asymmetric effects on realized volatility forecasts. Specifically, the negative jumps of stock index performs better whereas the positive jumps of VIX have stronger forecasting power, and each contains incremental information about the volatility prediction of the other party. Moreover, the cojumps enhance the forecasting ability, especially for the realized volatility prediction of VIX.<\/jats:p>","DOI":"10.1002\/fut.70015","type":"journal-article","created":{"date-parts":[[2025,7,21]],"date-time":"2025-07-21T06:45:02Z","timestamp":1753080302000},"page":"1717-1739","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps"],"prefix":"10.1002","volume":"45","author":[{"given":"Gongyue","family":"Jiang","sequence":"first","affiliation":[{"name":"School of Finance Shanghai University of Finance and Economics Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5313-8044","authenticated-orcid":false,"given":"Gaoxiu","family":"Qiao","sequence":"additional","affiliation":[{"name":"School of Mathematics Southwest Jiaotong University Chengdu China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8535-5139","authenticated-orcid":false,"given":"Chao","family":"Liang","sequence":"additional","affiliation":[{"name":"School of Economics and Management Southwest Jiaotong University Chengdu"}]}],"member":"311","published-online":{"date-parts":[[2025,7,20]]},"reference":[{"key":"e_1_2_14_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_14_3_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_14_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.029"},{"key":"e_1_2_14_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2023.106929"},{"key":"e_1_2_14_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_14_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_14_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.008"},{"key":"e_1_2_14_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbj014"},{"key":"e_1_2_14_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_14_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_14_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.616865"},{"key":"e_1_2_14_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.03.020"},{"key":"e_1_2_14_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2017.01.005"},{"key":"e_1_2_14_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2797"},{"key":"e_1_2_14_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_14_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.008"},{"key":"e_1_2_14_18_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002118"},{"key":"e_1_2_14_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.042"},{"key":"e_1_2_14_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22372"},{"key":"e_1_2_14_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21995"},{"key":"e_1_2_14_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20251"},{"key":"e_1_2_14_23_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_14_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs026"},{"key":"e_1_2_14_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.05.026"},{"key":"e_1_2_14_26_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018001436"},{"key":"e_1_2_14_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"key":"e_1_2_14_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22344"},{"key":"e_1_2_14_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3132"},{"key":"e_1_2_14_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2015.1096004"},{"key":"e_1_2_14_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22241"},{"key":"e_1_2_14_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1248"},{"key":"e_1_2_14_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2015.10.001"},{"key":"e_1_2_14_34_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2015.1105911"},{"key":"e_1_2_14_35_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2020.1805505"},{"key":"e_1_2_14_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.08.004"},{"key":"e_1_2_14_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2511"},{"key":"e_1_2_14_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2569"},{"key":"e_1_2_14_39_1","volume-title":"Fractals and Intrinsic Time: A Challenge to Econometricians","author":"M\u00fcller U. A.","year":"1993"},{"key":"e_1_2_14_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22516"},{"key":"e_1_2_14_41_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2017.1403557"},{"key":"e_1_2_14_42_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00503"},{"key":"e_1_2_14_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21759"},{"key":"e_1_2_14_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22553"},{"key":"e_1_2_14_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102199"},{"key":"e_1_2_14_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2024.02.053"},{"key":"e_1_2_14_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.04.003"},{"key":"e_1_2_14_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2020.101186"},{"key":"e_1_2_14_49_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2012.693850"},{"key":"e_1_2_14_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.010"},{"key":"e_1_2_14_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2221"},{"key":"e_1_2_14_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2023.11.005"},{"key":"e_1_2_14_53_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2021.2016592"},{"key":"e_1_2_14_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.12.010"},{"key":"e_1_2_14_55_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1619023"},{"key":"e_1_2_14_56_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2022.2102570"},{"key":"e_1_2_14_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2023.101934"},{"key":"e_1_2_14_58_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21929"},{"key":"e_1_2_14_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22183"},{"key":"e_1_2_14_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.06.017"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70015","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:57:12Z","timestamp":1761818232000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70015"}},"issued":{"date-parts":[[2025,7,20]]},"references-count":59,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2025,10]]}},"alternative-id":["10.1002\/fut.70015"],"URL":"https:\/\/doi.org\/10.1002\/fut.70015","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,7,20]]},"assertion":[{"value":"2024-11-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-27","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-20","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T21:17:51Z","timestamp":1773091071876,"version":"3.50.1"},"reference-count":80,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2019,7,3]],"date-time":"2019-07-03T00:00:00Z","timestamp":1562112000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,8]]},"abstract":"Abstract<\/jats:title>This paper investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis and show unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Measures of uncertainty in economic conditions have significant predictive power for realized volatility of commodity futures returns, after controlling for lagged volatility, returns, commodity index trading, hedging pressure, and other trading activity, even during the so\u2010called \u201cindex financialization\u201d period. During this period, hedge fund performance predicts volatility in grain commodities, which are affected by the US ethanol mandate.<\/jats:p>","DOI":"10.1002\/fut.22018","type":"journal-article","created":{"date-parts":[[2019,7,4]],"date-time":"2019-07-04T03:14:23Z","timestamp":1562210063000},"page":"921-945","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":31,"title":["Economic uncertainty, trading activity, and commodity futures volatility"],"prefix":"10.1002","volume":"39","author":[{"given":"Sumudu W.","family":"Watugala","sequence":"first","affiliation":[{"name":"Cornell University Ithaca New York"},{"name":"Oxford\u2010Man Institute of Quantitative Finance University of Oxford Oxford UK"}]}],"member":"311","published-online":{"date-parts":[[2019,7,3]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.03.003"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.12.005"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.06.008"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jet.2006.08.007"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.5.1728"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.1"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1885568"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm076"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.28.2.153"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2007.00426.x"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_8_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01695.x"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.1997.tb00004.x"},{"key":"e_1_2_8_1_20_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2233809"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04700.x"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.02.011"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.3.195"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01211421"},{"key":"e_1_2_8_1_28_1","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.2010.125.3.1145"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/258347"},{"key":"e_1_2_8_1_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/671799"},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(84)02005-5"},{"key":"e_1_2_8_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.018"},{"key":"e_1_2_8_1_34_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00300"},{"key":"e_1_2_8_1_35_1","doi-asserted-by":"crossref","first-page":"pp. 475","DOI":"10.1093\/oso\/9780198296836.003.0020","volume-title":"Cointegration, causality, and forecasting: A festschrift in honour of Clive W. J","author":"Engle R. F.","year":"1999"},{"key":"e_1_2_8_1_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn004"},{"key":"e_1_2_8_1_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs024"},{"key":"e_1_2_8_1_38_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA8769"},{"key":"e_1_2_8_1_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_8_1_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_8_1_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_8_1_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00228-3"},{"key":"e_1_2_8_1_43_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-073009-104107"},{"key":"e_1_2_8_1_44_1","first-page":"393","article-title":"On the impossibility of informationally efficient markets","volume":"70","author":"Grossman S. J.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_8_1_45_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2013.16.1.043"},{"key":"e_1_2_8_1_46_1","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12099"},{"key":"e_1_2_8_1_47_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu091"},{"key":"e_1_2_8_1_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_8_1_49_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938209"},{"key":"e_1_2_8_1_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.005"},{"key":"e_1_2_8_1_51_1","doi-asserted-by":"publisher","DOI":"10.1081\/ETC-200040785"},{"key":"e_1_2_8_1_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.10.008"},{"key":"e_1_2_8_1_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12000"},{"key":"e_1_2_8_1_54_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20131193"},{"key":"e_1_2_8_1_55_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_8_1_56_1","doi-asserted-by":"crossref","unstructured":"Kelly B. T. Lustig H. N. &VanNieuwerburgh S.(2013).Firm volatility in granular networks(Working Paper). University of Chicago.","DOI":"10.2139\/ssrn.2186197"},{"key":"e_1_2_8_1_57_1","volume-title":"A treatise on money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_8_1_58_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.1053"},{"key":"e_1_2_8_1_59_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_8_1_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_8_1_61_1","doi-asserted-by":"publisher","DOI":"10.1098\/rsta.1933.0009"},{"key":"e_1_2_8_1_62_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2008.00509.x"},{"key":"e_1_2_8_1_63_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn053"},{"key":"e_1_2_8_1_64_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.6.2265"},{"key":"e_1_2_8_1_65_1","first-page":"861","article-title":"Orange juice and weather","volume":"74","author":"Roll R.","year":"1984","journal-title":"American Economic Review"},{"key":"e_1_2_8_1_66_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_8_1_67_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_8_1_68_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176344136"},{"key":"e_1_2_8_1_69_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02647.x"},{"key":"e_1_2_8_1_70_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198284632.001.0001"},{"key":"e_1_2_8_1_71_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_8_1_72_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_8_1_73_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"e_1_2_8_1_74_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_8_1_75_1","unstructured":"US Senate Permanent Subcommittee on Investigations. (2009).Excessive speculation in the wheat market(Report). Washington D.C.: Committee on Homeland Security and Government Affairs.https:\/\/www.hsgac.senate.gov\/imo\/media\/doc\/REPORTExcessiveSpecullationintheWheatMarketwoexhibitschartsJune2409.pdf"},{"key":"e_1_2_8_1_76_1","unstructured":"US Senate Permanent Subcommittee on Investigations. (2014).Wall street bank involvement with physical commodities(Report). Washington D.C.: Committee on Homeland Security and Governmental Affairs.https:\/\/www.hsgac.senate.gov\/imo\/media\/doc\/REPORT\u2010Wall%20Street%20Bank%20Involvement%20With%20Physical%20Commodities%20(12\u20105\u201014).pdf"},{"key":"e_1_2_8_1_77_1","unstructured":"Watugala S. W.(2017).Global trade and the term structure dynamics of commodity returns(Working Paper). Cornell University."},{"key":"e_1_2_8_1_78_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177732360"},{"key":"e_1_2_8_1_79_1","first-page":"187","article-title":"Price relations between July and September wheat futures at Chicago since 1885","volume":"9","author":"Working H.","year":"1933","journal-title":"Wheat Studies of the Food Research Institute"},{"key":"e_1_2_8_1_80_1","first-page":"1254","article-title":"The theory of the price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"},{"key":"e_1_2_8_1_81_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00733.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22018","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22018","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22018","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,20]],"date-time":"2024-07-20T16:13:27Z","timestamp":1721492007000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22018"}},"issued":{"date-parts":[[2019,7,3]]},"references-count":80,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2019,8]]}},"alternative-id":["10.1002\/fut.22018"],"URL":"https:\/\/doi.org\/10.1002\/fut.22018","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,7,3]]},"assertion":[{"value":"2019-04-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-04-24","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-07-03","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T04:11:09Z","timestamp":1773029469197,"version":"3.50.1"},"reference-count":31,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1708,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,10]]},"DOI":"10.1002\/fut.20503","type":"journal-article","created":{"date-parts":[[2010,12,28]],"date-time":"2010-12-28T16:04:23Z","timestamp":1293552263000},"page":"995-1010","source":"Crossref","is-referenced-by-count":70,"title":["The Fed's policy decisions and implied volatility"],"prefix":"10.1002","volume":"31","author":[{"given":"Sami","family":"V\u00e4h\u00e4maa","sequence":"first","affiliation":[]},{"given":"Janne","family":"\u00c4ij\u00f6","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,12,28]]},"reference":[{"key":"10.1002\/fut.20503-BIB1|cit1","first-page":"117","article-title":"Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions","volume":"6","author":"Andersson","year":"2010","journal-title":"International Journal of Central Banking"},{"key":"10.1002\/fut.20503-BIB2|cit2","doi-asserted-by":"crossref","first-page":"139","DOI":"10.1080\/09603100601057854","article-title":"Why does the correlation between stock and bond returns vary over time","volume":"18","author":"Andersson","year":"2008","journal-title":"Applied Financial Economics"},{"key":"10.1002\/fut.20503-BIB3|cit3","doi-asserted-by":"crossref","first-page":"2606","DOI":"10.1016\/j.jbankfin.2008.05.012","article-title":"Macroeconomic cycle and the stock market's reaction to monetary policy","volume":"32","author":"Basistha","year":"2008","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20503-BIB4|cit4","doi-asserted-by":"crossref","first-page":"1221","DOI":"10.1111\/j.1540-6261.2005.00760.x","article-title":"What explains the stock market's reaction to Federal Reserve policy","volume":"60","author":"Bernanke","year":"2005","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20503-BIB5|cit5","doi-asserted-by":"crossref","first-page":"1941","DOI":"10.1016\/j.jbankfin.2007.12.021","article-title":"Stock market volatility around national elections","volume":"32","author":"Bia\u0142kowski","year":"2008","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20503-BIB6|cit6","doi-asserted-by":"crossref","first-page":"117","DOI":"10.1111\/j.1468-2362.2008.00219.x","article-title":"European stock markets and the ECB's monetary policy surprises","volume":"11","author":"Bohl","year":"2008","journal-title":"International Finance"},{"key":"10.1002\/fut.20503-BIB7|cit7","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1016\/S0378-4266(01)00211-4","article-title":"Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market","volume":"27","author":"Bomfim","year":"2003","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20503-BIB8|cit8","doi-asserted-by":"crossref","unstructured":"Chen , D. Krieger , K. Mauck , N. 2010 The uncertainty resolution of FOMC meeting days (working paper, University of Tulsa & Florida State University)","DOI":"10.2139\/ssrn.1662184"},{"key":"10.1002\/fut.20503-BIB9|cit9","doi-asserted-by":"crossref","first-page":"667","DOI":"10.1111\/j.0022-2879.2007.00040.x","article-title":"Does monetary policy have asymmetric effects on stock returns","volume":"39","author":"Chen","year":"2007","journal-title":"Journal of Money Credit and Banking"},{"key":"10.1002\/fut.20503-BIB10|cit10","doi-asserted-by":"crossref","first-page":"227","DOI":"10.1016\/j.frl.2007.07.002","article-title":"S&P 500 implied volatility and monetary policy announcements","volume":"4","author":"Chen","year":"2007","journal-title":"Finance Research Letters"},{"key":"10.1002\/fut.20503-BIB11|cit11","volume-title":"The CBOE Volatility Index-VIX","author":"Chicago Board Options Exchange","year":"2009"},{"key":"10.1002\/fut.20503-BIB12|cit12","doi-asserted-by":"crossref","first-page":"834","DOI":"10.1016\/j.jbankfin.2009.09.012","article-title":"Asymmetric effects of federal funds target rate changes on S&P100 stock returns volatilities and correlations","volume":"34","author":"Chuli\u00e1","year":"2010","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20503-BIB13|cit13","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1017\/S0022109000001782","article-title":"Stock market uncertainty and stock-bond relation","volume":"40","author":"Connolly","year":"2005","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20503-BIB14|cit14","doi-asserted-by":"crossref","first-page":"719","DOI":"10.1353\/mcb.2004.0063","article-title":"Taking stock: Monetary policy transmission to equity markets","volume":"36","author":"Ehrmann","year":"2004","journal-title":"Journal of Money, Credit and Banking"},{"key":"10.1002\/fut.20503-BIB15|cit15","doi-asserted-by":"crossref","first-page":"739","DOI":"10.1111\/j.1468-0084.2009.00561.x","article-title":"Global financial transmission of monetary policy shocks","volume":"71","author":"Ehrmann","year":"2009","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"10.1002\/fut.20503-BIB16|cit16","doi-asserted-by":"crossref","first-page":"47","DOI":"10.1016\/j.rfe.2008.05.003","article-title":"The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases","volume":"18","author":"Farka","year":"2009","journal-title":"Review of Financial Economics"},{"key":"10.1002\/fut.20503-BIB17|cit17","unstructured":"Gospodinov , N. Jamali , I. 2010 Stock market volatility and federal funds rate surprises (working paper, Concordia University & American University of Beirut)"},{"key":"10.1002\/fut.20503-BIB18|cit18","first-page":"55","article-title":"Do actions speak louder than words? The response of asset prices to monetary policy actions and statements","volume":"1","author":"G\u00fcrkaynak","year":"2005","journal-title":"International Journal of Central Banking"},{"key":"10.1002\/fut.20503-BIB19|cit19","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/j.jpolmod.2007.06.015","article-title":"The impact of monetary policy on stock prices","volume":"30","author":"Ioannidis","year":"2008","journal-title":"Journal of Policy Modeling"},{"key":"10.1002\/fut.20503-BIB20|cit20","doi-asserted-by":"crossref","first-page":"211","DOI":"10.1016\/j.econlet.2009.08.006","article-title":"Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view","volume":"105","author":"Kholodilin","year":"2009","journal-title":"Economics Letters"},{"key":"10.1002\/fut.20503-BIB21|cit21","doi-asserted-by":"crossref","first-page":"865","DOI":"10.1002\/(SICI)1096-9934(199612)16:8<865::AID-FUT2>3.0.CO;2-K","article-title":"The Fed funds futures rate as a predictor of Federal Reserve policy","volume":"16","author":"Krueger","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20503-BIB22|cit22","doi-asserted-by":"crossref","first-page":"139","DOI":"10.1016\/j.jbankfin.2009.07.010","article-title":"Investor sentiment and the stock market's reaction to monetary policy","volume":"34","author":"Kurov","year":"2010a","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20503-BIB23|cit23","unstructured":"Kurov , A. 2010b Does the stock market respond to monetary policy statements"},{"key":"10.1002\/fut.20503-BIB24|cit24","doi-asserted-by":"crossref","first-page":"523","DOI":"10.1016\/S0304-3932(01)00055-1","article-title":"Monetary policy surprises and interest rates: Evidence from the Fed funds futures markets","volume":"47","author":"Kuttner","year":"2001","journal-title":"Journal of Monetary Economics"},{"key":"10.1002\/fut.20503-BIB25|cit25","doi-asserted-by":"crossref","first-page":"73","DOI":"10.1111\/1540-6288.00005","article-title":"Interest rate surprises and stock prices","volume":"37","author":"Lobo","year":"2002","journal-title":"The Financial Review"},{"key":"10.1002\/fut.20503-BIB26|cit26","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/j.irfa.2004.01.001","article-title":"Impact of Federal Open Market Committee's meetings and scheduled macroeconomic news on stock market uncertainty","volume":"13","author":"Nikkinen","year":"2004","journal-title":"International Review of Financial Analysis"},{"key":"10.1002\/fut.20503-BIB27|cit27","doi-asserted-by":"crossref","first-page":"105","DOI":"10.1002\/fut.20244","article-title":"Turn-of-the-month and intramonth effects: Explanation from the important macroeconomic news announcements","volume":"27","author":"Nikkinen","year":"2007","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20503-BIB28|cit28","doi-asserted-by":"crossref","first-page":"377","DOI":"10.1002\/1096-9934(200104)21:4<377::AID-FUT4>3.0.CO;2-N","article-title":"Predicting monetary policy with federal funds futures prices","volume":"21","author":"S\u00f6derstr\u00f6m","year":"2001","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20503-BIB29|cit29","doi-asserted-by":"crossref","first-page":"959","DOI":"10.1002\/fut.20228","article-title":"Central bank communications and equity ETFs","volume":"26","author":"Wang","year":"2006","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20503-BIB30|cit30","doi-asserted-by":"crossref","first-page":"98","DOI":"10.3905\/JPM.2009.35.3.098","article-title":"Understanding the VIX","volume":"35","author":"Whaley","year":"2009","journal-title":"Journal of Portfolio Management"},{"key":"10.1002\/fut.20503-BIB31|cit31","doi-asserted-by":"crossref","first-page":"344","DOI":"10.1016\/j.jimonfin.2008.03.003","article-title":"The response of global equity indexes to U.S. monetary policy announcements","volume":"28","author":"Wongswan","year":"2009","journal-title":"Journal of International Money and Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20503","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/onlinelibrary.wiley.com\/wol1\/doi\/10.1002\/fut.20503\/fullpdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:14:17Z","timestamp":1625166857000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20503"}},"issued":{"date-parts":[[2010,12,28]]},"references-count":31,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2011,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20503","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2010,12,28]]}},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T13:50:08Z","timestamp":1773237008823,"version":"3.50.1"},"reference-count":45,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2007,4,4]],"date-time":"2007-04-04T00:00:00Z","timestamp":1175644800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,6]]},"abstract":"Abstract<\/jats:title>A hidden martingale restriction is developed for option pricing models based on Gram\u2013Charlier expansions of the normal density function. The restriction is hidden behind a reduction in parameter space for the Gram\u2013Charlier expansion coefficients. The resulting restriction is invisible in the option price. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 517\u2013534, 2007<\/jats:p>","DOI":"10.1002\/fut.20255","type":"journal-article","created":{"date-parts":[[2007,4,4]],"date-time":"2007-04-04T21:47:37Z","timestamp":1175723257000},"page":"517-534","source":"Crossref","is-referenced-by-count":28,"title":["The hidden martingale restriction in Gram\u2010Charlier option prices"],"prefix":"10.1002","volume":"27","author":[{"given":"Charles","family":"Corrado","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,4,4]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Abken P. Madan D. B. &Ramamurtie S.(1996a).Estimation of riskneutral and statistical densities by Hermite polynomial approximation: With an application to eurodollar futures options (Federal Reserve Bank of AtlantaWorking Paper 96\u20135). Atlanta GA: Federal Reserve Bank of Atlanta."},{"key":"e_1_2_1_3_1","unstructured":"Abken P. Madan D. B. &Ramamurtie S.(1996b).Pricing S&P 500 index options using a Hilbert space basis (Federal Reserve Bank of AtlantaWorking Paper 96\u201321). Atlanta GA: Federal Reserve Bank of Atlanta."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500117641"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199910)19:7<735::AID-FUT1>3.0.CO;2-W"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Backus D. Foresi S. &Wu L.(2004).Accounting for biases in Black\u2013Scholes) (working paper;. New York: New York University Stern School of Business.","DOI":"10.2139\/ssrn.585623"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-6803.t01-1-00008"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-444X(01)00031-7"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-444X(02)00013-0"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199609)16:6<611::AID-FUT1>3.0.CO;2-I"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1996.tb00592.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407978"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/135184797337543"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2205"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04025.x"},{"key":"e_1_2_1_19_1","volume-title":"Options, futures, and other derivatives","author":"Hull J.","year":"2003"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319143"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90007-1"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00036-X"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(99)00082-2"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","unstructured":"Jurczenko E. Maillet B. &Negrea B.(2002a).Revisited multi\u2010moment approximate option pricing models: A general comparison (Part I; Discussion Paper of the LSE\u2010FMG No. 430).","DOI":"10.2139\/ssrn.300922"},{"key":"e_1_2_1_25_1","unstructured":"Jurczenko E. Maillet B. &Negrea B.(2002b).Skewness and kurtosis implied by option prices: A second comment (Discussion Paper of the LSE\u2010FMG No. 419)."},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680400020309"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20168"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-075064751-9.50010-2"},{"key":"e_1_2_1_29_1","unstructured":"Kouchard L.(1999).Option pricing and higher order moments of the riskneutral probability density function. Unpublished manuscript University of Virginia Charlottesville VA."},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.4.1091"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1994.tb00093.x"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00110"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-444X(02)00040-3"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1057-5219(03)00002-4"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1998.407994"},{"key":"e_1_2_1_38_1","first-page":"101","article-title":"El modelo de Corrado y Su en el mercado de opciones sobre el futuro del IBEX\u201035. [The model of Corrado and Su in the market for options on IBEX\u201035 futures]","volume":"34","author":"Serna G.","year":"2004","journal-title":"Revista de Econom\u00eda Aplicada"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90019-2"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199908)19:5<499::AID-FUT1>3.0.CO;2-O"},{"key":"e_1_2_1_41_1","series-title":"Kendall's advanced theory of statistics","author":"Stuart A.","year":"1987"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2006.06.023"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconbus.2004.07.003"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20164"},{"key":"e_1_2_1_45_1","first-page":"33","article-title":"Modelos alternativos de valoracion de opciones sobre acciones: una aplicacion al Mercado espanol. [Alternative valuation models of options on shares: An application to the Spanish Market]","volume":"69","author":"Valle A. L.","year":"2005","journal-title":"Cuadernos Economicos Informacion Commecial Espanol"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.dutr.1840020"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20255","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20255","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T04:24:51Z","timestamp":1700022291000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20255"}},"issued":{"date-parts":[[2007,4,4]]},"references-count":45,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2007,6]]}},"alternative-id":["10.1002\/fut.20255"],"URL":"https:\/\/doi.org\/10.1002\/fut.20255","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,4,4]]}},{"indexed":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T13:45:55Z","timestamp":1773150355006,"version":"3.50.1"},"reference-count":21,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4744,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,9]]},"DOI":"10.1002\/fut.3990130603","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:37:59Z","timestamp":1183682279000},"page":"597-609","source":"Crossref","is-referenced-by-count":30,"title":["Utility maximizing hedge ratios in the extended mean gini framework"],"prefix":"10.1002","volume":"13","author":[{"given":"Robert W.","family":"Kolb","sequence":"first","affiliation":[]},{"given":"John","family":"Okunev","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.10.1.174"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070107"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241069"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Cicchetti S. G. Cumby R. E. andFiglewski S.(1988): \u201cEstimation of the Optimal Futures Hedge \u201dReview of Economics and Statistics 623\u2013630.","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296431"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050209"},{"key":"e_1_2_1_9_1","first-page":"989","article-title":"Hedging and the Competitive Firm Under Price Uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240514"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120206"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242663"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238403"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913738"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/260849"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04917.x"},{"key":"e_1_2_1_18_1","first-page":"15","article-title":"Evaluating the Mean\u2010Gini Approach to Portfolio Selection","volume":"1","author":"Shalit H.","year":"1989","journal-title":"International Journal of Finance"},{"issue":"5","key":"e_1_2_1_19_1","first-page":"1012","article-title":"The Simultaneous Determination of Spot and Futures Prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330894"},{"key":"e_1_2_1_21_1","first-page":"178","article-title":"Stochastic Dominance, Mean Variance and Gini's Mean Difference","volume":"72","author":"Yitzhaki S.","year":"1982","journal-title":"American Economic Review"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2648789"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130603","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130603","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T00:30:42Z","timestamp":1698280242000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130603"}},"issued":{"date-parts":[[1993,9]]},"references-count":21,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1993,9]]}},"alternative-id":["10.1002\/fut.3990130603"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130603","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,9]]}},{"indexed":{"date-parts":[[2025,12,22]],"date-time":"2025-12-22T22:13:21Z","timestamp":1766441601057,"version":"3.37.3"},"reference-count":58,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2017,6,30]],"date-time":"2017-06-30T00:00:00Z","timestamp":1498780800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71401128","91646206"],"award-info":[{"award-number":["71401128","91646206"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100007046","name":"Wuhan University","doi-asserted-by":"publisher","award":["WHU2016012"],"award-info":[{"award-number":["WHU2016012"]}],"id":[{"id":"10.13039\/501100007046","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100007046","name":"Wuhan University","doi-asserted-by":"publisher","award":["2042017kf0225"],"award-info":[{"award-number":["2042017kf0225"]}],"id":[{"id":"10.13039\/501100007046","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,12]]},"abstract":"We examine the performance of trend following strategies in Chinese commodity futures markets. We provide evidence that trend following\u2010based technical trading rules yield better performance than the buy and hold strategy on both individual contracts and sorted portfolios. The outperformance is robust to transaction costs, data frequency, sub\u2010prime crisis, shorting constraint, delayed execution, liquidity and parameters. Finally, the profitability of the trend following strategy may be subject to data snooping bias.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21856","type":"journal-article","created":{"date-parts":[[2017,6,30]],"date-time":"2017-06-30T11:47:03Z","timestamp":1498823223000},"page":"1226-1254","source":"Crossref","is-referenced-by-count":26,"title":["Do trend following strategies work in Chinese futures markets?"],"prefix":"10.1002","volume":"37","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-2230-5994","authenticated-orcid":false,"given":"Bin","family":"Li","sequence":"first","affiliation":[{"name":"Department of Finance, Economics and Management School Wuhan University Wuhan P.R. China"}]},{"given":"Di","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Finance, Economics and Management School Wuhan University Wuhan P.R. China"}]},{"given":"Yang","family":"Zhou","sequence":"additional","affiliation":[{"name":"Department of Finance, Economics and Management School Wuhan University Wuhan P.R. China"}]}],"member":"311","published-online":{"date-parts":[[2017,6,30]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.06.007"},{"key":"e_1_2_9_3_1","first-page":"7","article-title":"Price movements in speculative markets: Trends or random walks","volume":"2","author":"Alexander S. S.","year":"1961","journal-title":"Industrial Management Review"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(99)00013-4"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01655.x"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04681.x"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.10.002"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.10.001"},{"key":"e_1_2_9_9_1","first-page":"24","article-title":"Stock prices: Random vs. systematic changes","volume":"3","author":"Cootner P. H.","year":"1962","journal-title":"Industrial Management Review"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu002"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.10.009"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/294849"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.009"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20474"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.024"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.04.013"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000586"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500105000000063"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2016.03.012"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1970.tb00671.x"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2010.07.008"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconbus.2003.08.001"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.12.003"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v72.n3.3"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2014.07.005"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1184304"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12053"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.011"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21685"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1838"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.10.029"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6419.2007.00519.x"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20435"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8454.1975.tb00345.x"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(99)00042-4"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(02)00009-8"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00410-7"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.4.2.19"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2012.05.002"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.07.001"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2012.07.003"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.06.010"},{"journal-title":"Journal of Forecasting","article-title":"Two tales of return predictability: The case of Asia\u2010Pacific equity markets","author":"Shynkevich A.","key":"e_1_2_9_46_1"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2016.1200182"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20252"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.08.004"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(01)00140-6"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(03)00012-8"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2015.07.029"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00120-1"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11782-011-0143-2"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01315.x"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21624"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00152"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.10.019"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1533\/9781780633602"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21856","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21856","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T22:08:31Z","timestamp":1696025311000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21856"}},"issued":{"date-parts":[[2017,6,30]]},"references-count":58,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2017,12]]}},"alternative-id":["10.1002\/fut.21856"],"URL":"https:\/\/doi.org\/10.1002\/fut.21856","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,6,30]]}},{"indexed":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T18:52:13Z","timestamp":1767034333320},"reference-count":18,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5445,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,10]]},"DOI":"10.1002\/fut.3990110504","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:48:58Z","timestamp":1183661338000},"page":"557-565","source":"Crossref","is-referenced-by-count":6,"title":["Long hedgers and multiple delivery specifications on futures contracts"],"prefix":"10.1002","volume":"11","author":[{"given":"Da\u2010Hsiang Donald","family":"Lien","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080502"},{"key":"e_1_2_1_3_1","unstructured":"Black D.(1986): \u201cSuccess and Failure of Futures Contracts: Theory and Empirical Evidence\u201d NYU Business School Monograph Series in Finance and Economics."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02406.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330825"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/296201"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90004-7"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090505"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/257937"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330887"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331072"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(86)90077-7"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080604"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330871"},{"key":"e_1_2_1_16_1","volume-title":"Key Issues in Livestock Pricing: A Perspective for the 1990s","author":"Paul A. B.","year":"1987"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070406"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(88)90056-6"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1246888"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110504","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110504","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:13:05Z","timestamp":1698009185000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110504"}},"issued":{"date-parts":[[1991,10]]},"references-count":18,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1991,10]]}},"alternative-id":["10.1002\/fut.3990110504"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110504","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,10]]}},{"indexed":{"date-parts":[[2026,1,5]],"date-time":"2026-01-05T22:10:19Z","timestamp":1767651019507},"reference-count":2,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5567,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,6]]},"DOI":"10.1002\/fut.3990110310","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T17:26:10Z","timestamp":1183656370000},"page":"385-397","source":"Crossref","is-referenced-by-count":8,"title":["Cold fusion\u2014hot metal: An analysis of the metals futures market reactions to the cold fusion announcement"],"prefix":"10.1002","volume":"11","author":[{"given":"Stephen R.","family":"Hill","sequence":"first","affiliation":[]},{"given":"Norman H.","family":"Moore","sequence":"additional","affiliation":[]},{"given":"Stephen W.","family":"Pruitt","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90042-X"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070508"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110310","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110310","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:25:49Z","timestamp":1698060349000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110310"}},"issued":{"date-parts":[[1991,6]]},"references-count":2,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1991,6]]}},"alternative-id":["10.1002\/fut.3990110310"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110310","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,6]]}},{"indexed":{"date-parts":[[2026,1,15]],"date-time":"2026-01-15T11:28:07Z","timestamp":1768476487163,"version":"3.49.0"},"reference-count":49,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T00:00:00Z","timestamp":1692403200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,12]]},"abstract":"Abstract<\/jats:title>This paper examines the spillover effect of global economic policy uncertainty (EPU) on sovereign credit default swap (CDS) spreads in a sample of 21 countries. We use a multivariate quantile model to measure EPU spillovers for each country and find that global EPU spillovers have a significant and positive effect on subsequent CDS spreads in both developed and emerging markets. The spillover effect is stronger in developed markets compared to emerging markets. The positive relationship between EPU spillovers and CDS spreads remain significant when controlling for various economic, financial, and political risk factors. Our results are robust to alternative measures of EPU spillovers and sovereign credit risk, across different forecast horizons, and to potential endogeneity resulting from omitted variables.<\/jats:p>","DOI":"10.1002\/fut.22456","type":"journal-article","created":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T23:43:23Z","timestamp":1692661403000},"page":"1770-1806","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["EPU spillovers and sovereign CDS spreads: A cross\u2010country study"],"prefix":"10.1002","volume":"43","author":[{"given":"Yuting","family":"Gong","sequence":"first","affiliation":[{"name":"Department of Economics and Finance, SHU\u2010UTS SILC Business School Shanghai University Shanghai China"}]},{"given":"Zhongzhi","family":"He","sequence":"additional","affiliation":[{"name":"Department of Finance, Goodman School of Business Brock University Catharines Ontario Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8929-6087","authenticated-orcid":false,"given":"Wenjun","family":"Xue","sequence":"additional","affiliation":[{"name":"Department of Economics and Finance, SHU\u2010UTS SILC Business School Shanghai University Shanghai China"}]}],"member":"311","published-online":{"date-parts":[[2023,8,19]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"crossref","unstructured":"Ahir H. Bloom N. &Furceri D.(2022).The World uncertainty index(NBER Working Papers 29763). National Bureau of Economic Research Inc.","DOI":"10.3386\/w29763"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.01.030"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.02.011"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2017.05.016"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.11.004"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2018.1436152"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/roie.12531"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2016.07.002"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2017.08.007"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2019.11.006"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.03.018"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2021.101523"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2013.06.024"},{"key":"e_1_2_13_16_1","doi-asserted-by":"crossref","unstructured":"Coman A. &Lloyd S. P.(2019).In the face of spillovers: Prudential policies in emerging economies(Working Paper Series 2339). European Central Bank.","DOI":"10.2139\/ssrn.3515393"},{"key":"e_1_2_13_17_1","doi-asserted-by":"crossref","unstructured":"Das S. Kalimipalli M. &Nayak S.(2022).Banking networks systemic risk and the credit cycle in emerging markets.Journal of International Financial Markets Institutions & Money 80.https:\/\/doi.org\/10.1016\/j.intfin.2022.101633","DOI":"10.1016\/j.intfin.2022.101633"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2010.00340.x"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000370"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chieco.2018.04.008"},{"key":"e_1_2_13_21_1","doi-asserted-by":"crossref","unstructured":"Gupta R. &Sun X.(2020).Forecasting economic policy uncertainty of BRIC countries using bayesian VARs.Economic Letters 186.https:\/\/doi.org\/10.1016\/j.econlet.2019.108677","DOI":"10.1016\/j.econlet.2019.108677"},{"key":"e_1_2_13_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.07.007"},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfq005"},{"key":"e_1_2_13_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/infi.12350"},{"key":"e_1_2_13_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.04.005"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2014.07.015"},{"key":"e_1_2_13_27_1","doi-asserted-by":"crossref","unstructured":"Knack S.(2000).Aid dependence and the quality of governance: A cross\u2010country empirical analysis (English). (Policy research working paper; no. WPS 2396). World Bank.","DOI":"10.1596\/1813-9450-2396"},{"key":"e_1_2_13_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0343.1995.tb00111.x"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2016.05.003"},{"key":"e_1_2_13_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_13_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2022.101006"},{"key":"e_1_2_13_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2022.105879"},{"key":"e_1_2_13_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2017.06.012"},{"issue":"2","key":"e_1_2_13_34_1","first-page":"75","article-title":"How sovereign is sovereign credit risk? American","volume":"3","author":"Longstaff F. A.","year":"2011","journal-title":"Economic Journal"},{"key":"e_1_2_13_35_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20190171"},{"key":"e_1_2_13_36_1","series-title":"Working Paper Series 957","volume-title":"Modeling autoregressive conditional skewness and kurtosis with multi\u2010quantile CAViaR","author":"Manganelli S.","year":"2008"},{"key":"e_1_2_13_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rcfs\/cfac008"},{"key":"e_1_2_13_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/jeea.12120"},{"key":"e_1_2_13_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01399.x"},{"key":"e_1_2_13_40_1","doi-asserted-by":"crossref","unstructured":"Pan W. Wang X. Xiao Y. Xu W. &Zhang J.(2020). The effect of economic and political uncertainty on sovereign CDS spreads.https:\/\/ssrn.com\/abstract=3406407","DOI":"10.2139\/ssrn.3406407"},{"key":"e_1_2_13_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jdeveco.2008.04.001"},{"key":"e_1_2_13_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01746.x"},{"key":"e_1_2_13_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2018.04.004"},{"key":"e_1_2_13_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/fima.12223"},{"key":"e_1_2_13_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.01.017"},{"key":"e_1_2_13_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21982"},{"key":"e_1_2_13_47_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbu001"},{"key":"e_1_2_13_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.004"},{"key":"e_1_2_13_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2015.09.009"},{"key":"e_1_2_13_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2018.09.028"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22456","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,3]],"date-time":"2023-11-03T09:41:38Z","timestamp":1699004498000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22456"}},"issued":{"date-parts":[[2023,8,19]]},"references-count":49,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2023,12]]}},"alternative-id":["10.1002\/fut.22456"],"URL":"https:\/\/doi.org\/10.1002\/fut.22456","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,8,19]]},"assertion":[{"value":"2023-01-08","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-08-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-08-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,9]],"date-time":"2026-01-09T15:17:52Z","timestamp":1767971872632,"version":"3.49.0"},"reference-count":32,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2018,10,31]],"date-time":"2018-10-31T00:00:00Z","timestamp":1540944000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,2]]},"abstract":"Abstract<\/jats:title>This paper studies the contribution of newly launched SSE 50 Index\u2010based options and futures to price discovery. We find that the derivatives markets quickly begin exhibiting price leadership over the corresponding spot market, despite their short history; the information share from both derivatives markets rose from 59.84% in mid\u20102015 to 84.6% in mid\u20102017. Using substantial regulation changes during the sample period, we test the trading cost hypothesis. The increases in derivatives transaction costs do not immediately impede their roles in price discovery. Findings suggest that in nascent and immature markets, investors\u2019 trading experience matters more than trading costs.<\/jats:p>","DOI":"10.1002\/fut.21970","type":"journal-article","created":{"date-parts":[[2018,11,1]],"date-time":"2018-11-01T06:19:25Z","timestamp":1541053165000},"page":"238-259","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":52,"title":["Price discovery among SSE 50 Index\u2010based spot, futures, and options markets"],"prefix":"10.1002","volume":"39","author":[{"given":"Kwangwon","family":"Ahn","sequence":"first","affiliation":[{"name":"Graduate School of Future Strategy, Korea Advanced Institute of Science and Technology Daejeon Korea"}]},{"given":"Yingyao","family":"Bi","sequence":"additional","affiliation":[{"name":"Department of Derivatives Investment China Merchants Securities Shenzhen China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9160-7291","authenticated-orcid":false,"given":"Sungbin","family":"Sohn","sequence":"additional","affiliation":[{"name":"HSBC Business School, Peking University Shenzhen China"}]}],"member":"311","published-online":{"date-parts":[[2018,10,31]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20135"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20384"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_8_1_5_1","first-page":"1963","volume-title":"Growth and business cycles for the Swedish economy","author":"Barot B.","year":"2004"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20538"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20189"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009765322522"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296591"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_8_1_18_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00609.x"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20302"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199604)16:2<147::AID-FUT2>3.0.CO;2-K"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.1177\/097265270600500303"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_8_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03597.x"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.1086\/378531"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90041-1"},{"key":"e_1_2_8_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20112"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21804"},{"key":"e_1_2_8_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.17"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9781139151184.033"},{"key":"e_1_2_8_1_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20514"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21970","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21970","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.21970","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21970","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T03:27:02Z","timestamp":1694230022000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21970"}},"issued":{"date-parts":[[2018,10,31]]},"references-count":32,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2019,2]]}},"alternative-id":["10.1002\/fut.21970"],"URL":"https:\/\/doi.org\/10.1002\/fut.21970","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,10,31]]},"assertion":[{"value":"2018-09-13","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-09-15","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-10-31","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,16]],"date-time":"2026-01-16T05:00:49Z","timestamp":1768539649878,"version":"3.49.0"},"reference-count":37,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2017,3,2]],"date-time":"2017-03-02T00:00:00Z","timestamp":1488412800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,6]]},"abstract":"The Volume\u2010Synchronized Probability of Informed Trading (VPIN) metric is proposed by Easley et al. (2011, 2012) (Journal of Portfolio Management, 37:118\u2013128; Review of Financial Studies, 25:1457\u20131493) as a real\u2010time measure of order flow toxicity in an electronic trading market. This study examines the performance of VPIN around inventory announcements and price jumps in crude oil and natural gas futures markets with a sample period from January 2009 to May 2015. We obtain several interesting results: (i) VPIN increases significantly around inventory announcements with price jumps as well as at jumps not associated with any scheduled announcements. (ii) VPIN does not peak prior to the events but shortly after. (iii) A minor variation of VPIN based on exponential smoothing significantly improves the early warning signal property of VPIN, and this estimate of toxicity returns faster to the pre\u2010event level. \u00a9 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:542\u2013577, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21839","type":"journal-article","created":{"date-parts":[[2017,3,2]],"date-time":"2017-03-02T13:12:42Z","timestamp":1488460362000},"page":"542-577","source":"Crossref","is-referenced-by-count":13,"title":["VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets"],"prefix":"10.1002","volume":"37","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1468-7902","authenticated-orcid":false,"given":"Johan","family":"Bjursell","sequence":"first","affiliation":[{"name":"Johan Bjursell is at Credit Suisse Tokyo Japan"}]},{"given":"George H. K.","family":"Wang","sequence":"additional","affiliation":[{"name":"George H. K. Wang is at Finance Area School of Business, George Mason University Fairfax, Virginia"}]},{"given":"Hui","family":"Zheng","sequence":"additional","affiliation":[{"name":"Hui Zheng is a Faculty of Business and Economics Department of Finance, University of Sydney Sydney Australia"}]}],"member":"311","published-online":{"date-parts":[[2017,3,2]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.srfe.2012.10.002"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.005"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu041"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.11.006"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/ajfs.12028"},{"key":"e_1_2_8_9_1","volume-title":"Time series analysis: Forecasting and control","author":"Box J","year":"1994"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12107"},{"key":"e_1_2_8_11_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu032"},{"key":"e_1_2_8_13_1","volume-title":"Smoothing, Forecasting and Prediction of Discrete Time Series","author":"Brown R. G.","year":"1962"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2010.11.005"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.004"},{"key":"e_1_2_8_16_1","first-page":"364","article-title":"Weather, inventory, and common jump dynamics in natural gas futures and spot markets","volume":"18","author":"Chan W. H.","year":"2010","journal-title":"Review of Futures Markets"},{"key":"e_1_2_8_17_1","doi-asserted-by":"crossref","first-page":"147","DOI":"10.1111\/1467-9884.00267","article-title":"A new look at models for exponential smoothing","volume":"50","author":"Chatfeld C.","year":"2001","journal-title":"The Statistician"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21719"},{"key":"e_1_2_8_19_1","volume-title":"Elements of forecasting","author":"Diebold F","year":"2007"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2011.37.2.118"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs053"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.06.007"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20368"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.003"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_8_26_1","volume-title":"Options, futures and other derivatives","author":"Hull J. C","year":"2015"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2224835"},{"key":"e_1_2_8_28_1","unstructured":"Kirilenko A. A. Kyle A. S. Samadi M. &Tuzun T.(2015). The flash crash: The impact of high frequency trading on an electronic market. Available at: SSRN Manuscript www.ssrn.com\/abstract=1686004."},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm056"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10115"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2006.04.003"},{"key":"e_1_2_8_32_1","volume-title":"Statistical methods","author":"Snedecor G. W.","year":"1980"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.14453\/aabfj.v7i2.2"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_8_36_1","first-page":"1254","article-title":"The theory of the price of storage","volume":"39","author":"Working H","year":"1949","journal-title":"American Economic Review"},{"key":"e_1_2_8_37_1","doi-asserted-by":"crossref","first-page":"241","DOI":"10.3233\/AF-13030","article-title":"A big data approach to analyzing market volatility","volume":"2","author":"Wu K.","year":"2013","journal-title":"Algorithmic Finance"},{"key":"e_1_2_8_38_1","unstructured":"Yildiz S. Ness R. A. V. &Ness B. F. V.(2013). Analysis determinants of VPIN HFTs order flow toxicity and impact on stock price variance. Presented at 2013 FMA annual meetings October. Chicago Illinois."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21839","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21839","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T07:48:09Z","timestamp":1694677689000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21839"}},"issued":{"date-parts":[[2017,3,2]]},"references-count":37,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2017,6]]}},"alternative-id":["10.1002\/fut.21839"],"URL":"https:\/\/doi.org\/10.1002\/fut.21839","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,3,2]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T15:55:10Z","timestamp":1770479710472,"version":"3.49.0"},"reference-count":31,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2005,12,14]],"date-time":"2005-12-14T00:00:00Z","timestamp":1134518400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,2]]},"abstract":"Abstract<\/jats:title>The random coefficient autoregressive Markov regime switching model (RCARRS) for estimating optimal hedge ratios, which generalizes the random coefficient autoregressive (RCAR) and Markov regime switching (MRS) models, is introduced. RCARRS, RCAR, MRS, BEKK\u2010GARCH, CC\u2010GARCH, and OLS are compared with the use of aluminum and lead futures data. RCARRS outperforms all models out\u2010of\u2010sample for lead and is second only to BEKK\u2010GARCH for aluminum in terms of variancereduction point estimates. White's data\u2010snooping reality check null hypothesis of no superiority is rejected for BEKK\u2010GARCH and RCARRS for aluminum, but not for lead. \u00a9 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:103\u2013129, 2006<\/jats:p>","DOI":"10.1002\/fut.20193","type":"journal-article","created":{"date-parts":[[2005,12,14]],"date-time":"2005-12-14T22:47:07Z","timestamp":1134600427000},"page":"103-129","source":"Crossref","is-referenced-by-count":50,"title":["A random coefficient autoregressive Markov regime switching model for dynamic futures hedging"],"prefix":"10.1002","volume":"26","author":[{"given":"Hsiang\u2010Tai","family":"Lee","sequence":"first","affiliation":[]},{"given":"Jonathan K.","family":"Yoder","sequence":"additional","affiliation":[]},{"given":"Ron C.","family":"Mittelhammer","sequence":"additional","affiliation":[]},{"given":"Jill J.","family":"McCluskey","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005,12,14]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10130"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_4_1","first-page":"346","article-title":"Estimation of time\u2010varying hedge ratios for corn and soybean: BGARCH and random coefficient approaches","volume":"59","author":"Bera A. K.","year":"1997","journal-title":"The Indian Journal of Statistics"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-131X(199703)16:2<125::AID-FOR648>3.0.CO;2-T"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840210138365"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(02)00191-6"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-131X(199901)18:1<1::AID-FOR685>3.0.CO;2-B"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","article-title":"Hedging performance and basis risk in stock index futures","volume":"39","author":"Figlewki S.","year":"1984","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150703"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time series analysis","author":"Hamilton J. D.","year":"1994"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2000.319112"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391959"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109462"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90036-1"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","DOI":"10.7551\/mitpress\/6444.001.0001","volume-title":"State\u2010space models with regime switching: Classical and Gibbs\u2010sampling approaches with applications","author":"Kim C. J.","year":"1999"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00245-5"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100110046045"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20116"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242663"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1994.10476870"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00163"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00152"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20193","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20193","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,1,6]],"date-time":"2025-01-06T14:24:55Z","timestamp":1736173495000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20193"}},"issued":{"date-parts":[[2005,12,14]]},"references-count":31,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2006,2]]}},"alternative-id":["10.1002\/fut.20193"],"URL":"https:\/\/doi.org\/10.1002\/fut.20193","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005,12,14]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T13:04:04Z","timestamp":1770469444629,"version":"3.49.0"},"reference-count":79,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5018,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,12]]},"DOI":"10.1002\/fut.3990120606","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:51:21Z","timestamp":1183665081000},"page":"659-677","source":"Crossref","is-referenced-by-count":19,"title":["Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time?"],"prefix":"10.1002","volume":"12","author":[{"given":"Ravi","family":"Vaidyanathan","sequence":"first","affiliation":[]},{"given":"Tim","family":"Krehbiel","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v42.n4.63"},{"key":"e_1_2_1_3_1","volume-title":"Laws of Nature and Human Conduct","author":"Barnett W.","year":"1987"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.3.1.77"},{"key":"e_1_2_1_5_1","volume-title":"Chaos in Futures Markets? A Nonlinear Dynamical Analysis","author":"Blank S. C.","year":"1990"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/296491"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(86)90014-1"},{"key":"e_1_2_1_8_1","volume-title":"The Economy as an Evolving Complex System, SFI Studies in the Sciences of Complexity","author":"Brock W. A.","year":"1988"},{"key":"e_1_2_1_9_1","volume-title":"Acting under Uncertainty: Multi\u2010Disciplinary Conceptions","author":"Brock W. A.","year":"1990"},{"key":"e_1_2_1_10_1","unstructured":"Brock W. A. Dechert W. andScheinkman J.(1986): \u201cA Test for Independence Based on the Correlation Dimension.\u201d Unpublished manuscript University of Wisconsin\u2010Madison."},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","first-page":"403","DOI":"10.1080\/01621459.1988.10478645","article-title":"Bispectral Based Tests for the Detection of Gaussianity and Linearity in Time Series","volume":"83","author":"Brockett P. L.","year":"1988","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/sdr.4260040106"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Cohen K. J. Maier S. F. Schwartz R. A. andWhitcomb D. K.(1983 November): \u201cA Simulation Model of Stock Exchange Trading \u201dSimulation 181\u2013191.","DOI":"10.1177\/003754978304100502"},{"key":"e_1_2_1_14_1","volume-title":"The Microstructure of Securities Markets","author":"Cohen K. J.","year":"1986"},{"key":"e_1_2_1_15_1","volume-title":"An Empirical Analysis of Stock Index Futures Prices","author":"Collins B.","year":"1986"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912150"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030102"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01074.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050109"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_22_1","volume-title":"Proceedings of the 1983 International Conference of the System Dynamics Society","author":"Day R. H.","year":"1983"},{"key":"e_1_2_1_23_1","volume-title":"A Primer on Program Trading and Stock Price Volatility: A Survey of the Issues and the Evidence","author":"Dufee G.","year":"1990"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00114852"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050204"},{"key":"e_1_2_1_29_1","doi-asserted-by":"crossref","unstructured":"Finnerty J. E. andPark H. Y.(1988): \u201cHow to Profit from Program Trading \u201dJournal of Portfolio Management 41\u201346.","DOI":"10.3905\/jpm.1988.409134"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1063\/1.2915570"},{"key":"e_1_2_1_31_1","volume-title":"Chaotic Dynamics and Fractals","author":"Ford J.","year":"1986"},{"key":"e_1_2_1_32_1","first-page":"209","article-title":"Tests for Building Confidence in System Dynamics Models","volume":"14","author":"Forrester J. W.","year":"1980","journal-title":"TIMS Studies in the Management Sciences"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0377-2217(87)90086-5"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_35_1","volume-title":"Chaos","author":"Gleick J.","year":"1987"},{"key":"e_1_2_1_36_1","doi-asserted-by":"crossref","unstructured":"Gould F. J.(1988): \u201cStock Index Futures: The Arbitrage Cycle and Portfolio Insurance \u201d Working paper Columbia Center for Futures Studies Columbia University New York.","DOI":"10.2469\/faj.v44.n1.48"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(86)90003-7"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.2.3.3"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080403"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1086\/296466"},{"key":"e_1_2_1_41_1","unstructured":"Kawaller I. G. Koch P. D. andKoch T. W.(1988 May\u2010June): \u201cThe Relationship between the S&P 500 Index and S&P 500 Index Futures Prices \u201dEconomic Review 2\u20137."},{"key":"e_1_2_1_42_1","volume-title":"Understanding Futures Markets","author":"Kolb R. W.","year":"1988"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.2.3.45"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2681(87)90052-7"},{"key":"e_1_2_1_45_1","volume-title":"After the Crash: Linkages Between Stocks and Futures","author":"Mackay R. J.","year":"1988"},{"key":"e_1_2_1_46_1","unstructured":"MacKinlay A. C. andRamaswamy K.(1987): \u201cProgram Trading and the Behavior of Stock Index Prices.\u201d Working paper series (30\u201387) Rodney White Center for Financial Research Wharton School University of Pennsylvania."},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.1038\/261459a0"},{"key":"e_1_2_1_49_1","unstructured":"Merrick J. J. Jr.(1987): \u201cHedging with Mispriced Futures\u201d Center for the Study of Futures Markets. Working paper series (CSFM 161)."},{"key":"e_1_2_1_50_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090203"},{"key":"e_1_2_1_51_1","unstructured":"Miller M. H.(1990): \u201cIndex Arbitrage and Volatility \u201d in Report of the Committee on Market Volatility and Investor Confidence. New York Stock Exchange."},{"key":"e_1_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_53_1","doi-asserted-by":"crossref","unstructured":"Modest D.(1984): \u201cOn the Pricing of Stock Index Futures \u201dJournal of Portfolio Management 51\u201357.","DOI":"10.3905\/jpm.1984.408973"},{"key":"e_1_2_1_54_1","volume-title":"Timeslab: A Time Series Analysis Laboratory","author":"Newton J. H.","year":"1988"},{"key":"e_1_2_1_55_1","doi-asserted-by":"publisher","DOI":"10.1126\/science.243.4889.310"},{"key":"e_1_2_1_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90021-9"},{"key":"e_1_2_1_57_1","unstructured":"Quinn J. Sofianos G. andTschirhart W. E.(1990): \u201cProgram Trading and Index Arbitrage \u201d in Report on Market Volatility and Investor Confidence. New York Stock Exchange Publication (Appendix F)."},{"key":"e_1_2_1_58_1","doi-asserted-by":"publisher","DOI":"10.1080\/00213624.1990.11505001"},{"key":"e_1_2_1_59_1","volume-title":"System Dynamics and Analysis of Change","author":"Rahn R. J.","year":"1981"},{"key":"e_1_2_1_60_1","volume-title":"The Stock Market: Bubbles, Volatility and Chaos","author":"Ramsey J. B.","year":"1990"},{"key":"e_1_2_1_61_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527026"},{"key":"e_1_2_1_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/0377-2217(88)90380-3"},{"key":"e_1_2_1_63_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_64_1","doi-asserted-by":"crossref","unstructured":"Rubinstein M.(1985 July\u2010August): \u201cAlternate Paths to Portfolio Insurance \u201dFinancial Analysts Journal 42\u201352.","DOI":"10.2469\/faj.v41.n4.42"},{"key":"e_1_2_1_65_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.1.2.73"},{"key":"e_1_2_1_66_1","volume-title":"The Economy as an Evolving Complex System. SFI Studies in the Sciences of Complexity","author":"Ruelle D.","year":"1988"},{"key":"e_1_2_1_67_1","volume-title":"Measures of Complexity and Chaos","author":"Sayers C. L.","year":"1989"},{"key":"e_1_2_1_68_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080303"},{"key":"e_1_2_1_69_1","volume-title":"Dynamics Econometric Modelling","author":"Scheinkman J. A.","year":"1988"},{"key":"e_1_2_1_70_1","doi-asserted-by":"publisher","DOI":"10.1086\/296465"},{"key":"e_1_2_1_71_1","unstructured":"Shaw R.(1984):The Dripping Faucet as a Model Chaotic System."},{"key":"e_1_2_1_72_1","doi-asserted-by":"crossref","unstructured":"Shiller R.(1988): \u201cPortfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash \u201dNBER Macroeconomics Annual 287\u2013296.","DOI":"10.1086\/654091"},{"key":"e_1_2_1_73_1","volume-title":"Market Volatility","author":"Shiller R. J.","year":"1989"},{"key":"e_1_2_1_74_1","volume-title":"Report of the Committee on Market Volatility and Investor Confidence","author":"Smith R.","year":"1990"},{"key":"e_1_2_1_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2681(89)90074-7"},{"key":"e_1_2_1_76_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.35.3.321"},{"key":"e_1_2_1_77_1","doi-asserted-by":"crossref","unstructured":"Stoll H. R. andWhaley R. E.(1987 March\u2010April): \u201cProgram Trading and Expiration Day Effects \u201dFinancial Analysts Journal 16\u201328.","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_1_78_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_79_1","doi-asserted-by":"publisher","DOI":"10.1002\/sdr.4260060106"},{"key":"e_1_2_1_80_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100603"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120606","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120606","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T10:25:49Z","timestamp":1698056749000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120606"}},"issued":{"date-parts":[[1992,12]]},"references-count":79,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1992,12]]}},"alternative-id":["10.1002\/fut.3990120606"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120606","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,12]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T14:17:52Z","timestamp":1770473872488,"version":"3.49.0"},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6574,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,9]]},"DOI":"10.1002\/(sici)1096-9934(199709)17:6<689::aid-fut4>3.0.co;2-a","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T21:44:44Z","timestamp":1031694284000},"page":"689-705","source":"Crossref","is-referenced-by-count":11,"title":["Short-run deviations and volatility in spot and futures stock returns: Evidence from Australia, Hong Kong, and Japan"],"prefix":"10.1002","volume":"17","author":[{"given":"Taufiq","family":"Choudhry","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199709)17:6%3C689::AID-FUT4%3E3.0.CO;2-A","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199709)17:6%3C689::AID-FUT4%3E3.0.CO;2-A","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:32:42Z","timestamp":1625135562000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199709)17:6<689::AID-FUT4>3.0.CO;2-A"}},"issued":{"date-parts":[[1997,9]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1997,9]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199709)17:6<689::aid-fut4>3.0.co;2-a","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,9]]}},{"indexed":{"date-parts":[[2026,3,20]],"date-time":"2026-03-20T08:55:56Z","timestamp":1773996956275,"version":"3.50.1"},"reference-count":93,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T00:00:00Z","timestamp":1700179200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,3]]},"abstract":"Abstract<\/jats:title>Derivatives are increasingly used by managers not only to hedge risks but also to pursue nonhedging activities for fulfilling opportunistic incentives. The Statement of Financial Accounting Standards No. 161 (SFAS 161) requires firms to disclose their objectives and strategies for using derivatives. Using the adoption of this standard, we examine whether and how derivative disclosures influence managerial opportunistic behavior. We employ insider trades and stock price crash risk to capture managerial opportunism. Applying a difference\u2010in\u2010differences research design with hand\u2010collected data on derivative designations, we find that, after the implementation of SFAS 161, derivative users that comply with SFAS 161 experience a significantly greater decrease in both insider trades and stock price crash risk, compared with a matched control sample of nonderivative\u2010users. We further provide evidence to suggest that SFAS 161 curbs managerial opportunism via reducing information asymmetry between corporate insiders and outside investors and enhancing the effectiveness of derivative hedging.<\/jats:p>","DOI":"10.1002\/fut.22472","type":"journal-article","created":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T09:28:45Z","timestamp":1700213325000},"page":"384-419","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Derivative disclosures and managerial opportunism"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4879-6795","authenticated-orcid":false,"given":"Guanming","family":"He","sequence":"first","affiliation":[{"name":"Durham University Business School Durham University Durham UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6721-6269","authenticated-orcid":false,"given":"Helen Mengbing","family":"Ren","sequence":"additional","affiliation":[{"name":"University of Liverpool Management School University of Liverpool Liverpool UK"}]}],"member":"311","published-online":{"date-parts":[[2023,11,17]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2007.04.001"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.03.014"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12053"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000275"},{"issue":"3","key":"e_1_2_10_6_1","first-page":"2196","article-title":"Regulatory interventions in response to noncompliance with mandatory derivatives disclosures rules","volume":"28","author":"Bhattacharya N.","year":"2022","journal-title":"Review of Accounting Studies"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00221"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfx051"},{"key":"e_1_2_10_9_1","first-page":"1275","article-title":"Enron and the dark side of shareholder value","volume":"76","author":"Bratton W. W.","year":"2002","journal-title":"Tulane Law Review"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00049-6"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6419.2007.00527.x"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.018"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.2308\/TAR-2018-0418"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2015.07.005"},{"key":"e_1_2_10_15_1","first-page":"25","article-title":"Financial crisis of 2007\u20132010","volume":"47","author":"Chang W. W.","year":"2011","journal-title":"Keio Economic Studies"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000473"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.2308\/TAR-2018-0578"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00066-6"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.09.005"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000391"},{"key":"e_1_2_10_21_1","unstructured":"dataset Center for Research in Security Prices (CRSP). (2005\u20132012).Stocks. Wharton Research Data Service."},{"key":"e_1_2_10_22_1","unstructured":"dataset Compustat. (2005\u20132012).Fundamentals annual. Wharton Research Data Service."},{"key":"e_1_2_10_23_1","unstructured":"dataset Institutional Brokers' Estimate System (I\/B\/E\/S). (2005\u20132012).Detail history. Wharton Research Data Service."},{"key":"e_1_2_10_24_1","unstructured":"dataset Thomson Financial Insider Research Services. (2005\u20132012).Historical files. Wharton Research Data Service."},{"issue":"2","key":"e_1_2_10_25_1","first-page":"193","article-title":"Detecting earnings management","volume":"70","author":"Dechow P.","year":"1995","journal-title":"Accounting Review"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-51232"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.3.743"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2014.11.001"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.4236\/jfrm.2014.34013"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr.2010.85.4.1163"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00751.x"},{"key":"e_1_2_10_32_1","volume-title":"Statement of financial accounting standards No. 133: Accounting for derivative instruments and hedging activities","author":"Financial Accounting Standards Board (FASB)","year":"1998"},{"key":"e_1_2_10_33_1","volume-title":"Statement of financial accounting standards No. 161: Disclosures about derivative instruments and hedging activities","author":"Financial Accounting Standards Board (FASB)","year":"2008"},{"key":"e_1_2_10_34_1","volume-title":"Accounting standards update No. 2017\u201312, derivatives and hedging (Topic 815): Targeted improvements to accounting for hedging activities","author":"Financial Accounting Standards Board (FASB)","year":"2017"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2003.09.004"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2017.05.017"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05123.x"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2012.07.003"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240215"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb01112.x"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01279.x"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx069"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00443"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(98)00032-9"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq009"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2010.09.002"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00202"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-014-9305-8"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-022-01093-5"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2022.2075280"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-020-00936-3"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22275"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.001"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2006.06.003"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1506\/0277-1110-4434-M627"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.10.003"},{"key":"e_1_2_10_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.02.021"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy088"},{"key":"e_1_2_10_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.11.003"},{"key":"e_1_2_10_61_1","unstructured":"Kadant Inc. (2008).2007 10\u2010K form(pp.F16\u2013F17).https:\/\/www.sec.gov\/Archives\/edgar\/data\/886346\/000119312508053030\/d10k.htm"},{"key":"e_1_2_10_62_1","unstructured":"Kadant Inc. (2011).2010 10\u2010K form(pp.F36\u2013F38).https:\/\/www.sec.gov\/Archives\/edgar\/data\/886346\/000119312511069984\/d10k.htm"},{"key":"e_1_2_10_63_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-679X.12109"},{"key":"e_1_2_10_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(03)00036-3"},{"key":"e_1_2_10_65_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2925"},{"key":"e_1_2_10_66_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-51840"},{"key":"e_1_2_10_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.07.007"},{"key":"e_1_2_10_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.03.013"},{"key":"e_1_2_10_69_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-007-9058-8"},{"key":"e_1_2_10_70_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2008.00318.x"},{"key":"e_1_2_10_71_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.79"},{"key":"e_1_2_10_72_1","doi-asserted-by":"crossref","unstructured":"Lennox C. &Payne\u2010Mann C.(2023).An explanation of path analysis and recommendations for best practice[Working Paper].https:\/\/ssrn.com\/abstract=4573444","DOI":"10.2139\/ssrn.4573444"},{"key":"e_1_2_10_73_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-679X.12115"},{"key":"e_1_2_10_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/B0-12-369398-5\/00483-7"},{"key":"e_1_2_10_75_1","doi-asserted-by":"publisher","DOI":"10.1177\/0148558X15584238"},{"key":"e_1_2_10_76_1","unstructured":"Manchiraju H. Pierce S. &Sridharan S. S.(2018).Is hedge accounting designation informative about how firms use derivatives? [Working Paper]. Indian School of Business Florida State University and Northwestern University."},{"key":"e_1_2_10_77_1","doi-asserted-by":"publisher","DOI":"10.1086\/422627"},{"key":"e_1_2_10_78_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331399"},{"key":"e_1_2_10_79_1","doi-asserted-by":"publisher","DOI":"10.1111\/jeea.12007"},{"key":"e_1_2_10_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00042-2"},{"key":"e_1_2_10_81_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04709.x"},{"key":"e_1_2_10_82_1","volume-title":"SEC steps up scrutiny of financial reporting and internal controls","author":"Pecht G. G.","year":"2014"},{"key":"e_1_2_10_83_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr.2002.77.1.127"},{"key":"e_1_2_10_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2004.01.003"},{"key":"e_1_2_10_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-44-453594-8.00007-0"},{"key":"e_1_2_10_86_1","doi-asserted-by":"publisher","DOI":"10.2307\/2683903"},{"key":"e_1_2_10_87_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-51449"},{"key":"e_1_2_10_88_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2012.07.005"},{"key":"e_1_2_10_89_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"},{"key":"e_1_2_10_90_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.4198"},{"key":"e_1_2_10_91_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04064.x"},{"key":"e_1_2_10_92_1","article-title":"New FASB standard aims to simplify hedge accounting","author":"Tysiac K.","year":"2017","journal-title":"Journal of Accountancy"},{"key":"e_1_2_10_93_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2008.11.007"},{"key":"e_1_2_10_94_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-016-9355-1"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22472","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,2,12]],"date-time":"2024-02-12T04:49:38Z","timestamp":1707713378000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22472"}},"issued":{"date-parts":[[2023,11,17]]},"references-count":93,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2024,3]]}},"alternative-id":["10.1002\/fut.22472"],"URL":"https:\/\/doi.org\/10.1002\/fut.22472","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,11,17]]},"assertion":[{"value":"2023-06-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-10-20","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-11-17","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,25]],"date-time":"2026-03-25T10:36:28Z","timestamp":1774434988144,"version":"3.50.1"},"reference-count":86,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2024,7,18]],"date-time":"2024-07-18T00:00:00Z","timestamp":1721260800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,10]]},"abstract":"ABSTRACT<\/jats:title>We apply a Time\u2010Varying Parameter Vector Auto Regressive (TVP\u2010VAR) connectedness approach on global assets to investigate time\u2010varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID\u201019 and the Russia\u2013Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two events, we find the minimum correlation (connectedness) portfolio performing better during COVID\u201019 and the Russia\u2013Ukraine war and that cumulative returns of portfolios are higher during COVID\u201019. Additionally, we find varying (stable) hedge effectiveness of equity market indices and soft commodities (cryptocurrencies). This paper provides specific insights to investors about using optimal portfolios and hedging during pandemics and military conflicts.<\/jats:p>","DOI":"10.1002\/fut.22539","type":"journal-article","created":{"date-parts":[[2024,7,19]],"date-time":"2024-07-19T05:05:29Z","timestamp":1721365529000},"page":"1613-1639","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":27,"title":["Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID\u201019 Pandemic and the Russia\u2013Ukraine War"],"prefix":"10.1002","volume":"44","author":[{"given":"Ghulame","family":"Rubbaniy","sequence":"first","affiliation":[{"name":"Bristol Business School University of the West of England Bristol UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8777-2171","authenticated-orcid":false,"given":"Ali Awais","family":"Khalid","sequence":"additional","affiliation":[{"name":"Lahore Business School University of Lahore Lahore Pakistan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1368-7182","authenticated-orcid":false,"given":"Konstantinos","family":"Syriopoulos","sequence":"additional","affiliation":[{"name":"Zayed University Abu Dhabi UAE"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4317-1809","authenticated-orcid":false,"given":"Efstathios","family":"Polyzos","sequence":"additional","affiliation":[{"name":"Zayed University Abu Dhabi UAE"}]}],"member":"311","published-online":{"date-parts":[[2024,7,18]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103419"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101898"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbef.2020.100341"},{"issue":"1","key":"e_1_2_8_5_1","first-page":"227","article-title":"Distribution of the Kurtosis Statistic b2 for Normal Samples","volume":"70","author":"Anscombe F. J.","year":"1983","journal-title":"Biometrika"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm13040084"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10368-022-00546-5"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1177\/2158244020924418"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104589"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2016.04.020"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm16050258"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.3390\/en15218174"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/13657300701370317"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.101398"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.06.009"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22475"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-92957-2_9"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103192"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/risa.14195"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103632"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103775"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2021.11.014"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103357"},{"key":"e_1_2_8_24_1","doi-asserted-by":"crossref","unstructured":"Claessens M. S. andM. A.Kose 2013. \u201cFinancial Crises Explanations Types and Implications.\u201d IMF Working Paper No. 2013\/028.","DOI":"10.5089\/9781475561005.001"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101894"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22454"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/57.3.679"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2010.12.015"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171846"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102732"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12601"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102101"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22469"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest_a_00946"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2012.688465"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1080\/2573234X.2023.2193224"},{"key":"e_1_2_8_40_1","doi-asserted-by":"crossref","unstructured":"Ghorbel A. S.Loukil andW.Bahloul.2022. \u201cConnectedness Between Cryptocurrencies Gold and Stock Markets in the Presence of the COVID\u201019 Pandemic.\u201dEuropean Journal of Management and Business Economics. Published ahead of print.https:\/\/doi.org\/10.1108\/EJMBE-10-2021-0281.","DOI":"10.1108\/EJMBE-10-2021-0281"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2019.122643"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104323"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106422"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1108\/JES-01-2022-0055"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2021.1873765"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-12-824440-1.00009-6"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm15090372"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(80)90024-5"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2020.12.013"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm14110531"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2022.101578"},{"issue":"3","key":"e_1_2_8_52_1","first-page":"59","article-title":"A Universal Performance Measure","volume":"6","author":"Keating C.","year":"2002","journal-title":"Journal of Performance Measurement"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.003"},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01753-4"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102707"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2023.06.039"},{"key":"e_1_2_8_57_1","doi-asserted-by":"publisher","DOI":"10.1080\/1331677X.2021.1914125"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102166"},{"key":"e_1_2_8_59_1","doi-asserted-by":"publisher","DOI":"10.1111\/twec.13336"},{"key":"e_1_2_8_60_1","doi-asserted-by":"publisher","DOI":"10.1002\/joe.22162"},{"key":"e_1_2_8_61_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2894"},{"key":"e_1_2_8_62_1","unstructured":"Markowitz H. M.1959.Portfolio Selection: Efficient Diversification of Investments.Yale University Press.http:\/\/www.jstor.org\/stable\/j.ctt1bh4c8h."},{"key":"e_1_2_8_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2021.101487"},{"key":"e_1_2_8_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2021.128100"},{"key":"e_1_2_8_65_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10824-019-09371-2"},{"key":"e_1_2_8_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2021.02.012"},{"key":"e_1_2_8_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_8_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106106"},{"key":"e_1_2_8_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2023.102044"},{"key":"e_1_2_8_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techsoc.2023.102198"},{"key":"e_1_2_8_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2018.03.014"},{"key":"e_1_2_8_72_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2021.1897004"},{"key":"e_1_2_8_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2021.100223"},{"key":"e_1_2_8_74_1","unstructured":"Rubbaniy G. A. A.Khalid V.Vasco andS. I.Hussain.2024. \u201cReturn Connectedness and Portfolio Resilience in the Middle East During Israel\u2010Gaza Conflict.\u201d"},{"key":"e_1_2_8_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2024.142217"},{"key":"e_1_2_8_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101496"},{"key":"e_1_2_8_77_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103294"},{"key":"e_1_2_8_78_1","doi-asserted-by":"publisher","DOI":"10.21511\/imfi.18(1).2021.24"},{"key":"e_1_2_8_79_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm15050204"},{"key":"e_1_2_8_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbusres.2021.01.061"},{"key":"e_1_2_8_81_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2020.1785426"},{"key":"e_1_2_8_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103066"},{"key":"e_1_2_8_83_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102121"},{"key":"e_1_2_8_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.08.003"},{"key":"e_1_2_8_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2021.110028"},{"issue":"1","key":"e_1_2_8_86_1","first-page":"1","article-title":"COVID\u201019, the Russia\u2013Ukraine War and the Connectedness Between the US and Chinese Agricultural Futures Markets","volume":"11","author":"Zhang Y.","year":"2024","journal-title":"Humanities and Social Sciences Communications"},{"key":"e_1_2_8_87_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103526"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22539","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,11,17]],"date-time":"2024-11-17T09:35:04Z","timestamp":1731836104000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22539"}},"issued":{"date-parts":[[2024,7,18]]},"references-count":86,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2024,10]]}},"alternative-id":["10.1002\/fut.22539"],"URL":"https:\/\/doi.org\/10.1002\/fut.22539","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,7,18]]},"assertion":[{"value":"2024-03-10","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-03","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-18","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T06:07:28Z","timestamp":1774332448925,"version":"3.50.1"},"reference-count":86,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2024,7,23]],"date-time":"2024-07-23T00:00:00Z","timestamp":1721692800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,10]]},"abstract":"ABSTRACT<\/jats:title>This study investigates the impact of climate policy uncertainty (CPU) on energy and metal commodity futures markets by employing quantile regression, which accounts for various (bearish, normal, and bullish) markets. Our results reveal that the impact of CPU shocks is heterogeneous and market condition\u2010specific. Particularly, CPU exerts a significantly negative effect on all commodities, except natural gas, in a bearish market. Under a normal market, the impact of CPU on energy returns varies across commodities whereas for a bullish market, the\u00a0CPU effect is mixed. The results also reveal natural gas to be a good hedge instrument for climate policy risk. We further conducted channel analysis using the theory of storage and hedging pressure hypothesis. The key finding reveals inventory level as the transmission channel of climate policy risk. Our findings have implications for the inventory management strategies of producers and suggest that regulators should consider market\u2010based policies in their decarbonization efforts.<\/jats:p>","DOI":"10.1002\/fut.22544","type":"journal-article","created":{"date-parts":[[2024,7,23]],"date-time":"2024-07-23T15:40:12Z","timestamp":1721749212000},"page":"1694-1709","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":12,"title":["Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets"],"prefix":"10.1002","volume":"44","author":[{"given":"Kingsley E.","family":"Dogah","sequence":"first","affiliation":[{"name":"Nottingham University Business School China University of Nottingham Ningbo China Ningbo China"}]},{"ORCID":"https:\/\/orcid.org\/0009-0005-4952-1530","authenticated-orcid":false,"given":"Yingying","family":"Wu","sequence":"additional","affiliation":[{"name":"Department of Finance Xi'an Jiaotong Liverpool University Suzhou People's Republic of China"}]},{"given":"Lavinia","family":"Rognone","sequence":"additional","affiliation":[{"name":"University of Edinburgh Business School The University of Edinburgh Edinburgh UK"}]}],"member":"311","published-online":{"date-parts":[[2024,7,23]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.03.003"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102303"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2021.121541"},{"key":"e_1_2_10_5_1","unstructured":"Alquist R. G. H.Bauer andA.Diez de los Rios.2014. \u201cWhat Does the Convenience Yield Curve Tell Us About the Crude Oil Market?\u201d Technical report Bank of Canada Working Paper."},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2016.04.011"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2018.04.002"},{"key":"e_1_2_10_8_1","doi-asserted-by":"crossref","unstructured":"Bakshi G. G.Panayotov andG.Skoulakis.2011. \u201cThe Baltic Dry Index as a Predictor of Global Stock Returns Commodity Returns and Global Economic Activity.\u201d AFA 2012 Chicago Meetings Paper.https:\/\/ssrn.com\/abstract=1787757orhttps:\/\/doi.org\/10.2139\/ssrn.1787757","DOI":"10.2139\/ssrn.1787757"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1037\/0022-3514.51.6.1173"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.10.015"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90017-R"},{"key":"e_1_2_10_13_1","doi-asserted-by":"crossref","unstructured":"Bhardwaj G. G.Gorton andG.Rouwenhorst.2015. \u201cFacts and Fantasies About Commodity Futures Ten Years Later.\u201d Technical report National Bureau of Economic Research.","DOI":"10.3386\/w21243"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2021.101529"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/10242694.2020.1848285"},{"key":"e_1_2_10_17_1","doi-asserted-by":"crossref","unstructured":"Bua G. D.Kapp F.Ramella andL.Rognone.2024. \u201cTransition Versus Physical Climate Risk Pricing in European Financial Markets: A Text\u2010Based Approach.\u201dThe European Journal of Finance1\u201335.","DOI":"10.1080\/1351847X.2024.2355103"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.11.018"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.red.2023.08.003"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2007.01021.x"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.08.021"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1979.10482531"},{"key":"e_1_2_10_23_1","doi-asserted-by":"crossref","unstructured":"Diebold F. X. L.Liu andK.Yilmaz.2017. \u201cCommodity Connectedness.\u201d Technical report National Bureau of Economic Research.","DOI":"10.3386\/w23685"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz072"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.worlddev.2020.105164"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21897"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.06.015"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226092126.003.0008"},{"key":"e_1_2_10_29_1","doi-asserted-by":"crossref","unstructured":"Gavriilidis K.2021. \u201cMeasuring Climate Policy Uncertainty.\u201d Available at SSRN 3847388.","DOI":"10.2139\/ssrn.3847388"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101512"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22207"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106028"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/eufm.12150"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103915"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20141419"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2020.09.001"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2019.11.018"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.103227"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1214\/10-STS321"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22416"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22155"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.12.011"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.01.027"},{"key":"e_1_2_10_45_1","doi-asserted-by":"crossref","unstructured":"Kapfhammer F. V. H.Larsen andL. A.Thorsrud.2021. \u201cClimate Risk and Commodity Currencies.\u201d CESifo Working Paper Series.","DOI":"10.2139\/ssrn.3754679"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(96)84507-6"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01466.x"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2016.07.002"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.103014"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.08.009"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101979"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.4324\/9780203809556"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105377"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2020.100656"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101819"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101740"},{"key":"e_1_2_10_58_1","doi-asserted-by":"publisher","DOI":"10.3390\/math9040441"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2015.10.004"},{"key":"e_1_2_10_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105123"},{"key":"e_1_2_10_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2021.101418"},{"key":"e_1_2_10_62_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_10_63_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22222"},{"key":"e_1_2_10_64_1","doi-asserted-by":"crossref","unstructured":"Ramelli S. A. F.Wagner R. J.Zeckhauser andA.Ziegler.2018. \u201cInvestor Rewards to Climate Responsibility: Evidence From the 2016 Climate Policy Shock.\u201d Technical report National Bureau of Economic Research.","DOI":"10.3386\/w25310"},{"key":"e_1_2_10_65_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465302317411604"},{"key":"e_1_2_10_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2015.10.043"},{"key":"e_1_2_10_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rser.2015.02.025"},{"key":"e_1_2_10_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.01.001"},{"key":"e_1_2_10_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102084"},{"key":"e_1_2_10_70_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"key":"e_1_2_10_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.exis.2022.101140"},{"key":"e_1_2_10_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2019.102277"},{"key":"e_1_2_10_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2017.06.010"},{"key":"e_1_2_10_74_1","doi-asserted-by":"publisher","DOI":"10.1080\/00273171.2014.904221"},{"key":"e_1_2_10_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2012.11.007"},{"key":"e_1_2_10_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2019.02.028"},{"key":"e_1_2_10_77_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_10_78_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2021.101539"},{"key":"e_1_2_10_79_1","unstructured":"UNFCCC n.d.a. \u201cBiennial Update Report Submissions From Non\u2010Annex I Parties.\u201d Accessed July 2 2021.https:\/\/unfccc.int\/BURs"},{"key":"e_1_2_10_80_1","unstructured":"UNFCCC n.d.b. \u201cNational Communication Submissions From Non\u2010Annex I Parties.\u201d Accessed December 5 2021.https:\/\/unfccc.int\/non-annex-I-NCs"},{"key":"e_1_2_10_81_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-resource-110519-040938"},{"key":"e_1_2_10_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2023.03.013"},{"key":"e_1_2_10_83_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2014.12.030"},{"key":"e_1_2_10_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103533"},{"key":"e_1_2_10_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2020.12.001"},{"key":"e_1_2_10_86_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2014.887181"},{"key":"e_1_2_10_87_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1688243"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22544","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,11,17]],"date-time":"2024-11-17T09:34:49Z","timestamp":1731836089000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22544"}},"issued":{"date-parts":[[2024,7,23]]},"references-count":86,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2024,10]]}},"alternative-id":["10.1002\/fut.22544"],"URL":"https:\/\/doi.org\/10.1002\/fut.22544","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,7,23]]},"assertion":[{"value":"2023-11-03","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-08","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-23","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T23:38:18Z","timestamp":1775173098275,"version":"3.50.1"},"reference-count":27,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2013,7,12]],"date-time":"2013-07-12T00:00:00Z","timestamp":1373587200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,10]]},"abstract":"Abstract<\/jats:title>This study examines the effect of oil and gas inventory announcements on energy prices. Previous estimates of this effect suffer from bias due to measurement error in inventory surprises. We utilize intraday futures data for three petroleum commodities and natural gas to estimate the price response coefficients using traditional event study regressions and the identification\u2010through\u2010censoring (ITC) technique proposed by Rigobon and Sack [Rigobon and Sack (2008). Asset prices and monetary policy (pp. 335\u2013370). Chicago: University of Chicago Press]. The results show that the bias in OLS estimates of the price impact of inventory surprises is quite large. The ITC coefficient estimates are about twice as large as OLS estimates for petroleum commodities and about four times as large as OLS estimates for natural gas. These results imply that energy prices are more strongly influenced by unexpected changes in inventory than shown in previous research. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:911\u2013933, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21633","type":"journal-article","created":{"date-parts":[[2013,7,12]],"date-time":"2013-07-12T14:31:10Z","timestamp":1373639470000},"page":"911-933","source":"Crossref","is-referenced-by-count":50,"title":["Noisy Inventory Announcements and Energy Prices"],"prefix":"10.1002","volume":"34","author":[{"given":"Marketa W.","family":"Halova","sequence":"first","affiliation":[{"name":"Marketa Halova is an Assistant Professor of Economics at the Department of Economics Washington State University Pullman Washington"}]},{"given":"Alexander","family":"Kurov","sequence":"additional","affiliation":[{"name":"Alexander Kurov is an Associate Professor of Finance at the Department of Finance West Virginia University Morgantown West Virginia"}]},{"given":"Oleg","family":"Kucher","sequence":"additional","affiliation":[{"name":"Oleg Kucher is an Assistant Professor of Economics at the Department of Economics Frostburg State University Frostburg Maryland"}]}],"member":"311","published-online":{"date-parts":[[2013,7,12]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(94)00392-I"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05157.x"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2283"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.06.017"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol29-No2-3"},{"key":"e_1_2_7_8_1","doi-asserted-by":"crossref","unstructured":"Burgstahler D. &Chuk E. (2010). Earnings precision and the relations between earnings and returns. Working paper University of Washington.","DOI":"10.2139\/ssrn.1119400"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol32-No2-7"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20374"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20525"},{"key":"e_1_2_7_12_1","unstructured":"Chiou\u2010Wei S. Linn S. &Zhu Z.(2010). Fundamental news and the behavior of commodity prices: Price discovery and jumps in U.S. natural gas prices. Working paper University of Oklahoma."},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20368"},{"key":"e_1_2_7_14_1","unstructured":"Halova M. W.(2012). Gas does affect oil: Evidence from intraday prices and inventory announcements. Working paper Washington State University."},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002246"},{"key":"e_1_2_7_17_1","first-page":"427","article-title":"The effect of ex ante earnings uncertainty on earnings response coefficients","volume":"67","author":"Imhoff E. A.","year":"1992","journal-title":"Accounting Review"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1574-0862.2009.00389.x"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2322"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10115"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.33.2.2"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226092126.003.0009"},{"key":"e_1_2_7_24_1","first-page":"861","article-title":"Orange juice and weather","volume":"74","author":"Roll R.","year":"1984","journal-title":"American Economic Review"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140204"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20347"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21633","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21633","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T15:39:53Z","timestamp":1696606793000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21633"}},"issued":{"date-parts":[[2013,7,12]]},"references-count":27,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2014,10]]}},"alternative-id":["10.1002\/fut.21633"],"URL":"https:\/\/doi.org\/10.1002\/fut.21633","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,7,12]]}},{"indexed":{"date-parts":[[2023,9,27]],"date-time":"2023-09-27T05:20:38Z","timestamp":1695792038603},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5746,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,12]]},"DOI":"10.1002\/fut.3990100610","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:48:48Z","timestamp":1183646928000},"page":"675-675","source":"Crossref","is-referenced-by-count":0,"title":["Erratum"],"prefix":"10.1002","volume":"10","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100610","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100610","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T22:17:53Z","timestamp":1695766673000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100610"}},"issued":{"date-parts":[[1990,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1990,12]]}},"alternative-id":["10.1002\/fut.3990100610"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100610","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,12]]}},{"indexed":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T05:10:04Z","timestamp":1695964204611},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5262,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,4]]},"DOI":"10.1002\/fut.3990120201","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:05:35Z","timestamp":1183662335000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"12","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120201","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120201","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,28]],"date-time":"2023-09-28T03:30:42Z","timestamp":1695871842000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120201"}},"issued":{"date-parts":[[1992,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1992,4]]}},"alternative-id":["10.1002\/fut.3990120201"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120201","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,4]]}},{"indexed":{"date-parts":[[2024,5,31]],"date-time":"2024-05-31T21:14:26Z","timestamp":1717190066828},"reference-count":14,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8212,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,3]]},"DOI":"10.1002\/fut.3990040105","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:21:23Z","timestamp":1183591283000},"page":"39-46","source":"Crossref","is-referenced-by-count":10,"title":["Spread volatility in commodity futures: The length effect"],"prefix":"10.1002","volume":"4","author":[{"given":"Mark G.","family":"Castelino","sequence":"first","affiliation":[]},{"given":"Ashok","family":"Vora","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020211"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Cootner P.(1960): \u201cReturns to Speculators: Telser Versus Keynes \u201dJournal of Political Economy August.","DOI":"10.1086\/258347"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Ederington L.(1979): \u201cThe Hedging Performance of the New Futures Markets \u201dJournal of Finance March.","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_6_1","article-title":"Temporal Relationships Between Futures Prices: Reply","volume":"53","author":"Gray R.","year":"1971","journal-title":"Journal of Agricultural Economics"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1979.tb02071.x","article-title":"The Pricing of Commodity Futures Contracts, Nominal Bonds and Other Risky Assets Under Commodity Price Uncertainty","volume":"34","author":"Grauer F.","year":"1979","journal-title":"Journal of Finance"},{"key":"e_1_2_1_9_1","volume-title":"Selected Writings in Futures Markets","author":"Rutledge D.","year":"1977"},{"key":"e_1_2_1_10_1","article-title":"Proof That Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_11_1","unstructured":"Stein J.(1961): \u201cThe Simultaneous Determination of Spot and Futures Prices \u201dAmerican Economic Review LI (March)."},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","DOI":"10.2307\/2330460","article-title":"Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium","author":"Stoll H.","year":"1979","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_1_13_1","article-title":"Futures Trading and the Storage of Cotton","volume":"65","author":"Telser L.","year":"1958","journal-title":"Journal of Political Economy"},{"key":"e_1_2_1_14_1","article-title":"Futures Trading and Hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Working H.(1953): \u201cHedging Reconsidered \u201dJournal of Farm Economics.","DOI":"10.2307\/1233368"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040105","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040105","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:50:17Z","timestamp":1697802617000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040105"}},"issued":{"date-parts":[[1984,3]]},"references-count":14,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1984,3]]}},"alternative-id":["10.1002\/fut.3990040105"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040105","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,3]]}},{"indexed":{"date-parts":[[2022,4,3]],"date-time":"2022-04-03T03:49:12Z","timestamp":1648957752402},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3349,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2006,7]]},"DOI":"10.1002\/fut.v26:7","type":"journal-issue","created":{"date-parts":[[2006,5,9]],"date-time":"2006-05-09T16:56:07Z","timestamp":1147193767000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"26","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v26:7","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v26:7","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,8,2]],"date-time":"2018-08-02T07:58:21Z","timestamp":1533196701000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/fut.v26:7"}},"issued":{"date-parts":[[2006,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2006,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v26:7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,7]]}},{"indexed":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T14:59:40Z","timestamp":1694617180591},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2000,1,21]],"date-time":"2000-01-21T00:00:00Z","timestamp":948412800000},"content-version":"vor","delay-in-days":20,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2000,1,1]],"date-time":"2000-01-01T00:00:00Z","timestamp":946684800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,1]]},"DOI":"10.1002\/(sici)1096-9934(200001)20:1<3::aid-fut2>3.0.co;2-#","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T04:06:00Z","timestamp":1030248360000},"page":"3-4","source":"Crossref","is-referenced-by-count":0,"title":["Introduction"],"prefix":"10.1002","volume":"20","author":[{"given":"Mark J.","family":"Powers","sequence":"first","affiliation":[{"name":"The Journal of Futures Markets, 1585 Old Oaks Drive, Charlottesville, VA 22901"}]}],"member":"311","published-online":{"date-parts":[[2000,1,21]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200001)20:1%3C3::AID-FUT2%3E3.0.CO;2-#","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/%28SICI%291096-9934%28200001%2920%3A1%3C3%3A%3AAID-FUT2%3E3.0.CO%3B2-%23","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/%28SICI%291096-9934%28200001%2920%3A1%3C3%3A%3AAID-FUT2%3E3.0.CO%3B2-%23","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,12,18]],"date-time":"2021-12-18T01:06:56Z","timestamp":1639789616000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/%28SICI%291096-9934%28200001%2920%3A1%3C3%3A%3AAID-FUT2%3E3.0.CO%3B2-%23"}},"issued":{"date-parts":[[2000,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2000,1]]}},"alternative-id":["10.1002\/(SICI)1096-9934(200001)20:1<3::AID-FUT2>3.0.CO;2-#"],"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200001)20:1<3::aid-fut2>3.0.co;2-#","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,1]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T08:42:28Z","timestamp":1696668148358},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2016,4,27]],"date-time":"2016-04-27T00:00:00Z","timestamp":1461715200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,6]]},"DOI":"10.1002\/fut.21782","type":"journal-article","created":{"date-parts":[[2016,4,27]],"date-time":"2016-04-27T14:42:46Z","timestamp":1461768166000},"page":"521-521","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"36","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2016,4,27]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21782","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21782","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T07:36:04Z","timestamp":1696577764000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21782"}},"issued":{"date-parts":[[2016,4,27]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2016,6]]}},"alternative-id":["10.1002\/fut.21782"],"URL":"https:\/\/doi.org\/10.1002\/fut.21782","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,4,27]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:21:52Z","timestamp":1740104512211,"version":"3.37.3"},"reference-count":41,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2022,7,25]],"date-time":"2022-07-25T00:00:00Z","timestamp":1658707200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["11801433","11971372","72101199"],"award-info":[{"award-number":["11801433","11971372","72101199"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,12]]},"abstract":"Abstract<\/jats:title>In this paper, we analyze the role that trades and quotes play in price discovery. Based on tick\u2010level data for CSI 300 stock index futures, we find that the contribution of quotes to price discovery does not differ from trades at low resolutions, but dominates at high resolutions. This difference is influenced by spreads and volume. Further analysis reveals that the intraday price contribution of quotes and trades is trending downward, up to 31% in the first half\u2010hour. The adverse selection and liquidity supply cost components of spreads significantly contribute to and dampen the difference in intraday contribution, respectively.<\/jats:p>","DOI":"10.1002\/fut.22368","type":"journal-article","created":{"date-parts":[[2022,7,25]],"date-time":"2022-07-25T09:19:51Z","timestamp":1658740791000},"page":"2235-2247","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1043-8052","authenticated-orcid":false,"given":"Liwei","family":"Jin","sequence":"first","affiliation":[{"name":"School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1466-5268","authenticated-orcid":false,"given":"Xianghui","family":"Yuan","sequence":"additional","affiliation":[{"name":"School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China"}]},{"given":"Shihao","family":"Wang","sequence":"additional","affiliation":[{"name":"School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7029-4900","authenticated-orcid":false,"given":"Peiran","family":"Li","sequence":"additional","affiliation":[{"name":"School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China"}]},{"given":"Feng","family":"Lian","sequence":"additional","affiliation":[{"name":"School of Electronic and Information Engineering Xi'an Jiaotong University Xi'an Shaanxi China"}]}],"member":"311","published-online":{"date-parts":[[2022,7,25]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.03.001"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90029-B"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12769"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2017.12.005"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.10.004"},{"key":"e_1_2_9_8_1","doi-asserted-by":"crossref","unstructured":"Chen Y. L. &Xu K.(2021).The impact of RMB's SDR inclusion on price discovery in onshore\u2010offshore markets*.Journal of Banking & Finance 127.https:\/\/doi.org\/10.1016\/j.jbankfin.2021.106124","DOI":"10.1016\/j.jbankfin.2021.106124"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20110"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2231972"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(03)00018-1"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21652"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.08.002"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000215"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21776"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21825"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331277"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00609.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbz028"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2009.01.001"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12594"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2021.03.001"},{"key":"e_1_2_9_26_1","doi-asserted-by":"crossref","unstructured":"Jing H. Feng H. Baiao L. C. &Li Z. H.(2021).Price discovery and its determinants for the Chinese soybean options and futures markets.Finance Research Letters 40.https:\/\/doi.org\/10.1016\/j.frl.2020.101689","DOI":"10.1016\/j.frl.2020.101689"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22041"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asieco.2021.101370"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2019.10.011"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.1035"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.10.007"},{"key":"e_1_2_9_34_1","doi-asserted-by":"crossref","unstructured":"Papavassiliou V. G. &Kinateder H.(2021).Information shares and market quality before and during the European sovereign debt & nbsp; crisis & nbsp.Journal of International Financial Markets Institutions & Money 72.https:\/\/doi.org\/10.1016\/j.intfin.2021.101334","DOI":"10.1016\/j.intfin.2021.101334"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2014.07.001"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.01.002"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2019.100524"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.004"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfm023"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21804"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2000.tb00746.x"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1057\/jdhf.2009.16"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22368","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22368","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22368","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T10:39:38Z","timestamp":1692614378000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22368"}},"issued":{"date-parts":[[2022,7,25]]},"references-count":41,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2022,12]]}},"alternative-id":["10.1002\/fut.22368"],"URL":"https:\/\/doi.org\/10.1002\/fut.22368","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,7,25]]},"assertion":[{"value":"2022-05-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-07-11","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-07-25","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T19:35:10Z","timestamp":1700422510352},"reference-count":23,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5753,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,12]]},"DOI":"10.1002\/(sici)1096-9934(199912)19:8<859::aid-fut1>3.0.co;2-a","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T19:31:36Z","timestamp":1100460696000},"page":"859-875","source":"Crossref","is-referenced-by-count":11,"title":["Hedging with mismatched currencies"],"prefix":"10.1002","volume":"19","author":[{"given":"Udo","family":"Broll","sequence":"first","affiliation":[]},{"given":"Kit Pong","family":"Wong","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB1","doi-asserted-by":"crossref","first-page":"1182","DOI":"10.1086\/261028","volume":"89","author":"Anderson","year":"1981","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB2","volume-title":"Aspects of the theory of risk-bearings","author":"Arrow","year":"1965","unstructured":"(1965). Aspects of the theory of risk-bearings. Helsinki: Yrjo Jahnsson Saatio."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB3","doi-asserted-by":"crossref","first-page":"537","DOI":"10.1016\/0261-5606(85)90028-2","volume":"4","author":"Benninga","year":"1985","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB4","doi-asserted-by":"crossref","first-page":"1439","DOI":"10.1080\/01621459.1969.10501069","volume":"64","author":"Bohenstedt","year":"1969","journal-title":"American Statistical Association Journal"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB5","doi-asserted-by":"crossref","first-page":"475","DOI":"10.1002\/(SICI)1096-9934(199706)17:4<475::AID-FUT5>3.0.CO;2-E","volume":"17","author":"Broll","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB6","doi-asserted-by":"crossref","first-page":"282","DOI":"10.1111\/j.1467-9396.1996.tb00104.x","volume":"4","author":"Broll","year":"1996","journal-title":"Review of International Economics"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB7","author":"Broll","year":"1998","journal-title":"Economica"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB8","author":"Chow","year":"1998","journal-title":"Quarterly Review of Economics and Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB9","doi-asserted-by":"crossref","first-page":"85","DOI":"10.1016\/0261-5606(87)90015-5","volume":"6","author":"Eaker","year":"1987","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB10","volume-title":"Risk: Evaluation, management and sharing","author":"Eeckhoudt","year":"1995","unstructured":"& (1995). Risk: Evaluation, management and sharing. New York: Harvester Wheatsheaf."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB11","volume-title":"Multinational business finance","author":"Eiteman","year":"1998","unstructured":"& (1998). Multinational business finance. Reading, MA: Addison-Wesley Publishing Company."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB12","doi-asserted-by":"crossref","first-page":"1629","DOI":"10.1111\/j.1540-6261.1993.tb05123.x","volume":"48","author":"Froot","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB13","doi-asserted-by":"crossref","DOI":"10.1007\/978-94-009-1806-1","volume-title":"Management and control of foreign exchange risk","author":"Jacque","year":"1996","unstructured":"(1996). Management and control of foreign exchange risk. Boston: Kluwer Academic Publishers."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB14","doi-asserted-by":"crossref","first-page":"272","DOI":"10.1016\/0165-1765(79)90148-4","volume":"4","author":"Katz","year":"1979","journal-title":"Economics Letters"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB15","doi-asserted-by":"crossref","first-page":"83","DOI":"10.1016\/0022-1996(86)90062-0","volume":"20","author":"Kawai","year":"1986","journal-title":"Journal of International Economics"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB16","doi-asserted-by":"crossref","first-page":"565","DOI":"10.2307\/2331413","volume":"26","author":"Kerkvliet","year":"1991","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB17","doi-asserted-by":"crossref","first-page":"53","DOI":"10.2307\/2938334","volume":"58","author":"Kimball","year":"1990","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB18","doi-asserted-by":"crossref","first-page":"589","DOI":"10.2307\/2951719","volume":"61","author":"Kimball","year":"1993","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB19","doi-asserted-by":"crossref","first-page":"117","DOI":"10.1257\/jep.4.1.117","volume":"4","author":"Meess","year":"1990","journal-title":"Journal of Economic Perspectives"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB20","volume-title":"Inside the financial futures markets","author":"Powers","year":"1991","unstructured":"& (1991). Inside the financial futures markets (3rd ed.). New York: John Wiley & Sons."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB21","doi-asserted-by":"crossref","first-page":"122","DOI":"10.2307\/1913738","volume":"32","author":"Pratt","year":"1964","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB22","doi-asserted-by":"crossref","first-page":"6","DOI":"10.1111\/j.1745-6622.1990.tb00183.x","volume":"1","author":"Rawls","year":"1990","journal-title":"Journal of Applied Corporate Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A-BIB23","volume-title":"International Financial markets and the firm","author":"Sercu","year":"1995","unstructured":"& (1995). International Financial markets and the firm. Cincinnati: South-Western College Publishing."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199912)19:8%3C859::AID-FUT1%3E3.0.CO;2-A","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199912)19:8%3C859::AID-FUT1%3E3.0.CO;2-A","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:26:42Z","timestamp":1625131602000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A"}},"issued":{"date-parts":[[1999,12]]},"references-count":23,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1999,12]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199912)19:8<859::aid-fut1>3.0.co;2-a","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,12]]}},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T00:14:03Z","timestamp":1700352843778},"reference-count":34,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2002,8,13]],"date-time":"2002-08-13T00:00:00Z","timestamp":1029196800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,10]]},"abstract":"Abstract<\/jats:title>In this article, we examine the effect of multiple listings of options on their bid\u2013ask spread, by\n\ncomparing options contracts listed only on the Montreal Exchange with those interlisted on that exchange and on a\n\nU.S. exchange as well. Using a statistical procedure adapted to panel data and two models for the determination of\n\nthe bid\u2013ask spread, we find that the bid\u2013ask spreads of Montreal options interlisted in U.S. markets\n\nare narrower than those of non\u2010interlisted options. That advantage tends to disappear, however, with an\n\nincrease in option price and to increase with its volatility, but is not affected by the volume of transactions in\n\nthe option market. The analysis also shows that interlisting may result in time lags in the convergence of quotes\n\nbetween Montreal and the U.S. markets. Moreover, our evidence shows that with interlisting, volume shifts to the\n\noption market where trading in the underlying security is concentrated, irrespective of the location where the\n\noption was first introduced. \u00a9 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:939\u2013957, 2002<\/jats:p>","DOI":"10.1002\/fut.10041","type":"journal-article","created":{"date-parts":[[2002,10,6]],"date-time":"2002-10-06T12:19:07Z","timestamp":1033906747000},"page":"939-957","source":"Crossref","is-referenced-by-count":4,"title":["The effect of multiple listings on the bid\u2013ask spread in option markets: The case of Montreal Exchange"],"prefix":"10.1002","volume":"22","author":[{"given":"Nabil","family":"Khoury","sequence":"first","affiliation":[]},{"given":"Klaus P.","family":"Fischer","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,8,13]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90020-3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913644"},{"key":"e_1_2_1_4_1","unstructured":"Bellemare G.(1997).Capital market segmentation: The case of Canada and the US. Unpublished Ph.D. dissertation Faculty of Management University of Toronto."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(74)90014-2"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03249.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.483"},{"key":"e_1_2_1_8_1","volume-title":"Order flow and the\n\nquality of the market, marketmaking and the changing structure of the securities industry","author":"Cohen K. J.","year":"1985"},{"key":"e_1_2_1_9_1","volume-title":"The microstructure of securities markets","author":"Cohen K. J.","year":"1986"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb03834.x"},{"key":"e_1_2_1_11_1","volume-title":"Estimation and inference in\n\neconometrics","author":"Davidson R.","year":"1993"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1882244"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-4431(98)00049-3"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1994.tb00182.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04594.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02078.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90070-0"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02153.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.995"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.7202\/602051ar"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.345"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330712"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04566.x"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/296573"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00038-0"},{"key":"e_1_2_1_28_1","volume-title":"Econometric models and economic\n\nforecasts","author":"Pindyck R.","year":"1981"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/1042-9573(90)90001-V"},{"key":"e_1_2_1_30_1","unstructured":"SEC File #S7\u201015\u201089 May 26 1989 and File #S\u201025\u201087 May 26 1989."},{"issue":"2","key":"e_1_2_1_31_1","article-title":"Public regulation of the securities markets","volume":"37","author":"Stigler G. J.","year":"1964","journal-title":"Journal of Political Economy"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb02054.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_1_34_1","unstructured":"TSE. (1997). Summary of responses to the blueprint."},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10041","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10041","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T10:46:18Z","timestamp":1700304378000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10041"}},"issued":{"date-parts":[[2002,8,13]]},"references-count":34,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2002,10]]}},"alternative-id":["10.1002\/fut.10041"],"URL":"https:\/\/doi.org\/10.1002\/fut.10041","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,8,13]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T05:17:57Z","timestamp":1700284677983},"reference-count":0,"publisher":"Wiley","issue":"3","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,3]]},"DOI":"10.1002\/fut.v23:3","type":"journal-issue","created":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:24:21Z","timestamp":1700267061000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"23","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:24:22Z","timestamp":1700267062000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/23\/3"}},"issued":{"date-parts":[[2003,3]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2003,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v23:3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,3]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T09:18:12Z","timestamp":1700299092712},"reference-count":23,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5356,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2001,2]]},"DOI":"10.1002\/1096-9934(200102)21:2<145::aid-fut3>3.0.co;2-c","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:04:18Z","timestamp":1030302258000},"page":"145-172","source":"Crossref","is-referenced-by-count":3,"title":["Hedging multiple price and quantity exposures"],"prefix":"10.1002","volume":"21","author":[{"given":"Carmelo","family":"Giaccotto","sequence":"first","affiliation":[]},{"given":"Shantaram P.","family":"Hegde","sequence":"additional","affiliation":[]},{"given":"John B.","family":"McDermott","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001]]},"reference":[{"key":"BIB1","doi-asserted-by":"crossref","first-page":"41","DOI":"10.2307\/3665446","volume":"13","author":"Adler","year":"1984","journal-title":"Financial Management"},{"key":"BIB2","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1057\/palgrave.jibs.8490511","volume":"14","author":"Babbel","year":"1983","journal-title":"Journal of International Business Studies"},{"key":"BIB3","doi-asserted-by":"crossref","first-page":"537","DOI":"10.1016\/0261-5606(85)90028-2","volume":"4","author":"Benninga","year":"1985","journal-title":"Journal of International Money and Finance"},{"key":"BIB4","doi-asserted-by":"crossref","first-page":"1439","DOI":"10.1080\/01621459.1969.10501069","volume":"64","author":"Bohrnstedt","year":"1969","journal-title":"Journal of the American Statistical Association"},{"key":"BIB5","doi-asserted-by":"crossref","first-page":"229","DOI":"10.1023\/A:1009778703889","volume":"2","author":"Chowdhry","year":"1999","journal-title":"European Finance Review"},{"key":"BIB6","doi-asserted-by":"crossref","first-page":"1035","DOI":"10.1016\/0378-4266(85)90019-6","volume":"9","author":"Eaker","year":"1985","journal-title":"Journal of Banking and Finance"},{"key":"BIB7","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","volume":"34","author":"Ederington","year":"1979","journal-title":"Journal of Finance"},{"key":"BIB8","doi-asserted-by":"crossref","first-page":"982","DOI":"10.2307\/1060328","author":"Fung","year":"1991","journal-title":"Southern Economic Journal"},{"key":"BIB9","doi-asserted-by":"crossref","first-page":"659","DOI":"10.1002\/fut.3990010408","volume":"1","author":"Hill","year":"1981","journal-title":"Journal of Futures Markets"},{"key":"BIB10","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1111\/j.1475-6803.1982.tb00629.x","volume":"5","author":"Hill","year":"1982","journal-title":"Journal of Financial Research"},{"key":"BIB11","volume-title":"Theory of financial decision making","author":"Ingersoll","year":"1987","unstructured":"(1987). Theory of financial decision making. New Jersey: Rowman and Littlefield."},{"key":"BIB12","doi-asserted-by":"crossref","first-page":"81","DOI":"10.1057\/palgrave.jibs.8490572","volume":"12","author":"Jacque","year":"1981","journal-title":"Journal of International Business Studies"},{"key":"BIB13","doi-asserted-by":"crossref","first-page":"139","DOI":"10.2307\/2296076","volume":"27","author":"Johnson","year":"1960","journal-title":"Review of Economic Studies"},{"key":"BIB14","doi-asserted-by":"crossref","first-page":"565","DOI":"10.2307\/2331413","volume":"26","author":"Kerkvliet","year":"1991","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"BIB15","doi-asserted-by":"crossref","first-page":"535","DOI":"10.2307\/2331164","volume":"28","author":"Kroner","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"BIB16","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1057\/palgrave.jibs.8490405","volume":"18","author":"Kwok","year":"1987","journal-title":"Journal of International Business Studies"},{"key":"BIB17","doi-asserted-by":"crossref","first-page":"219","DOI":"10.1002\/(SICI)1096-9934(199604)16:2<219::AID-FUT7>3.0.CO;2-N","volume":"16","author":"Lien","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"BIB18","doi-asserted-by":"crossref","first-page":"100","DOI":"10.1086\/260849","volume":"88","author":"Rolfo","year":"1980","journal-title":"Journal of Political Economy"},{"key":"BIB19","doi-asserted-by":"crossref","first-page":"485","DOI":"10.1111\/j.1540-6261.1975.tb01824.x","volume":"30","author":"Shapiro","year":"1975","journal-title":"Journal of Finance"},{"key":"BIB20","doi-asserted-by":"crossref","first-page":"365","DOI":"10.2307\/2330779","volume":"19","author":"Shapiro","year":"1984","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"BIB21","first-page":"1012","volume":"51","author":"Stein","year":"1961","journal-title":"American Economic Review"},{"key":"BIB22","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1057\/palgrave.jibs.8490400","volume":"18","author":"Swanson","year":"1987","journal-title":"Journal of International Business Studies"},{"key":"BIB23","doi-asserted-by":"crossref","first-page":"473","DOI":"10.1016\/0165-1765(92)90188-5","volume":"39","author":"Zilcha","year":"1992","journal-title":"Economics Letters"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200102)21:2%3C145::AID-FUT3%3E3.0.CO;2-C","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200102)21:2%3C145::AID-FUT3%3E3.0.CO;2-C","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T11:04:35Z","timestamp":1625137475000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200102)21:2<145::AID-FUT3>3.0.CO;2-C"}},"issued":{"date-parts":[[2001]]},"references-count":23,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2001,2]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200102)21:2<145::aid-fut3>3.0.co;2-c","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:23:33Z","timestamp":1740104613918,"version":"3.37.3"},"reference-count":40,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2020,8,8]],"date-time":"2020-08-08T00:00:00Z","timestamp":1596844800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,10]]},"abstract":"Abstract<\/jats:title>We examine the impact of changes in real\u2010time data access fees on price discovery in the crude oil futures market. Specifically, we examine differences in price discovery in the West Texas Intermediate crude oil futures contracts traded on two exchanges around three events corresponding to changes in real\u2010time data access fees. We document a decrease in price discovery following two events that increase data access costs. These findings are consistent with the theoretical predictions of Cespa and Foucault that increases in data access costs reduce the number of market participants trading on real\u2010time data and adversely impact price discovery.<\/jats:p>","DOI":"10.1002\/fut.22152","type":"journal-article","created":{"date-parts":[[2020,8,8]],"date-time":"2020-08-08T15:31:05Z","timestamp":1596900665000},"page":"1631-1644","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["The sensitivity of trading to the cost of information"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5290-2925","authenticated-orcid":false,"given":"Alex","family":"Frino","sequence":"first","affiliation":[{"name":"Faculty of Business, School of Accounting, Economics and Finance University of Wollongong Wollongong New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4551-4948","authenticated-orcid":false,"given":"Ognjen","family":"Kova\u010devi\u0107","sequence":"additional","affiliation":[{"name":"Department of Applied Finance, Macquarie Business School Macquarie University, North Ryde Sydney New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3691-6489","authenticated-orcid":false,"given":"Vito","family":"Mollica","sequence":"additional","affiliation":[{"name":"Department of Applied Finance, Macquarie Business School Macquarie University, North Ryde Sydney New South Wales Australia"}]},{"given":"Robert I.","family":"Webb","sequence":"additional","affiliation":[{"name":"McIntire School of Commerce University of Virginia Charlottesville Virginia"}]}],"member":"311","published-online":{"date-parts":[[2020,8,8]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10551-016-3391-4"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_9_4_1","unstructured":"Baker N.(2018 May 2). Stock exchanges get warning shot from SEC over data profits.Bloomberg.\u00a0Retrieved fromhttps:\/\/www.bloomberg.com\/news\/articles\/2018-05-02\/stock-exchanges-get-warning-shot-from-sec-over-data-profits"},{"key":"e_1_2_9_5_1","unstructured":"Board of Trade v. Christie Grain & Stock Co. 198 U.S. 236. (1905). Retrieved fromhttp:\/\/cdn.loc.gov\/service\/ll\/usrep\/usrep198\/usrep198236\/usrep198236.pdf"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1111"},{"key":"e_1_2_9_7_1","article-title":"A theory of stock exchange competition and innovation: Will the market fix the market?","author":"Budish E. B.","year":"2019","journal-title":"University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-72"},{"key":"e_1_2_9_8_1","unstructured":"Bullock N. &Shubber K.(2018 October 26). Traders blast US exchanges over \u2018greedy\u2019 data fees.Financial Times. Retrieved fromhttps:\/\/www.ft.com\/content\/0811d99c-d88f-11e8-a854-33d6f82e62f8"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1735"},{"key":"e_1_2_9_10_1","unstructured":"Clayton J.(2018).Statement on market data fees and market structure. Retrieved February 7 2019 fromhttps:\/\/www.sec.gov\/news\/public-statement\/statement-chairman-clayton-2018-10-16"},{"key":"e_1_2_9_11_1","unstructured":"CME Group. (2015).2015 Annual Report. Retrieved fromhttp:\/\/www.annualreports.com\/HostedData\/AnnualReportArchive\/c\/NASDAQ_CME_2015.pdf"},{"key":"e_1_2_9_12_1","unstructured":"CME Group. (2016).2016 Annual Report. Retrieved fromhttp:\/\/www.annualreports.com\/HostedData\/AnnualReportArchive\/c\/NASDAQ_CME_2016.pdf"},{"key":"e_1_2_9_13_1","unstructured":"Cohen N.(2018 October 9). The hefty fees exchanges levy for data feeds must be challenged.Financial Times. Retrieved fromhttps:\/\/www.ft.com\/content\/3558bef0-1ec9-3918-8e45-ed62648c9c9e"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs089"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109016000491"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.011"},{"key":"e_1_2_9_17_1","doi-asserted-by":"crossref","unstructured":"Gatewood v. North Carolina 27 S.Ct 167 168. (1906).","DOI":"10.1016\/S0140-6736(01)44458-8"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"issue":"3","key":"e_1_2_9_19_1","first-page":"393","article-title":"On the impossibility of informationally efficient markets","volume":"70","author":"Grossman S. J.","year":"1980","journal-title":"The American Economic Review"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00017-9"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_9_23_1","unstructured":"Hunt v. New York Cotton Exchange 205 U.S. 322. (1907). Retrieved fromhttps:\/\/supreme.justia.com\/cases\/federal\/us\/205\/322\/"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.02.015"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12230"},{"key":"e_1_2_9_26_1","unstructured":"McCrank J.(2019 January 29). IEX slams \u201cegregious\u201d market data fees at other U.S. exchanges.Reuters. Retrieved fromhttps:\/\/www.reuters.com\/article\/us-iexgroup-data\/iex-slams-egregious-market-data-fees-at-other-u-s-exchanges-idUSKCN1PN2SD"},{"key":"e_1_2_9_27_1","unstructured":"Mnuchin S. T. &Phillips C. S.(2017).A financial system that creates economic opportunities. Retrieved fromhttps:\/\/www.treasury.gov\/press-center\/press-releases\/documents\/a-financial-system-capital-markets-final-final.pdf"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1086\/467237"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.01.003"},{"key":"e_1_2_9_30_1","unstructured":"Petition for Rulemaking Concerning Market Data Fees. (2017). Retrieved fromhttps:\/\/www.sec.gov\/rules\/petitions\/2017\/petn4-716.pdf"},{"key":"e_1_2_9_31_1","unstructured":"Petition for Rulemaking Regarding Market Data Fees and Request for Guidance on Market Data Licensing Practices; Investor Access to Market Data. (2018). Retrieved fromhttps:\/\/www.sec.gov\/rules\/petitions\/2018\/petn4-728.pdf"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.004"},{"key":"e_1_2_9_33_1","unstructured":"Refinitiv. (2020).DataScope select. Retrieved fromhttps:\/\/hosted.datascope.reuters.com\/DataScope\/"},{"key":"e_1_2_9_34_1","unstructured":"Securities and Exchange Commission. (2018a).Release No. 34\u201083148.Washington DC. Retrieved fromhttps:\/\/www.sec.gov\/rules\/sro\/nms\/2018\/34-83148.pdf"},{"key":"e_1_2_9_35_1","unstructured":"Securities and Exchange Commission. (2018b).Release No. 84432.Washington DC. Retrieved fromhttps:\/\/www.sec.gov\/litigation\/opinions\/2018\/34-84432.pdf"},{"key":"e_1_2_9_36_1","doi-asserted-by":"crossref","unstructured":"Simonov A.(1999).Competition in markets for information.Fontainebleau France. Retrieved fromhttp:\/\/www.andreisimonov.com\/pdf\/comp.pdf","DOI":"10.2139\/ssrn.209309"},{"key":"e_1_2_9_37_1","unstructured":"Stafford P.(2019 April 4). European investors complain over soaring cost of data.Financial Times.\u00a0Retrieved fromhttps:\/\/www.ft.com\/content\/d8c2743e-549f-11e9-91f9-b6515a54c5b1"},{"key":"e_1_2_9_38_1","unstructured":"Turner M.(2016 November 3).There's a new \u201chot\u2010button\u201d issue on Wall Street and battle lines are being drawn.Business Insider. Retrieved fromhttps:\/\/www.businessinsider.com.au\/stock-exchanges-market-data-cost-becoming-big-issue-2016-10?r=US&IR=T"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10097"},{"key":"e_1_2_9_40_1","unstructured":"Wu W. Liu W. Suardi S. &Chang Y.(2015).Informed high frequency trading with advance peek into the Michigan Index of consumer sentiment. Retrieved fromhttps:\/\/www.researchgate.net\/publication\/284471417_Informed_High_Frequency_Trading_with_Advance_Peek_into_the_Michigan_Index_of_Consumer_Sentiment"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.003"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22152","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22152","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22152","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T14:24:16Z","timestamp":1693923856000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22152"}},"issued":{"date-parts":[[2020,8,8]]},"references-count":40,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2020,10]]}},"alternative-id":["10.1002\/fut.22152"],"URL":"https:\/\/doi.org\/10.1002\/fut.22152","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,8,8]]},"assertion":[{"value":"2020-05-26","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-07-04","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-08-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:21:56Z","timestamp":1740104516453,"version":"3.37.3"},"reference-count":107,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2023,7,14]],"date-time":"2023-07-14T00:00:00Z","timestamp":1689292800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,11]]},"abstract":"Abstract<\/jats:title>While there is a large literature on modeling volatility smile in options markets, most such studies are eventually focused on the forecasting performance of the model parameters and not on the applicability of the models in a trading environment. Drawing on the analogy of volatility smile like a term structure in the context of interest rates in fixed\u2010income markets, we evaluate the performance of the Dynamic Nelson\u2013Siegel (DNS) approach to modeling the dynamics of volatility smile in a trading environment against competing alternatives. Using model\u2010based mispricing as our sorting criterion, and deploying a trading strategy of going long the options in the upper deciles and going short the options in the lower deciles, we show that dynamic models consistently outperform their static counterparts, with the worst dynamic model outperforming the best static model in terms of the percentage of mean returns from the trading portfolios and the Sharpe ratio. Specifically, we find that the DNS model consistently outperforms all other competing specifications on most of our selected criteria.<\/jats:p>","DOI":"10.1002\/fut.22450","type":"journal-article","created":{"date-parts":[[2023,7,14]],"date-time":"2023-07-14T15:35:25Z","timestamp":1689348925000},"page":"1615-1644","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Harvesting the volatility smile in a large emerging market: A Dynamic Nelson\u2013Siegel approach"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4941-6010","authenticated-orcid":false,"given":"Sudarshan","family":"Kumar","sequence":"first","affiliation":[{"name":"Indian Institute of Management Calcutta Joka Kolkata West Bengal India"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8693-2842","authenticated-orcid":false,"given":"Sobhesh Kumar","family":"Agarwalla","sequence":"additional","affiliation":[{"name":"Indian Institute of Management Ahmedabad Vastrapur Ahmedabad Gujarat India"}]},{"given":"Jayanth R.","family":"Varma","sequence":"additional","affiliation":[{"name":"Indian Institute of Management Ahmedabad Vastrapur Ahmedabad Gujarat India"}]},{"given":"Vineet","family":"Virmani","sequence":"additional","affiliation":[{"name":"Indian Institute of Management Ahmedabad Vastrapur Ahmedabad Gujarat India"}]}],"member":"311","published-online":{"date-parts":[[2023,7,14]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"crossref","unstructured":"Agarwalla S. K. Jacob J. &Varma J. R.(2014).Four factor model in Indian equities market\u00a0[Ahmedabad Working Paper 05].\u00a0Indian Institute of Management.","DOI":"10.2139\/ssrn.2334482"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2021.109878"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22240"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.248128"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000640"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.12.014"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(99)00022-0"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109022001120"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2020.1750679"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00616.x"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.06.008"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2011.02.001"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2012.670123"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2018.09.006"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.02.009"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2015.1039900"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1065"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/1\/304"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.317"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594989"},{"key":"e_1_2_9_25_1","unstructured":"Derman E. Kamal M. Kani I. McClure J. Pirasteh C. &Zou J.(1996).Investing in volatility\u00a0[Quantitative Strategies Research Notes 3514894].\u00a0Goldman Sachs."},{"key":"e_1_2_9_26_1","first-page":"32","article-title":"Riding on a smile","volume":"7","author":"Derman E.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781119289258"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.005"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13099"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_9_32_1","first-page":"18","article-title":"Pricing with a smile","volume":"7","author":"Dupire B.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.46.1.3"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.09.003"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2005.605352"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1006\/jeth.1998.2420"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22191"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2022.11.006"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2015.1067634"},{"key":"e_1_2_9_41_1","doi-asserted-by":"crossref","unstructured":"Gatheral J. Jusselin P. Jusselin P. &Rosenbaum M.(2020).The quadratic rough Heston model and the joint S&P 500\/VIX smile calibration problem\u00a0[SSRN Working Paper 3514894].","DOI":"10.2139\/ssrn.3514894"},{"key":"e_1_2_9_42_1","doi-asserted-by":"crossref","unstructured":"Gilli M. Gro\u00dfe S. &Schumann E.(2010).Calibrating the Nelson\u2013Siegel\u2010Svensson model. COMISEF working paper Available at SSRN 1676747.","DOI":"10.2139\/ssrn.1676747"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.01.001"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/1099-131X(200012)19:7<537::AID-FOR769>3.0.CO;2-G"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21713"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(01)00069-0"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21903"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21653"},{"key":"e_1_2_9_49_1","first-page":"84","article-title":"Managing smile risk","author":"Hagan P. S.","year":"2002","journal-title":"Wilmott"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2020.1.099"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12083"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_9_54_1","unstructured":"Jackwerth J. C.(2004).Option\u2010implied risk\u2010neutral distributions and risk aversion\u00a0[SSRN Working Paper 1303779]. CFA Institute Research Foundation of AIMR Publications."},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21971"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04702.x"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2012.00439.x"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.105657"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22070"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22213"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2004.04.009"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1030.0163"},{"key":"e_1_2_9_63_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2021.1967866"},{"key":"e_1_2_9_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2014.07.006"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.017"},{"key":"e_1_2_9_66_1","first-page":"580","article-title":"Economic forecast evaluation: Profits versus the conventional error measures","volume":"81","author":"Leitch G.","year":"1991","journal-title":"The American Economic Review"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(93)90034-9"},{"key":"e_1_2_9_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2020.10.023"},{"key":"e_1_2_9_69_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407988"},{"key":"e_1_2_9_70_1","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1015345757"},{"key":"e_1_2_9_71_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22302"},{"key":"e_1_2_9_72_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_9_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.09.010"},{"key":"e_1_2_9_74_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.31.2.87"},{"key":"e_1_2_9_75_1","doi-asserted-by":"publisher","DOI":"10.1108\/03074351311322843"},{"key":"e_1_2_9_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2019.04.002"},{"key":"e_1_2_9_77_1","unstructured":"National Stock Exchange of India Limited. (2022a).High\u2010frequency single stock options and futures trade and bid\u2013ask snapshot data. January 1 2020\u2013December 31 2020.\u00a0Persistent identifier (n\/a).\u00a0https:\/\/www.nseindia.com\/nse-data-and-analytics"},{"key":"e_1_2_9_78_1","unstructured":"National Stock Exchange of India Limited. (2022b).High\u2010frequency spot trade data.\u00a0Persistent identifier (n\/a).\u00a0https:\/\/www.nseindia.com\/nse-data-and-analytics"},{"key":"e_1_2_9_79_1","doi-asserted-by":"publisher","DOI":"10.1086\/296409"},{"key":"e_1_2_9_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.06.002"},{"key":"e_1_2_9_81_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22000"},{"key":"e_1_2_9_82_1","doi-asserted-by":"publisher","DOI":"10.1086\/374184"},{"key":"e_1_2_9_83_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1992.10509922"},{"key":"e_1_2_9_84_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3980130402"},{"key":"e_1_2_9_85_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04055.x"},{"key":"e_1_2_9_86_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11227-021-03838-w"},{"key":"e_1_2_9_87_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118673539"},{"volume-title":"The SABR\/LIBOR market model: Pricing, calibration and hedging for complex interest\u2010rate derivatives","year":"2009","author":"Rebonato R.","key":"e_1_2_9_88_1"},{"key":"e_1_2_9_89_1","unstructured":"Refinitiv Eikon. (2022).Firm level data of the Indian companies.\u00a0Persistent identifier (n\/a).\u00a0https:\/\/www.refinitiv.com\/en\/financial-data\/company-data"},{"key":"e_1_2_9_90_1","first-page":"69","article-title":"Fx volatility smile construction","volume":"60","author":"Reiswich D.","year":"2009","journal-title":"Wilmott"},{"key":"e_1_2_9_91_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-008-0081-9"},{"key":"e_1_2_9_92_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_9_93_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_9_94_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.103249"},{"key":"e_1_2_9_95_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.727"},{"key":"e_1_2_9_96_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2019.1616543"},{"key":"e_1_2_9_97_1","doi-asserted-by":"crossref","unstructured":"Svensson L. E.(1994).Estimating and interpreting forward interest rates: Sweden 1992\u20131994\u00a0[Working Paper 4871]. National Bureau of Economic Research.https:\/\/doi.org\/10.3386\/w4871","DOI":"10.3386\/w4871"},{"key":"e_1_2_9_98_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.38.7.926"},{"key":"e_1_2_9_99_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.09.015"},{"key":"e_1_2_9_100_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2012.657343"},{"key":"e_1_2_9_101_1","unstructured":"Vogt E.(2016).Option\u2010implied term structures. Staff Reports 706 Federal Reserve Bank of New York."},{"key":"e_1_2_9_102_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21799"},{"key":"e_1_2_9_103_1","unstructured":"World Federation of Exchanges. (2021a).WFE derivatives report 2021."},{"key":"e_1_2_9_104_1","unstructured":"World Federation of Exchanges. (2021b).WFE\/IOMA derivatives market survey 2020."},{"key":"e_1_2_9_105_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2021.101624"},{"key":"e_1_2_9_106_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.knosys.2018.08.039"},{"key":"e_1_2_9_107_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhab067"},{"key":"e_1_2_9_108_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601173444"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22450","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,4]],"date-time":"2023-10-04T08:34:12Z","timestamp":1696408452000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22450"}},"issued":{"date-parts":[[2023,7,14]]},"references-count":107,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2023,11]]}},"alternative-id":["10.1002\/fut.22450"],"URL":"https:\/\/doi.org\/10.1002\/fut.22450","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2023,7,14]]},"assertion":[{"value":"2022-10-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-06-26","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-07-14","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2022,4,5]],"date-time":"2022-04-05T04:42:37Z","timestamp":1649133757579},"reference-count":15,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5662,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,3]]},"DOI":"10.1002\/(sici)1096-9934(200003)20:3<293::aid-fut5>3.0.co;2-4","type":"journal-article","created":{"date-parts":[[2002,8,24]],"date-time":"2002-08-24T15:54:48Z","timestamp":1030204488000},"page":"293-306","source":"Crossref","is-referenced-by-count":2,"title":["Pricing Eurodollar futures options using the BDT term structure model: The effect of yield curve smoothing"],"prefix":"10.1002","volume":"20","author":[{"given":"Turin G.","family":"Bali","sequence":"first","affiliation":[]},{"given":"Ahmet K.","family":"Karagozoglu","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB1","doi-asserted-by":"crossref","first-page":"52","DOI":"10.3905\/jfi.1994.408102","volume":"4","author":"Adams","year":"1994","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB2","author":"Bali","year":"1999","unstructured":"(1999). An empirical comparison of continuous time models of the short term interest rate. Journal of Futures Markets, in press."},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB3","doi-asserted-by":"crossref","first-page":"24","DOI":"10.3905\/jfi.1999.319242","volume":"8","author":"Bali","year":"1999","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB4","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2469\/faj.v46.n1.33","volume":"46","author":"Black","year":"1990","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB5","doi-asserted-by":"crossref","first-page":"52","DOI":"10.3905\/jfi.1992.408037","volume":"1","author":"Buono","year":"1992","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB6","doi-asserted-by":"crossref","first-page":"1209","DOI":"10.1111\/j.1540-6261.1992.tb04011.x","volume":"47","author":"Chan","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB7","doi-asserted-by":"crossref","first-page":"17","DOI":"10.3905\/jfi.1998.408221","volume":"7","author":"Ferguson","year":"1998","journal-title":"Journal of Fixed Income"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB8","doi-asserted-by":"crossref","first-page":"35","DOI":"10.2469\/faj.v49.n3.35","volume":"49","author":"Kalotay","year":"1993","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB9","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1002\/(SICI)1096-9934(199905)19:3<291::AID-FUT3>3.0.CO;2-K","volume":"19","author":"Mathis","year":"1999","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB10","doi-asserted-by":"crossref","first-page":"811","DOI":"10.1111\/j.1540-6261.1975.tb01852.x","volume":"30","author":"McCulloch","year":"1975","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB11","volume-title":"Interest rate option models","author":"Rebonato","year":"1998","unstructured":"(1998). Interest rate option models. John Wiley & Sons, New York, NY."},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB12","volume-title":"Derivatives markets","author":"Ritchken","year":"1996","unstructured":"(1996). Derivatives markets. Harper Collins, New York, NY."},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB13","doi-asserted-by":"crossref","first-page":"319","DOI":"10.1111\/j.1540-6261.1985.tb04952.x","volume":"40","author":"Shea","year":"1985","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB14","volume-title":"Fixed income securities","author":"Tuckman","year":"1996","unstructured":"(1996). Fixed income securities, John Wiley & Sons, New York, NY."},{"key":"10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4-BIB15","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1111\/j.1540-6261.1982.tb03555.x","volume":"37","author":"Vasicek","year":"1982","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200003)20:3%3C293::AID-FUT5%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(200003)20:3%3C293::AID-FUT5%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:40:13Z","timestamp":1625132413000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4"}},"issued":{"date-parts":[[2000,3]]},"references-count":15,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2000,3]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200003)20:3<293::aid-fut5>3.0.co;2-4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,3]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T07:42:55Z","timestamp":1698306175548},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8158,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,5]]},"DOI":"10.1002\/fut.v13:3","type":"journal-issue","created":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T16:56:37Z","timestamp":1698252997000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"13","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v13:3","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v13:3","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T16:56:37Z","timestamp":1698252997000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/13\/3"}},"issued":{"date-parts":[[1993,5]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1993,5]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v13:3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,5]]}},{"indexed":{"date-parts":[[2023,8,20]],"date-time":"2023-08-20T04:51:56Z","timestamp":1692507116672},"reference-count":0,"publisher":"Wiley","issue":"4","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,4]]},"DOI":"10.1002\/fut.v43.4","type":"journal-issue","created":{"date-parts":[[2023,3,6]],"date-time":"2023-03-06T10:10:25Z","timestamp":1678097425000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"43","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T05:36:50Z","timestamp":1692423410000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/43\/4"}},"issued":{"date-parts":[[2023,4]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2023,4]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v43.4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,4]]}},{"indexed":{"date-parts":[[2024,7,18]],"date-time":"2024-07-18T21:17:38Z","timestamp":1721337458405},"reference-count":0,"publisher":"Wiley","issue":"3","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,3]]},"DOI":"10.1002\/fut.v41.3","type":"journal-issue","created":{"date-parts":[[2021,2,8]],"date-time":"2021-02-08T08:10:52Z","timestamp":1612771852000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"41","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T20:40:40Z","timestamp":1693687240000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/41\/3"}},"issued":{"date-parts":[[2021,3]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2021,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v41.3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,3]]}},{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T09:50:30Z","timestamp":1649065830885},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7152,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,2]]},"DOI":"10.1002\/fut.3990160101","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T08:30:18Z","timestamp":1183710618000},"page":"fmi-fmi","source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"16","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990160101","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.3990160101","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:38:38Z","timestamp":1625164718000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990160101"}},"issued":{"date-parts":[[1996,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1996,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.3990160101","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,2]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T12:02:06Z","timestamp":1698062526850},"reference-count":21,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8394,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,9]]},"DOI":"10.1002\/fut.3990030303","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:59:29Z","timestamp":1183589969000},"page":"259-281","source":"Crossref","is-referenced-by-count":3,"title":["Preference space evaluation of trading system performance"],"prefix":"10.1002","volume":"3","author":[{"given":"Norman D.","family":"Strahm","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.10.1.174"},{"key":"e_1_2_1_3_1","volume-title":"Investment Portfolio Decision Making","author":"Bicksler J.","year":"1974"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296336"},{"key":"e_1_2_1_5_1","volume-title":"Portfolio Analysis, A Book of Readings","author":"Dickinson J. P.","year":"1974"},{"key":"e_1_2_1_6_1","volume-title":"Modern Portfolio Theory and Investment Analysis","author":"Elton E. J.","year":"1981"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/294743"},{"key":"e_1_2_1_8_1","first-page":"168","volume-title":"An Introduction to Probability Theory and Its Applications","author":"Feller W.","year":"1957"},{"key":"e_1_2_1_9_1","volume-title":"Portfolio Analysis","author":"Francis J. C.","year":"1979"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010104"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/j.1538-7305.1956.tb03809.x"},{"key":"e_1_2_1_12_1","volume-title":"Investment and Portfolio Analysis","author":"Levy H.","year":"1972"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2975974"},{"key":"e_1_2_1_14_1","series-title":"Cowles Foundation Monograph No. 16","volume-title":"Portfolio Selection: Efficient Diversification of Investments","author":"Markovitz H. M.","year":"1959"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036847200000017"},{"key":"e_1_2_1_16_1","unstructured":"Pratt J.(1974): \u201cRisk Aversion in the Small and in the Large \u201d in Bicksler and Samuelson (1974) pp.49\u201365."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1907413"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.68.10.2493"},{"key":"e_1_2_1_19_1","volume-title":"Commodity Futures Handbook","author":"Schwager J.","year":"1983"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/294846"},{"key":"e_1_2_1_21_1","unstructured":"Thorpe E. O. Ed. (1971): \u201cPortfolio Choice and the Kelly Criterion \u201dBusiness and Economic Statistics Section of Proceedings of the American Statistical Association pp.215\u2013224 also reprinted in Bicksler and Samuelson (1974) pp.253\u2013270."},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296338"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030303","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030303","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T00:49:01Z","timestamp":1697762941000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030303"}},"issued":{"date-parts":[[1983,9]]},"references-count":21,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1983,9]]}},"alternative-id":["10.1002\/fut.3990030303"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030303","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,9]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T13:49:06Z","timestamp":1698068946845},"reference-count":16,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6294,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,6]]},"DOI":"10.1002\/fut.3990090308","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:01:42Z","timestamp":1183636902000},"page":"263-270","source":"Crossref","is-referenced-by-count":9,"title":["Cash settlement provisions on futures contracts"],"prefix":"10.1002","volume":"9","author":[{"given":"Da\u2010Hsiang Donald","family":"Lien","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040304"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241828"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030410"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070606"},{"key":"e_1_2_1_8_1","volume-title":"Settlement versus Delivery on Futures Contracts","author":"Gray R. W.","year":"1982"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020108"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb03924.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050407"},{"key":"e_1_2_1_12_1","volume-title":"Industrial Organization of Futures Markets","author":"Kyle A. S.","year":"1984"},{"key":"e_1_2_1_13_1","volume-title":"Speculation, Hedging and Commodity Price Forecasts","author":"Labys W. C.","year":"1970"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080604"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526724"},{"key":"e_1_2_1_16_1","volume-title":"Futures Markets: Regulatory Issues","author":"Paul A. B.","year":"1985"},{"key":"e_1_2_1_17_1","volume-title":"Futures Markets: Regulatory Issues","author":"Purcell W. D.","year":"1985"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090308","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090308","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:20:55Z","timestamp":1697991655000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090308"}},"issued":{"date-parts":[[1989,6]]},"references-count":16,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1989,6]]}},"alternative-id":["10.1002\/fut.3990090308"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090308","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,6]]}},{"indexed":{"date-parts":[[2023,9,25]],"date-time":"2023-09-25T04:43:36Z","timestamp":1695617016569},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2018,3,6]],"date-time":"2018-03-06T00:00:00Z","timestamp":1520294400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,4]]},"DOI":"10.1002\/fut.21871","type":"journal-article","created":{"date-parts":[[2018,3,6]],"date-time":"2018-03-06T11:35:15Z","timestamp":1520336115000},"page":"423-423","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 38, Number 4, April 2018"],"prefix":"10.1002","volume":"38","member":"311","published-online":{"date-parts":[[2018,3,6]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21871","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21871","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,25]],"date-time":"2023-09-25T00:43:04Z","timestamp":1695602584000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21871"}},"issued":{"date-parts":[[2018,3,6]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2018,4]]}},"alternative-id":["10.1002\/fut.21871"],"URL":"https:\/\/doi.org\/10.1002\/fut.21871","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,3,6]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T05:40:13Z","timestamp":1698385213439},"reference-count":15,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4775,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,8]]},"DOI":"10.1002\/fut.3990130503","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:04:37Z","timestamp":1183683877000},"page":"453-467","source":"Crossref","is-referenced-by-count":3,"title":["Seasonal effects in S&P 100 index option returns"],"prefix":"10.1002","volume":"13","author":[{"given":"John S.","family":"Cotner","sequence":"first","affiliation":[]},{"given":"Nandkumar","family":"Nayar","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90066-3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04975.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90024-4"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1989.tb00358.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb02537.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03948.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90021-5"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Harvey C. andWhaley R.(1991): \u201cMarket Volatility Prediction and the Efficiency of the S&P 100 Index Option Market \u201d Working Paper Duke University Durham NC.","DOI":"10.1016\/0304-405X(92)90011-L"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120202"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90025-9"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb01105.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90029-6"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130503","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130503","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:59:43Z","timestamp":1698289183000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130503"}},"issued":{"date-parts":[[1993,8]]},"references-count":15,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1993,8]]}},"alternative-id":["10.1002\/fut.3990130503"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130503","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,8]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T05:40:15Z","timestamp":1698385215937},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7397,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,6]]},"DOI":"10.1002\/fut.v15:4","type":"journal-issue","created":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T07:05:57Z","timestamp":1698303957000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"15","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v15:4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v15:4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T07:05:57Z","timestamp":1698303957000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/15\/4"}},"issued":{"date-parts":[[1995,6]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1995,6]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v15:4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,6]]}},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:38:53Z","timestamp":1694119133151},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2020,4,8]],"date-time":"2020-04-08T00:00:00Z","timestamp":1586304000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,5]]},"DOI":"10.1002\/fut.22027","type":"journal-article","created":{"date-parts":[[2020,4,8]],"date-time":"2020-04-08T15:09:51Z","timestamp":1586358591000},"page":"707-707","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 40, Number 5, May 2020"],"prefix":"10.1002","volume":"40","member":"311","published-online":{"date-parts":[[2020,4,8]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22027","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22027","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22027","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T01:39:57Z","timestamp":1694050797000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22027"}},"issued":{"date-parts":[[2020,4,8]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2020,5]]}},"alternative-id":["10.1002\/fut.22027"],"URL":"https:\/\/doi.org\/10.1002\/fut.22027","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,4,8]]},"assertion":[{"value":"2020-04-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,15]],"date-time":"2023-09-15T08:10:35Z","timestamp":1694765435766},"reference-count":0,"publisher":"Wiley","issue":"3","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,3]]},"DOI":"10.1002\/fut.v39.3","type":"journal-issue","created":{"date-parts":[[2019,2,5]],"date-time":"2019-02-05T10:49:58Z","timestamp":1549363798000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"39","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T04:25:00Z","timestamp":1694665500000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/39\/3"}},"issued":{"date-parts":[[2019,3]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2019,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v39.3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,3]]}},{"indexed":{"date-parts":[[2024,1,2]],"date-time":"2024-01-02T14:03:59Z","timestamp":1704204239379},"reference-count":15,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2003,8,20]],"date-time":"2003-08-20T00:00:00Z","timestamp":1061337600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,10]]},"abstract":"Abstract<\/jats:title>Unlike the traditional futures contract risk\u2010based approach to margining, new security futures\ncontracts\nare margined under a strategy\u2010based margining system similar to that which applies in the equity options\nmarkets. As a result, these new margin requirements are potentially much less sensitive to changes in market\nconditions. This article performs a simulation to evaluate whether these alternative margining methodologies can\nbe\nexpected to produce comparable outcomes. The analysis suggests that a 1\u2010day settlement period will likely\nlead to collection of customer margins that are virtually always greater than that which its traditional\nrisk\u2010based counterpart would require. A 4\u2010day settlement period would lead to margin requirements\nthat both significantly under\u2010 and overmargin relative to a comparable risk\u2010based system. This\nstudy\nargues that exchanges may approach the preferred probability of customer exhaustion by managing margin\nsettlement\nintervals. Thus, the new strategy\u2010based rules, in and of themselves, will not necessarily inhibit new\nsecurity futures trading activity. \u00a9 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:989\u20131002, 2003<\/jats:p>","DOI":"10.1002\/fut.10094","type":"journal-article","created":{"date-parts":[[2003,8,22]],"date-time":"2003-08-22T13:27:42Z","timestamp":1061558862000},"page":"989-1002","source":"Crossref","is-referenced-by-count":15,"title":["On the adequacy of single\u2010stock futures margining requirements"],"prefix":"10.1002","volume":"23","author":[{"given":"Hans R.","family":"Dutt","sequence":"first","affiliation":[]},{"given":"Ira L.","family":"Wein","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,8,20]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Baptiste T. Gao A. Wang G. H. K. &Yau J.(2000).The performance of individual stock futures: Evidence from Hong Kong. Unpublished Manuscript."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199906)19:4<433::AID-FUT3>3.0.CO;2-A"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(00)00068-5"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00137-0"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10074"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130406"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040307"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060208"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100510"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060211"},{"key":"e_1_2_1_12_1","unstructured":"Gray R. W.(1979).The emergence of short speculation. International Futures Trading Proceedings Volume VI May 21\u201322 1979. Chicago Board of Trade."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296343"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130608"},{"key":"e_1_2_1_15_1","volume-title":"Applied probability models with optimization applications","author":"Ross S.","year":"1970"},{"key":"e_1_2_1_16_1","volume-title":"Paul Wilmott on quantitative finance","author":"Wilmott P.","year":"1998"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10094","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10094","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T17:55:56Z","timestamp":1700243756000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10094"}},"issued":{"date-parts":[[2003,8,20]]},"references-count":15,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2003,10]]}},"alternative-id":["10.1002\/fut.10094"],"URL":"https:\/\/doi.org\/10.1002\/fut.10094","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,8,20]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T10:42:50Z","timestamp":1696675370288},"reference-count":0,"publisher":"Wiley","issue":"11","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,11]]},"DOI":"10.1002\/fut.v37.11","type":"journal-issue","created":{"date-parts":[[2017,10,5]],"date-time":"2017-10-05T10:10:40Z","timestamp":1507198240000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"37","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v37.11","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T17:17:40Z","timestamp":1696612660000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/37\/11"}},"issued":{"date-parts":[[2017,11]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2017,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v37.11","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,11]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:56Z","timestamp":1740104576481,"version":"3.37.3"},"reference-count":28,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T00:00:00Z","timestamp":1604966400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100002486","name":"Hankuk University of Foreign Studies","doi-asserted-by":"publisher","award":["Hankuk University of Foreign Studies Research Fund"],"award-info":[{"award-number":["Hankuk University of Foreign Studies Research Fund"]}],"id":[{"id":"10.13039\/501100002486","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,3]]},"abstract":"Abstract<\/jats:title>Studies show that option traders prefer using the traders' rule to price short\u2010term options over more mathematically sophisticated models. This study uses Standard & Poor's 500 index option data to determine whether the traders' rule also outperforms mathematically more sophisticated models in pricing long\u2010term options. The results show that, while the traders' rule still enjoys smaller pricing errors for short\u2010term options, more mathematically sophisticated models perform better for long\u2010term options. This result may reflect the greater liquidity of short\u2010term options, which are far more actively traded than longer\u2010term options.<\/jats:p>","DOI":"10.1002\/fut.22170","type":"journal-article","created":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T14:56:38Z","timestamp":1605020198000},"page":"406-436","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["The traders' rule and long\u2010term options"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1512-0457","authenticated-orcid":false,"given":"Sol","family":"Kim","sequence":"first","affiliation":[{"name":"College of Business, Department of Finance Hankuk University of Foreign Studies Seoul South Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5088-8023","authenticated-orcid":false,"given":"In Jung","family":"Song","sequence":"additional","affiliation":[{"name":"College of Business, Department of Finance Hankuk University of Foreign Studies Seoul South Korea"}]}],"member":"311","published-online":{"date-parts":[[2020,11,10]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1162\/JEEA.2004.2.6.1015"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(81)90038-7"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00023-8"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2010139214500153"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01487305"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21541"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20522"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_9_18_1","first-page":"123","volume-title":"Derivative Securities Pricing and Modelling (Contemporary Studies in Economic and Financial Analysis)","author":"Jackwerth","year":"2012"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330709"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(03)00042-8"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20175"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20403"},{"issue":"5","key":"e_1_2_9_23_1","first-page":"1","article-title":"Pricing and hedging options with rollover parameters","volume":"19","author":"Kim S.","year":"2017","journal-title":"Journal of Risk"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/ajfs.12075"},{"key":"e_1_2_9_25_1","doi-asserted-by":"crossref","unstructured":"Li M. &Pearson N. D.(2007).A \u201chorse race\u201d among competing option pricing models using S&P 500 index options. working paper Georgia Institute of Technology and University of Illinois at Urbana\u2010Champaign.","DOI":"10.2139\/ssrn.952770"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_9_27_1","first-page":"421","volume-title":"Social theory and social structure","author":"Merton R. K.","year":"1968"},{"key":"e_1_2_9_28_1","unstructured":"OptionMetrics L.L.C.(2015). OptionMetrics; IvyDB by OptionMetrics. Retrieved from Wharton Research Data Servicehttps:\/\/doi.org\/10.17616\/R3NC9W"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.727"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22170","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22170","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22170","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T20:40:45Z","timestamp":1693687245000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22170"}},"issued":{"date-parts":[[2020,11,10]]},"references-count":28,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2021,3]]}},"alternative-id":["10.1002\/fut.22170"],"URL":"https:\/\/doi.org\/10.1002\/fut.22170","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,11,10]]},"assertion":[{"value":"2020-10-08","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-10-11","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-11-10","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,1,11]],"date-time":"2024-01-11T00:17:28Z","timestamp":1704932248773},"reference-count":0,"publisher":"Wiley","issue":"6","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,6]]},"DOI":"10.1002\/fut.v43.6","type":"journal-issue","created":{"date-parts":[[2023,4,30]],"date-time":"2023-04-30T06:30:25Z","timestamp":1682836225000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"43","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2024,1,10]],"date-time":"2024-01-10T11:25:17Z","timestamp":1704885917000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/43\/6"}},"issued":{"date-parts":[[2023,6]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2023,6]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v43.6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,6]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T06:10:10Z","timestamp":1697868610024},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7145,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,2]]},"DOI":"10.1002\/fut.3990070109","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:52:38Z","timestamp":1183614758000},"page":"93-101","source":"Crossref","is-referenced-by-count":0,"title":["Funds protections: An overview of what happens when a commodity broker becomes insolvent"],"prefix":"10.1002","volume":"7","author":[{"given":"William F.","family":"Tueting","sequence":"first","affiliation":[]},{"given":"Christopher Q.","family":"King","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070109","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070109","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T01:08:26Z","timestamp":1697850506000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070109"}},"issued":{"date-parts":[[1987,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1987,2]]}},"alternative-id":["10.1002\/fut.3990070109"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070109","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,2]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:52Z","timestamp":1699834132279},"reference-count":9,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":9124,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,9]]},"DOI":"10.1002\/fut.3990010310","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:47:40Z","timestamp":1183578460000},"page":"379-387","source":"Crossref","is-referenced-by-count":18,"title":["Usefulness of treasury bill futures as hedging instruments"],"prefix":"10.1002","volume":"1","author":[{"given":"Paul","family":"Cicchetti","sequence":"first","affiliation":[]},{"given":"Charles","family":"Dale","sequence":"additional","affiliation":[]},{"given":"Anthony J.","family":"Vignola","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Burger A. Lang R. andRasche R.(1977): \u201cThe Treasury Bill Futures Market and Market Expectations of Interest Rates \u201dFederal Reserve Bank of St. Louis Review June:2\u20137.","DOI":"10.20955\/r.59.2-9.yzi"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_5_1","unstructured":"Poole W.(1978): \u201cUsing T\u2010Bill Futures to Gauge Interest Rate Expectations \u201dFederal Reserve Bank of San Francisco Spring:7\u201319."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"issue":"5","key":"e_1_2_1_7_1","first-page":"1011","article-title":"The Simultaneous Determination of Spot and Futures Prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_1_9_1","unstructured":"Working Holbrook(1949): \u201cThe Theory of Price of Storage \u201dAmerican Economic Review December:1254\u20131262."},{"key":"e_1_2_1_10_1","first-page":"314","article-title":"Futures Trading and Hedging","volume":"43","author":"Working, Holbrook","year":"1953","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010310","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010310","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:51:10Z","timestamp":1699786270000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010310"}},"issued":{"date-parts":[[1981,9]]},"references-count":9,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1981,9]]}},"alternative-id":["10.1002\/fut.3990010310"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010310","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,9]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:32Z","timestamp":1698043232888},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5868,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,8]]},"DOI":"10.1002\/fut.3990100401","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:23:56Z","timestamp":1183645436000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"10","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100401","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100401","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:15:41Z","timestamp":1697991341000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100401"}},"issued":{"date-parts":[[1990,8]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1990,8]]}},"alternative-id":["10.1002\/fut.3990100401"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100401","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,8]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:29:48Z","timestamp":1697992188894},"reference-count":11,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8212,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,3]]},"DOI":"10.1002\/fut.3990040106","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:21:23Z","timestamp":1183591283000},"page":"47-54","source":"Crossref","is-referenced-by-count":6,"title":["Macro versus micro futures hedges at commercial banks"],"prefix":"10.1002","volume":"4","author":[{"given":"Robert W.","family":"Kolb","sequence":"first","affiliation":[]},{"given":"Stephen G.","family":"Timme","sequence":"additional","affiliation":[]},{"given":"Gerald D.","family":"Gay","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Dew J. K.(1982): \u201cDavid and Goliath: A Skirmish in the Hedge Rows \u201dAmerican Banker September 14:4\u20137."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1983.408910"},{"key":"e_1_2_1_6_1","volume-title":"Interest Rate Futures: A Comprehensive Introduction","author":"Kolb R. W.","year":"1982"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665221"},{"key":"e_1_2_1_8_1","volume-title":"Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields, and Stock Prices in the United States Since 1856","author":"Macaulay F. R.","year":"1938"},{"key":"e_1_2_1_9_1","first-page":"3","article-title":"Over 100 Banks Use Futures","volume":"6","author":"Morris J.","year":"1983","journal-title":"American Banker"},{"key":"e_1_2_1_10_1","first-page":"53","article-title":"Gap Management and Market Rate Sensitivity in Banks","volume":"13","author":"Olson R. L.","year":"1982","journal-title":"Journal of Bank Research"},{"key":"e_1_2_1_11_1","unstructured":"Poltz S.(1982): \u201cAccounting Considerations Are Not Complete \u201dAmerican Banker October 17:26 27 31."},{"key":"e_1_2_1_12_1","first-page":"109","article-title":"Improving Gap Management for Controlling Interest Rate Risk","volume":"13","author":"Simonson D. G.","year":"1982","journal-title":"Journal of Bank Research"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040106","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040106","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:50:24Z","timestamp":1697802624000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040106"}},"issued":{"date-parts":[[1984,3]]},"references-count":11,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1984,3]]}},"alternative-id":["10.1002\/fut.3990040106"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040106","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,3]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T04:59:41Z","timestamp":1698037181710},"reference-count":10,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5868,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,8]]},"DOI":"10.1002\/fut.3990100409","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:23:56Z","timestamp":1183645436000},"page":"425-441","source":"Crossref","is-referenced-by-count":3,"title":["Estimation and revision of a sequential auction model for the soybean futures current contract"],"prefix":"10.1002","volume":"10","author":[{"given":"William D.","family":"O'Neill","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912600"},{"key":"e_1_2_1_3_1","volume-title":"Econometric Methods","author":"Johnston J.","year":"1984"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_5_1","first-page":"45","volume-title":"International Agricultural Trade: Advanced Readings in Price Formation, Market Structure, and Price Stability","author":"Kyle Albert S.","year":"1984"},{"key":"e_1_2_1_6_1","volume-title":"Theory and Practice of Recursive Identification","author":"Ljung Lennart","year":"1983"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080505"},{"key":"e_1_2_1_8_1","unstructured":"O'Neill William D.(1989 ): June \u201cAuction Markets as Communication Channels \u201d Summer Meeting of the North American Econometric Society Ann Arbor."},{"issue":"3","key":"e_1_2_1_9_1","first-page":"861","article-title":"Orange Juice and Weather","volume":"74","author":"Roll Richard","year":"1984","journal-title":"The American Economic Review"},{"key":"e_1_2_1_10_1","first-page":"923","article-title":"Microeconomic Systems as an Experimental Science","volume":"72","author":"Smith Vernon L.","year":"1982","journal-title":"American Economic Review"},{"key":"e_1_2_1_11_1","volume-title":"Economic Theory and the Core","author":"Telser Lester","year":"1978"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100409","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100409","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:15:40Z","timestamp":1697991340000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100409"}},"issued":{"date-parts":[[1990,8]]},"references-count":10,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1990,8]]}},"alternative-id":["10.1002\/fut.3990100409"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100409","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,8]]}},{"indexed":{"date-parts":[[2025,8,6]],"date-time":"2025-08-06T13:32:00Z","timestamp":1754487120390},"reference-count":33,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4502,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,5]]},"DOI":"10.1002\/fut.3990140305","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:52:54Z","timestamp":1183683174000},"page":"293-322","source":"Crossref","is-referenced-by-count":44,"title":["Using intraday data to test for effects of index futures on the underlying stock markets"],"prefix":"10.1002","volume":"14","author":[{"given":"Hong","family":"Chol","sequence":"first","affiliation":[]},{"given":"Avanidhar","family":"Subrahmanyam","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90022-0"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(74)90014-2"},{"key":"e_1_2_1_4_1","first-page":"442","article-title":"Index Futures and Stock Market Volatility","volume":"9","author":"Damodaran A.","year":"1990","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1882244"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Edwards F. R.(1988): \u201cDoes Futures Trading Increase Stock Market Volatility? \u201dFinancial Analysts Journal January\u2014February:63\u201369.","DOI":"10.2469\/faj.v44.n1.63"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Froot K. A. Gammill J. F. Perold A. F.(1990): \u201cNew Trading Practices and the Short\u2010Run Predictability of the S&P 500 \u201d inMarket Volatility and Investor Confidence New York: New York Stock Exchange G1\u20101\u2010G1\u201027.","DOI":"10.3386\/w3498"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(74)90030-X"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Gammill J. F. andPerold A. F.(1989): \u201cThe Changing Character of Stock Market Liquidity \u201dJournal of Portfolio Management Spring:13\u201318.","DOI":"10.3905\/jpm.1989.409210"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.623"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90034-7"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296591"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02648.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100208"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04550.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.571"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90020-9"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Jegadeesh N. andSubrahmanyam A.(1993): \u201cLiquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks \u201d forthcoming Journal of Business April.","DOI":"10.1086\/296600"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(91)90039-M"},{"key":"e_1_2_1_22_1","unstructured":"The Presidential Task Force on Market Mechanisms(1988): report."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb05070.x"},{"key":"e_1_2_1_24_1","unstructured":"Report of the Market Volatility and Investor Confidence Panel (1990): New York: New York Stock Exchange."},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_1_26_1","volume-title":"Linear Models","author":"Searle S. R.","year":"1971"},{"key":"e_1_2_1_26_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04518.x"},{"key":"e_1_2_1_27_1","first-page":"83","volume-title":"Futures Markets: Their Economic Role","author":"Silber W. L.","year":"1985"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb02053.x"},{"key":"e_1_2_1_29_1","doi-asserted-by":"crossref","first-page":"1152","DOI":"10.1111\/j.1540-6261.1978.tb02054.x","article-title":"The Pricing of Dealer Services: An Empirical Study of NASDAQ Stocks","volume":"33","author":"Stoll H. R.","year":"1978","journal-title":"Journal of Finance"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_1_31_1","doi-asserted-by":"crossref","unstructured":"Stoll H. R. andWhaley R. E.(1987): \u201cExpiration Day Effects of Index Options and Futures \u201dFinancial Analysts Journal March 16\u201328.","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.17"},{"key":"e_1_2_1_33_1","unstructured":"U.S. Securities and Exchange Commission(1988): \u201cThe October 1987 Market Break \u201d Washington D.C.: Report by the Division of Market Regulation."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140305","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140305","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T07:38:13Z","timestamp":1698219493000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140305"}},"issued":{"date-parts":[[1994,5]]},"references-count":33,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1994,5]]}},"alternative-id":["10.1002\/fut.3990140305"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140305","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,5]]}},{"indexed":{"date-parts":[[2025,8,2]],"date-time":"2025-08-02T15:35:54Z","timestamp":1754148954416,"version":"3.41.2"},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2025,7,8]],"date-time":"2025-07-08T00:00:00Z","timestamp":1751932800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,8]]},"DOI":"10.1002\/fut.22524","type":"journal-article","created":{"date-parts":[[2025,7,8]],"date-time":"2025-07-08T10:46:38Z","timestamp":1751971598000},"page":"877-877","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 45, Number 8, August 2025"],"prefix":"10.1002","volume":"45","member":"311","published-online":{"date-parts":[[2025,7,8]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22524","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,7,18]],"date-time":"2025-07-18T14:46:45Z","timestamp":1752850005000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22524"}},"issued":{"date-parts":[[2025,7,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2025,8]]}},"alternative-id":["10.1002\/fut.22524"],"URL":"https:\/\/doi.org\/10.1002\/fut.22524","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7,8]]},"assertion":[{"value":"2025-07-08","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:40:27Z","timestamp":1697913627665},"reference-count":2,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":7633,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,12]]},"DOI":"10.1002\/fut.3990050413","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:33:45Z","timestamp":1183613625000},"page":"645-649","source":"Crossref","is-referenced-by-count":0,"title":["Futures Bibliography"],"prefix":"10.1002","volume":"5","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"reference":[{"key":"e_1_2_1_2_2","volume-title":"Handbook of Futures Markets: Commodity, Financial, Stock Index, and Options","author":"Kaufman Perry","year":"1984"},{"key":"e_1_2_1_3_2","first-page":"453","volume-title":"Foreign Exchange and Money Markets: Managing Foreign and Domestic Currency Operations","author":"Riehl Heinz","year":"1983"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050413","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050413","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:09:57Z","timestamp":1697774997000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050413"}},"issued":{"date-parts":[[1985,12]]},"references-count":2,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1985,12]]}},"alternative-id":["10.1002\/fut.3990050413"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050413","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,12]]}},{"indexed":{"date-parts":[[2025,8,15]],"date-time":"2025-08-15T01:51:39Z","timestamp":1755222699488,"version":"3.43.0"},"reference-count":35,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2025,7,20]],"date-time":"2025-07-20T00:00:00Z","timestamp":1752969600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,9]]},"abstract":"ABSTRACT<\/jats:title>Structured products have gained increasing popularity among retail investors over the last decade, both in Europe and in the United States. However, based on data on the ex post realized gains of retail clients investing in certificates, the literature has concluded that the high demand of these products may be hard to rationalize within a portfolio optimization framework. In this paper, we investigate whether a rational, perfectly informed investor with constant relative risk aversion (CRRA) preferences who optimally allocates her wealth among risky and riskless assets can ex ante expect to benefit from adding structured products to her portfolio. We show that the utility gains from investment certificates vary dramatically across alternative structures, investment horizons, and levels of risk aversion. We also find that the optimal demand for investment certificates and their benefits depend heavily on the pricing models informing the portfolio assessment and the size of the risk premia associated with them.<\/jats:p>","DOI":"10.1002\/fut.22612","type":"journal-article","created":{"date-parts":[[2025,7,21]],"date-time":"2025-07-21T06:21:34Z","timestamp":1753078894000},"page":"1154-1181","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Understanding the Factors Driving the Demand of Structured Investment Products"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-2995-2529","authenticated-orcid":false,"given":"Massimo","family":"Guidolin","sequence":"first","affiliation":[{"name":"Baffi\u2010CAREFIN Centre Milan Italy"},{"name":"Bocconi University Milan Italy"}]},{"given":"Giacomo","family":"Leonetti","sequence":"additional","affiliation":[{"name":"Baffi\u2010CAREFIN Centre Milan Italy"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9521-0016","authenticated-orcid":false,"given":"Manuela","family":"Pedio","sequence":"additional","affiliation":[{"name":"Baffi\u2010CAREFIN Centre Milan Italy"},{"name":"University of Bristol Bristol UK"}]}],"member":"311","published-online":{"date-parts":[[2025,7,20]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/15427560.2019.1629441"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-77117-5_37"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106307"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2005.01.008"},{"key":"e_1_2_11_6_1","doi-asserted-by":"crossref","unstructured":"Branger N. andB.Breuer.2008. \u201cThe Optimal Demand for Retail Derivatives.\u201d Working Paper University of M\u00fcnster.","DOI":"10.2139\/ssrn.1101399"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.09.015"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.06.011"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01241.x"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.1050.0247"},{"key":"e_1_2_11_11_1","first-page":"46","article-title":"When Do Derivatives Add Value in Asset Allocation Problems for Pension Funds?","volume":"6","author":"Cui J.","year":"2013","journal-title":"Rotman International Journal of Pension Management"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfm024"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109023000753"},{"key":"e_1_2_11_14_1","first-page":"897","article-title":"Efficient Monte Carlo Estimation of Security Prices","volume":"4","author":"Duffie D.","year":"1995","journal-title":"Annuals of Applied Probability"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2020.1.122"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.03.003"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-014-0479-8"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109016000831"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/713665551"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.12.006"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2013.823512"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601077959"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2014.981634"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbef.2017.07.005"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00118-1"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1057\/grir.2008.15"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-009-0117-9"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/15427560.2012.680991"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.11.001"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20397"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2013.20.4.060"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.3905\/JOD.2009.17.2.059"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22612","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T04:20:44Z","timestamp":1754886044000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22612"}},"issued":{"date-parts":[[2025,7,20]]},"references-count":35,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2025,9]]}},"alternative-id":["10.1002\/fut.22612"],"URL":"https:\/\/doi.org\/10.1002\/fut.22612","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7,20]]},"assertion":[{"value":"2024-08-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-24","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-20","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,9,15]],"date-time":"2024-09-15T13:24:12Z","timestamp":1726406652977},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6240,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,8]]},"DOI":"10.1002\/(sici)1096-9934(199808)18:5<563::aid-fut4>3.0.co;2-0","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"563-579","source":"Crossref","is-referenced-by-count":4,"title":["Is after-hours trading informative?"],"prefix":"10.1002","volume":"18","author":[{"given":"Carlos A.","family":"Ulibarri","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199808)18:5%3C563::AID-FUT4%3E3.0.CO;2-0","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199808)18:5%3C563::AID-FUT4%3E3.0.CO;2-0","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:22:28Z","timestamp":1625134948000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199808)18:5<563::AID-FUT4>3.0.CO;2-0"}},"issued":{"date-parts":[[1998,8]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1998,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199808)18:5<563::aid-fut4>3.0.co;2-0","ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[1998,8]]}},{"indexed":{"date-parts":[[2024,4,8]],"date-time":"2024-04-08T05:52:52Z","timestamp":1712555572741},"reference-count":28,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7390,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,6]]},"DOI":"10.1002\/fut.3990060202","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:36:00Z","timestamp":1183613760000},"page":"175-185","source":"Crossref","is-referenced-by-count":21,"title":["Futures fund performance: A test of the effectiveness of technical analysis"],"prefix":"10.1002","volume":"6","author":[{"given":"J. Austin","family":"Murphy","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(74)90013-0"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_4_1","first-page":"84","article-title":"Evaluation of Commodity Funds","volume":"4","author":"Brorsen W.","year":"1985","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_5_1","unstructured":"Business Week(1975 July 7): \u201cComputer Help for Commodity Funds \u201d pp.57\u201358."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04944.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_9_1","first-page":"900","article-title":"The Demand for Risky Assets","volume":"65","author":"Friend I.","year":"1975","journal-title":"American Economic Review"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb02030.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90020-9"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912196"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330126"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1971.tb00924.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1928531"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050202"},{"key":"e_1_2_1_17_1","first-page":"264","article-title":"Do Technical Analysts Have Holes in Their Shoes?","volume":"3","author":"Irwin S.","year":"1984","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1968.tb00815.x"},{"key":"e_1_2_1_19_1","first-page":"319","volume-title":"Introduction to the Theory and Practice of Econometrics","author":"Judge G.","year":"1982"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.9.3.36"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb01318.x"},{"key":"e_1_2_1_22_1","unstructured":"Murphy A.(1984): \u201cRisk\u2010Return Tradeoffs on Commodity Futures Contracts with the Second Nearest Delivery Date \u201d Dissertation: University of Georgia pp.69\u201370."},{"key":"e_1_2_1_23_1","first-page":"107","article-title":"Normal Backwardization, Forecasting, and the Returns to Commodity Futures Traders","volume":"7","author":"Rockwell N.","year":"1967","journal-title":"Food Research Institute Supplement"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/294846"},{"key":"e_1_2_1_25_1","first-page":"117","article-title":"A Test of the Serial Independence of Price Changes in Soybeans Futures","volume":"5","author":"Smidt S.","year":"1965","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1970.tb00414.x"},{"key":"e_1_2_1_27_1","first-page":"396","volume-title":"Principles of Econometrics","author":"Theil H.","year":"1971"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040103"},{"key":"e_1_2_1_29_1","first-page":"5","article-title":"Tests of a Theory Concerning Floor Trading on Commodity Exchanges","volume":"7","author":"Working H.","year":"1967","journal-title":"Food Research Institute Supplement"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060202","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060202","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:01:07Z","timestamp":1697914867000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060202"}},"issued":{"date-parts":[[1986,6]]},"references-count":28,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1986,6]]}},"alternative-id":["10.1002\/fut.3990060202"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060202","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,6]]}},{"indexed":{"date-parts":[[2026,1,6]],"date-time":"2026-01-06T13:05:35Z","timestamp":1767704735332},"reference-count":41,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2006,10,18]],"date-time":"2006-10-18T00:00:00Z","timestamp":1161129600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,12]]},"abstract":"Abstract<\/jats:title>On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid\u2010ask spreads, and price volatility. Intraday and daily time series data from May 1, 1999, through April 30, 2001, are tested in a three\u2010equation structural model. Findings show that transaction taxes have a negative impact on trading volume and bid\u2010ask spreads, as trading volume increased and bid\u2010ask spreads decreased in the period following the reduction in the transaction tax. This study's analysis is not consistent with the argument that the imposition of a transaction tax may reduce price volatility because there are no significant changes in price volatility after the tax reduction. Further, it was found that although the reduction in the transaction tax did reduce tax revenues, the proportional decrease in tax revenues is less than the 50% reduction in the tax rate. Finally, tax revenues in the second and third year after the tax reduction increased, as compared to the year before the tax reduction. \u00a9 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1195\u20131216, 2006<\/jats:p>","DOI":"10.1002\/fut.20238","type":"journal-article","created":{"date-parts":[[2006,10,18]],"date-time":"2006-10-18T20:18:26Z","timestamp":1161202706000},"page":"1195-1216","source":"Crossref","is-referenced-by-count":52,"title":["Transaction tax and market quality of the Taiwan stock index futures"],"prefix":"10.1002","volume":"26","author":[{"given":"Robin K.","family":"Chou","sequence":"first","affiliation":[]},{"given":"George H. K.","family":"Wang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,18]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Modernizing US securities regulation: Economic and legal perspectives (427\u2013450)","author":"Amihud Y.","year":"1993"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(74)90014-2"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00064-2"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331149"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00010-5"},{"key":"e_1_2_1_8_1","first-page":"277","volume-title":"The internationalization of equity markets","author":"Campbell J. Y.","year":"1994"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2213"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913889"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01048341"},{"key":"e_1_2_1_12_1","unstructured":"Ericsson J. &Lindgren J.(1992).Transaction taxes and trading volume on stock Exchanges\u2014An international comparison (working paper). Stockholm: Stockholm School of Economics."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1177\/00131649921970134"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","first-page":"409","DOI":"10.1177\/0148558X9100600402","article-title":"Adverse implications of a security transaction excise tax","volume":"6","author":"Grundfest J. A.","year":"1991","journal-title":"Journal of Accounting, Auditing, and Finance"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","first-page":"165","DOI":"10.2307\/4149921","article-title":"Securities transaction taxes and financial markets","volume":"50","author":"Habermeier K.","year":"2003","journal-title":"IMF Staff Papers"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10122"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(98)00017-1"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.995"},{"key":"e_1_2_1_20_1","volume-title":"Econometric Methods","author":"Johnston J.","year":"1984"},{"key":"e_1_2_1_21_1","first-page":"728","article-title":"Transaction costs and price volatility: Evidence from commission deregulation","volume":"87","author":"Jones C. M.","year":"1997","journal-title":"American Economic Review"},{"key":"e_1_2_1_22_1","volume-title":"The securities transaction tax: An overview of the issues","author":"Kiefer D. W.","year":"1990"},{"key":"e_1_2_1_23_1","first-page":"55","article-title":"A securities transaction tax: Beyond the rhetoric","volume":"5","author":"Kupiec P.","year":"1993","journal-title":"Research in Financial Services Public and Private Policy"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/422565"},{"key":"e_1_2_1_26_1","first-page":"19","article-title":"Econometric policy evaluation: A critique","volume":"2","author":"Lucas R. E.","year":"1976","journal-title":"Journal of Monetary Economics (Suppl.)"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070302"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913712"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122803"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2215"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v49.n5.27"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122795"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122806"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912002"},{"key":"e_1_2_1_37_1","first-page":"1","article-title":"On the efficiency of financial systems","volume":"153","author":"Tobin J. E.","year":"1984","journal-title":"Lloyds Bank Review"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90005-V"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140706"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200011)20:10<943::AID-FUT4>3.0.CO;2-8"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<757::AID-FUT2>3.0.CO;2-M"},{"key":"e_1_2_1_42_1","first-page":"213","article-title":"The Impact of transaction costs on turnover, asset prices and volatility: The case of Sweden's and Finland's security transaction tax reductions","volume":"52","author":"Westerholm J.","year":"2003","journal-title":"Finnish Journal of Business Economics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20238","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20238","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,2,7]],"date-time":"2024-02-07T18:05:10Z","timestamp":1707329110000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20238"}},"issued":{"date-parts":[[2006,10,18]]},"references-count":41,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2006,12]]}},"alternative-id":["10.1002\/fut.20238"],"URL":"https:\/\/doi.org\/10.1002\/fut.20238","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,10,18]]}},{"indexed":{"date-parts":[[2026,1,28]],"date-time":"2026-01-28T08:16:41Z","timestamp":1769588201665,"version":"3.49.0"},"reference-count":56,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2025,8,20]],"date-time":"2025-08-20T00:00:00Z","timestamp":1755648000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,11]]},"abstract":"ABSTRACT<\/jats:title>We examine the characteristics of Cboe's 1\u2010day Volatility Index (VIX1D) and its predictive power regarding the next day's volatility of the S&P 500. Compared to the longer\u2010term volatility indices of the VIX family, it is generally lower and more volatile, exhibits a weaker negative correlation with the S&P 500, and has a distinct intraday pattern with a daily upward trend. We show that the VIX1D overestimates the volatility of the S&P 500 and propose an easy\u2010to\u2010implement proxy to adjust for the inherent risk premium. Our results indicate that the adjusted VIX1D provides model\u2010free, parsimonious, and easy\u2010to\u2010implement 1\u2010day volatility forecasts for the S&P 500 that are even more precise than those of the HAR and HAR\u2010VIX1D models. We conclude that the VIX1D seems to effectively capture the information embedded in the zero\u2010day\u2010to\u2010expiration (0DTE) options and is a promising indicator for pinpointed risk assessment of the US stock market.<\/jats:p>","DOI":"10.1002\/fut.70023","type":"journal-article","created":{"date-parts":[[2025,8,20]],"date-time":"2025-08-20T07:43:24Z","timestamp":1755675804000},"page":"2092-2108","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0009-0001-7218-8255","authenticated-orcid":false,"given":"Stefan","family":"Albers","sequence":"first","affiliation":[{"name":"Faculty of Business and Economics Dresden University of Technology Dresden Germany"}]}],"member":"311","published-online":{"date-parts":[[2025,8,20]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103926"},{"key":"e_1_2_12_3_1","doi-asserted-by":"crossref","unstructured":"Albers S.2024. Contagious Uncertainty: Implied Volatility Spillover Effects Between the Credit VIX Indices and Main Asset Classes in North America and Europe. S&P Global Market Intelligence Research Paper Series.https:\/\/doi.org\/10.2139\/ssrn.4680092.","DOI":"10.2139\/ssrn.4680092"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2024.105186"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_12_8_1","first-page":"9","article-title":"Causal Cascade in the Stock Market From the \u2018Infrared\u2019 to the \u2018Ultraviolet\u2019","volume":"2","author":"Arneodo A.","year":"1997","journal-title":"European Physical Journal B"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2016.1220294"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2013.06.003"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.1"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00180-016-0646-6"},{"key":"e_1_2_12_14_1","first-page":"171","volume-title":"Proceedings of the American Statistical Association, Business and Economic Statistics Section","author":"Black F.","year":"1976"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000453"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2016.05.001"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_12_19_1","unstructured":"Cboe.2022. Cboe to Add Tuesday and Thursday Expirations for SPX Weeklys Options. Press release.https:\/\/ir.cboe.com\/news-and-events\/2022\/04-13-2022\/cboe-add-tuesday-and-thursday-expirations-spx-weeklys-options."},{"key":"e_1_2_12_20_1","unstructured":"Cboe.2023a. Cboe Global Markets Launches 1\u2010day Volatility Index Designed to Measure Volatility Over Current Trading Day. Press Release.https:\/\/ir.cboe.com\/news-and-events\/2023\/04-24-2023\/cboe-global-markets-launches-1-day-volatility-index-designed-measure-volatility-over-current-trading-day."},{"key":"e_1_2_12_21_1","unstructured":"Cboe.2023b. Cboe VIX FAQ.https:\/\/www.cboe.com\/tradable_products\/vix\/faqs\/."},{"key":"e_1_2_12_22_1","unstructured":"Cboe.2023c. Enhancements to the cboe 1\u2010day Volatility Index Back\u2010Tested History. Press Release. \u201cReleased: 2023\u201009\u201020 Reference ID: C2023092000.\u201d"},{"key":"e_1_2_12_23_1","unstructured":"Cboe.2023d. Volatility Index\u00ae Methodology: Cboe 1\u2010day Volatility Index\u00ae. White Paper 2023.v1 as of April 24 CBOE.https:\/\/cdn.cboe.com\/api\/global\/us_indices\/governance\/Volatility_Index_Methodology_Cboe_1-Day_Volatility_Index.pdf."},{"key":"e_1_2_12_24_1","unstructured":"Cboe.2023e. Volatility Insights: Much Ado About 0DTEs\u2014Evaluating the Market Impact of SPX 0DTE Options.https:\/\/www.cboe.com\/insights\/posts\/volatility-insights-evaluating-the-market-impact-of-spx-0-dte-options\/."},{"key":"e_1_2_12_25_1","unstructured":"Cboe.2024. 0DTE Trading Resources.https:\/\/go.cboe.com\/0dte."},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2021.101497"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20148"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1995.10524599"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12068"},{"key":"e_1_2_12_31_1","doi-asserted-by":"crossref","unstructured":"Dutta A. andD.Das.2022. \u201cForecasting Realized Volatility: New Evidence From Time\u2010Varying Jumps in VIX.\u201dJournal of Futures Markets42 no.12:2165\u20132189.https:\/\/doi.org\/10.1002\/fut.22372.","DOI":"10.1002\/fut.22372"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2020.07.004"},{"key":"e_1_2_12_34_1","doi-asserted-by":"crossref","unstructured":"Geng X. andK.Guo2022. \u201cThe Spillover Effect of VIX and Oil Price on the Exchange Rate Volatility Among Belt and Road Countries.\u201dProcedia Computer Science199:765\u2013772.https:\/\/doi.org\/10.1016\/j.procs.2022.01.095.","DOI":"10.1016\/j.procs.2022.01.095"},{"key":"e_1_2_12_35_1","unstructured":"GoldmanSachs.2023. Tenor\u2010Distribution of SPX Volume. Accessed May 4 2023.https:\/\/www.bloomberg.com\/news\/articles\/2023-03-03\/clueless-wall-street-is-racing-to-size-up-zero-day-options-boom#xj4y7vzkg."},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-022-00361-6"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi028"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000071"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000825"},{"key":"e_1_2_12_41_1","first-page":"70","article-title":"Vix, Gold, Silver, and Oil: How Do Commodities React to Financial Market Volatility?","volume":"13","author":"Jubinski D.","year":"2013","journal-title":"Journal of Accounting and Finance"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20131193"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22241"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.103286"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2686"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.008"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/3\/4\/308"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2021.102355"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00007-8"},{"key":"e_1_2_12_50_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_12_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"e_1_2_12_52_1","unstructured":"Refinitiv Eikon.2024. Database.https:\/\/eikon.refinitiv.com\/."},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm11020029"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101596"},{"key":"e_1_2_12_55_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2000.319728"},{"key":"e_1_2_12_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22202"},{"key":"e_1_2_12_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104629"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70023","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T07:34:13Z","timestamp":1760254453000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70023"}},"issued":{"date-parts":[[2025,8,20]]},"references-count":56,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2025,11]]}},"alternative-id":["10.1002\/fut.70023"],"URL":"https:\/\/doi.org\/10.1002\/fut.70023","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,8,20]]},"assertion":[{"value":"2023-07-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-18","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-08-20","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,25]],"date-time":"2026-01-25T03:44:16Z","timestamp":1769312656895,"version":"3.49.0"},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":2130,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,11]]},"DOI":"10.1002\/fut.v29:11","type":"journal-issue","created":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T03:10:54Z","timestamp":1699931454000},"source":"Crossref","is-referenced-by-count":2,"prefix":"10.1002","volume":"29","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v29:11","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v29:11","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T03:10:54Z","timestamp":1699931454000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/29\/11"}},"issued":{"date-parts":[[2009,11]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2009,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v29:11","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,11]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T06:49:02Z","timestamp":1770965342768,"version":"3.50.1"},"reference-count":14,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5814,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,10]]},"DOI":"10.1002\/(sici)1096-9934(199910)19:7<759::aid-fut2>3.0.co;2-f","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T20:14:25Z","timestamp":1030306465000},"page":"759-776","source":"Crossref","is-referenced-by-count":23,"title":["Managed futures, positive feedback trading, and futures price volatility"],"prefix":"10.1002","volume":"19","author":[{"given":"Scott H.","family":"Irwin","sequence":"first","affiliation":[]},{"given":"Satoko","family":"Yoshimaru","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB1","doi-asserted-by":"crossref","first-page":"243","DOI":"10.1007\/BF02532251","volume":"21","author":"Akaike","year":"1969","journal-title":"Annals of the Institute of Statistical Mathematics"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB2","doi-asserted-by":"crossref","first-page":"529","DOI":"10.1111\/j.1540-6261.1986.tb04513.x","volume":"41","author":"Black","year":"1986","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB3","first-page":"19","volume":"61","author":"Brorsen","year":"1987","journal-title":"Review of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB4","doi-asserted-by":"crossref","first-page":"797","DOI":"10.1016\/S0378-4266(97)00007-1","volume":"21","author":"Chang","year":"1997","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB5","volume-title":"Survey of pool operators in futures markets with an analysis of interday position changes","author":"Commodity Futures Trading Commission, Division of Economic Analysis","year":"1991","unstructured":"Commodity Futures Trading Commission, Division of Economic Analysis. (1991). Survey of pool operators in futures markets with an analysis of interday position changes. Washington, DC: CFTC."},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB6","doi-asserted-by":"crossref","first-page":"703","DOI":"10.1086\/261703","volume":"98","author":"De Long","year":"1990","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB7","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1086\/296392","volume":"60","author":"Elton","year":"1987","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB8","first-page":"181","volume":"80","author":"Frankel","year":"1990","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB9","doi-asserted-by":"crossref","first-page":"109","DOI":"10.2307\/2330874","volume":"22","author":"Karpoff","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB10","author":"Kodres","year":"1994","unstructured":"(1994). The existence and impact of destabilizing positive feedback traders: Evidence from the S&P 500 index futures market. Working paper, Board of Governors of the Federal Reserve System."},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB11","doi-asserted-by":"crossref","first-page":"81","DOI":"10.1002\/fut.3990080102","volume":"8","author":"Lukac","year":"1988","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB12","first-page":"417","volume":"64","author":"Parkinson","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB13","author":"Taylor","year":"1994","journal-title":"The Wall Street Journal"},{"key":"10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F-BIB14","doi-asserted-by":"crossref","first-page":"417","DOI":"10.1086\/296544","volume":"64","author":"Wiggins","year":"1991","journal-title":"Journal of Business"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199910)19:7%3C759::AID-FUT2%3E3.0.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199910)19:7%3C759::AID-FUT2%3E3.0.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:53:36Z","timestamp":1625133216000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F"}},"issued":{"date-parts":[[1999,10]]},"references-count":14,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1999,10]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199910)19:7<759::aid-fut2>3.0.co;2-f","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,10]]}},{"indexed":{"date-parts":[[2026,2,11]],"date-time":"2026-02-11T20:22:45Z","timestamp":1770841365914,"version":"3.50.1"},"reference-count":11,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5322,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,2]]},"DOI":"10.1002\/fut.3990120103","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:57:55Z","timestamp":1183661875000},"page":"11-18","source":"Crossref","is-referenced-by-count":2,"title":["The significance of hedging capital requirements"],"prefix":"10.1002","volume":"12","author":[{"given":"Steven C.","family":"Blank","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240537"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100207"},{"key":"e_1_2_1_4_1","volume-title":"Futures and Options Markets: Trading in Financials and Commodities","author":"Blank S.","year":"1991"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070103"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080602"},{"key":"e_1_2_1_7_1","first-page":"139","article-title":"An Analysis of the Impact of Marking\u2010to\u2010Market in Hedging with Treasury Bond Futures","volume":"2","author":"Hill J.","year":"1983","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070208"},{"key":"e_1_2_1_9_1","first-page":"1","article-title":"Liquidity and Capital Requirements for Futures Market Hedges","volume":"4","author":"Kolb R.","year":"1985","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070407"},{"key":"e_1_2_1_11_1","first-page":"192","article-title":"Differential Pricing of Agricultural Operating Loans by Commercial Banks","volume":"10","author":"Schmiesing B.","year":"1985","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070204"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120103","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120103","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:26:01Z","timestamp":1698074761000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120103"}},"issued":{"date-parts":[[1992,2]]},"references-count":11,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1992,2]]}},"alternative-id":["10.1002\/fut.3990120103"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120103","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,2]]}},{"indexed":{"date-parts":[[2026,2,11]],"date-time":"2026-02-11T20:22:46Z","timestamp":1770841366769,"version":"3.50.1"},"reference-count":42,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2016,6,2]],"date-time":"2016-06-02T00:00:00Z","timestamp":1464825600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,2]]},"abstract":"Abstract<\/jats:title>This paper examines the behavior of an exporting firm that sells its output to two foreign countries, only one of which has futures and options available for its currency. The firm possesses smooth ambiguity preferences and faces multiple sources of ambiguous exchange rate risk. We show that the separation theorem fails to hold in that the firm's production and export decisions depend on the firm's attitude toward ambiguity and on the incident to the underlying ambiguity. Given that the random spot exchange rates are first\u2010order independent with respect to each plausible subjective distribution, we derive necessary and sufficient conditions under which the full\u2010hedging theorem applies to the firm's cross\u2010hedging decisions. When these conditions are violated, we show that the firm includes options in its optimal hedge position. This paper as such offers a rationale for the hedging role of options under smooth ambiguity preferences and cross\u2010hedging of ambiguous exchange rate risk. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:132\u2013147, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21793","type":"journal-article","created":{"date-parts":[[2016,6,2]],"date-time":"2016-06-02T21:56:51Z","timestamp":1464904611000},"page":"132-147","source":"Crossref","is-referenced-by-count":7,"title":["Cross\u2010Hedging Ambiguous Exchange Rate Risk"],"prefix":"10.1002","volume":"37","author":[{"given":"Kit Pong","family":"Wong","sequence":"first","affiliation":[{"name":"Kit Pong Wong is a Professor of Finance and the Director of the School of Economics and Finance at the University of Hong Kong Hong Kong"}]}],"member":"311","published-online":{"date-parts":[[2016,6,2]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200010)20:9<843::AID-FUT3>3.0.CO;2-G"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/ecoj.12035"},{"key":"e_1_2_8_4_1","unstructured":"Bank for International Settlements(2013).Foreign exchange turnover in April 2013: Preliminary global results. Triennial Central Bank Survey."},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeca.2015.09.001"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(92)90059-6"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126731"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.red.2013.12.001"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jet.2015.01.002"},{"key":"e_1_2_8_10_1","first-page":"57","article-title":"Commonalities in time and\nambiguity aversion for long\u2010term risks","volume":"24","author":"Chesson H. W.","year":"2003","journal-title":"Journal of Risk and Uncertainty"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1011157509006"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90124-2"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12094"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/296364"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884324"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884543"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4068(89)90018-9"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdr013"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00199-014-0845-8"},{"key":"e_1_2_8_20_1","first-page":"989","article-title":"Hedging and the competitive firm under price uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00199-013-0779-6"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA7618"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951719"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00640.x"},{"key":"e_1_2_8_25_1","unstructured":"Knight F. H.(1921). Risk uncertainty and profit. Boston: Houghton Mifflin."},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.12.3814"},{"key":"e_1_2_8_27_1","unstructured":"Miao J. Wei B. &Zhou H.(2014).Ambiguity aversion and variance premium. Working paper Department of Economics Boston MA: Boston University."},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1086\/259427"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(70)90038-4"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(71)90034-2"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.39.5.602"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11166-010-9088-7"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11166-010-9112-y"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2005.06.003"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2009.05.001"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527391"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1005173013606"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21561"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21584"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/boer.12051"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21678"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2016.01.004"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21739"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21793","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21793","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21793","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,5]],"date-time":"2023-10-05T21:10:43Z","timestamp":1696540243000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21793"}},"issued":{"date-parts":[[2016,6,2]]},"references-count":42,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2017,2]]}},"alternative-id":["10.1002\/fut.21793"],"URL":"https:\/\/doi.org\/10.1002\/fut.21793","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,6,2]]}},{"indexed":{"date-parts":[[2025,5,13]],"date-time":"2025-05-13T15:05:32Z","timestamp":1747148732190,"version":"3.40.5"},"reference-count":42,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2021,3,26]],"date-time":"2021-03-26T00:00:00Z","timestamp":1616716800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,8]]},"abstract":"Abstract<\/jats:title>Options can be dynamically replicated using model\u2010free Greeks extracted from the volatility smile. However, smile\u2010implied delta and delta\u2013gamma hedging do not achieve minimum variance in the presence of price\u2013volatility correlation, and these strategies have shown poor performance relative to the Black\u2013Scholes (BS) benchmark. We propose a way to extend smile\u2010implied option replication with volatility risk management. Large\u2010scale evidence on S&P 500 index options indicates that smile\u2010implied delta\u2013gamma\u2013vega hedging strategies outperform the BS approach as well as more sophisticated option hedging frameworks, including stochastic volatility and jumps.<\/jats:p>","DOI":"10.1002\/fut.22191","type":"journal-article","created":{"date-parts":[[2021,3,26]],"date-time":"2021-03-26T07:48:30Z","timestamp":1616744910000},"page":"1220-1240","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Smile\u2010implied hedging with volatility risk"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0164-0467","authenticated-orcid":false,"given":"Pascal","family":"Fran\u00e7ois","sequence":"first","affiliation":[{"name":"Department of Finance HEC Montreal Montreal Quebec Canada"}]},{"given":"Lars","family":"Stentoft","sequence":"additional","affiliation":[{"name":"Department of Economics Western University London Ontario Canada"}]}],"member":"311","published-online":{"date-parts":[[2021,3,26]]},"reference":[{"key":"e_1_2_10_2_1","first-page":"83","article-title":"The little Heston trap","volume":"1","author":"Albrecher H.","year":"2007","journal-title":"Wilmott"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20406"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.11.011"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601101700"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20517"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2005.08.004"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2010139214500153"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90003-3"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20530"},{"key":"e_1_2_10_15_1","doi-asserted-by":"crossref","unstructured":"Carr P. &Wu L.(2018).Option profit and loss attribution and pricing: A new framework. Baruch College Zicklin School of Business Research Paper No. 2018\u201004\u201001.","DOI":"10.2139\/ssrn.3148796"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj014"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.02.001"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2001.054"},{"volume-title":"Financial modeling with jump processes","year":"2004","author":"Cont R.","key":"e_1_2_10_19_1"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00352"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680400000038"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2017.05.018"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601087883"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_10_25_1","doi-asserted-by":"crossref","unstructured":"Federal Reserve Board.\u00a0(1961\u20132017). Finance and Economics Discussion Series. The U.S. Treasury Yield Curve: 1961 to the Present. Retrieved fromwww.federalreserve.gov\/pubs\/feds\/2006\/200628\/200628abs.html","DOI":"10.17016\/FEDS.2006.28"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2007.06.029"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.05.006"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2017.1352080"},{"key":"e_1_2_10_31_1","unstructured":"Ledoit O. Santa\u2010Clara P. &Yan S.(2002).Relative pricing of options with stochastic volatility. Working Paper UCLA."},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02383.x"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2007.08.009"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.12.006"},{"key":"e_1_2_10_36_1","unstructured":"OptionMetrics.\u00a0(1996\u20132017). Available at HEC Montreal library. Retrieved from Wharton Research Data Service."},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118656471"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2005.00126.x"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1098\/rsta.1999.0418"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11408-004-0302-y"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90009-2"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10109"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-01808-4"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22191","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22191","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22191","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T01:22:28Z","timestamp":1693358548000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22191"}},"issued":{"date-parts":[[2021,3,26]]},"references-count":42,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2021,8]]}},"alternative-id":["10.1002\/fut.22191"],"URL":"https:\/\/doi.org\/10.1002\/fut.22191","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,3,26]]},"assertion":[{"value":"2021-01-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-01-07","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-03-26","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,9,12]],"date-time":"2025-09-12T18:02:50Z","timestamp":1757700170453,"version":"3.37.3"},"reference-count":42,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2023,4,15]],"date-time":"2023-04-15T00:00:00Z","timestamp":1681516800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,6]]},"abstract":"Abstract<\/jats:title>Contracts that expire in January, May, and September attract the most trading activity for corn futures in China. Contracts that mature in other months are thinly traded, even when they are the closest to maturity. In this paper, we examine and compare the behavior and determinants of the bid\u2013ask spreads (BASs) of active and inactive contracts using the best bid offer data set. We show that both the magnitude and volatility of BAS for inactive contracts exhibit U\u2010shaped patterns, whereas active contracts' BAS increase only near their expiration. Inactive contracts are also of low liquidity risk after introducing market makers. On the basis of\u00a0the simultaneous equation model, we find that BAS responds negatively to volume and positively to volatility and order imbalance. The impacts are larger in inactive contracts. Moreover, introducing market makers to inactive contracts is conducive to attracting trading and lowering trading costs.<\/jats:p>","DOI":"10.1002\/fut.22411","type":"journal-article","created":{"date-parts":[[2023,4,16]],"date-time":"2023-04-16T06:59:22Z","timestamp":1681628362000},"page":"792-806","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["A tale of two contracts: Examining the behavior of bid\u2013ask spreads of corn futures in China"],"prefix":"10.1002","volume":"43","author":[{"given":"Miao","family":"Li","sequence":"first","affiliation":[{"name":"College of Economics and Management Huazhong Agricultural University Wuhan China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3933-9119","authenticated-orcid":false,"given":"Tao","family":"Xiong","sequence":"additional","affiliation":[{"name":"College of Economics and Management Huazhong Agricultural University Wuhan China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7522-2682","authenticated-orcid":false,"given":"Ziran","family":"Li","sequence":"additional","affiliation":[{"name":"School of Public Finance and Taxation Southwestern University of Finance and Economics Chengdu China"}]}],"member":"311","published-online":{"date-parts":[[2023,4,15]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.15.4.69"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1177\/1536867X0800700402"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(74)90014-2"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00138"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04424.x"},{"key":"e_1_2_8_7_1","doi-asserted-by":"crossref","unstructured":"Bogousslavsky V. &Collin\u2010Dufresne P.(2020).Liquidity volume and volatility.https:\/\/ssrn.com\/abstract=3336171","DOI":"10.2139\/ssrn.3336171"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/0960310042000284669"},{"volume-title":"Investor education book series on futures products: Corn futures (in Chinese)","year":"2011","author":"CFA","key":"e_1_2_8_9_1"},{"key":"e_1_2_8_10_1","unstructured":"CFA. (2020).Facilitating the nearby activeness for agricultural hedging.http:\/\/www.cfachina.org\/\/industrydynamics\/mediaviewoffuturesmarket\/202012\/t20201228_14224.html"},{"issue":"3","key":"e_1_2_8_11_1","first-page":"441","article-title":"Concentration and liquidity costs in emerging commodity exchanges","volume":"43","author":"Costa G. J.","year":"2018","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_8_12_1","unstructured":"DCE. (2019).Notice on recruiting market makers for soybean meal corn iron ore and No. 2 soybean futures (in Chinese).http:\/\/www.dce.com.cn\/dalianshangpin\/yw\/fw\/jystz\/ywtz\/6153645\/index.html"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2005.05.019"},{"key":"e_1_2_8_14_1","unstructured":"FIA. (2021).Global futures and options trading reaches record level in 2020.https:\/\/www.fia.org\/resources\/global-futures-and-options-trading-reaches-record-level-2020"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi029"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aaq116"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1177\/00131649921970134"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"volume-title":"Trading and exchanges: Market Microstructure for practitioners","year":"2003","author":"Harris L.","key":"e_1_2_8_19_1"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003082"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913827"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02282.x"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22115"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12262"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100608"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rfe.2010.09.001"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.20.4.111"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"issue":"1","key":"e_1_2_8_31_1","first-page":"181","article-title":"Grain marketing strategies within and across lifetimes","volume":"32","author":"Peterson H. H.","year":"2007","journal-title":"Journal of Agricultural and Resource Economics"},{"issue":"3","key":"e_1_2_8_32_1","first-page":"455","article-title":"Effective bid\u2013ask spreads in futures versus futures options","volume":"37","author":"Shah S.","year":"2012","journal-title":"Journal of Agricultural and Resource Economics"},{"issue":"1","key":"e_1_2_8_33_1","first-page":"48","article-title":"Electronic vs. open outcry: Side\u2010by\u2010side trading of KCBT wheat futures","volume":"36","author":"Shah S.","year":"2011","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12423"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"issue":"2","key":"e_1_2_8_36_1","first-page":"185","article-title":"Comparison of liquidity costs between the Kansas City and Chicago wheat futures contracts","volume":"18","author":"Thompson S.","year":"1993","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_8_37_1","first-page":"110","article-title":"Determinants of liquidity costs in commodity futures markets","volume":"7","author":"Thompson S.","year":"1988","journal-title":"Review of Futures Markets"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1108\/AFR-10-2017-0099"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200011)20:10<943::AID-FUT4>3.0.CO;2-8"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<757::AID-FUT2>3.0.CO;2-M"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aat096"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.3390\/su10124579"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2018.1444562"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22411","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,10]],"date-time":"2024-01-10T11:25:25Z","timestamp":1704885925000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22411"}},"issued":{"date-parts":[[2023,4,15]]},"references-count":42,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2023,6]]}},"alternative-id":["10.1002\/fut.22411"],"URL":"https:\/\/doi.org\/10.1002\/fut.22411","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2023,4,15]]},"assertion":[{"value":"2022-09-26","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-03-05","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-04-15","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:59:55Z","timestamp":1761818395894,"version":"build-2065373602"},"reference-count":44,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2025,7,30]],"date-time":"2025-07-30T00:00:00Z","timestamp":1753833600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,10]]},"abstract":"ABSTRACT<\/jats:title>\n This study investigates the pricing of skewness risk in cross\u2010sectional returns in the Chinese stock market, considering the substantial presence of retail investors and their potential lottery\u2010related preferences. We decompose the total implied skewness, derived from the Shanghai Stock Exchange 50 exchange\u2010traded fund options, into upper and lower components. Our findings reveal that the upper implied skewness carries a significantly negative price, whereas the lower implied skewness is positively but only weakly priced. The opposite predictability resolves the pricing puzzle associated with total implied skewness, which exhibits negligible cross\u2010sectional predictability. The negative premium associated with upper skewness is attributed to retail investors' lottery preferences, as stocks exposed to higher upper skewness risk tend to perform well during right\u2010tail market events. This behavioral interpretation is further supported by evidence showing that the negative premium on upper implied skewness is most pronounced during high\u2010sentiment periods, even after controlling for standard risk factors.<\/jats:p>","DOI":"10.1002\/fut.70012","type":"journal-article","created":{"date-parts":[[2025,7,30]],"date-time":"2025-07-30T08:48:42Z","timestamp":1753865322000},"page":"1818-1851","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market"],"prefix":"10.1002","volume":"45","author":[{"given":"Xianjing","family":"Zhou","sequence":"first","affiliation":[{"name":"Economics and Management School Wuhan University Wuhan China"}]},{"given":"Tai\u2010Yong","family":"Roh","sequence":"additional","affiliation":[{"name":"Li Anmin Institute of Economic Research Liaoning University Shenyang China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1735-0878","authenticated-orcid":false,"given":"Yahua","family":"Xu","sequence":"additional","affiliation":[{"name":"China Economics and Management Academy, School of Innovation and Development Central University of Finance and Economics Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2025,7,30]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-022-02355-w"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2018.3205"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.014"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/s0022109013000410"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.5.2066"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2020.100816"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2016.1205727"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03808.x"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.07.002"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22215"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1613510"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/s0022109020000551"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01795.x"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.04.001"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104363"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.105732"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.11.002"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_13_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.10.010"},{"key":"e_1_2_13_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.02.012"},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_13_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496x.2023.2217327"},{"key":"e_1_2_13_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.05.006"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/acfi.12296"},{"key":"e_1_2_13_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106112"},{"key":"e_1_2_13_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/acfi.13354"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1017\/s0022109013000100"},{"key":"e_1_2_13_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy131"},{"key":"e_1_2_13_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21921"},{"key":"e_1_2_13_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01483.x"},{"key":"e_1_2_13_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.03.008"},{"key":"e_1_2_13_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2023.106341"},{"key":"e_1_2_13_35_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2022.2140766"},{"key":"e_1_2_13_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2023.05.010"},{"key":"e_1_2_13_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12910"},{"key":"e_1_2_13_38_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2015.2379"},{"key":"e_1_2_13_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2024.101548"},{"key":"e_1_2_13_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2023.102054"},{"key":"e_1_2_13_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2024.102303"},{"key":"e_1_2_13_42_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2023.2210822"},{"key":"e_1_2_13_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2019.01.002"},{"key":"e_1_2_13_44_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2020.1834496"},{"key":"e_1_2_13_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2025.103968"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70012","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:57:09Z","timestamp":1761818229000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70012"}},"issued":{"date-parts":[[2025,7,30]]},"references-count":44,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2025,10]]}},"alternative-id":["10.1002\/fut.70012"],"URL":"https:\/\/doi.org\/10.1002\/fut.70012","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7,30]]},"assertion":[{"value":"2025-02-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-25","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-30","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,31]],"date-time":"2025-10-31T08:09:08Z","timestamp":1761898148140,"version":"3.37.3"},"reference-count":21,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T00:00:00Z","timestamp":1604966400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,3]]},"abstract":"Abstract<\/jats:title>This study suggests a method to estimate a stochastic volatility model incorporating both information on high\/low prices and the leverage effect. The likelihood\u2010based inference of Markov Chain Monte Carlo\u00a0is conducted to estimate parameters and volatility. Simulation reveals that our method improves estimation and pricing options. We also find that the information on high\/low prices is more likely to contribute to the improvement than the leverage effect.<\/jats:p>","DOI":"10.1002\/fut.22168","type":"journal-article","created":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T14:55:36Z","timestamp":1605020136000},"page":"349-360","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Estimation of stochastic volatility and option prices"],"prefix":"10.1002","volume":"41","author":[{"given":"Suk Joon","family":"Byun","sequence":"first","affiliation":[{"name":"KAIST Business School Seoul Republic of Korea"}]},{"given":"Jung\u2010Soon","family":"Hyun","sequence":"additional","affiliation":[{"name":"KAIST Business School Seoul Republic of Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1071-5777","authenticated-orcid":false,"given":"Woon Jun","family":"Sung","sequence":"additional","affiliation":[{"name":"KAIST Business School Seoul Republic of Korea"}]}],"member":"311","published-online":{"date-parts":[[2020,11,10]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04567.x"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/497405"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2005.09.001"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2012.12.015"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1065"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177729589"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465399558481"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330746"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2010.492233"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392199"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.09.001"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.37"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.08.002"},{"key":"e_1_2_9_22_1","first-page":"177","article-title":"Studies of stock market volatility changes","author":"Black F.","year":"1976","journal-title":"Proceedings of the American Statistical Association, Business and Economic Statistics Section"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22168","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22168","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22168","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T20:40:52Z","timestamp":1693687252000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22168"}},"issued":{"date-parts":[[2020,11,10]]},"references-count":21,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2021,3]]}},"alternative-id":["10.1002\/fut.22168"],"URL":"https:\/\/doi.org\/10.1002\/fut.22168","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,11,10]]},"assertion":[{"value":"2020-09-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-10-03","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-11-10","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,20]],"date-time":"2025-11-20T13:18:56Z","timestamp":1763644736459},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2020,10,1]],"date-time":"2020-10-01T00:00:00Z","timestamp":1601510400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,11]]},"DOI":"10.1002\/fut.22033","type":"journal-article","created":{"date-parts":[[2020,10,1]],"date-time":"2020-10-01T14:38:49Z","timestamp":1601563129000},"page":"1645-1645","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 40, Number 11, November 2020"],"prefix":"10.1002","volume":"40","member":"311","published-online":{"date-parts":[[2020,10]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22033","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22033","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T18:09:10Z","timestamp":1693937350000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22033"}},"issued":{"date-parts":[[2020,10]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2020,11]]}},"alternative-id":["10.1002\/fut.22033"],"URL":"https:\/\/doi.org\/10.1002\/fut.22033","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,10]]},"assertion":[{"value":"2020-10-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,22]],"date-time":"2025-11-22T10:59:30Z","timestamp":1763809170045},"reference-count":36,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2012,11,9]],"date-time":"2012-11-09T00:00:00Z","timestamp":1352419200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,2]]},"abstract":"Most of the existing Markov regime switching GARCH\u2010hedging models assume a common switching dynamic for spot and futures returns. In this study, we release this assumption and suggest a multichain Markov regime switching GARCH (MCSG<\/jats:italic>) model for estimating state\u2010dependent time\u2010varying minimum variance hedge ratios. Empirical results from commodity futures hedging show that MCSG<\/jats:italic> creates hedging gains, compared with single\u2010state\u2010variable regime\u2010switching GARCH models. Moreover, we find an average of 24% cross\u2010regime probability, indicating the importance of modeling cross\u2010regime dynamic in developing optimal futures hedging strategies. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:173\u2013202, 2014<\/jats:p>","DOI":"10.1002\/fut.21583","type":"journal-article","created":{"date-parts":[[2012,11,9]],"date-time":"2012-11-09T18:02:12Z","timestamp":1352484132000},"page":"173-202","source":"Crossref","is-referenced-by-count":15,"title":["Optimal Futures Hedging Under Multichain Markov Regime Switching"],"prefix":"10.1002","volume":"34","author":[{"given":"Her\u2010Jiun","family":"Sheu","sequence":"first","affiliation":[{"name":"Her\u2010Jiun Sheu and Hsiang\u2010Tai Lee are Professors in the Department of Banking and Finance National Chi Nan University Nantou Taiwan"}]},{"given":"Hsiang\u2010Tai","family":"Lee","sequence":"additional","affiliation":[{"name":"Her\u2010Jiun Sheu and Hsiang\u2010Tai Lee are Professors in the Department of Banking and Finance National Chi Nan University Nantou Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2012,11,9]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.03.012"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10130"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.020"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/338484"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392087"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.03.009"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0377-2217(01)00361-7"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.05.003"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.013"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00018-2"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2007.09.016"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90067-1"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1023\/B:REDR.0000004824.99648.73"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00245-5"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.12.001"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.05.009"},{"key":"e_1_2_9_25_1","volume-title":"A Markov regime\u2010switching correlated GARCH model for dynamic futures hedging","author":"Lee H. T.","year":"2012"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20256"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.01.026"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.020"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.965"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.013"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2004.12.011"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.787"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199904)19:2<175::AID-FUT3>3.0.CO;2-H"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171956"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20514"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21583","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21583","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T11:56:47Z","timestamp":1696593407000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21583"}},"issued":{"date-parts":[[2012,11,9]]},"references-count":36,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2014,2]]}},"alternative-id":["10.1002\/fut.21583"],"URL":"https:\/\/doi.org\/10.1002\/fut.21583","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,11,9]]}},{"indexed":{"date-parts":[[2025,10,4]],"date-time":"2025-10-04T07:52:23Z","timestamp":1759564343482},"reference-count":18,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4288,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,12]]},"DOI":"10.1002\/fut.3990140803","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T02:41:04Z","timestamp":1183689664000},"page":"877-890","source":"Crossref","is-referenced-by-count":15,"title":["Price equilibrium and transmission in a controlled economy: A case study of the metal exchange in China"],"prefix":"10.1002","volume":"14","author":[{"given":"Gang","family":"Shyy","sequence":"first","affiliation":[]},{"given":"Bob","family":"Butcher","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Brenner R. J. andKorner K. F.(1992): \u201cArbitrage and Cointegration \u201d Department of Finance Working Paper University of Arizona."},{"key":"e_1_2_1_3_1","first-page":"32","article-title":"Stabilizing Agriculture Prices","volume":"18","author":"Chang H.","year":"1991","journal-title":"China Business Review"},{"key":"e_1_2_1_4_1","first-page":"55","article-title":"Commodities Corner: Chinese Traders Kneecap Copper Rally","volume":"73","author":"Epstein G.","year":"1993","journal-title":"Barron's"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110607"},{"key":"e_1_2_1_6_1","volume-title":"Introduction to Statistical Time Series","author":"Fuller W. A.","year":"1976"},{"key":"e_1_2_1_7_1","article-title":"In Search of Chinese Grain and Oil Futures (Wholesale) Markets","volume":"9","author":"Jin M.\u2010Y.","year":"1992","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_8_1","unstructured":"Jin Peng Copper Exchange By Laws(1991)."},{"key":"e_1_2_1_9_1","unstructured":"Jin Peng Copper Exchange Trading Regulations(1991)."},{"key":"e_1_2_1_10_1","series-title":"MIT Press Series on the Regulation of Economic Activity","volume-title":"The Economics and Politics of Oil Price Regukztion: Federal Policy in the Post\u2010Embargo Era","author":"Kalt J. P.","year":"1981"},{"key":"e_1_2_1_11_1","first-page":"62","article-title":"Future Conditional: Shanghai Metals Exchange Opens for Business","volume":"155","author":"Kaye L.","year":"1992","journal-title":"Far Eastern Economic Review"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080207"},{"key":"e_1_2_1_13_1","unstructured":"MBM LME Supplement(1991 October): \u201cShenzhen Metal Exchange: China's First Commodity Futures Market.\u201d"},{"key":"e_1_2_1_14_1","first-page":"18","article-title":"China Yearns to Trade","volume":"22","author":"Nusbaum D.","year":"1993","journal-title":"The Magazine of Commodities & Options"},{"key":"e_1_2_1_15_1","volume-title":"Tarif, Futures, and Foreign Exchange","author":"Quan Y. B.","year":"1991"},{"key":"e_1_2_1_16_1","unstructured":"Shanghai Metal Exchange(1993 February):Regulations on Commodity Futures Trading. Shenzhen Metal Exchange Brief Introduction(1992)."},{"key":"e_1_2_1_17_1","unstructured":"Shenzhen Metal Exchange Regulations(1991)."},{"key":"e_1_2_1_18_1","unstructured":"TsiangChing (1992 March): \u201cThe Overview of Chinese Futures Market \u201dTariff Futures andForeign Exchange III."},{"key":"e_1_2_1_19_1","unstructured":"Zhen S.(1993): \u201cThree Centers and Shanghai Futures Markets \u201dProceedings of the Second Annual Conference on the Theories and Practices of Securities and Financial Markets Institute of Finance National Sun\u2010Yat\u2010sen University Taiwan."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140803","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140803","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T13:59:15Z","timestamp":1698155955000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140803"}},"issued":{"date-parts":[[1994,12]]},"references-count":18,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1994,12]]}},"alternative-id":["10.1002\/fut.3990140803"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140803","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,12]]}},{"indexed":{"date-parts":[[2025,10,4]],"date-time":"2025-10-04T08:06:17Z","timestamp":1759565177616},"reference-count":14,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5746,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,12]]},"DOI":"10.1002\/fut.3990100605","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:48:48Z","timestamp":1183646928000},"page":"611-621","source":"Crossref","is-referenced-by-count":28,"title":["The supply of storage in energy futures markets"],"prefix":"10.1002","volume":"10","author":[{"given":"Dong W.","family":"Cho","sequence":"first","affiliation":[]},{"given":"Gerald S.","family":"McDougall","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_1_3_1","first-page":"50","article-title":"The Supply of Storage","volume":"48","author":"Brennan Micheal J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_1_5_1","unstructured":"Hicks John R.(1939):Value and Capital Oxford."},{"key":"e_1_2_1_6_1","first-page":"89","article-title":"The Chicago Wheat Futures Market: Recent Problems in Historical Perspective","volume":"18","author":"Gray Roger W.","year":"1981","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_7_1","unstructured":"Keynes John M.(1930):Treaties on Money New York."},{"key":"e_1_2_1_8_1","volume-title":"Understanding Futures Markets","author":"Kolb Robert W.","year":"1988"},{"key":"e_1_2_1_9_1","first-page":"41","article-title":"Proof That Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson Paul A.","year":"1985","journal-title":"Industrial Management Review"},{"issue":"10","key":"e_1_2_1_10_1","first-page":"30","article-title":"How Basis Reveals Energy Market's Wishes","volume":"18","author":"Schap Keith","year":"1989","journal-title":"Futures"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060404"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_1_14_1","first-page":"1254","article-title":"The Theory of Price of Storage","volume":"39","author":"Working Holbrook","year":"1949","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090102"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100605","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100605","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T22:17:38Z","timestamp":1695766658000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100605"}},"issued":{"date-parts":[[1990,12]]},"references-count":14,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1990,12]]}},"alternative-id":["10.1002\/fut.3990100605"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100605","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,12]]}},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T15:36:04Z","timestamp":1759937764905},"reference-count":47,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2007,3,15]],"date-time":"2007-03-15T00:00:00Z","timestamp":1173916800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,5]]},"abstract":"Abstract<\/jats:title>The Black\u2013Scholes (BS; F. Black & M. Scholes, 1973) option pricing model, and modern parametric option pricing models in general, assume that a single unique price for the underlying instrument exists, and that it is the mid\u2010 (the average of the ask and the bid) price. In this article the authors consider the Financial Times and London Stock Exchange (FTSE) 100 Index Options for the time period 1992\u20131997. They estimate the ask and bid prices for the index, and show that, when substituted for the mid\u2010price in the BS formula, they provide superior option price predictors, for call and put options, respectively. This result is reinforced further when they .t a non\u2010parametric neural network model to market prices of liquid options. The empirical .ndings in this article suggest that the ask and bid prices of the underlying asset provide a superior fit to the mid\/closing price because they include market maker's, compensation for providing liquidity in the market for constituent stocks of the FTSE 100 index. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:471\u2013494, 2007<\/jats:p>","DOI":"10.1002\/fut.20257","type":"journal-article","created":{"date-parts":[[2007,3,15]],"date-time":"2007-03-15T15:40:51Z","timestamp":1173973251000},"page":"471-494","source":"Crossref","is-referenced-by-count":11,"title":["Hedging under the influence of transaction costs: An empirical investigation on FTSE 100 index options"],"prefix":"10.1002","volume":"27","author":[{"given":"Andros","family":"Gregoriou","sequence":"first","affiliation":[]},{"given":"Jerome","family":"Healy","sequence":"additional","affiliation":[]},{"given":"Christos","family":"Ioannidis","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,3,15]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Amilon H.(2001).A neural network versus Black\u2010Scholes: A comparison of pricing and hedging performances(working paper). Lund Sweden: Lund University Department of Economics."},{"key":"e_1_2_1_3_1","unstructured":"Anders U.(1996 October).Statistical model building for neural networks. Paper presented at the 6th International AFIR Colloquium N\u00fcrnberg Germany."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00023-8"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/isaf.254"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1093\/oso\/9780198538493.003.0007","volume-title":"Neural networks for pattern recognition","author":"Bishop C. M.","year":"1995"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1989.409198"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Black F. &Scholes M.1973.The Pricing of options and corporate liabilities Journal of Political Economy3 637.","DOI":"10.1086\/260062"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03986.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830213"},{"key":"e_1_2_1_12_1","article-title":"Rethinking implied volatility","volume":"29","author":"Chance D. M.","year":"2003","journal-title":"Financial Engineering News"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2003.319207"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1137\/0331022"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_1_16_1","first-page":"45","volume-title":"Option pricing: Theory and applications","author":"Galai D.","year":"1983"},{"key":"e_1_2_1_17_1","volume-title":"Computational finance","author":"Galindo J.","year":"1999"},{"key":"e_1_2_1_18_1","volume-title":"Econometric analysis","author":"Greene W. H.","year":"1997"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330746"},{"key":"e_1_2_1_20_1","unstructured":"Healy J. V.(1999).Volatility implied in FTSE 100 Index option price series as a future volatility predictor\u2014A new approach. Unpublished manuscript."},{"key":"e_1_2_1_21_1","unstructured":"Henrotte P.(1993).Transaction costs and duplication strategies (working paper). Stanford CA: Stanford University\/Paris: Groupe HEC."},{"key":"e_1_2_1_22_1","unstructured":"Herrmann R. &Narr A.(1997a).Neural networks and the valuation of derivatives\u2014Some insights into the implied pricing mechanism of German stock index options (working paper). Karlsruhe Germany: University of Karlsruhe Institute for Decision Theory and Management Science Department of Finance and Banking."},{"key":"e_1_2_1_23_1","first-page":"23","article-title":"Risk neurality","volume":"10","author":"Herrmann R.","year":"1997","journal-title":"Risk"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_25_1","first-page":"222","article-title":"Optimal replication of contingent claims under transaction costs","volume":"8","author":"Hodges S. D.","year":"1989","journal-title":"Review of Futures Market"},{"key":"e_1_2_1_26_1","first-page":"21","article-title":"Hedging option portfolios in the presence of transaction costs","volume":"7","author":"Hoggard T.","year":"1994","journal-title":"Advances in Futures and Options"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0893-6080(89)90020-8"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0893-6080(90)90005-6"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00081.x"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1997.10474027"},{"key":"e_1_2_1_32_1","unstructured":"Kelly D.(1994).Valuing and hedging American options using neural networks (working paper). Pittsburgh PA: Carnegie Mellon University."},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1980.408737"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb00061.x"},{"issue":"5","key":"e_1_2_1_35_1","first-page":"6","article-title":"Literature review: The problem with modern parametric option pricing","volume":"7","author":"Lajbcygier P.","year":"1999","journal-title":"Journal of Computational Intelligence in Finance"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02383.x"},{"key":"e_1_2_1_37_1","first-page":"278","volume-title":"Contribution to probability and statistics","author":"Levene H.","year":"1960"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb00063.x"},{"key":"e_1_2_1_39_1","unstructured":"Monoyios M.(2002).Effcient option pricing with transaction costs (working paper). Uxbridge UK: Brunel University Department of Economics and Finance."},{"key":"e_1_2_1_40_1","volume-title":"From statistics to neural networks: Theory and pattern recognition applications","author":"Moody J.","year":"1994"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331368"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04967.x"},{"key":"e_1_2_1_43_1","volume-title":"Handbook of parametric and nonparametric statistical procedures","author":"Sheskin D.","year":"2000"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331181"},{"key":"e_1_2_1_45_1","unstructured":"Tompkins R.(1998).Implied volatility surfaces: Uncovering the regularities for options on financial futures (working paper). Vienna: Vienna University of Technology and Warwick University."},{"key":"e_1_2_1_46_1","unstructured":"Weigend A. S. &LeBaron B.(1994).Evaluating neural network predictors by bootstrapping. In Proceedings of International Conference on Neural Information Processing Seoul Korea (ICONIP'94) (pp. 1207\u20131212). Technical Report CU\u2010CS\u2010725\u201094 University of Colorado at Boulder Computer Science Department."},{"key":"e_1_2_1_47_1","unstructured":"Whalley A. E. &Wilmott P.(1993).A hedging strategy and option valuation model with transaction costs(OCIAM working paper). Oxford: Mathematical Institute."},{"key":"e_1_2_1_48_1","article-title":"On Leland's option pricing and hedging strategy with transactions costs","author":"Zhao Y.","year":"2004","journal-title":"Journal of Economic Dynamics and Control"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20257","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20257","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T21:07:49Z","timestamp":1699996069000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20257"}},"issued":{"date-parts":[[2007,3,15]]},"references-count":47,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2007,5]]}},"alternative-id":["10.1002\/fut.20257"],"URL":"https:\/\/doi.org\/10.1002\/fut.20257","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,3,15]]}},{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T12:25:39Z","timestamp":1759667139190},"reference-count":26,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2007,4,4]],"date-time":"2007-04-04T00:00:00Z","timestamp":1175644800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,6]]},"abstract":"Abstract<\/jats:title>The authors explore the finite sample properties of the generalized autoregressive conditional heteroscedasticity (GARCH) option pricing model proposed by S. L. Heston and S. Nandi (2000). Simulation results show that the maximum likelihood estimators of the GARCH process may contain substantial estimation biases, even when samples as large as 3,000 observations are used. However, it was found that these biases cause significant mispricings only for short\u2010term, out\u2010of\u2010the\u2010money options. It is shown that, given an adequate estimation sample, this bias can be reduced considerably by employing the jackknife resampling method. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:599\u2013615, 2007<\/jats:p>","DOI":"10.1002\/fut.20241","type":"journal-article","created":{"date-parts":[[2007,4,4]],"date-time":"2007-04-04T21:47:37Z","timestamp":1175723257000},"page":"599-615","source":"Crossref","is-referenced-by-count":4,"title":["The finite sample properties of the GARCH option pricing model"],"prefix":"10.1002","volume":"27","author":[{"given":"George","family":"Dotsis","sequence":"first","affiliation":[]},{"given":"Raphael N.","family":"Markellos","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,4,4]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/296226"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90044-7"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90025-5"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0276"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_1_8_1","first-page":"34","article-title":"Model risk","volume":"9","author":"Derman E.","year":"1996","journal-title":"Risk"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951767"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1999.033"},{"key":"e_1_2_1_12_1","unstructured":"Duan J. C. Ritchken P. H. &Zhiqiang S.(2006).Jump starting GARCH: Pricing and hedging options with jumps in returns and volatilities. Working Paper 06\u201319 Federal Reserve Bank of Cleveland."},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Efron B.(1982).The jackknife the bootstrap and other resampling plans. CMBS\u2010NSF Regional Conference Series in Applied Mathematics No. 38 Philadelphia PA: Society for Industrial and Applied Mathematics (SIAM).","DOI":"10.1137\/1.9781611970319"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90074-2"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","first-page":"37","DOI":"10.21314\/JOR.1999.009","article-title":"Interest rate model risk: An overview","volume":"1","author":"Gibson R.","year":"1999","journal-title":"The Journal of Risk"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470500039436"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90021-0"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600006265"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00225-4"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90009-7"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00033"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi018"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/43.3-4.353"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.08.002"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10109"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20241","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20241","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T04:24:34Z","timestamp":1700022274000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20241"}},"issued":{"date-parts":[[2007,4,4]]},"references-count":26,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2007,6]]}},"alternative-id":["10.1002\/fut.20241"],"URL":"https:\/\/doi.org\/10.1002\/fut.20241","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,4,4]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T11:02:34Z","timestamp":1761562954788,"version":"3.37.3"},"reference-count":50,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2023,3,13]],"date-time":"2023-03-13T00:00:00Z","timestamp":1678665600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["109\u20102410\u2010H\u2010260\u2010007"],"award-info":[{"award-number":["109\u20102410\u2010H\u2010260\u2010007"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,5]]},"abstract":"Abstract<\/jats:title>This paper proposes a realized semicovariance\u2010based generalized autoregressive conditional heteroskedasticity (GARCH) model for optimal futures hedging in which realized semicovariances are computed from signed high\u2010frequency returns. The model enables flexible, continuous leverage for equity indices and exhibits stronger responses to jointly negative return shocks than do traditional threshold\u2010based asymmetric GARCH models. Our results indicate that the proposed model outperforms simpler models in model fit, covariance prediction, and portfolio variance reduction and can help achieve pronounced economic gains for hedgers. The findings demonstrate that signed high\u2010frequency returns contain valuable information for explaining covariance asymmetries and provide managerial implications for market participants to improve risk management.<\/jats:p>","DOI":"10.1002\/fut.22406","type":"journal-article","created":{"date-parts":[[2023,3,13]],"date-time":"2023-03-13T07:45:26Z","timestamp":1678693526000},"page":"677-701","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Optimal futures hedging by using realized semicovariances: The information contained in signed high\u2010frequency returns"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1344-0817","authenticated-orcid":false,"given":"Yu\u2010Sheng","family":"Lai","sequence":"first","affiliation":[{"name":"Department of Banking and Finance National Chi Nan University Puli Nantou Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2023,3,13]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.03.012"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.009"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199549498.003.0007"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00515.x"},{"key":"e_1_2_9_9_1","first-page":"177","volume-title":"Proceedings of the 1976 Meetings of the American Statistical Association, USA","author":"Black F.","year":"1976"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA17056"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.12.011"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/338484"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbl005"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2011.574977"},{"key":"e_1_2_9_16_1","unstructured":"Data citation: [dataset] Tick Data. (2022). Spot and futures tick data.https:\/\/www.tickdata.com\/"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh021"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474930701873333"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2327150"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000017"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00327"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00718.x"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.005"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2361"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470801890701"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22054"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22272"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21841"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20444"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603107.2010.539535"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.08.004"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2017.10.005"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100110046045"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10099"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1260"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20401"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00503"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_36"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.t01-1-00071"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21614"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2028"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22406","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22406","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22406","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T00:04:05Z","timestamp":1692576245000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22406"}},"issued":{"date-parts":[[2023,3,13]]},"references-count":50,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2023,5]]}},"alternative-id":["10.1002\/fut.22406"],"URL":"https:\/\/doi.org\/10.1002\/fut.22406","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2023,3,13]]},"assertion":[{"value":"2022-07-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-02-21","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-03-13","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,9]],"date-time":"2025-11-09T18:04:57Z","timestamp":1762711497802,"version":"build-2065373602"},"reference-count":49,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2025,9,15]],"date-time":"2025-09-15T00:00:00Z","timestamp":1757894400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,12]]},"abstract":"ABSTRACT<\/jats:title>\n This study examines the role of after\u2010hours information in forecasting Chinese commodity futures volatility, exploiting the introduction of a night session that potentially facilitates real\u2010time responses to information originating in overseas markets. We generate timely forecasts on future daytime realized volatility for 10 commodity futures, using heterogeneous autoregressive (HAR) models augmented with and without past nights' realized variance measures. Our results reveal significant predictive power, both in\u2010sample and out\u2010of\u2010sample, associated with the night\u2010time realized volatility across markets. In contrast, the inclusion of daily squared overnight returns as an alternative measure provides limited improvements. Furthermore, we document the empirical merit of separately considering the jump and continuous components in the night\u2010session price variation, with its superior performance being most pronounced over long forecasting horizons. The improved statistical accuracy is also shown to be economically meaningful for a risk\u2010averse investor and remains robust to changes in the identification, estimation, and forecasting procedure.<\/jats:p>","DOI":"10.1002\/fut.70042","type":"journal-article","created":{"date-parts":[[2025,9,15]],"date-time":"2025-09-15T17:05:07Z","timestamp":1757955907000},"page":"2332-2354","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0009-0004-1917-3136","authenticated-orcid":false,"given":"Xinyue","family":"He","sequence":"first","affiliation":[{"name":"Institute of Western China Economic Research Southwestern University of Finance and Economics Chengdu Sichuan China"},{"name":"Research Center for China food Security Policy Chengdu Sichuan China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7522-2682","authenticated-orcid":false,"given":"Ziran","family":"Li","sequence":"additional","affiliation":[{"name":"School of Public Finance and Taxation Southwestern University of Finance and Economics Chengdu Sichuan China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7741-041X","authenticated-orcid":false,"given":"Zhepeng","family":"Hu","sequence":"additional","affiliation":[{"name":"Department of Agricultural Economics China Agricultural University Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2025,9,15]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2013.03.006"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.029"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.01.011"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy041"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00249"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.04.005"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2025.104010"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106285"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.08.011"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.09.001"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000372"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22087"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3221"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi028"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.04.007"},{"key":"e_1_2_13_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2015.10.004"},{"key":"e_1_2_13_22_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-016-0570-4"},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22147"},{"key":"e_1_2_13_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22241"},{"key":"e_1_2_13_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102205"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2022.106658"},{"key":"e_1_2_13_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppu010"},{"key":"e_1_2_13_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101750"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.008"},{"key":"e_1_2_13_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.08.007"},{"key":"e_1_2_13_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.08.002"},{"key":"e_1_2_13_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2903"},{"key":"e_1_2_13_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2811"},{"key":"e_1_2_13_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10016"},{"key":"e_1_2_13_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rfe.2010.09.001"},{"key":"e_1_2_13_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1995.10524612"},{"key":"e_1_2_13_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0169-2070(89)90044-7"},{"key":"e_1_2_13_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb03495.x"},{"key":"e_1_2_13_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"e_1_2_13_40_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00503"},{"key":"e_1_2_13_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21759"},{"key":"e_1_2_13_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.01.004"},{"key":"e_1_2_13_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2443"},{"key":"e_1_2_13_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2016.08.002"},{"key":"e_1_2_13_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2014.07.001"},{"key":"e_1_2_13_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.03.008"},{"key":"e_1_2_13_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2014.10.007"},{"key":"e_1_2_13_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2017.01.030"},{"key":"e_1_2_13_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2748"},{"key":"e_1_2_13_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.01.019"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70042","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,11,9]],"date-time":"2025-11-09T17:59:02Z","timestamp":1762711142000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70042"}},"issued":{"date-parts":[[2025,9,15]]},"references-count":49,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2025,12]]}},"alternative-id":["10.1002\/fut.70042"],"URL":"https:\/\/doi.org\/10.1002\/fut.70042","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,9,15]]},"assertion":[{"value":"2025-02-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-08-26","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-15","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,8]],"date-time":"2025-12-08T21:52:29Z","timestamp":1765230749416},"reference-count":27,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2001,4,25]],"date-time":"2001-04-25T00:00:00Z","timestamp":988156800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,6]]},"abstract":"Abstract<\/jats:title>We explore the determinants of intraday volatility in interest\u2010rate and foreign\u2010exchange markets, focusing on the importance and interaction of three types of information in predicting intraday volatility: (a) knowledge of recent past volatilities (i.e., ARCH or Autoregressive Conditional Heteroskedasticity effects); (b) prior knowledge of when major scheduled macroeconomic announcements, such as the employment report or Producer Price Index, will be released; and (c) knowledge of seasonality patterns. We find that all three information sets have significant incremental predictive power, but macroeconomic announcements are the most important determinants of periods of very high intraday volatility (particularly in the interest\u2010rate markets). We show that because the three information sets are not independent, it is necessary to simultaneously consider all three to accurately measure intraday volatility patterns. For instance, we find that most of the previously documented time\u2010of\u2010day and day\u2010of\u2010the\u2010week volatility patterns in these markets are due to the tendency for macroeconomic announcements to occur on particular days and at particular times. Indeed, the familiar U\u2010shape completely disappears in the foreign\u2010exchange market. We also find that estimates of ARCH effects are considerably altered when we account for announcement effects and return periodicity; specifically, estimates of volatility persistence are sharply reduced. Separately, our results show that high volatility persists longer after shocks due to unscheduled announcements than after equivalent shocks due to scheduled announcements, indicating that market participants digest information much more quickly if they are prepared to receive it. However, contrary to results from equity markets, we find no evidence of a meaningful difference in volatility persistence after positive or negative price shocks. \u00a9 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 517\u2013552, 2001<\/jats:p>","DOI":"10.1002\/fut.1602","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:03:55Z","timestamp":1031699035000},"page":"517-552","source":"Crossref","is-referenced-by-count":31,"title":["Intraday Volatility in Interest\u2010Rate and Foreign\u2010Exchange Markets: ARCH, Announcement, and Seasonality Effects"],"prefix":"10.1002","volume":"21","author":[{"given":"Louis","family":"Ederington","sequence":"first","affiliation":[]},{"given":"Jae Ha","family":"Lee","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,4,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00004-2"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.85732"},{"key":"e_1_2_1_4_1","first-page":"279","article-title":"The message in daily exchange rates: A conditional variance tale","volume":"7","author":"Baille R.","year":"1989","journal-title":"Journal of Business and Economic Statistics"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/S0304-4076(95)01749-6","article-title":"Fractionally integrated generalized autoregressive conditional heteroskedasticity","volume":"74","author":"Baille R.","year":"1996","journal-title":"Journal of Econometrics"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Balduzzi P. Elton E. &Green T. C.(1997).Economic news and the yield curve: Evidence from the US Treasury market. Unpublished manuscript Stern School.","DOI":"10.2139\/ssrn.65030"},{"key":"e_1_2_1_7_1","unstructured":"Black F.(1976).Studies in stock price volatility changes. In American Statistical Association Proceeding of the 1976 Meeting of the Business and Economics Statistics Section (pp.177\u2013181.)"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05189.x"},{"key":"e_1_2_1_10_1","volume-title":"Market microstructure and capital market information content research","author":"Brown P.","year":"1992"},{"key":"e_1_2_1_11_1","unstructured":"Chang E. &Schacter B.(1991).Intraday variations in volume variance and participation of large speculators. Unpublished manuscript Commodities Futures Trading Commission."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331256"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331358"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938189"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2077766"},{"key":"e_1_2_1_18_1","first-page":"3","article-title":"Price formation and liquidity in the US Treasury market: The response to public information","volume":"19","author":"Fleming M.","year":"1999","journal-title":"Journal of Finance"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950080102"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00003-0"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.543"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00047-0"},{"key":"e_1_2_1_24_1","unstructured":"Locke P.(1996).The locals spin on the national news. Unpublished manuscript Commodity Futures Trading Commission."},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb03705.x"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90101-X"},{"key":"e_1_2_1_27_1","volume-title":"Macroeconomic information and financial trading","author":"Webb R.","year":"1994"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140106"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.1602","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.1602","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T14:06:21Z","timestamp":1700316381000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.1602"}},"issued":{"date-parts":[[2001,4,25]]},"references-count":27,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2001,6]]}},"alternative-id":["10.1002\/fut.1602"],"URL":"https:\/\/doi.org\/10.1002\/fut.1602","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,4,25]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:15:17Z","timestamp":1760523317225},"reference-count":33,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,8,13]],"date-time":"2015-08-13T00:00:00Z","timestamp":1439424000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,4]]},"abstract":"Abstract<\/jats:title>On June 2, 2009, NYSE LIFFE Amsterdam reduced the tick size for options trading at prices below \u20ac 0.20 from \u20ac 0.05 to \u20ac 0.01 and on April 1, 2010, the exchange increased the price threshold to \u20ac 0.50. We study the effect of that tick size reduction on the liquidity of individual equity options. In this respect, this study is uniquely positioned in the options context where moneyness is a clear additional factor in the implementation of the tick size changes. We show that, in general, quoted and traded option liquidity increased but at a rate decreasing with option moneyness. Real costs fell more for the lower priced contracts. Importantly, we show that the ability of the market to absorb larger trades has potentially diminished after the change in the tick size. We document a substantial increase in quote revisions which implies an increase in price competition and, as a result, an improvement in market quality. Finally, the decrease in the tick size led to an increase in hedging activity using deep\u2010out\u2010of\u2010the\u2010money puts. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:397\u2013417, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21734","type":"journal-article","created":{"date-parts":[[2015,8,13]],"date-time":"2015-08-13T12:56:17Z","timestamp":1439470577000},"page":"397-417","source":"Crossref","is-referenced-by-count":5,"title":["The Impact of a Premium\u2010Based Tick Size on Equity Option Liquidity"],"prefix":"10.1002","volume":"36","author":[{"given":"Thanos","family":"Verousis","sequence":"first","affiliation":[{"name":"Thanos Verousis, School of Management University of Bath Bath, BA2 7AY UK"}]},{"given":"Owain","family":"ap Gwilym","sequence":"additional","affiliation":[{"name":"Owain ap Gwilym, Bangor Business School Bangor University Bangor, LL57 2DG UK"}]},{"given":"Nikolaos","family":"Voukelatos","sequence":"additional","affiliation":[{"name":"Nikolaos Voukelatos, Kent Business School University of Kent Kent, CT2 7PE UK"}]}],"member":"311","published-online":{"date-parts":[[2015,8,13]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1006\/jfin.1996.0002"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2012.10.003"},{"key":"e_1_2_8_4_1","doi-asserted-by":"crossref","first-page":"615","DOI":"10.1111\/j.1540-6261.1997.tb04817.x","article-title":"Tick\nsize, share prices and stock splits","volume":"52","author":"Angel J. J.","year":"1997","journal-title":"Journal of Finance"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20149"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1006\/jfin.1997.0213"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126742"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331201"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1998.10"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10086"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00136-5"},{"key":"e_1_2_8_12_1","unstructured":"Chakravarty S. Panchapagesan V. &Wood R.(2003).Institutional trading patterns and price impact around decimalization. Working paper Purdue University Indiana USA."},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2004.00096.x"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00061-6"},{"key":"e_1_2_8_15_1","unstructured":"Harris L.(1990).Liquidity trading rules and electronic trading systems. New York University Monograph Series in Finance and Economics No. 1990\u20104."},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.389"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.1.149"},{"key":"e_1_2_8_18_1","unstructured":"Harris L.(1996).Does a large minimum price variation encourage order exposure?Working paper University of Southern California California USA."},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00091-X"},{"key":"e_1_2_8_20_1","unstructured":"Jack@amsterdamtrader.com. (2009). Fooling retail investors with new tick size. Available at:http:\/\/www.amsterdamtrader.com\/2009\/05\/fooling\u2010retail\u2010investors\u2010with\u2010new\u2010tick\u2010size\u20102.html."},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00087-8"},{"key":"e_1_2_8_22_1","unstructured":"Mamudi S. &Michaels D.(2013). Exchanges said to prepare pilot programs for changing tick sizes. Bloomberg."},{"key":"e_1_2_8_23_1","unstructured":"Massoudi A. &Mackenzie M.(2013). SEC to consider increasing \u2018tick size.\u2019 Available at:http:\/\/www.ft.com\/cms\/s\/0\/a16bb892\u20106ee1\u201011e2\u20109ded\u201000144feab49a.html#axzz3hHGFqnDI."},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.03.005"},{"key":"e_1_2_8_25_1","unstructured":"Noiville V. &Seblain B.(2011). Individual investors on the cash market. Available at: TNS Sofres."},{"key":"e_1_2_8_26_1","unstructured":"PBTS.(2013). In NYSE Euronext Global Derivatives. Retrieved fromhttps:\/\/globalderivatives.nyx.com\/stock\u2010options\/nyse\u2010liffe\/pbts."},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20216"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.02.004"},{"key":"e_1_2_8_29_1","unstructured":"Securities and Exchange Commission. (2014). Plan to implement a tick size pilot program. Washington DC USA."},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.1.103"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2006.00141.x"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00375"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.02.012"},{"key":"e_1_2_8_34_1","unstructured":"Weild D. Kim E. &Newport L.(2012). The trouble with small tick sizes. Grant Thornton Capital Markets Series."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21734","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21734","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:49:01Z","timestamp":1696574941000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21734"}},"issued":{"date-parts":[[2015,8,13]]},"references-count":33,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2016,4]]}},"alternative-id":["10.1002\/fut.21734"],"URL":"https:\/\/doi.org\/10.1002\/fut.21734","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,8,13]]}},{"indexed":{"date-parts":[[2025,10,20]],"date-time":"2025-10-20T10:10:00Z","timestamp":1760955000152},"reference-count":32,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4226,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,2]]},"DOI":"10.1002\/fut.3990150108","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T03:57:31Z","timestamp":1183694251000},"page":"87-99","source":"Crossref","is-referenced-by-count":53,"title":["Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB"],"prefix":"10.1002","volume":"15","author":[{"given":"Gang","family":"Shyy","sequence":"first","affiliation":[]},{"given":"Jie\u2010Haun","family":"Lee","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02614.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Becker B. Lopes E. Berberi\u2010Doumar V. Cohn R. andAdkins A.(1992): \u201cAutomated Securities Trading \u201dJournal of Financial Services Research 327\u2013341.","DOI":"10.1007\/BF01046074"},{"key":"e_1_2_1_4_1","first-page":"219","article-title":"Price Changes of Related Securities: The Case of Call Options and Stocks","volume":"23","author":"Bhattacharya M.","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.57"},{"key":"e_1_2_1_8_1","volume-title":"The Lead\u2010Lag Relationship between Stock and Option Prices","author":"Freund S.","year":"1991"},{"key":"e_1_2_1_9_1","volume-title":"Introduction to Statistical Time Series","author":"Fuller W. A.","year":"1976"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(92)90006-L"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.623"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02405.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90070-0"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.571"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb03926.x"},{"key":"e_1_2_1_18_1","unstructured":"Huang R. D. andStoll H. R.(1992):Market Microstructure and Stock Return Predictions Working Paper Owen Graduate School of Management Vanderbilt University."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070403"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120204"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(91)90039-M"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03597.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(92)90056-5"},{"key":"e_1_2_1_25_1","volume-title":"The European Options and Futures Markets","author":"McLean S.","year":"1991"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_27_1","first-page":"250","article-title":"Detecting Spot Prices Forecasting in Futures Prices Using Causality Tests","volume":"6","author":"Ng N.","year":"1987","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_28_1","unstructured":"Pan M. S. Rim H. K. andHocking R.(1991 October): \u201cThe Causal Relationship between Implied and Observed Exchange Rates \u201d presented at the Financial Management Association Meeting."},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_1_30_1","unstructured":"Shyy G.andButcher R.(1993): \u201cAn Intraday Investigation on Intermarket Futures Price Transmission Between Japan and Singapore \u201d Research Paper Refco Group."},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150108","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150108","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T15:05:35Z","timestamp":1698332735000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150108"}},"issued":{"date-parts":[[1995,2]]},"references-count":32,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1995,2]]}},"alternative-id":["10.1002\/fut.3990150108"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150108","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,2]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:27:55Z","timestamp":1761017275307,"version":"3.37.3"},"reference-count":44,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2019,7,22]],"date-time":"2019-07-22T00:00:00Z","timestamp":1563753600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001824","name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","doi-asserted-by":"publisher","award":["16\u201014151S"],"award-info":[{"award-number":["16\u201014151S"]}],"id":[{"id":"10.13039\/501100001824","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,9]]},"abstract":"Abstract<\/jats:title>Using a flexible panel quantile regression framework, we show how the future conditional quantiles of commodities returns depend on both ex post and ex ante uncertainty. Empirical analysis of the most liquid commodities covering main sectors, including energy, food, agriculture, and precious and industrial metals, reveal several important stylized facts. We document common patterns of the dependence between future quantile returns and ex post as well as ex ante volatilities. We further show that the conditional returns distribution is platykurtic. The approach can serve as a useful risk management tool for investors interested in commodity futures contracts.<\/jats:p>","DOI":"10.1002\/fut.22017","type":"journal-article","created":{"date-parts":[[2019,7,23]],"date-time":"2019-07-23T05:05:31Z","timestamp":1563858331000},"page":"1167-1189","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Panel quantile regressions for estimating and predicting the value\u2010at\u2010risk of commodities"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3514-0735","authenticated-orcid":false,"given":"Franti\u0161ek","family":"\u010cech","sequence":"first","affiliation":[{"name":"Department of Macroeconomics and Econometrics Institute of Economic Studies, Charles University Prague Czech Republic"},{"name":"Department of Econometrics, Institute of Information Theory and Automation Academy of Sciences of the Czech Republic Prague Czech Republic"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5097-2607","authenticated-orcid":false,"given":"Jozef","family":"Barun\u00edk","sequence":"additional","affiliation":[{"name":"Department of Macroeconomics and Econometrics Institute of Economic Studies, Charles University Prague Czech Republic"},{"name":"Department of Econometrics, Institute of Information Theory and Automation Academy of Sciences of the Czech Republic Prague Czech Republic"}]}],"member":"311","published-online":{"date-parts":[[2019,7,22]]},"reference":[{"key":"e_1_2_7_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2009.12.020"},{"key":"e_1_2_7_1_3_1","doi-asserted-by":"publisher","DOI":"10.17578\/4-3\/4-2"},{"key":"e_1_2_7_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_7_1_5_1","article-title":"Quantile co\u2010movement in financial markets: A panel quantile model with unobserved heterogeneity","author":"Ando T.","year":"2017","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_7_1_6_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_7_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy041"},{"key":"e_1_2_7_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-3758(02)00386-5"},{"key":"e_1_2_7_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_7_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(02)00111-1"},{"key":"e_1_2_7_1_11_1","unstructured":"2017 Institute of Economic Studies Charles University Prague F. \u010cech J. Barun\u00edk Measurement of common risk factors: A panel quantile regression model for returns (Working paper IES WP 20\/2017)"},{"key":"e_1_2_7_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.09.002"},{"key":"e_1_2_7_1_13_1","unstructured":"Chen L. Dolado J. J. &Gonzalo J.(2016).Quantile factor models.Unpublished manuscript."},{"key":"e_1_2_7_1_14_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110613-034432"},{"key":"e_1_2_7_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2009.02.026"},{"key":"e_1_2_7_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.06.018"},{"key":"e_1_2_7_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.10.011"},{"key":"e_1_2_7_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527341"},{"key":"e_1_2_7_1_19_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000765"},{"key":"e_1_2_7_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2007.12.001"},{"key":"e_1_2_7_1_21_1","doi-asserted-by":"publisher","DOI":"10.3905\/joi.2010.19.3.010"},{"key":"e_1_2_7_1_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/713665670"},{"key":"e_1_2_7_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_7_1_24_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000370"},{"key":"e_1_2_7_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_7_1_26_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500105000000018"},{"key":"e_1_2_7_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(03)00052-5"},{"key":"e_1_2_7_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.04.003"},{"key":"e_1_2_7_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20251"},{"key":"e_1_2_7_1_30_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_7_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2007.11.004"},{"key":"e_1_2_7_1_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"volume-title":"Value at risk: The new benchmark for controlling market risk","year":"2007","author":"Jorion P.","key":"e_1_2_7_1_33_1"},{"key":"e_1_2_7_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2004.05.006"},{"key":"e_1_2_7_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_7_1_36_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407942"},{"key":"e_1_2_7_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.08.002"},{"key":"e_1_2_7_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.008"},{"key":"e_1_2_7_1_39_1","unstructured":"Longerstaey J. &Spencer M.(1996).RiskMetricsTM\u2014Technical document no. 51. New York: Morgan Guaranty Trust Company of New York."},{"key":"e_1_2_7_1_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.03.008"},{"key":"e_1_2_7_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.02.005"},{"key":"e_1_2_7_1_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.11.015"},{"key":"e_1_2_7_1_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.004"},{"key":"e_1_2_7_1_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.06.010"},{"issue":"1","key":"e_1_2_7_1_45_1","first-page":"185","article-title":"Semi\u2010parametric conditional quantile models for financial returns and realized volatility","volume":"14","author":"\u017dike\u0161 F.","year":"2016","journal-title":"Journal of Financial Econometrics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22017","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22017","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22017","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T17:23:51Z","timestamp":1694280231000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22017"}},"issued":{"date-parts":[[2019,7,22]]},"references-count":44,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2019,9]]}},"alternative-id":["10.1002\/fut.22017"],"URL":"https:\/\/doi.org\/10.1002\/fut.22017","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,7,22]]},"assertion":[{"value":"2018-09-27","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-04-18","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-07-22","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:12:50Z","timestamp":1761016370870,"version":"3.30.2"},"reference-count":14,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7062,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,5]]},"DOI":"10.1002\/(sici)1096-9934(199605)16:3<313::aid-fut4>3.0.co;2-m","type":"journal-article","created":{"date-parts":[[2004,10,21]],"date-time":"2004-10-21T01:55:29Z","timestamp":1098323729000},"page":"313-330","source":"Crossref","is-referenced-by-count":61,"title":["Detecting volatility changes across the oil sector"],"prefix":"10.1002","volume":"16","author":[{"given":"Berry","family":"Wilson","sequence":"first","affiliation":[]},{"given":"Reena","family":"Aggarwal","sequence":"additional","affiliation":[]},{"given":"Carla","family":"Inclan","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB1","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1002\/jae.3950060202","volume":"6","author":"Baillie","year":"1991","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB2","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1080\/07474938608800096","volume":"5","author":"Diebold","year":"1986","journal-title":"Econometric Reviews"},{"year":"1988","author":"Edwards","key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB3","unstructured":"(January\u2013February, 1988): \u201cDoes Futures Trading Increase Stock Volatility?,\u201d Financial Analysts Journal 63\u201369."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB4","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(87)90026-2","volume":"19","author":"French","year":"1987","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB5","first-page":"913","volume":"89","author":"Inclan","year":"1994","journal-title":"Journal of the American Statistical Association"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB6","doi-asserted-by":"crossref","first-page":"609","DOI":"10.2307\/2331112","volume":"29","author":"Kim","year":"1994","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB7","doi-asserted-by":"crossref","first-page":"225","DOI":"10.1080\/07350015.1990.10509794","volume":"68","author":"Lamoreux","year":"1990","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB8","doi-asserted-by":"crossref","first-page":"66","DOI":"10.2307\/1992578","volume":"21","author":"Lastrapes","year":"1989","journal-title":"Journal of Money, Credit, and Banking"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB9","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1086\/261284","volume":"93","author":"Miller","year":"1985a","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB10","doi-asserted-by":"crossref","first-page":"1009","DOI":"10.1111\/j.1540-6261.1985.tb05030.x","volume":"40","author":"Miller","year":"1985b","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB11","first-page":"1142","volume":"76","author":"Poterba","year":"1986","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB12","doi-asserted-by":"crossref","first-page":"83","DOI":"10.1016\/0167-2231(89)90006-7","volume":"31","author":"Schwert","year":"1989a","journal-title":"Carnegie-Rochester Conference Series on Public Policy"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB13","doi-asserted-by":"crossref","first-page":"1115","DOI":"10.1111\/j.1540-6261.1989.tb02647.x","volume":"44","author":"Schwert","year":"1989b","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M-BIB14","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1093\/rfs\/3.1.77","volume":"3","author":"Schwert","year":"1990","journal-title":"Review of Financial Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199605)16:3%3C313::AID-FUT4%3E3.0.CO;2-M","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199605)16:3%3C313::AID-FUT4%3E3.0.CO;2-M","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,19]],"date-time":"2024-12-19T02:36:15Z","timestamp":1734575775000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199605)16:3<313::AID-FUT4>3.0.CO;2-M"}},"issued":{"date-parts":[[1996,5]]},"references-count":14,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1996,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199605)16:3<313::aid-fut4>3.0.co;2-m","ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[1996,5]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:12:47Z","timestamp":1762521167414},"reference-count":12,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8668,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,12]]},"DOI":"10.1002\/fut.3990020404","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:50:40Z","timestamp":1183585840000},"page":"333-340","source":"Crossref","is-referenced-by-count":10,"title":["Forward pricing feeder pigs"],"prefix":"10.1002","volume":"2","author":[{"given":"Stephen E.","family":"Miller","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_3_1","volume-title":"Futures Trading in Livestock\u2014Origins and Concepts","author":"Gray R. W.","year":"1970"},{"key":"e_1_2_1_4_1","unstructured":"Hayenga M. L. andDiPietre D. D.(1981): \u201cHedging Pork Products Using Live Hog Futures: A Feasibility Analysis \u201d Iowa State University Economic Report Series No. 19."},{"key":"e_1_2_1_5_1","volume-title":"Economics of Futures Trading for Commercial and Personal Profit","author":"Hieronymus T. A.","year":"1971"},{"key":"e_1_2_1_6_1","volume-title":"Livestock Futures Research Symposium","author":"Hoffman G.","year":"1979"},{"key":"e_1_2_1_7_1","volume-title":"Livestock Futures Research Symposium","author":"Leuthold R. M.","year":"1979"},{"key":"e_1_2_1_8_1","first-page":"29","article-title":"Beef Price Hedging Opportunities for Food Service Institutions","volume":"11","author":"Miller S. E.","year":"1980","journal-title":"Journal of Food Distribution Research"},{"issue":"16","key":"e_1_2_1_9_1","first-page":"26","article-title":"Forward Pricing Distillers Dried Grains","volume":"54","author":"Miller S. E.","year":"1982","journal-title":"Feedstuffs"},{"key":"e_1_2_1_10_1","volume-title":"Livestock Futures Research Symposium","author":"Miller S. E.","year":"1979"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020203"},{"key":"e_1_2_1_12_1","unstructured":"Rhodes V. J. et al. (1979):Large and Medium Volume Hog Producers: A National Survey University of Missouri Ag. Exp. Sta. SR 223."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020404","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020404","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:27:22Z","timestamp":1699802842000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020404"}},"issued":{"date-parts":[[1982,12]]},"references-count":12,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1982,12]]}},"alternative-id":["10.1002\/fut.3990020404"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020404","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,12]]}},{"indexed":{"date-parts":[[2025,11,18]],"date-time":"2025-11-18T09:10:58Z","timestamp":1763457058898},"reference-count":10,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8394,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,9]]},"DOI":"10.1002\/fut.3990030307","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:59:29Z","timestamp":1183589969000},"page":"321-334","source":"Crossref","is-referenced-by-count":38,"title":["Futures market efficiency and the time content of the information sets"],"prefix":"10.1002","volume":"3","author":[{"given":"David","family":"Bigman","sequence":"first","affiliation":[]},{"given":"David","family":"Goldfarb","sequence":"additional","affiliation":[]},{"given":"Edna","family":"Schechtman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"887","article-title":"Price Movements in Speculative Markets: Trends or Random Walks","volume":"17","author":"Alexander S. S.","year":"1961","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(79)90022-9"},{"key":"e_1_2_1_6_1","first-page":"652","article-title":"Towards an Understanding of Market Processes: Individual Expectations, Learning and Convergence to Rational Expectations Equilibrium","volume":"72","author":"Frydman R.","year":"1982","journal-title":"American Economic Review"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb02216.x"},{"key":"e_1_2_1_8_1","first-page":"295","article-title":"Are Market Forecasts Rational?","volume":"71","author":"Mishkin F. S.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1909635"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936017"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1111\/j.1540-6261.1970.tb00414.x","article-title":"Commodity Futures: Trends or Random Walks","volume":"25","author":"Steavenson R. A.","year":"1970","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030307","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030307","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T00:49:18Z","timestamp":1697762958000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030307"}},"issued":{"date-parts":[[1983,9]]},"references-count":10,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1983,9]]}},"alternative-id":["10.1002\/fut.3990030307"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030307","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,9]]}},{"indexed":{"date-parts":[[2025,12,12]],"date-time":"2025-12-12T13:17:34Z","timestamp":1765545454599},"reference-count":37,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5746,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,12]]},"DOI":"10.1002\/fut.3990100606","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:48:48Z","timestamp":1183646928000},"page":"623-641","source":"Crossref","is-referenced-by-count":21,"title":["The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes"],"prefix":"10.1002","volume":"10","author":[{"given":"Roger","family":"Fujihara","sequence":"first","affiliation":[]},{"given":"Keehwan","family":"Park","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1986.tb01117.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1987.tb00497.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Akgiray Vedat andBooth G. Geoffrey.(1988 ): November \u201cMixed Diffusion\u2010Jump Process Modeling of Exchange Rate Movements \u201d Review of Economics and Statistics 631\u2013637.","DOI":"10.2307\/1935826"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297415"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/295634"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Bollerslev Tim(1987): \u201cA Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return \u201d Review of Economics and Statistics 542\u2013547.","DOI":"10.2307\/1925546"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(87)80025-9"},{"key":"e_1_2_1_10_1","volume-title":"Estimation of the Optimal Futures Hedge","author":"Cecchetti G. S.","year":"1986"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040407"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_13_1","volume-title":"Testing for Serial Correlation in the Presence of Heteroskedasticity","author":"Diebold Francis X.","year":"1986"},{"key":"e_1_2_1_14_1","volume-title":"The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model","author":"Diebold Francis X.","year":"1986"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(85)90018-2"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/294633"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/294743"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(82)90012-5"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2284369"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330751"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050209"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(87)90020-1"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(88)90025-6"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/296466"},{"key":"e_1_2_1_26_1","volume-title":"Empirical Regularities in the Deutschmark Futures Options","author":"Hsieh David A.","year":"1986"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(83)90172-6"},{"key":"e_1_2_1_28_1","volume-title":"Elements of Econometrics","author":"Kmenta Jan","year":"1986"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03865.x"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992578"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(82)90032-0"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1086\/294632"},{"key":"e_1_2_1_33_1","unstructured":"McCurdy Thomas H. andMorgan Ieuan G.(1986 ): July \u201cTests of the Martingale Hypothesis for Foreign Currency Futures with Time\u2010varying Volatility \u201d Discussion Paper 663 Queen' University."},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1983.tb00373.x"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1137\/1026034"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/1937906"},{"key":"e_1_2_1_38_1","doi-asserted-by":"crossref","unstructured":"Tucker Alan L. andPond Lallon.(1988 ): November \u201cThe Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes \u201d Review of Economics and Statistics 638\u2013647.","DOI":"10.2307\/1935827"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100606","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100606","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T22:17:41Z","timestamp":1695766661000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100606"}},"issued":{"date-parts":[[1990,12]]},"references-count":37,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1990,12]]}},"alternative-id":["10.1002\/fut.3990100606"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100606","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,12]]}},{"indexed":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T18:45:31Z","timestamp":1767033931906},"reference-count":6,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8212,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,3]]},"DOI":"10.1002\/fut.3990040107","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:21:23Z","timestamp":1183591283000},"page":"55-64","source":"Crossref","is-referenced-by-count":20,"title":["Conversion factor risk and hedging in the treasury\u2010bond futures market"],"prefix":"10.1002","volume":"4","author":[{"given":"Alex","family":"Kane","sequence":"first","affiliation":[]},{"given":"Alan J.","family":"Marcus","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Chicago Board of Trade (1981):An Introduction to Financial Futures."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03611.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb01101.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/295329"},{"key":"e_1_2_1_7_1","unstructured":"Yardeni E. E.(1981): \u201cManaging Interest Rate Risk with Bond Futures \u201d Center for the Study of Futures Markets (Columbia Business School) Working Paper #CSFM\u201010."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040107","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040107","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:50:27Z","timestamp":1697802627000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040107"}},"issued":{"date-parts":[[1984,3]]},"references-count":6,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1984,3]]}},"alternative-id":["10.1002\/fut.3990040107"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040107","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,3]]}},{"indexed":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T18:58:28Z","timestamp":1767034708898},"reference-count":19,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6476,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,12]]},"DOI":"10.1002\/fut.3990080604","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T10:48:26Z","timestamp":1183632506000},"page":"687-702","source":"Crossref","is-referenced-by-count":13,"title":["Hedger response to multiple grades of delivery on futures markets"],"prefix":"10.1002","volume":"8","author":[{"given":"Da\u2010Hsiang Donald","family":"Lien","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237741"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02126.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/296201"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030410"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90004-7"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.9783\/9781512802443"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/257937"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb03924.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050407"},{"key":"e_1_2_1_12_1","volume-title":"Speculation, Hedging and Commodity Price Forecasts","author":"Labys W. C.","year":"1970"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(86)90195-3"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526724"},{"key":"e_1_2_1_15_1","volume-title":"Treatment of Hedging in Commodity Market Regulation","author":"Paul A. B.","year":"1976"},{"key":"e_1_2_1_16_1","volume-title":"Futures Markets: Regulatory Issues","author":"Paul A. B.","year":"1985"},{"key":"e_1_2_1_17_1","unstructured":"Paul A. B. Kahl K. H. andTomek W. G.(1981):Performance of Futures Markets: The Case of Potatoes United States Department of Agriculture Economics and Statistics Service Technical Bulletin No. 1636."},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060310"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030209"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1246888"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080604","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080604","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T03:56:28Z","timestamp":1697860588000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080604"}},"issued":{"date-parts":[[1988,12]]},"references-count":19,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1988,12]]}},"alternative-id":["10.1002\/fut.3990080604"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080604","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,12]]}},{"indexed":{"date-parts":[[2026,1,2]],"date-time":"2026-01-02T17:21:29Z","timestamp":1767374489919,"version":"3.37.3"},"reference-count":46,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2022,9,28]],"date-time":"2022-09-28T00:00:00Z","timestamp":1664323200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,1]]},"abstract":"Abstract<\/jats:title>This paper empirically studies a model for pricing risky corporate bonds proposed by Baaquie\u2014based on the seminal Merton. The proposed model provides an exact solution for the price of a risky corporate bond with a finite maturity and explains the market price of corporate fixed coupon bonds as being the result of the market risk<\/jats:italic> that is carried by the bond. Baaquie's model is empirically tested using 42 fixed coupon bonds issued by 23 US corporations, between 2011 and 2017. It is found that the proposed model estimates most bond prices quite accurately. Market time<\/jats:italic> (similar to the concept of psychological time<\/jats:italic>), which is distinct from calendar time<\/jats:italic>, is quantified in the paper and is an exogenous behavioral parameter that plays a pivotal role in improving the accuracy of the pricing model for long\u2010maturity risky bonds.<\/jats:p>","DOI":"10.1002\/fut.22379","type":"journal-article","created":{"date-parts":[[2022,9,28]],"date-time":"2022-09-28T10:22:45Z","timestamp":1664360565000},"page":"90-121","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Pricing risky corporate bonds: An empirical study"],"prefix":"10.1002","volume":"43","author":[{"given":"Belal Ehsan","family":"Baaquie","sequence":"first","affiliation":[{"name":"Helixtap Technology Singapore Singapore"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9550-3350","authenticated-orcid":false,"given":"Muhammad Mahmudul","family":"Karim","sequence":"additional","affiliation":[{"name":"Southampton Business School The University of Southampton Nusajaya Johor Malaysia"}]}],"member":"311","published-online":{"date-parts":[[2022,9,28]]},"reference":[{"key":"e_1_2_20_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00199-005-0035-9"},{"key":"e_1_2_20_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.5.1355"},{"key":"e_1_2_20_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.37"},{"key":"e_1_2_20_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(95)00097-6"},{"key":"e_1_2_20_6_1","first-page":"2","article-title":"\u201cStiff\u201d field theory of interest rates and psychological future time","author":"Baaquie B.","year":"2004","journal-title":"Wilmott Magazine"},{"key":"e_1_2_20_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511617577"},{"key":"e_1_2_20_8_1","doi-asserted-by":"publisher","DOI":"10.1017\/9781108399685"},{"key":"e_1_2_20_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2019.123367"},{"key":"e_1_2_20_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2011.09.039"},{"key":"e_1_2_20_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2014.09.019"},{"key":"e_1_2_20_12_1","unstructured":"Baaquie B. E. &Karim M. M.(2021). Corporate bonds with fixed versus stochastic coupons: An empirical study. Submitted for Publication."},{"key":"e_1_2_20_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2016.11.080"},{"key":"e_1_2_20_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2228949"},{"volume-title":"Zero\u2010coupon yield curves estimated by central banks","year":"2005","author":"BIS M.","key":"e_1_2_20_15_1"},{"key":"e_1_2_20_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01891.x"},{"key":"e_1_2_20_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_20_18_1","doi-asserted-by":"publisher","DOI":"10.1037\/0278-7393.4.6.656"},{"key":"e_1_2_20_19_1","doi-asserted-by":"publisher","DOI":"10.3758\/BF03209393"},{"key":"e_1_2_20_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331175"},{"key":"e_1_2_20_21_1","doi-asserted-by":"publisher","DOI":"10.3758\/BF03205526"},{"key":"e_1_2_20_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_20_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00208"},{"key":"e_1_2_20_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg053"},{"key":"e_1_2_20_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.4.1057"},{"key":"e_1_2_20_26_1","unstructured":"Fisher M.(1996).Fitting and interpreting the us yield curve at the federal reserve board. InBIS yield curve meeting."},{"key":"e_1_2_20_27_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319130"},{"key":"e_1_2_20_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330330"},{"key":"e_1_2_20_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/322893"},{"key":"e_1_2_20_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/208823"},{"key":"e_1_2_20_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2007.06.029"},{"key":"e_1_2_20_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90017-4"},{"key":"e_1_2_20_33_1","doi-asserted-by":"publisher","DOI":"10.1177\/0961463X96005003007"},{"key":"e_1_2_20_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/ras011"},{"key":"e_1_2_20_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03649.x"},{"key":"e_1_2_20_36_1","unstructured":"Karim M. M.(2021). Estimating default probability and recovery rate of risky bond issuing firm. Submitted for Publication."},{"key":"e_1_2_20_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665932"},{"key":"e_1_2_20_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02452.x"},{"key":"e_1_2_20_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00051"},{"key":"e_1_2_20_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04812.x"},{"key":"e_1_2_20_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_20_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90020-4"},{"key":"e_1_2_20_43_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110112-120923"},{"key":"e_1_2_20_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb05061.x"},{"key":"e_1_2_20_45_1","doi-asserted-by":"publisher","DOI":"10.3758\/BF03209465"},{"issue":"8","key":"e_1_2_20_46_1","first-page":"578","article-title":"Experiencing time in daily life","volume":"25","author":"Zakay D.","year":"2012","journal-title":"Psychologist"},{"key":"e_1_2_20_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00168-0"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22379","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22379","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22379","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T09:07:55Z","timestamp":1692608875000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22379"}},"issued":{"date-parts":[[2022,9,28]]},"references-count":46,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2023,1]]}},"alternative-id":["10.1002\/fut.22379"],"URL":"https:\/\/doi.org\/10.1002\/fut.22379","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,9,28]]},"assertion":[{"value":"2022-08-02","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-09-10","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-09-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,18]],"date-time":"2026-01-18T12:08:24Z","timestamp":1768738104363,"version":"3.49.0"},"reference-count":59,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2011,1,13]],"date-time":"2011-01-13T00:00:00Z","timestamp":1294876800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,3]]},"abstract":"Abstract<\/jats:title>Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time\u2010varying spot\u2010futures linkages studied within a VECM\u2010DCC\u2010GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors' share in trading volume increases. We derive implications for the design of emerging futures markets. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:282\u2013306, 2011<\/jats:p>","DOI":"10.1002\/fut.20469","type":"journal-article","created":{"date-parts":[[2010,5,27]],"date-time":"2010-05-27T04:18:57Z","timestamp":1274933937000},"page":"282-306","source":"Crossref","is-referenced-by-count":104,"title":["Price discovery and investor structure in stock index futures"],"prefix":"10.1002","volume":"31","author":[{"given":"Martin T.","family":"Bohl","sequence":"first","affiliation":[]},{"given":"Christian A.","family":"Salm","sequence":"additional","affiliation":[]},{"given":"Michael","family":"Schuppli","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2011,1,13]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20369"},{"key":"e_1_2_7_3_1","unstructured":"Analizy Online 2008.Assets of investment funds in Poland."},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00502"},{"key":"e_1_2_7_5_1","unstructured":"Bank of Poland(2005).Financial Stability Report."},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn046"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm079"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.842"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/261849"},{"key":"e_1_2_7_10_1","unstructured":"Black F.(1976).Studies of stock price volatility changes. Proceedings of the Business and Economics Statistics Section American Statistical Association Washington DC."},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01324.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp028"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/338484"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(00)00062-5"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00063-0"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.657"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/422630"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00449"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20189"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00229-5"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20118"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb03695.x"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0473"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.07.001"},{"key":"e_1_2_7_30_1","doi-asserted-by":"crossref","unstructured":"Gaul J. &Theissen E.(2008).A partially linear approach to modelling the dynamics of spot and futures prices. CFS Working Paper Center for Financial Studies.","DOI":"10.2139\/ssrn.1101501"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355301556392"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00044-6"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00609.x"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn049"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199604)16:2<147::AID-FUT2>3.0.CO;2-K"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00435"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2003.07.004"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1080\/15427560701545598"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199602)16:1<55::AID-FUT3>3.0.CO;2-G"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05089.x"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199809)18:6<705::AID-FUT4>3.0.CO;2-R"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20225"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20355"},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00188"},{"key":"e_1_2_7_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00072"},{"key":"e_1_2_7_48_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v64.n2.10"},{"key":"e_1_2_7_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199805)18:3<297::AID-FUT4>3.0.CO;2-3"},{"key":"e_1_2_7_50_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140204"},{"key":"e_1_2_7_51_1","first-page":"277","article-title":"Predictable behavior, profits, and attention","volume":"78","author":"Seasholes M. S.","year":"2007","journal-title":"Journal of Empirical Finance"},{"key":"e_1_2_7_52_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg035"},{"key":"e_1_2_7_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20112"},{"key":"e_1_2_7_54_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1988.409144"},{"key":"e_1_2_7_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00005-1"},{"key":"e_1_2_7_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01616-8"},{"key":"e_1_2_7_57_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199912)19:8<911::AID-FUT4>3.0.CO;2-Q"},{"key":"e_1_2_7_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rfe.2008.09.002"},{"key":"e_1_2_7_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130702"},{"key":"e_1_2_7_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.05.001"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20469","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20469","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,8]],"date-time":"2023-10-08T18:58:49Z","timestamp":1696791529000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20469"}},"issued":{"date-parts":[[2011,1,13]]},"references-count":59,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2011,3]]}},"alternative-id":["10.1002\/fut.20469"],"URL":"https:\/\/doi.org\/10.1002\/fut.20469","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,1,13]]}},{"indexed":{"date-parts":[[2026,2,26]],"date-time":"2026-02-26T11:03:52Z","timestamp":1772103832119,"version":"3.50.1"},"reference-count":9,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T00:00:00Z","timestamp":1247529600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,9]]},"abstract":"Abstract<\/jats:title>We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier study, under 20 different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian third\u2010order moment\u2010matching tree with truncation, Richardson extrapolation, and smoothing, performs better than the trinomial trees. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:826\u2013839, 2009<\/jats:p>","DOI":"10.1002\/fut.20389","type":"journal-article","created":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T15:56:58Z","timestamp":1247587018000},"page":"826-839","source":"Crossref","is-referenced-by-count":21,"title":["Trinomial or binomial: Accelerating American put option price on trees"],"prefix":"10.1002","volume":"29","author":[{"given":"Jiun Hong","family":"Chan","sequence":"first","affiliation":[]},{"given":"Mark","family":"Joshi","sequence":"additional","affiliation":[]},{"given":"Robert","family":"Tang","sequence":"additional","affiliation":[]},{"given":"Chao","family":"Yang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,14]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2004.412363"},{"key":"e_1_2_1_3_1","first-page":"7","article-title":"Option valuation using a three\u2010jump process","volume":"3","author":"Boyle P.","year":"1986","journal-title":"International options Journal"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.4.1211"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331065"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Joshi M.(2007a). Achieving smooth convergence for the prices of European options in binomial trees. Quantitative Finance to appear.","DOI":"10.2139\/ssrn.976561"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Joshi M.(2007b). The convergence of binomial trees for pricing the American put. (working paper). Retrieved from:http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1030143.","DOI":"10.2139\/ssrn.1030143"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.37.12.1640"},{"key":"e_1_2_1_9_1","volume-title":"The Best of Wilmott","author":"Staunton M.","year":"2005"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130509"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20389","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20389","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T02:48:41Z","timestamp":1699930121000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20389"}},"issued":{"date-parts":[[2009,7,14]]},"references-count":9,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2009,9]]}},"alternative-id":["10.1002\/fut.20389"],"URL":"https:\/\/doi.org\/10.1002\/fut.20389","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,14]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T16:06:35Z","timestamp":1770480395450,"version":"3.49.0"},"reference-count":21,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4714,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,10]]},"DOI":"10.1002\/fut.3990130706","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:03:07Z","timestamp":1183683787000},"page":"781-797","source":"Crossref","is-referenced-by-count":3,"title":["An empirical examination of interest\u2010rate futures prices"],"prefix":"10.1002","volume":"13","author":[{"given":"Andrew H.","family":"Chen","sequence":"first","affiliation":[]},{"given":"Marcia Millon","family":"Cornett","sequence":"additional","affiliation":[]},{"given":"Prafulla G.","family":"Nabar","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Baily W. andChan K.(1991): \u201cEconomic Forces and Commodity Futures Prices: Further Evidence on Time Varying Risk Premia \u201d unpublished manuscript."},{"key":"e_1_2_1_3_1","unstructured":"Bessembinder Hendrick(1991): \u201cRisk Premia in Futures Markets: A Comprehensive Empirical Analysis \u201d working paper."},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Bodie Z. andRosansky V.(1980): \u201cRisk and Return in Commodity Futures \u201dFinancial Analysts Journal May\u2010June:27\u201339.","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Breeden D. T.(1980): \u201cConsumption Risk in Futures Markets \u201dJournal of Finance May:503\u2013520.","DOI":"10.1111\/j.1540-6261.1980.tb02182.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Chen A. H. andA. J.Boness (1975): \u201cEffects of Uncertain Inflation on the Investment and Financing Decisions of a Firm \u201dJournal of Finance May:469\u2013483.","DOI":"10.1111\/j.1540-6261.1975.tb01823.x"},{"key":"e_1_2_1_7_1","unstructured":"Chen A. H. Cornett M. M. andNabar P. G.(1991): \u201cArbitrage Pricing Theory and the Behavior of Futures Prices \u201d working paper."},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Chen N. F. Roll R. andRoss S. A.(1986): \u201cEconomic Forces and the Stock Market \u201dJournal of Business July:383\u2013403.","DOI":"10.1086\/296344"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Cornew R. W. Town D. E. andCrowson L. D.(1984): \u201cStable Distributions Futures Prices and the Measurement of Trading Performance \u201dThe Journal of Futures Markets Fall:531\u2013557.","DOI":"10.1002\/fut.3990040407"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Dusak K.(1973): \u201cFutures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums \u201dJournal of Political Economy December:1387\u20131406.","DOI":"10.1086\/260133"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Erhardt M. Jordan J. andWalkling R.(1987): \u201cAn Application of Arbitrage Pricing Theory to Futures Markets: Tests of Normal Backwardation \u201dThe Journal of Futures Markets Febmary:21\u201334.","DOI":"10.1002\/fut.3990070104"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Fama E. andFrench K.(1987): \u201cCommodity Futures Prices: Some Evidence On Forecast Power Premiums and the Theory of Storage \u201dJournal of Business Spring:55\u201374.","DOI":"10.1086\/296385"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Fama E. andSchwert G.(1977): \u201cAsset Returns and Inflation \u201dJournal of Financial Economics November:115\u2013146.","DOI":"10.1016\/0304-405X(77)90014-9"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Fortin M. andKhoury N. T.(1988): \u201cEffectiveness of Hedging Interest Rate Risks and Stock Market Risks with Financial Futures \u201dThe Journal of Futures Markets June:319\u2013334.","DOI":"10.1002\/fut.3990080306"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Friend I. Landskoner Y. andHsq E.(1976): \u201cThe Demand for Risky Assets Under Uncertain Inflation \u201dJournal of Finance December:1278\u20131297.","DOI":"10.1111\/j.1540-6261.1976.tb03214.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"Hudson M. A. Leuthold R. M. andSarassoro G. F.(1987): \u201cCommodity Futures Price Changes: Recent Evidence for Wheat Soybeans and Live Cattle \u201dThe Journal of Futures Markets June:287\u2013301.","DOI":"10.1002\/fut.3990070305"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Lintner J.(1965): \u201cSecurity Prices Risk and Maximum Gains from Diversification \u201dJournal of Finance December:587\u2013615.","DOI":"10.1111\/j.1540-6261.1965.tb02930.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Long J. B. Jr.(1974): \u201cStock Prices Inflation and the Term Structure of Interest Rates \u201dJournal of Financial Economics July:131\u2013170.","DOI":"10.1016\/0304-405X(74)90002-6"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Milonas N. T.(1986): \u201cPrice Variability and the Maturity Effect in Futures Markets \u201dThe Journal of Futures Markets Fall:443\u2013460.","DOI":"10.1002\/fut.3990060309"},{"key":"e_1_2_1_20_1","volume-title":"Biometrika Tables for Statisticians","author":"Pearson E.","year":"1966"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Roll R.(1973): \u201cAssets Money and Commodity Price Inflation Under Uncertainty \u201dJournal of Money Credit and Banking November:903\u2013923.","DOI":"10.2307\/1991106"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Sharpe W.(1964): \u201cCapital Asset Prices: A Theory of Market Equilibrium Under Conditionsof Risk \u201dJournal of Finance September:425\u2013442.","DOI":"10.1111\/j.1540-6261.1964.tb02865.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130706","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130706","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T18:32:05Z","timestamp":1698172325000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130706"}},"issued":{"date-parts":[[1993,10]]},"references-count":21,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1993,10]]}},"alternative-id":["10.1002\/fut.3990130706"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130706","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,10]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T22:20:03Z","timestamp":1770502803433,"version":"3.49.0"},"reference-count":27,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5997,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,4]]},"DOI":"10.1002\/(sici)1096-9934(199904)19:2<217::aid-fut5>3.0.co;2-8","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T22:41:36Z","timestamp":1031697696000},"page":"217-232","source":"Crossref","is-referenced-by-count":47,"title":["A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea"],"prefix":"10.1002","volume":"19","author":[{"given":"Jae H.","family":"Min","sequence":"first","affiliation":[]},{"given":"Mohammad","family":"Najand","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB1","doi-asserted-by":"crossref","first-page":"457","DOI":"10.1002\/fut.3990150405","volume":"15","author":"Abhyankar","year":"1995","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB2","doi-asserted-by":"crossref","first-page":"915","DOI":"10.1002\/fut.3990140805","volume":"14","author":"Arshanapalli","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB3","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1016\/0304-405X(76)90024-6","volume":"3","author":"Black","year":"1976","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB4","first-page":"43","volume":"43","author":"Booth","year":"1997","journal-title":"Management Science"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB5","doi-asserted-by":"crossref","first-page":"833","DOI":"10.1002\/fut.3990150706","volume":"15","author":"B\u00fchler","year":"1995","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB6","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB7","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1093\/rfs\/4.4.657","volume":"4","author":"Chan","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB8","doi-asserted-by":"crossref","first-page":"663","DOI":"10.1016\/0378-4266(93)90006-Y","volume":"17","author":"Chan","year":"1993","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB9","doi-asserted-by":"crossref","first-page":"173","DOI":"10.1016\/0378-4266(94)00128-P","volume":"19","author":"Chan","year":"1995","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB10","first-page":"33","volume":"72","author":"Cheung","year":"1990","journal-title":"Review of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB11","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/0304-4076(94)01714-X","volume":"72","author":"Cheung","year":"1996","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB12","doi-asserted-by":"crossref","first-page":"1079","DOI":"10.1080\/01621459.1987.10478543","volume":"82","author":"Davidian","year":"1987","journal-title":"Journal of American Statistical Association"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB13","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB14","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","volume":"39","author":"Figlewski","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB15A","volume-title":"The information role of prices","author":"Grossman","year":"1989","unstructured":"(1989). The information role of prices, Cambridge: The MIT Press."},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB15B","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1002\/fut.3990070403","volume":"7","author":"Herbst","year":"1987","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB16","doi-asserted-by":"crossref","first-page":"166","DOI":"10.1006\/jfin.1994.1002","volume":"3","author":"Gr\u00fcnbichler","year":"1994","journal-title":"Journal of Financial Intermediation"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB17","doi-asserted-by":"crossref","first-page":"147","DOI":"10.1002\/(SICI)1096-9934(199604)16:2<147::AID-FUT2>3.0.CO;2-K","volume":"16","author":"Iihara","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB18","doi-asserted-by":"crossref","first-page":"109","DOI":"10.2307\/2330874","volume":"22","author":"Karpoff","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB19","doi-asserted-by":"crossref","first-page":"1309","DOI":"10.1111\/j.1540-6261.1987.tb04368.x","volume":"42","author":"Kawaller","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB20","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1016\/0378-4266(90)90055-7","volume":"14","author":"Kawaller","year":"1990","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB21","doi-asserted-by":"crossref","first-page":"49","DOI":"10.1111\/j.1540-6261.1994.tb05149.x","volume":"49","author":"Miller","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB22","doi-asserted-by":"crossref","first-page":"44","DOI":"10.1111\/j.1540-6261.1989.tb02647.x","volume":"44","author":"Schwert","year":"1989","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB23","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1093\/rfs\/3.1.77","volume":"3","author":"Schwert","year":"1990","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB24","doi-asserted-by":"crossref","first-page":"405","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M","volume":"16","author":"Shyy","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB25","doi-asserted-by":"crossref","first-page":"441","DOI":"10.2307\/2331010","volume":"25","author":"Stoll","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8-BIB26","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1093\/rfs\/3.1.37","volume":"3","author":"Stoll","year":"1990","journal-title":"Review of Financial Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199904)19:2%3C217::AID-FUT5%3E3.0.CO;2-8","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199904)19:2%3C217::AID-FUT5%3E3.0.CO;2-8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:50:38Z","timestamp":1625133038000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8"}},"issued":{"date-parts":[[1999,4]]},"references-count":27,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1999,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199904)19:2<217::aid-fut5>3.0.co;2-8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,4]]}},{"indexed":{"date-parts":[[2026,2,8]],"date-time":"2026-02-08T08:08:16Z","timestamp":1770538096932,"version":"3.49.0"},"reference-count":46,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2020,6,19]],"date-time":"2020-06-19T00:00:00Z","timestamp":1592524800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,10]]},"abstract":"Abstract<\/jats:title>This paper studies a large number of bitcoin (BTC) options traded on the options exchange Deribit. We use the trades to calculate implied volatility (IV) and analyze if volatility forecasts can be improved using such information. IV is less accurate than AutoRegressive\u2013Moving\u2010Average or Heterogeneous Auto\u2010Regressive model forecasts in predicting short\u2010term BTC volatility (1\u2009day ahead), but superior in predicting long\u2010term volatility (7, 10, 15 days ahead). Furthermore, a combination of IV and model\u2010based forecasts provides the highest accuracy for all forecasting horizons revealing that the BTC options market contains unique information.<\/jats:p>","DOI":"10.1002\/fut.22144","type":"journal-article","created":{"date-parts":[[2020,6,19]],"date-time":"2020-06-19T12:29:48Z","timestamp":1592569788000},"page":"1584-1602","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":32,"title":["Forecasting bitcoin volatility: Evidence from the options market"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4147-4611","authenticated-orcid":false,"given":"Lai T.","family":"Hoang","sequence":"first","affiliation":[{"name":"UWA Business School The University of Western Australia Crawley Western Australia Australia"},{"name":"National Economics University Hanoi Vietnam"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0185-0424","authenticated-orcid":false,"given":"Dirk G.","family":"Baur","sequence":"additional","affiliation":[{"name":"UWA Business School The University of Western Australia Crawley Western Australia Australia"}]}],"member":"311","published-online":{"date-parts":[[2020,6,19]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22050"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00572.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2018.08.009"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1057\/jors.1969.103"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.10.008"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22004"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101431"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2017.12.004"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.10.007"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.11.001"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.09.003"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90073-Z"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.08.028"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.10.008"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90029-8"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10034"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2622"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20405"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.05.026"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2004.00119.x"},{"key":"e_1_2_8_27_1","unstructured":"Hoang L. Baur D. (2020). Deribit's Options Data; The University of Western Australia;https:\/\/doi.org\/10.26182\/5eabbcb4fbf28"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04793.x"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21783"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2017.06.023"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2019.05.003"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12406"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.07.010"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.659"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.02.161"},{"key":"e_1_2_8_36_1","first-page":"1","article-title":"Is implied volatility more informative for forecasting realized volatility: An international perspective","author":"Liang C.","year":"2020","journal-title":"Journal of Forecasting"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20126"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbx009"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2003.10.015"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_8_43_1","article-title":"Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks","author":"Shen D.","year":"2019","journal-title":"European Financial Management"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2017.12.006"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2016.09.019"},{"key":"e_1_2_8_46_1","doi-asserted-by":"crossref","unstructured":"Yermack D.(2013).Is bitcoin a real currency? An economic appraisal(NBER Working Papers 19747).","DOI":"10.3386\/w19747"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.08.012"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22144","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22144","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22144","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22144","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T14:23:37Z","timestamp":1693923817000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22144"}},"issued":{"date-parts":[[2020,6,19]]},"references-count":46,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2020,10]]}},"alternative-id":["10.1002\/fut.22144"],"URL":"https:\/\/doi.org\/10.1002\/fut.22144","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,6,19]]},"assertion":[{"value":"2020-03-16","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-05-18","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-06-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T14:47:27Z","timestamp":1773326847427,"version":"3.50.1"},"reference-count":30,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2011,3,7]],"date-time":"2011-03-07T00:00:00Z","timestamp":1299456000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,3]]},"abstract":"This study investigates the hedging effectiveness of a dynamic moving\u2010window OLS hedging model, formed using wavelet decomposed time\u2010series. The wavelet transform is applied to calculate the appropriate dynamic minimum\u2010variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both in\u2010 and out\u2010of\u2010sample, using standard variance reduction and expanded to include a downside risk metric, the scale\u2010dependent Value\u2010at\u2010Risk. Measured using variance reduction, the effectiveness converges to one at longer scales, while a measure of VaR reduction indicates a portion of residual risk remains at all scales. Analysis of the hedge portfolio distributions indicate that this unhedged tail risk is related to excess portfolio kurtosis found at all scales.<\/jats:p>","DOI":"10.1002\/fut.20519","type":"journal-article","created":{"date-parts":[[2011,3,7]],"date-time":"2011-03-07T14:42:09Z","timestamp":1299508929000},"page":"272-299","source":"Crossref","is-referenced-by-count":50,"title":["An empirical analysis of dynamic multiscale hedging using wavelet decomposition"],"prefix":"10.1002","volume":"32","author":[{"given":"Thomas","family":"Conlon","sequence":"first","affiliation":[]},{"given":"John","family":"Cotter","sequence":"additional","affiliation":[{"name":"University College Dublin Blackrock, Co. Dublin Ireland"}]}],"member":"311","published-online":{"date-parts":[[2011,3,7]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120205"},{"key":"e_1_2_6_3_1","volume-title":"Introduction to wavelets and wavelet transforms","author":"Burrus C. S.","year":"1997"},{"issue":"8","key":"e_1_2_6_4_1","doi-asserted-by":"crossref","first-page":"780","DOI":"10.1002\/fut.20440","article-title":"Hedging and value at risk: A semi\u2010parametric approach","volume":"30","author":"Cao Z.","year":"2009","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(02)00191-6"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10121"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00020-2"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2008.05.046"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20212"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2009.204"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20294"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680600989576"},{"key":"e_1_2_6_14_1","volume-title":"An introduction to wavelets and other filtering methods in finance and economics","author":"Gencay R.","year":"2001"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(00)00463-5"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/3\/2\/305"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150502"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10085"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20195"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2005.09.002"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/499138"},{"key":"e_1_2_6_23_1","volume-title":"Value at risk","author":"Jorion P.","year":"2006"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2004.04.008"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_6_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20248"},{"key":"e_1_2_6_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110303"},{"key":"e_1_2_6_28_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511841040"},{"key":"e_1_2_6_29_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1365100598006038"},{"key":"e_1_2_6_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(96)00013-8"},{"key":"e_1_2_6_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2009.02.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20519","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20519","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,4,5]],"date-time":"2024-04-05T00:25:58Z","timestamp":1712276758000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20519"}},"issued":{"date-parts":[[2011,3,7]]},"references-count":30,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2012,3]]}},"alternative-id":["10.1002\/fut.20519"],"URL":"https:\/\/doi.org\/10.1002\/fut.20519","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,3,7]]}},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T00:08:32Z","timestamp":1773187712720,"version":"3.50.1"},"reference-count":74,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2024,2,1]],"date-time":"2024-02-01T00:00:00Z","timestamp":1706745600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,4]]},"abstract":"Abstract<\/jats:title>This study examines the Bitcoin price by taking into account global factors, including the Chicago Board Options Exchange's Market Volatility Index (VIX), the US dollar index, the gold price, the oil price, and Bitcoin price volatility. The analysis is conducted using the structural vector autoregression (SVAR) model. The variance decomposition findings revealed that the influence of the VIX on the Bitcoin price was initially restricted, but progressively intensified over time. Among the indicators, Bitcoin price volatility had the highest explanatory share in both daily and weekly data analysis. The impulse response functions demonstrated a statistically significant inverse relationship between the VIX and the Bitcoin price. Furthermore, the analysis revealed that the Bitcoin price was mostly impacted by its own volatility. This implies that investing in Bitcoin requires a certain level of risk\u2010taking.<\/jats:p>","DOI":"10.1002\/fut.22487","type":"journal-article","created":{"date-parts":[[2024,2,1]],"date-time":"2024-02-01T09:33:51Z","timestamp":1706780031000},"page":"673-695","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":20,"title":["The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4127-357X","authenticated-orcid":false,"given":"Nezir","family":"K\u00f6se","sequence":"first","affiliation":[{"name":"Department of Economics Beykent University Sar\u0131yer Istanbul T\u00fcrkiye"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3271-2841","authenticated-orcid":false,"given":"Hakan","family":"Yildirim","sequence":"additional","affiliation":[{"name":"Department of Logistic Management Istanbul Gelisim University Avc\u0131lar Istanbul T\u00fcrkiye"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9572-8923","authenticated-orcid":false,"given":"Emre","family":"\u00dcnal","sequence":"additional","affiliation":[{"name":"Urban Institute and Department of Civil Engineering Kyushu University Fukuoka Japan"},{"name":"Department of Economics Firat University Merkez Elazig T\u00fcrkiye"}]},{"given":"Boqiang","family":"Lin","sequence":"additional","affiliation":[{"name":"School of Management China Institute for Studies in Energy Policy, Xiamen University Xiamen Fujian China"}]}],"member":"311","published-online":{"date-parts":[[2024,2]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.03.019"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2014.916379"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mlwa.2022.100355"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2018.09.002"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101431"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2231(86)90037-0"},{"key":"e_1_2_11_8_1","first-page":"123","volume-title":"The American business cycle","author":"Blanchard O. J.","year":"1986"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2021.109848"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2018.03.008"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2017.02.009"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2020.03.004"},{"key":"e_1_2_11_13_1","unstructured":"Burgstaller J.(2002).Are stock returns a leading indicator for real macroeconomic developments? [Working Paper No. 0207]. Johannes Kepler University of Linz Department of Economics."},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2021.101390"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.05.016"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2015.02.029"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.09.008"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2020.1787150"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10614-020-10057-7"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.09.003"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.01.004"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.101335"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2021.101472"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101816"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101798"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.10.008"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22101"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101566"},{"issue":"2019","key":"e_1_2_11_29_1","first-page":"179","article-title":"Cryptocurrencies as financial bubbles: The case of Bitcoin","volume":"31","author":"Geuder J.","year":"2019","journal-title":"Finance Research Letters"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101773"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.procs.2019.12.177"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2019.10.003"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.01.006"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.07.023"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2020.100628"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101666"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2019.121121"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2019.108777"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.4337\/9780857931023.00031"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2019.04.145"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2021.120392"},{"issue":"2","key":"e_1_2_11_42_1","first-page":"189","article-title":"The asymmetric effects of the interest rate on the Bitcoin price","volume":"73","author":"K\u00f6se N.","year":"2023","journal-title":"Finance a \u00fav\u011br\u2010Czech Journal of Economics and Finance"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1515\/snde-2022-0054"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2020.101202"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2020.103980"},{"key":"e_1_2_11_46_1","volume-title":"Unit roots, cointegration, and structural change","author":"Maddala G. S.","year":"1998"},{"key":"e_1_2_11_47_1","first-page":"1","volume-title":"Can Bitcoin glitter more than gold for investment styles?","author":"Naeem M. A.","year":"2020"},{"key":"e_1_2_11_48_1","unstructured":"Nakamoto S.(2008).Bitcoin: A peer\u2010to\u2010peer electronic cash system.https:\/\/bitcoin.org\/bitcoin.pdf"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101674"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2021.06.004"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101737"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101462"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1108\/JEIM-10-2018-0228"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/twec.13138"},{"key":"e_1_2_11_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102163"},{"key":"e_1_2_11_56_1","first-page":"2","article-title":"Are forecasting models usable for policy analysis?","volume":"10","author":"Sims C. A.","year":"1986","journal-title":"Minneapolis Federal Reserve Bank Quarterly Review"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.15.4.101"},{"key":"e_1_2_11_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2020.120178"},{"issue":"1","key":"e_1_2_11_59_1","first-page":"420","article-title":"Is the status of gold threatened by Bitcoin?","volume":"33","author":"Su C.","year":"2020","journal-title":"Economic Research"},{"key":"e_1_2_11_60_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-8454.12178"},{"key":"e_1_2_11_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2021.120680"},{"key":"e_1_2_11_62_1","doi-asserted-by":"publisher","DOI":"10.1080\/15567249.2023.2266692"},{"key":"e_1_2_11_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.02.009"},{"key":"e_1_2_11_64_1","doi-asserted-by":"publisher","DOI":"10.1080\/08874417.2020.1865851"},{"key":"e_1_2_11_65_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2930"},{"key":"e_1_2_11_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2021.101479"},{"key":"e_1_2_11_67_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2000.319728"},{"key":"e_1_2_11_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2019.119877"},{"key":"e_1_2_11_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102175"},{"key":"e_1_2_11_70_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-020-00213-1"},{"key":"e_1_2_11_71_1","doi-asserted-by":"publisher","DOI":"10.1080\/1331677X.2021.1927787"},{"key":"e_1_2_11_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2019.03.072"},{"key":"e_1_2_11_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2020.05.003"},{"key":"e_1_2_11_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2020.10.007"},{"key":"e_1_2_11_75_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-017-0054-0"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22487","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,4,22]],"date-time":"2024-04-22T06:51:49Z","timestamp":1713768709000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22487"}},"issued":{"date-parts":[[2024,2]]},"references-count":74,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2024,4]]}},"alternative-id":["10.1002\/fut.22487"],"URL":"https:\/\/doi.org\/10.1002\/fut.22487","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,2]]},"assertion":[{"value":"2023-08-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-01-14","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-02-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T02:38:47Z","timestamp":1774319927453,"version":"3.50.1"},"reference-count":24,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2009,3,3]],"date-time":"2009-03-03T00:00:00Z","timestamp":1236038400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,5]]},"abstract":"Abstract<\/jats:title>This study examines the intraday trading activities of index stocks on the common expiration day of index derivatives. In Hong Kong, index futures and index options use an Asian\u2010style settlement procedure. All contracts are settled against the estimated average settlement price, an arithmetic average of the underlying cash index taken every five minutes on the expiration day. Trading volume and total trade count on the expiration day are both found to be higher than normal. Most important, trading intensifies in terms of volume and frequency close to the five\u2010minute time marks. The study does not find significant price reversal and price compression patterns. Although significant order imbalance pattern is found on some expiration days, the results show no association between order imbalance pattern and the next\u2010day return. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 28:430\u2013450, 2009<\/jats:p>","DOI":"10.1002\/fut.20364","type":"journal-article","created":{"date-parts":[[2009,3,3]],"date-time":"2009-03-03T16:06:42Z","timestamp":1236096402000},"page":"430-450","source":"Crossref","is-referenced-by-count":10,"title":["Expiration\u2010day effects\u2014An Asian twist"],"prefix":"10.1002","volume":"29","author":[{"given":"Joseph K. W.","family":"Fung","sequence":"first","affiliation":[]},{"given":"Haynes H. M.","family":"Yung","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,3,3]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","first-page":"827","DOI":"10.1111\/j.1540-6261.1989.tb02626.x","article-title":"Order imbalances and stock price movements on October 19 and 20, 1987","author":"Blume M. E.","year":"1989","journal-title":"Journal of Finance"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(99)00022-0"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/296491"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n5.67"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10054"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10107"},{"key":"e_1_2_1_8_1","unstructured":"Fung J. K. W. &Fung A. K. W.(1997a).A study of a put\u2013call\u2010parity relationship of an exchange\u2010traded Asian index options contracts: A note (working paper). Hong Kong Baptist University."},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Fung J. K. W. &Fung A. K. W.(1997b).A study of the futures\u2013spot relationship of an exchange\u2010traded Asian index futures contracts: A note (working paper). Hong Kong Baptist University.","DOI":"10.3905\/jod.1997.407990"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v49.n3.66"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100309"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1996.407969"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2004.06.002"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100410001673612"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1992.tb00628.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.1996.tb00029.x"},{"key":"e_1_2_1_19_1","unstructured":"Stoll H. R. &Whaley R. E.(1986).Expiration day effects of index options and futures. Monograph series in finance and economics. Salomon Brothers Center for the Study of Financial Institutions Graduate School of Business Administration New York University (1987). Monograph 1986\u201031."},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v47.n1.58"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1177\/031289629702200202"},{"key":"e_1_2_1_23_1","first-page":"177","article-title":"Option expiration day effects in small markets: Evidence from the Oslo Stock Exchange","volume":"3","author":"Swidler S.","year":"1994","journal-title":"Journal of Financial Engineering"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00323-0"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20178"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20364","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20364","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T17:53:00Z","timestamp":1699897980000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20364"}},"issued":{"date-parts":[[2009,3,3]]},"references-count":24,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2009,5]]}},"alternative-id":["10.1002\/fut.20364"],"URL":"https:\/\/doi.org\/10.1002\/fut.20364","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,3,3]]}},{"indexed":{"date-parts":[[2026,3,23]],"date-time":"2026-03-23T11:45:14Z","timestamp":1774266314812,"version":"3.50.1"},"reference-count":36,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4167,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,4]]},"DOI":"10.1002\/fut.3990150205","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T05:08:39Z","timestamp":1183698519000},"page":"167-186","source":"Crossref","is-referenced-by-count":34,"title":["The effectiveness of arbitrage and speculation in the crude oil futures market"],"prefix":"10.1002","volume":"15","author":[{"given":"Imad A.","family":"Moosa","sequence":"first","affiliation":[]},{"given":"Nabeel E.","family":"Al\u2010Loughani","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1986.mp48003005.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Bopp A. E. andLady G. M.(1991): \u201cA Comparison of Petroleum Futures versus Spot Prices as Predictors of Prices in the Future \u201dEnergy Economics October 274\u2013282.","DOI":"10.1016\/0140-9883(91)90007-M"},{"key":"e_1_2_1_4_1","first-page":"50","article-title":"The Theory of Storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0164-0704(81)90020-3"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_1_7_1","volume-title":"The New Palgrave Dictionary of Money and Finance","author":"Dybvic P. H.","year":"1992"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/134043"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/133775"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935792"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/3867065"},{"key":"e_1_2_1_17_1","volume-title":"Long\u2010Run Economic Relationships: Readings in Cointegration","author":"MacKinnon J. G.","year":"1991"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1928810"},{"key":"e_1_2_1_19_1","unstructured":"Moore M. J. andCullen U.(1993): \u201cSpeculative Efficiency on the London Metal Exchange \u201dPaper Presented at the Annual Conference of the Money Macroeconomics and Finance Research Group St. Andrews September."},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0140-9883(94)90003-5"},{"key":"e_1_2_1_21_1","unstructured":"Moosa I. A. andBhatti R. H.(1994): \u201cTesting the Effectiveness of Arbitrage and Speculation Under Flexible Exchange Rates \u201dEconomia Internazionale(forthcoming)."},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Nainar S. M. K.(1993): \u201cMarket Information and price Volatility in Petroleum Derivatives Spot and Futures Markets \u201dEnergy Economics January 17\u201324.","DOI":"10.1016\/0140-9883(93)90038-S"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938339"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120203"},{"key":"e_1_2_1_25_1","doi-asserted-by":"crossref","unstructured":"Serletis A.(1991): \u201cRational Expectations Risk and Efficiency in Energy Futures Markets \u201dEnergy Economics April 111\u2013115.","DOI":"10.1016\/0140-9883(91)90042-X"},{"key":"e_1_2_1_26_1","unstructured":"Serletis A. andBanack D.(1990) Market Efficiency and Cointegration: An Application to Petroleum Markets Review of Futures Markets 372\u2013385."},{"key":"e_1_2_1_27_1","first-page":"233","article-title":"The Simultaneous Determination of Spot and Futures Prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911260"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951763"},{"key":"e_1_2_1_30_1","unstructured":"Stokes H. H. andNeuburger H.(1979): \u201cInterest Arbitrage Forward Speculation and the Determination of the Forward Exchange Rate \u201dColumbia Journal of World Business Winter 86\u201398."},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/133461"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_33_1","volume-title":"The New Palgrave Dictionary of Money and Finance","author":"Tirole J.","year":"1992"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/3866124"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/1056299"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913104"},{"key":"e_1_2_1_37_1","first-page":"314","article-title":"Futures Trading and Hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150205","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150205","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T00:57:53Z","timestamp":1698281873000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150205"}},"issued":{"date-parts":[[1995,4]]},"references-count":36,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1995,4]]}},"alternative-id":["10.1002\/fut.3990150205"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150205","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,4]]}},{"indexed":{"date-parts":[[2026,3,8]],"date-time":"2026-03-08T23:06:36Z","timestamp":1773011196559,"version":"3.50.1"},"reference-count":30,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2008,12,8]],"date-time":"2008-12-08T00:00:00Z","timestamp":1228694400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,2]]},"abstract":"Abstract<\/jats:title>Although it is well known that electronic futures data absorb news (slightly) in advance of spot markets the role of the electronic futures movement in out\u2010of\u2010hours trading has not previously been explored. The behavior of the 24\u2010hour trade in the S&P 500 and NASDAQ 100 futures market reveals the important role of these markets in absorbing news releases occurring outside of normal trading hours. Peaks in volume and volatility in this market occur in conjunction with U.S. 8:30 A.M. EST news releases, before the opening of the open\u2010outcry markets, and in a less pronounced fashion immediately post\u2010close the open\u2010outcry market. Price impact in these markets is statistically higher in the post\u2010close than in the pre\u2010open periods. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:114\u2013136, 2009<\/jats:p>","DOI":"10.1002\/fut.20354","type":"journal-article","created":{"date-parts":[[2008,12,9]],"date-time":"2008-12-09T22:33:25Z","timestamp":1228862005000},"page":"114-136","source":"Crossref","is-referenced-by-count":15,"title":["After\u2010hours trading in equity futures markets"],"prefix":"10.1002","volume":"29","author":[{"given":"Mardi","family":"Dungey","sequence":"first","affiliation":[]},{"given":"Luba","family":"Fakhrutdinova","sequence":"additional","affiliation":[]},{"given":"Charles","family":"Goodhart","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,12,8]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2007.02.004"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg030"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00646.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002763"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00079-I"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Benos E. &Jochec M.(2007).Testing the PIN variable. University of Illinois manuscript. Available at SSRN abstract\u2010933211.","DOI":"10.2139\/ssrn.933211"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(92)90045-G"},{"key":"e_1_2_1_9_1","unstructured":"Chicago Mercantile Exchange(2005). CME Equity Index Futures and Options: Information Guide. CME. Available athttp:\/\/www.cme.com."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb05038.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(99)00014-6"},{"key":"e_1_2_1_12_1","first-page":"680","article-title":"Security price response to quarterly earnings announcements and analysts'forecast revisions","volume":"64","author":"Cornell B.","year":"1989","journal-title":"Accounting Review"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00297"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00005-4"},{"key":"e_1_2_1_15_1","first-page":"241","article-title":"Price, trade size, and information in securities markets","volume":"24","author":"Easley D.","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676254"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938189"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330774"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676255"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00172"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03749.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00609.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003082"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.1.61"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003112"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_1_28_1","unstructured":"Madhavan A. Ming K. Straser V. &Wang Y.(2002). How effective are effective spreads? An evaluation of trade side classification algorithms manuscript Investment Technology Group New York downloadable fromhttp:\/\/www.itg.com\/news_events\/research_papers.php."},{"key":"e_1_2_1_29_1","unstructured":"Payne R.(1996).Announcement effects and seasonality in the intra\u2010day foreign exchange market. FMG Discussion Paper 238 Financial Markets Group."},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02251.x"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-4431(00)00048-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20354","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20354","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:31:23Z","timestamp":1700058683000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20354"}},"issued":{"date-parts":[[2008,12,8]]},"references-count":30,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2009,2]]}},"alternative-id":["10.1002\/fut.20354"],"URL":"https:\/\/doi.org\/10.1002\/fut.20354","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,12,8]]}},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T13:42:56Z","timestamp":1772804576272,"version":"3.50.1"},"reference-count":89,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2010,12,28]],"date-time":"2010-12-28T00:00:00Z","timestamp":1293494400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,11]]},"abstract":"Abstract<\/jats:title>This study employs daily data for 14 commodities and three financial assets 1990\u20132009 to explore the impact of the time series properties of the futures\u2010spot basis and the cost of carry on forward market unbiasedness. The main result is that the basis of 16 assets exhibits both long memory and structural breaks. The long memory in the basis is robust even to the use of break\u2010adjusted data. It implies that the cost\u2010of\u2010carry has long memory which the empirical results confirm using the interest cost as a proxy. These new findings suggest that the forecast error has long memory and are inconsistent with unbiasedness. They could be consistent with a weaker version of market efficiency in the presence of a fractionally integrated, time\u2010varying risk premium but they could also be rationalized by priced noise trader risk with limits to arbitrage in less than fully efficient markets. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20502","type":"journal-article","created":{"date-parts":[[2010,12,28]],"date-time":"2010-12-28T14:49:28Z","timestamp":1293547768000},"page":"1076-1113","source":"Crossref","is-referenced-by-count":26,"title":["Long memory and structural breaks in commodity futures markets"],"prefix":"10.1002","volume":"31","author":[{"given":"Jerry","family":"Coakley","sequence":"first","affiliation":[]},{"given":"Jian","family":"Dollery","sequence":"additional","affiliation":[]},{"given":"Neil","family":"Kellard","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,12,28]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0148-6195(98)00031-9"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1993.tb00141.x"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(91)90013-A"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.659"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.00102"},{"key":"e_1_2_7_8_1","volume-title":"Econometric Essays","author":"Bai J.","year":"2004"},{"key":"e_1_2_7_9_1","unstructured":"Baillie R. &Kapetanios G.(2008).Semi parametric estimation of long memory: The Holy Grail or a poisoned chalice? Working paper"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_7_11_1","volume-title":"A high frequency perspective on the forward premium anomaly","author":"Baillie R.","year":"2002"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20267"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.09.001"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1999.tb00446.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036849400000006"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1214\/009053606000000254"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10260-008-0112-x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331251"},{"key":"e_1_2_7_19_1","doi-asserted-by":"crossref","unstructured":"Chinn M. D. LeBlanc M. &Coibion O.(2005).The predictive content of energy futures: An update on petroleum natural gas heating oil and gasoline (NBER Working Paper No: W11033).","DOI":"10.3386\/w11033"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2007.01.002"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2009.12.001"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199812)18:8<871::AID-FUT1>3.0.CO;2-#"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-5957.00390"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110506"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(94)00012-6"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05211.x"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200007)20:6<525::AID-FUT2>3.0.CO;2-T"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100500077193"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1007\/3-540-28556-3_8"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00073-2"},{"key":"e_1_2_7_31_1","volume-title":"Object\u2010orientated matrix programming using Ox","author":"Doornik J.","year":"1999"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20260"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.013"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1983.tb00371.x"},{"key":"e_1_2_7_36_1","unstructured":"Granger C. W. J.(1999).Aspect of research strategies for time series analysis. Presentation at the conference on New Developments in Time Series Economics New Haven."},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.03.001"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1980.tb00297.x"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2006.00167.x"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.001"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01205358"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/68.1.165"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1520-6297(199607\/08)12:4<363::AID-AGR6>3.0.CO;2-X"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1061\/TACEAT.0006518"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2005.05.002"},{"key":"e_1_2_7_46_1","first-page":"329","volume-title":"Frontiers of Economics and Globlization","author":"Hyung N.","year":"2008"},{"key":"e_1_2_7_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-629x.2004.00101.x"},{"key":"e_1_2_7_48_1","doi-asserted-by":"publisher","DOI":"10.1080\/096031099332564"},{"key":"e_1_2_7_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_7_50_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_7_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1477-9552.2002.tb00035.x"},{"key":"e_1_2_7_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2007.10.002"},{"key":"e_1_2_7_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F"},{"key":"e_1_2_7_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.09.017"},{"key":"e_1_2_7_55_1","first-page":"261","article-title":"Testing efficiency of the copper futures market: New evidence from London metal exchange","author":"Kenourgios D. F.","year":"2004","journal-title":"Global Business Economics Review, Anthology"},{"key":"e_1_2_7_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130704"},{"key":"e_1_2_7_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.09.011"},{"key":"e_1_2_7_58_1","volume-title":"Day trading the currency market: Technical and fundamental strategies to profit from market swings","author":"Lien K.","year":"2006"},{"key":"e_1_2_7_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U"},{"key":"e_1_2_7_60_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938368"},{"key":"e_1_2_7_61_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8586.1988.tb00268.x"},{"key":"e_1_2_7_62_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.624"},{"key":"e_1_2_7_63_1","doi-asserted-by":"crossref","unstructured":"Mayoral L.(2010).Testing for fractional integration versus short memory with trends and structural breaks. The Oxford Bulletin of Economics and Statistics (forthcoming).","DOI":"10.1111\/j.1468-0084.2011.00645.x"},{"key":"e_1_2_7_64_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840110102761"},{"key":"e_1_2_7_65_1","doi-asserted-by":"publisher","DOI":"10.1002\/jid.1158"},{"key":"e_1_2_7_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.03.002"},{"key":"e_1_2_7_67_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500107000000340"},{"key":"e_1_2_7_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2005.11.001"},{"key":"e_1_2_7_69_1","doi-asserted-by":"publisher","DOI":"10.1080\/096031098333014"},{"key":"e_1_2_7_70_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176324636"},{"key":"e_1_2_7_71_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176324317"},{"key":"e_1_2_7_72_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466699153027"},{"key":"e_1_2_7_73_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1574-0862.1997.tb00452.x"},{"key":"e_1_2_7_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(90)90085-F"},{"key":"e_1_2_7_75_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036849108841022"},{"key":"e_1_2_7_76_1","unstructured":"Shimotsu K.(2006).Simple (but effective) tests of long memory versus structural breaks. Queen's Economics Department Working Paper No. 1101."},{"key":"e_1_2_7_77_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609100075"},{"key":"e_1_2_7_78_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924818"},{"key":"e_1_2_7_79_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02760564"},{"key":"e_1_2_7_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(92)90016-U"},{"key":"e_1_2_7_81_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20235"},{"key":"e_1_2_7_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00080-3"},{"key":"e_1_2_7_83_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00127"},{"key":"e_1_2_7_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00087-X"},{"key":"e_1_2_7_85_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8489.2005.00283.x"},{"key":"e_1_2_7_86_1","first-page":"50","article-title":"Long memory in emerging market stock returns","volume":"5","author":"Wright J. H.","year":"2001","journal-title":"Emerging Markets Quarterly"},{"key":"e_1_2_7_87_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200103)21:3<279::AID-FUT5>3.0.CO;2-L"},{"key":"e_1_2_7_88_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349596"},{"key":"e_1_2_7_89_1","doi-asserted-by":"publisher","DOI":"10.17713\/ajs.v36i4.338"},{"key":"e_1_2_7_90_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00031-0"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20502","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20502","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,9]],"date-time":"2023-10-09T18:38:42Z","timestamp":1696876722000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20502"}},"issued":{"date-parts":[[2010,12,28]]},"references-count":89,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2011,11]]}},"alternative-id":["10.1002\/fut.20502"],"URL":"https:\/\/doi.org\/10.1002\/fut.20502","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,12,28]]}},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T21:29:37Z","timestamp":1773091777530,"version":"3.50.1"},"reference-count":37,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2013,3,30]],"date-time":"2013-03-30T00:00:00Z","timestamp":1364601600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,7]]},"abstract":"Abstract<\/jats:title>This study examines the predictive content of futures prices for energy, agricultural, precious and base metal commodities. In particular, we examine whether futures prices are (1) unbiased and\/or (2) accurate predictors of subsequent prices. We document significant differences both across and within commodity groups. Precious and base metals fail most tests of unbiasedness and are poor predictors of subsequent price changes but energy and agricultural futures fare much better. We find little evidence that these differences reflect liquidity conditions across markets. In addition, we document a broad decline in the predictive content of commodity futures prices since the early 2000s. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:607\u2013636, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21615","type":"journal-article","created":{"date-parts":[[2013,3,30]],"date-time":"2013-03-30T22:12:36Z","timestamp":1364681556000},"page":"607-636","source":"Crossref","is-referenced-by-count":116,"title":["The Predictive Content of Commodity Futures"],"prefix":"10.1002","volume":"34","author":[{"given":"Menzie D.","family":"Chinn","sequence":"first","affiliation":[{"name":"Menzie D. Chinn is at the University of Wisconsin, Madison, WI, and at NBER"}]},{"given":"Olivier","family":"Coibion","sequence":"additional","affiliation":[{"name":"Olivier Coibion is at the University of Texas, Austin, TX, at IMF, and at NBER"}]}],"member":"311","published-online":{"date-parts":[[2013,3,30]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1159"},{"key":"e_1_2_9_3_1","volume-title":"Handbook of economic forecasting","author":"Alquist R.","year":"2012"},{"key":"e_1_2_9_4_1","first-page":"137","volume-title":"NBER Macroeconomics Annual 2001","author":"Barsky R. B.","year":"2002"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00408-9"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2534702"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331149"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226043555.003.0005"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0140-9883(91)90007-M"},{"key":"e_1_2_9_10_1","volume-title":"Commodity prices and the new inflation","author":"Bosworth B. P.","year":"1982"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331251"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.2010.125.3.1145"},{"key":"e_1_2_9_13_1","doi-asserted-by":"crossref","unstructured":"ChernenkoS. V. Schwarz K. B. &Wright J. H.(2004).The information content of forward and futures prices: Market expectations and the price of risk. International Finance and Discussion Papers No. 808 (Washington DC: Board of Governors of the Federal Reserve System June).","DOI":"10.17016\/IFDP.2004.808"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2005.08.002"},{"key":"e_1_2_9_15_1","doi-asserted-by":"crossref","unstructured":"ChinnM. D. MichaelL. &OlivierC.(2005).The predictive content of energy futures: An Update on petroleum natural gas heating oil and gasoline markets. NBER Working paper 11033 (January).","DOI":"10.3386\/w11033"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130810"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(95)00016-X"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9396.1993.tb00011.x"},{"key":"e_1_2_9_20_1","doi-asserted-by":"crossref","unstructured":"Groen J. J. J. &Pesenti P. A.(2010).Commodity prices commodity currencies and global economic developments. NBER Working paper 15743.","DOI":"10.3386\/w15743"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/261140"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1353\/eca.0.0047"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199549498.003.0005"},{"key":"e_1_2_9_24_1","doi-asserted-by":"crossref","unstructured":"Hamilton J. D. &Wu C. J.(2012).Risk premia in crude oil futures prices. Unpublished manuscript.","DOI":"10.3386\/w19056"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0360-5442(93)90084-Q"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(83)90017-X"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0140-9883(94)90003-5"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.2202\/1935-1690.1626"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391822"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"e_1_2_9_32_1","doi-asserted-by":"crossref","unstructured":"Reichsfeld D. A. &Roache S. K.(2011).Do commodity futures help forecast spot prices? IMF Working paper 11\u2010254.","DOI":"10.5089\/9781463923891.001"},{"key":"e_1_2_9_33_1","doi-asserted-by":"crossref","unstructured":"Roache S. K. &Rossi M.(2009).The effects of economic news on commodity prices: Is gold just another commodity? IMF Working paper 09\u2010140.","DOI":"10.5089\/9781451872873.001"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0140-9883(91)90042-X"},{"key":"e_1_2_9_35_1","doi-asserted-by":"crossref","unstructured":"Tang K. &Xiong W.(2010).Index investment and the financialization of commodities. NBER Working paper 16385 (November).","DOI":"10.3386\/w16385"},{"key":"e_1_2_9_36_1","doi-asserted-by":"crossref","first-page":"71","DOI":"10.5547\/ISSN0195-6574-EJ-Vol16-No1-5","article-title":"An econometric analysis of the market for natural gas futures","volume":"16","author":"Walls D. W.","year":"1995","journal-title":"Energy Journal"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511571855"},{"key":"e_1_2_9_38_1","doi-asserted-by":"crossref","unstructured":"Wu T. &McCallum A.(2005).Do oil futures prices help predict future oil prices? Federal Reserve Bank of San Francisco Economic Letter 2005\u201038.","DOI":"10.2139\/ssrn.1967966"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21615","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21615","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,5,8]],"date-time":"2024-05-08T04:51:09Z","timestamp":1715143869000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21615"}},"issued":{"date-parts":[[2013,3,30]]},"references-count":37,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2014,7]]}},"alternative-id":["10.1002\/fut.21615"],"URL":"https:\/\/doi.org\/10.1002\/fut.21615","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,3,30]]}},{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T22:22:08Z","timestamp":1774390928010,"version":"3.50.1"},"reference-count":46,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2023,6,30]],"date-time":"2023-06-30T00:00:00Z","timestamp":1688083200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,10]]},"abstract":"Abstract<\/jats:title>In this study, we create a novel American double\u2010barrier Parisian call option contract that may be utilized as an executive option for listed companies to incentivize staff and replace the classic American option. We address the option pricing problem by developing state variables to identify the price state and using the least\u2010squares Monte Carlo approach. We present several L\u00e9vy processes to simulate the movement path of the underlying asset. We discover that geometric Brownian motion and normal inverse Gaussian (NIG) process have successful outcomes, and NIG process has greater calculation accuracy than variance gamma process. The barrier width and window length are positively connected with the price of an American Parisian option, whereas the strike price is negatively correlated with it. Increasing the number of discrete periods of the contract will enhance the pricing accuracy.<\/jats:p>","DOI":"10.1002\/fut.22445","type":"journal-article","created":{"date-parts":[[2023,6,30]],"date-time":"2023-06-30T10:11:19Z","timestamp":1688119879000},"page":"1469-1496","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Pricing of American Parisian option as executive option based on the least\u2010squares Monte Carlo approach"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0552-0879","authenticated-orcid":false,"given":"Yangyang","family":"Zhuang","sequence":"first","affiliation":[{"name":"School of Economics and Management Southeast University Nanjing Jiangsu China"}]},{"given":"Pan","family":"Tang","sequence":"additional","affiliation":[{"name":"School of Economics and Management Southeast University Nanjing Jiangsu China"},{"name":"School of Cyber Science and Engineering Southeast University Nanjing Jiangsu China"}]}],"member":"311","published-online":{"date-parts":[[2023,6,30]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470701705595"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-009-0090-3"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024999000029"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9469.00045"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470903448473"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.013"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0929-1199(00)00019-5"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603107.2012.750448"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2006.04.005"},{"issue":"2","key":"e_1_2_10_11_1","first-page":"76","article-title":"Approximate inversion of the Laplace transform","volume":"4","author":"Cheng A. H.","year":"1994","journal-title":"Mathematica Journal"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-006-0015-3"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1427865"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2018.1444785"},{"key":"e_1_2_10_15_1","doi-asserted-by":"crossref","unstructured":"Chu C. Guo D. &Hu Y.(2014).Pricing American Parisian options and its application in the valuation of convertible bonds. Paper presented at the Sixth International Conference on Business Intelligence & Financial Engineering.","DOI":"10.1109\/BIFE.2013.41"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/jpr.2018.17"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-009-0113-0"},{"key":"e_1_2_10_18_1","unstructured":"Dassios A. &Wu S.(2011a).Brownian excursions in a corridor and related Parisian options. LSE Research Online Documents on Economics E\u2010Publishing."},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1300198132"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.4236\/jfrm.2013.24011"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1239\/aap\/1037990956"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.procs.2013.05.335"},{"issue":"3","key":"e_1_2_10_23_1","first-page":"71","article-title":"Pricing Parisian options","volume":"6","author":"Haber R. J.","year":"1999","journal-title":"The Journal of Theoretical and Applied Finance"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(00)00008-2"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-319-55569-0"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.998599"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118818565"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/9780470061602.eqf07008"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024909005154"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024909005154"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1446181115000267"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.amc.2017.11.002"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1155\/2014\/956454"},{"key":"e_1_2_10_34_1","volume-title":"Banks theoretic methods and Monte Carlo simulation for pricing embedded options in business bank","author":"Liu F.","year":"2013"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/imaman\/dpab045"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.113"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0956792517000018"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1086\/296519"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2010495220500153"},{"key":"e_1_2_10_40_1","unstructured":"Merrill Lynch & Co. Inc. (2007).8\u2010K (Current report). From Edgar database.https:\/\/www.sec.gov\/Archives\/edgar\/data\/65100\/000095012307015698\/y42801e8vk.htm"},{"key":"e_1_2_10_41_1","volume-title":"On construction of multinomial lattices for option pricing","author":"Ogutu C.","year":"2017"},{"key":"e_1_2_10_42_1","volume-title":"Probability and measure","author":"Patrick B.","year":"1979"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0021900200020155"},{"key":"e_1_2_10_44_1","volume-title":"Study on pricing model and numerical method of Paris option","author":"Song B.","year":"2016"},{"issue":"2","key":"e_1_2_10_45_1","article-title":"The pricing model of American Parisian option and numerical methods","volume":"33","author":"Song B.","year":"2015","journal-title":"Systems Engineering"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2012.12.005"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.aml.2014.10.019"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22445","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T17:36:45Z","timestamp":1693676205000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22445"}},"issued":{"date-parts":[[2023,6,30]]},"references-count":46,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2023,10]]}},"alternative-id":["10.1002\/fut.22445"],"URL":"https:\/\/doi.org\/10.1002\/fut.22445","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,6,30]]},"assertion":[{"value":"2022-11-25","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-06-12","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-06-30","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,30]],"date-time":"2026-03-30T16:40:05Z","timestamp":1774888805268,"version":"3.50.1"},"reference-count":66,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2020,3,27]],"date-time":"2020-03-27T00:00:00Z","timestamp":1585267200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100002628","name":"Incheon National University","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100002628","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,7]]},"abstract":"Abstract<\/jats:title>This study investigates the impact of uncertainty on the volatility forecasting power of option\u2010implied volatility. Option\u2010implied volatility is a powerful predictor of future volatility, particularly during periods of high uncertainty. This is consistent with option\u2010implied volatility being largely determined by volatility\u2010informed traders (rather than directional traders) when uncertainty is high. New volatility forecasting models that incorporate such interaction outperform benchmark models, both in\u2010 and out\u2010of\u2010sample. The new models also better predict future volatility during the 2008 global financial crisis, for which benchmark models perform poorly. The results are robust to alternative choices of benchmark models, loss functions, and estimation windows.<\/jats:p>","DOI":"10.1002\/fut.22116","type":"journal-article","created":{"date-parts":[[2020,3,27]],"date-time":"2020-03-27T10:37:51Z","timestamp":1585305471000},"page":"1109-1126","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":16,"title":["Uncertainty and the volatility forecasting power of option\u2010implied volatility"],"prefix":"10.1002","volume":"40","author":[{"given":"Byounghyun","family":"Jeon","sequence":"first","affiliation":[{"name":"College of Business Administration Marquette University Milwaukee Wisconsin"}]},{"given":"Sung Won","family":"Seo","sequence":"additional","affiliation":[{"name":"Department of Business Administration Konkuk University Gwangjin\u2010gu Seoul Republic of Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5794-1926","authenticated-orcid":false,"given":"Jun Sik","family":"Kim","sequence":"additional","affiliation":[{"name":"Division of International Trade Incheon National University Yeonsu\u2010gu Incheon Republic of Korea"}]}],"member":"311","published-online":{"date-parts":[[2020,3,27]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11238-013-9404-1"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.11.001"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.029"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.07.016"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000480"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.691"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.07.001"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00068-9"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.033"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.10.007"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.07.011"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.07.007"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01006.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1815"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12095"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.006"},{"key":"e_1_2_9_26_1","doi-asserted-by":"crossref","unstructured":"Cao J. Vasquez A. Xiao X. &Zhan X.(2018).Volatility uncertainty and the cross\u2010section of option returns(Working paper).","DOI":"10.2139\/ssrn.3178263"},{"key":"e_1_2_9_27_1","unstructured":"Capelle\u2010Blancard G.(2001).Volatility trading in option market: How does it affect where informed traders trade?Working paper in University of Paris."},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq071"},{"key":"e_1_2_9_31_1","unstructured":"Chicago Board Options Exchange. (2014a). VIX. Retrieved fromhttp:\/\/www.cboe.com\/vix"},{"key":"e_1_2_9_32_1","unstructured":"Chicago Board Options Exchange. (2014b). VVIX. Retrieved fromhttp:\/\/www.cboe.com\/products\/vix\u2010index\u2010volatility\/volatility\u2010on\u2010stock\u2010indexes\/the\u2010cboe\u2010vvix\u2010index"},{"key":"e_1_2_9_33_1","unstructured":"Chicago Mercantile Exchange DataMine. (2014). Intraday trade data on S&P 500 index futures. Retrieved fromhttps:\/\/datamine.cmegroup.com\/"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.008"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2012.663261"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy060"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbl010"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.004"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2005.00339.x"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21837"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.04.003"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/rax019"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018001436"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000825"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.10.006"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2018.06.011"},{"key":"e_1_2_9_54_1","unstructured":"Li X. Tsionas M. G. &Izzeldin M.(2016).A time varying parameter HAR model for realized volatility forecasting. Working paper in Lancaster University Management School."},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.08.009"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.008"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491460"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01352.x"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2015.05.003"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00503"},{"key":"e_1_2_9_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2019.03.002"},{"key":"e_1_2_9_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.05.004"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526866"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.010"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.4.1102"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22116","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22116","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22116","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22116","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T01:14:50Z","timestamp":1693962890000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22116"}},"issued":{"date-parts":[[2020,3,27]]},"references-count":66,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2020,7]]}},"alternative-id":["10.1002\/fut.22116"],"URL":"https:\/\/doi.org\/10.1002\/fut.22116","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,3,27]]},"assertion":[{"value":"2019-09-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-03-10","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-03-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T04:20:16Z","timestamp":1775103616335,"version":"3.50.1"},"reference-count":38,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2019,4,1]],"date-time":"2019-04-01T00:00:00Z","timestamp":1554076800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,11]]},"abstract":"Abstract<\/jats:title>This paper develops a novel, general derivative pricing model which introduces a liquidity risk factor. The model variants we outline offer a sufficient degree of flexibility so as to enable the valuation of various types of derivative classes including futures, American options, and mortgage backed security options, whereas existing derivative models can only price liquidity risk in European derivatives. We validate the model with oil and gold futures data and compare it to a classical benchmark model void of any liquidity risk. We find that our model is significantly more accurate than the classical model for pricing both oil and gold contracts.<\/jats:p>","DOI":"10.1002\/fut.22008","type":"journal-article","created":{"date-parts":[[2019,4,1]],"date-time":"2019-04-01T09:25:48Z","timestamp":1554110748000},"page":"1471-1485","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":29,"title":["Derivatives pricing with liquidity risk"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4221-5603","authenticated-orcid":false,"given":"Yongmin","family":"Zhang","sequence":"first","affiliation":[{"name":"Department of Finance, School of Business Ningbo University Ningbo China"}]},{"given":"Shusheng","family":"Ding","sequence":"additional","affiliation":[{"name":"Department of Finance, School of Business Ningbo University Ningbo China"}]},{"given":"Meryem","family":"Duygun","sequence":"additional","affiliation":[{"name":"Department of Finance Nottingham University Business School Nottingham UK"}]}],"member":"311","published-online":{"date-parts":[[2019,4]]},"reference":[{"key":"e_1_2_6_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.06.007"},{"key":"e_1_2_6_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_6_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04623.x"},{"key":"e_1_2_6_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00225"},{"key":"e_1_2_6_1_6_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4471-3619-4"},{"key":"e_1_2_6_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01630.x"},{"key":"e_1_2_6_1_8_1","unstructured":"Brunetti C. andCaldarera A.. (2006). Asset prices and asset correlations in illiquid markets. In Baum C. F. (ed.) Computing in Economics and Finance 2006 June 22\u201024 Limassol Cyprus."},{"key":"e_1_2_6_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_6_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20531"},{"key":"e_1_2_6_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2012.691202"},{"key":"e_1_2_6_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2012.06.008"},{"key":"e_1_2_6_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.002"},{"key":"e_1_2_6_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr132"},{"key":"e_1_2_6_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21631"},{"key":"e_1_2_6_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_6_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130605"},{"key":"e_1_2_6_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03747.x"},{"key":"e_1_2_6_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10036"},{"key":"e_1_2_6_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_6_1_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000670"},{"key":"e_1_2_6_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.001"},{"key":"e_1_2_6_1_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.113"},{"key":"e_1_2_6_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12053"},{"key":"e_1_2_6_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr075"},{"key":"e_1_2_6_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.08.013"},{"key":"e_1_2_6_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100202"},{"key":"e_1_2_6_1_28_1","first-page":"1","article-title":"Mean reversion in stock prices: New evidence from panel unit root tests for seventeen European countries","volume":"3","author":"Narayan P.","year":"2007","journal-title":"Economics Bulletin"},{"key":"e_1_2_6_1_29_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00199-011-0648-0"},{"key":"e_1_2_6_1_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/374184"},{"key":"e_1_2_6_1_31_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_6_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_6_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.04.005"},{"key":"e_1_2_6_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.07.010"},{"key":"e_1_2_6_1_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.1.125"},{"key":"e_1_2_6_1_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2016.01.002"},{"key":"e_1_2_6_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(99)00198-6"},{"key":"e_1_2_6_1_38_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2018.1444562"},{"key":"e_1_2_6_1_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21905"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22008","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22008","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22008","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T05:47:53Z","timestamp":1694324873000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22008"}},"issued":{"date-parts":[[2019,4]]},"references-count":38,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2019,11]]}},"alternative-id":["10.1002\/fut.22008"],"URL":"https:\/\/doi.org\/10.1002\/fut.22008","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,4]]},"assertion":[{"value":"2018-12-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-03-07","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-04-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T05:02:44Z","timestamp":1698728564948},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2011,4,21]],"date-time":"2011-04-21T00:00:00Z","timestamp":1303344000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,2]]},"DOI":"10.1002\/fut.20529","type":"journal-article","created":{"date-parts":[[2011,4,21]],"date-time":"2011-04-21T13:06:14Z","timestamp":1303391174000},"page":"199-202","source":"Crossref","is-referenced-by-count":0,"title":["Reply to \u201cA comment on \u201cA new simple square root option pricing model\u201d\u201d"],"prefix":"10.1002","volume":"32","author":[{"given":"Yaw\u2010Huei","family":"Wang","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2011,4,21]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20529","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20529","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T02:57:45Z","timestamp":1698634665000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20529"}},"issued":{"date-parts":[[2011,4,21]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2012,2]]}},"alternative-id":["10.1002\/fut.20529"],"URL":"https:\/\/doi.org\/10.1002\/fut.20529","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,4,21]]}},{"indexed":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T05:10:10Z","timestamp":1698729010314},"reference-count":27,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2010,4,30]],"date-time":"2010-04-30T00:00:00Z","timestamp":1272585600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,11]]},"abstract":"Abstract<\/jats:title>We combine the best features of two highly successful quadrature option pricing streams, improving the linked issues of numerical precision and abscissa positioning. Coupling the recombining abscissa (node) approach used in Andricopoulos, A., Widdicks, M., Duck, P., and Newton, D.P. (2003<\/jats:ext-link>) (AWDN as well as AWND, 2007<\/jats:ext-link>) with the Gauss\u2010Legendre Quadrature (GQ) method of Sullivan, M.A. (2000<\/jats:ext-link>) yields highly accurate and efficient option prices for a range of standard and exotic specifications including barrier options and in particular for NGARCH, CEV, and jump\u2010diffusion processes. The improvements are due to manner in which GQ positions nodes and the use of these values without interpolation. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20462","type":"journal-article","created":{"date-parts":[[2010,5,1]],"date-time":"2010-05-01T12:02:03Z","timestamp":1272715323000},"page":"1026-1057","source":"Crossref","is-referenced-by-count":10,"title":["Efficient quadrature and node positioning for exotic option valuation"],"prefix":"10.1002","volume":"30","author":[{"given":"San\u2010Lin","family":"Chung","sequence":"first","affiliation":[]},{"given":"Kunyi","family":"Ko","sequence":"additional","affiliation":[]},{"given":"Mark B.","family":"Shackleton","sequence":"additional","affiliation":[]},{"given":"Chung\u2010Ying","family":"Yeh","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,9,9]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05130.x"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00257-X"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.009"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/135048698334718"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.4.1211"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0275"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.1050.0219"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20127"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1996.015"},{"key":"e_1_2_6_11_1","first-page":"1985","article-title":"A theory of term structure of interest rates","volume":"53","author":"Cox J. C.","journal-title":"Econometrica"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/713666004"},{"key":"e_1_2_6_14_1","volume-title":"Methods of numerical integration (computer science and applied mathematics)","author":"Davis P. J.","year":"1984"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.47.7.949.9804"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(00)00003-8"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00024-0"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2006.03.002"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04921.x"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00080"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000001915"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02578.x"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330879"},{"key":"e_1_2_6_26_1","volume-title":"Numerical recipes in C: The art of scientific computing","author":"Press W. H.","year":"1988"},{"key":"e_1_2_6_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00109"},{"key":"e_1_2_6_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.75"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20462","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20462","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T13:13:39Z","timestamp":1698671619000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20462"}},"issued":{"date-parts":[[2010,9,9]]},"references-count":27,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2010,11]]}},"alternative-id":["10.1002\/fut.20462"],"URL":"https:\/\/doi.org\/10.1002\/fut.20462","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,9,9]]}},{"indexed":{"date-parts":[[2022,4,1]],"date-time":"2022-04-01T15:53:45Z","timestamp":1648828425934},"reference-count":9,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7031,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,6]]},"DOI":"10.1002\/(sici)1096-9934(199606)16:4<389::aid-fut2>3.0.co;2-e","type":"journal-article","created":{"date-parts":[[2004,10,21]],"date-time":"2004-10-21T01:57:37Z","timestamp":1098323857000},"page":"389-403","source":"Crossref","is-referenced-by-count":1,"title":["Do systematic risk premiums persist in eurodollar futures prices?"],"prefix":"10.1002","volume":"16","author":[{"given":"Tim","family":"Krehbiel","sequence":"first","affiliation":[]},{"given":"Lee C.","family":"Adkins","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB1","author":"Andrews","year":"1990","unstructured":"(1990): \u201cTests for Parameter Instability and Structural Change With Unknown Change Point,\u201d Discussion Paper No. 943, Yale University, Cowles Foundation for Research in Economics."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB2","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1002\/fut.3990140105","volume":"14","author":"Cole","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB3","doi-asserted-by":"crossref","first-page":"591","DOI":"10.1002\/fut.3990110507","volume":"11","author":"Cole","year":"1991","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB4","first-page":"321","volume":"10","author":"Hansen","year":"1992","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB5","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1016\/0165-1889(88)90041-3","volume":"12","author":"Johansen","year":"1988","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB6","volume-title":"Understanding Futures Markets","author":"Kolb","year":"1991","unstructured":"(1991): Understanding Futures Markets. Miami, FL: Kolb Publishing Co."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB7","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1002\/fut.3990120108","volume":"12","author":"Kolb","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB8","doi-asserted-by":"crossref","first-page":"531","DOI":"10.1002\/fut.3990140504","volume":"14","author":"Krehbiel","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E-BIB9","doi-asserted-by":"crossref","first-page":"99","DOI":"10.2307\/2297545","volume":"57","author":"Phillips","year":"1990","journal-title":"Review of Economic Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199606)16:4%3C389::AID-FUT2%3E3.0.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199606)16:4%3C389::AID-FUT2%3E3.0.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:53:19Z","timestamp":1625133199000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199606)16:4<389::AID-FUT2>3.0.CO;2-E"}},"issued":{"date-parts":[[1996,6]]},"references-count":9,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1996,6]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199606)16:4<389::aid-fut2>3.0.co;2-e","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,6]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T14:13:14Z","timestamp":1698415994844},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4014,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,9]]},"DOI":"10.1002\/fut.3990150601","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T06:48:34Z","timestamp":1183704514000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"15","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150601","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150601","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:27:17Z","timestamp":1698287237000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150601"}},"issued":{"date-parts":[[1995,9]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1995,9]]}},"alternative-id":["10.1002\/fut.3990150601"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150601","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,9]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:39Z","timestamp":1740104559222,"version":"3.37.3"},"reference-count":42,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2019,1,19]],"date-time":"2019-01-19T00:00:00Z","timestamp":1547856000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001659","name":"Deutsche Forschungsgemeinschaft","doi-asserted-by":"publisher","award":["KO 2285\/1"],"award-info":[{"award-number":["KO 2285\/1"]}],"id":[{"id":"10.13039\/501100001659","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,4]]},"abstract":"Abstract<\/jats:title>This paper investigates how firms should hedge price risk when payment dates are uncertain. We derive variance\u2010minimizing strategies and show that the instrument choice is essential for this problem, similar to the choice between a strip and a stack hedge. The first setting concentrates on futures hedges, whereas the second allows for nonlinear derivatives. In both settings, firms should take positions in derivatives with different maturities simultaneously. We present an empirical analysis for commodities and exchange rates, showing that in both settings the optimal strategy clearly outperforms the commonly used heuristic strategies which consider only one hedging instrument at a time.<\/jats:p>","DOI":"10.1002\/fut.21987","type":"journal-article","created":{"date-parts":[[2019,1,19]],"date-time":"2019-01-19T19:43:49Z","timestamp":1547927029000},"page":"481-498","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["How to hedge if the payment date is uncertain?"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2690-6970","authenticated-orcid":false,"given":"Olaf","family":"Korn","sequence":"first","affiliation":[{"name":"Faculty of Business and Economics University of Goettingen Goettingen Germany"},{"name":"Centre for Financial Research Cologne (CFR) Cologne Germany"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6613-316X","authenticated-orcid":false,"given":"Alexander","family":"Merz","sequence":"additional","affiliation":[{"name":"Faculty of Business and Economics University of Goettingen Goettingen Germany"}]}],"member":"311","published-online":{"date-parts":[[2019,1,19]]},"reference":[{"key":"e_1_2_7_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.03.014"},{"key":"e_1_2_7_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.05.006"},{"key":"e_1_2_7_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(96)00029-3"},{"key":"e_1_2_7_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.03.022"},{"key":"e_1_2_7_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20362"},{"key":"e_1_2_7_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02180.x"},{"key":"e_1_2_7_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_7_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2017.09.023"},{"key":"e_1_2_7_1_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq028"},{"key":"e_1_2_7_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1058709"},{"key":"e_1_2_7_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040206"},{"key":"e_1_2_7_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(85)90028-2"},{"key":"e_1_2_7_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-646X.00049"},{"key":"e_1_2_7_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/3666414"},{"key":"e_1_2_7_1_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1969.10501069"},{"key":"e_1_2_7_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01681.x"},{"key":"e_1_2_7_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02406.x"},{"key":"e_1_2_7_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(93)90103-H"},{"key":"e_1_2_7_1_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/508004"},{"key":"e_1_2_7_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1283"},{"key":"e_1_2_7_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_7_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126731"},{"key":"e_1_2_7_1_24_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.41.6.1083"},{"key":"e_1_2_7_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(01)00037-3"},{"key":"e_1_2_7_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(85)90019-6"},{"key":"e_1_2_7_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.2002.tb00451.x"},{"key":"e_1_2_7_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2007.00221.x"},{"key":"e_1_2_7_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_7_1_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526825"},{"key":"e_1_2_7_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331413"},{"key":"e_1_2_7_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20446"},{"key":"e_1_2_7_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243658"},{"issue":"3","key":"e_1_2_7_1_34_1","first-page":"278","article-title":"Theory of the firm facing uncertain demand","volume":"62","author":"Leland H. E.","year":"1972","journal-title":"American Economic Review"},{"key":"e_1_2_7_1_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10075"},{"key":"e_1_2_7_1_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2207"},{"key":"e_1_2_7_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20287"},{"key":"e_1_2_7_1_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1995.tb00279.x"},{"key":"e_1_2_7_1_39_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527271"},{"key":"e_1_2_7_1_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199708)17:5<543::AID-FUT3>3.0.CO;2-F"},{"key":"e_1_2_7_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.10.003"},{"key":"e_1_2_7_1_42_1","doi-asserted-by":"publisher","DOI":"10.1086\/260849"},{"issue":"3","key":"e_1_2_7_1_43_1","doi-asserted-by":"crossref","first-page":"922","DOI":"10.1111\/j.1540-6261.1997.tb02721.x","article-title":"The stochastic behavior of commodity prices: Implications for valuation and hedging","volume":"52","author":"Schwartz E. S.","year":"1997","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21987","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21987","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T20:36:34Z","timestamp":1694723794000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21987"}},"issued":{"date-parts":[[2019,1,19]]},"references-count":42,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2019,4]]}},"alternative-id":["10.1002\/fut.21987"],"URL":"https:\/\/doi.org\/10.1002\/fut.21987","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,1,19]]},"assertion":[{"value":"2017-02-10","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-11-30","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-01-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:25Z","timestamp":1740104545613,"version":"3.37.3"},"reference-count":43,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2021,8,20]],"date-time":"2021-08-20T00:00:00Z","timestamp":1629417600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,1]]},"abstract":"Abstract<\/jats:title>We study how quickly liquidity is replenished on the order book in E\u2010mini futures. The results show that participants who use patient methods, such as limit orders, are often fast to place new orders, while those using impatient market orders are slow to re\u2010enter the market. These delays are a function of state constants, such as firm types, state conditions, such as whether the order is price improving, and time\u2010varying covariates, such as the volume of trade during the gap. We also find support for the view that certain traders delay providing liquidity during active markets to avoid informed trading.<\/jats:p>","DOI":"10.1002\/fut.22259","type":"journal-article","created":{"date-parts":[[2021,8,20]],"date-time":"2021-08-20T20:00:31Z","timestamp":1629489631000},"page":"5-23","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Resiliency in the E\u2010mini futures market"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1556-0986","authenticated-orcid":false,"given":"Raymond P. H.","family":"Fishe","sequence":"first","affiliation":[{"name":"Department of Finance, Robins School of Business University of Richmond Richmond Virginia USA"}]},{"given":"Richard","family":"Haynes","sequence":"additional","affiliation":[{"name":"Office of the Chief Economist U.S. Commodity Futures Trading Commission Washington District of Columbia USA"}]},{"given":"Esen","family":"Onur","sequence":"additional","affiliation":[{"name":"Office of the Chief Economist U.S. Commodity Futures Trading Commission Washington District of Columbia USA"}]}],"member":"311","published-online":{"date-parts":[[2021,8,20]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_9_3_1","doi-asserted-by":"crossref","unstructured":"Aldrich E. M. Grundfest J. A. &Laughlin G.(2016).The flash crash: A new deconstruction. Working paper University of California\u2010Santa Cruz.","DOI":"10.2139\/ssrn.2721922"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2010139215500020"},{"key":"e_1_2_9_5_1","doi-asserted-by":"crossref","unstructured":"Bhattacharya A. &Saar G.(2020).Limit order markets under asymmetric information. Working paper Johnson Graduate School of Management SC Johnson College of Business. Cornell University","DOI":"10.2139\/ssrn.3688473"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12769"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.004"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol32-No2-7"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.12.003"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2008.02.006"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00393"},{"issue":"2","key":"e_1_2_9_12_1","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1111\/j.2517-6161.1972.tb00899.x","article-title":"Regression models and life\u2010tables","volume":"34","author":"Cox D. R.","year":"1972","journal-title":"Journal of the Royal Statistical Society\u2014Series B"},{"key":"e_1_2_9_13_1","unstructured":"Order book data. Commodity Futures Trading Commission\u20102014. Regulatory Application for Processing In\u2010memory Data (RAPID). Data Citation"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04402.x"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00091"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2999632"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2011.08.006"},{"volume-title":"Commodities: Markets, performance, and strategies","year":"2018","author":"Fishe R. P. H.","key":"e_1_2_9_18_1"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(98)00012-3"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi029"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00795.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12032"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2008.06.002"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.003"},{"key":"e_1_2_9_25_1","first-page":"5","article-title":"Intertrade duration and information\u2010based on an electronic order\u2010driven market","volume":"1","author":"Huang J.","year":"2006","journal-title":"South China Journal of Economics"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118032985"},{"key":"e_1_2_9_27_1","doi-asserted-by":"crossref","unstructured":"Kirilenko A. &Lamacie G.(2015).Latency and asset prices. Working paper MIT Sloan School of Management","DOI":"10.2139\/ssrn.2546567"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12498"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101575"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-019-03384-y"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2685352"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-121415-033010"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2018.3040"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx006"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2012.09.001"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.789"},{"key":"e_1_2_9_38_1","unstructured":"Peng L.(2001).Trading takes time. Yale School of Management Working Papers #234 Yale School of Management."},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2012.05.003"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.11.008"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp011"},{"key":"e_1_2_9_42_1","unstructured":"U.S. Commodity Futures Trading Commission. (2018).Sharp price movements in commodity futures markets. Staff Report\u2014Market Intelligence Branch Division of Market Oversight."},{"key":"e_1_2_9_43_1","unstructured":"U.S. Securities and Exchange Commission(SEC). (2014).Equity market structure literature review\u2014Part II: High frequency trading. Staff of the division of trading and markets"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00063-X"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22259","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22259","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22259","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,9,7]],"date-time":"2024-09-07T00:42:51Z","timestamp":1725669771000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22259"}},"issued":{"date-parts":[[2021,8,20]]},"references-count":43,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2022,1]]}},"alternative-id":["10.1002\/fut.22259"],"URL":"https:\/\/doi.org\/10.1002\/fut.22259","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,8,20]]},"assertion":[{"value":"2020-11-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-20","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T23:19:30Z","timestamp":1698016770217},"reference-count":35,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7207,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,12]]},"DOI":"10.1002\/fut.3990060403","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:45:01Z","timestamp":1183614301000},"page":"523-540","source":"Crossref","is-referenced-by-count":3,"title":["Testing the rationality of futures prices for selected LDC agricultural exports"],"prefix":"10.1002","volume":"6","author":[{"given":"Indira","family":"Rajaraman","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Abel A. B. andMishkin F. S.(1983 January): \u201cAn Integrated View of Tests of Rationality Market Efficiency and the Short\u2010Run Neutrality of Monetary Policy \u201dJournal of Monetary Economics:3\u201324.","DOI":"10.1016\/0304-3932(83)90011-9"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2525749"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030307"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1235380"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040302"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(77)90022-8"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/3439924"},{"key":"e_1_2_1_9_1","unstructured":"Gilbert C. L.(1984): \u201cTesting the Efficient Markets Hypothesis on Averaged Data \u201dApplied Economics(Forthcoming)."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1923950"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90005-2"},{"key":"e_1_2_1_12_1","volume-title":"Readings in Futures Markets","author":"Gray R. W.","year":"1960"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1909382"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/260910"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912158"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1928531"},{"key":"e_1_2_1_17_1","volume-title":"The Allocation of Economic Resources","author":"Houthakker H. S.","year":"1959"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238343"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1238755"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913837"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239556"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/259363"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","unstructured":"Mishkin F. S.(1982): \u201cAre Real Interest Rates Equal across Countries: An Empirical Investigation of International Parity Conditions \u201d (NBER: Working Paper Series #1048).","DOI":"10.3386\/w1048"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1235381"},{"key":"e_1_2_1_26_1","volume-title":"The Theory of Commodity Price Stabilization","author":"Newbery D. M. G.","year":"1981"},{"key":"e_1_2_1_27_1","volume-title":"Readings in Futures Markets","author":"Peck A. E.","year":"1977"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924192"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040209"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/261127"},{"key":"e_1_2_1_31_1","first-page":"565","article-title":"The Dynamics of Spot and Forward Prices in an Efficient Foreign Exchange Market","volume":"70","author":"Stein J. L.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924093"},{"key":"e_1_2_1_33_1","volume-title":"The Economics of Exchange Rates: Selected Studies","author":"Stockman A. C.","year":"1978"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0047-2727(79)90035-5"},{"key":"e_1_2_1_36_1","first-page":"150","article-title":"The Investigation of Economic Expectations","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060403","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060403","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:49:59Z","timestamp":1697914199000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060403"}},"issued":{"date-parts":[[1986,12]]},"references-count":35,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1986,12]]}},"alternative-id":["10.1002\/fut.3990060403"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060403","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,12]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:40:30Z","timestamp":1697956830986},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7755,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,6]]},"DOI":"10.1002\/fut.3990050212","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:26:22Z","timestamp":1183613182000},"page":"289-295","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"5","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050212","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050212","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T12:40:42Z","timestamp":1697892042000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050212"}},"issued":{"date-parts":[[1985,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1985,6]]}},"alternative-id":["10.1002\/fut.3990050212"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050212","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,6]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:31Z","timestamp":1698043231931},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,9,18]],"date-time":"2006-09-18T00:00:00Z","timestamp":1158537600000},"content-version":"vor","delay-in-days":7049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,6]]},"DOI":"10.1002\/fut.3990070301","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T06:04:33Z","timestamp":1183615473000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"7","member":"311","published-online":{"date-parts":[[2006,9,18]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070301","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070301","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T17:07:31Z","timestamp":1697994451000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070301"}},"issued":{"date-parts":[[1987,6]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1987,6]]}},"alternative-id":["10.1002\/fut.3990070301"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070301","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,6]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:38Z","timestamp":1698043238804},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":9284,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,4]]},"DOI":"10.1002\/fut.v10:2","type":"journal-issue","created":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:20:46Z","timestamp":1697991646000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"10","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v10:2","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v10:2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:20:46Z","timestamp":1697991646000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/10\/2"}},"issued":{"date-parts":[[1990,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1990,4]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v10:2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,4]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:49Z","timestamp":1698043249805},"reference-count":3,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6355,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,4]]},"DOI":"10.1002\/fut.3990090210","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T11:47:11Z","timestamp":1183636031000},"page":"175-177","source":"Crossref","is-referenced-by-count":3,"title":["The daily effect in the gold market: A reply"],"prefix":"10.1002","volume":"9","author":[{"given":"Christopher K.","family":"Ma","sequence":"first","affiliation":[]},{"given":"G. Wenchi","family":"Wong","sequence":"additional","affiliation":[]},{"given":"Edwin D.","family":"Maberly","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020209"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080311"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060306"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090210","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090210","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T15:56:36Z","timestamp":1697990196000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090210"}},"issued":{"date-parts":[[1989,4]]},"references-count":3,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1989,4]]}},"alternative-id":["10.1002\/fut.3990090210"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090210","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,4]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T08:17:20Z","timestamp":1698049040680},"reference-count":19,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8028,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,9]]},"DOI":"10.1002\/fut.3990040308","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T02:02:04Z","timestamp":1183600924000},"page":"417-447","source":"Crossref","is-referenced-by-count":5,"title":["The impact of financial futures and options on capital formation"],"prefix":"10.1002","volume":"4","author":[{"given":"Dwight M.","family":"Jaffee","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","article-title":"The Productivity Slowdown by Industry","volume":"2","author":"Baily M. N.","year":"1982","journal-title":"Brookings Papers on Economic Activity"},{"key":"e_1_2_1_3_1","volume-title":"The Stock Market and Economic Efficiency","author":"Baumol W. J.","year":"1965"},{"key":"e_1_2_1_4_1","article-title":"Capital Formation and Economic Policy","volume":"2","author":"Bosworth B. P.","year":"1982","journal-title":"Brookings Papers on Economic Activity"},{"key":"e_1_2_1_5_1","unstructured":"Brito N. andSosin H.(1983): \u201cThe Economics of Stock Futures: A Case Study of the Brazilian Stock Futures Market \u201d Working Paper Series 68 Center for the Study of Futures Markets."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_7_1","volume-title":"Factors in Business Investment","author":"Eisner R.","year":"1978"},{"key":"e_1_2_1_8_1","volume-title":"Macroeconomic Activity","author":"Evans M.","year":"1969"},{"key":"e_1_2_1_9_1","author":"Federal Reserve System Board of Governors","year":"1979","journal-title":"The Treasury\/Federal Reserve Study of the Treasury Futures Markets"},{"key":"e_1_2_1_10_1","volume-title":"Securities Markets","author":"Garbade K.","year":"1982"},{"key":"e_1_2_1_11_1","unstructured":"Garbade K. andSilber W.(1981 October): \u201cPrice Movements and Price Discovery in Futures and Cash Markets \u201d Salomon Brothers Working Paper No. 243."},{"key":"e_1_2_1_12_1","unstructured":"Garbade K. andSilber W.(1982): \u201cCash Settlement of Futures Contracts: An Economic Analysis \u201d Salomon Brothers Center Paper No. 269."},{"key":"e_1_2_1_13_1","volume-title":"Credit Rationing and the Gommercial Loan Market","author":"Jaffee D. M.","year":"1971"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"issue":"4","key":"e_1_2_1_15_1","first-page":"299","article-title":"The Special Study of the Options Market: Its Findings and Recommendations","volume":"7","author":"Lipton D. A.","year":"1980","journal-title":"Securities Regulation Law Journal"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2327708"},{"key":"e_1_2_1_17_1","volume-title":"The Stock Market, Credit and Capital Formation","author":"Machlup F.","year":"1940"},{"key":"e_1_2_1_18_1","first-page":"65","article-title":"Exchange Traded Options and the Supply of Capital","volume":"2","author":"Mendelson M.","year":"1979","journal-title":"Journal of Comparative Corporate Law and Securities Regulations"},{"key":"e_1_2_1_19_1","first-page":"49","article-title":"An Economic Evaluation of Organized Options Markets","volume":"2","author":"Rubinstein M.","year":"1979","journal-title":"Journal of Comparative Corporate Law and Securities Regulation"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010205"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040308","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040308","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:42:24Z","timestamp":1697802144000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040308"}},"issued":{"date-parts":[[1984,9]]},"references-count":19,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1984,9]]}},"alternative-id":["10.1002\/fut.3990040308"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040308","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,9]]}},{"indexed":{"date-parts":[[2023,9,3]],"date-time":"2023-09-03T08:41:37Z","timestamp":1693730497684},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T00:00:00Z","timestamp":1693612800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,10]]},"DOI":"10.1002\/fut.22460","type":"journal-article","created":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T17:36:37Z","timestamp":1693676197000},"page":"1331-1331","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"43","member":"311","published-online":{"date-parts":[[2023,9,2]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22460","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T17:37:09Z","timestamp":1693676229000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22460"}},"issued":{"date-parts":[[2023,9,2]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2023,10]]}},"alternative-id":["10.1002\/fut.22460"],"URL":"https:\/\/doi.org\/10.1002\/fut.22460","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,9,2]]},"assertion":[{"value":"2023-09-02","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:37:15Z","timestamp":1694119035845},"reference-count":0,"publisher":"Wiley","issue":"4","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,4]]},"DOI":"10.1002\/fut.v40.4","type":"journal-issue","created":{"date-parts":[[2020,3,4]],"date-time":"2020-03-04T04:57:50Z","timestamp":1583297870000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"40","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T17:25:35Z","timestamp":1694021135000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/40\/4"}},"issued":{"date-parts":[[2020,4]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2020,4]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v40.4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,4]]}},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:39:47Z","timestamp":1694119187443},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2020,5,4]],"date-time":"2020-05-04T00:00:00Z","timestamp":1588550400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,6]]},"DOI":"10.1002\/fut.22028","type":"journal-article","created":{"date-parts":[[2020,5,4]],"date-time":"2020-05-04T14:31:51Z","timestamp":1588602711000},"page":"839-839","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 40, Number 6, June 2020"],"prefix":"10.1002","volume":"40","member":"311","published-online":{"date-parts":[[2020,5,4]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22028","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22028","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22028","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T22:32:33Z","timestamp":1694039553000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22028"}},"issued":{"date-parts":[[2020,5,4]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2020,6]]}},"alternative-id":["10.1002\/fut.22028"],"URL":"https:\/\/doi.org\/10.1002\/fut.22028","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,5,4]]},"assertion":[{"value":"2020-05-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:51:40Z","timestamp":1694119900628},"reference-count":0,"publisher":"Wiley","issue":"9","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,9]]},"DOI":"10.1002\/fut.v40.9","type":"journal-issue","created":{"date-parts":[[2020,8,11]],"date-time":"2020-08-11T06:54:30Z","timestamp":1597128870000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"40","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T12:31:13Z","timestamp":1693917073000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/40\/9"}},"issued":{"date-parts":[[2020,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2020,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v40.9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,9]]}},{"indexed":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:14:36Z","timestamp":1697775276341},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":11872,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,3]]},"DOI":"10.1002\/fut.v3:1","type":"journal-issue","created":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T23:57:18Z","timestamp":1697759838000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"3","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v3:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v3:1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T23:57:18Z","timestamp":1697759838000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/3\/1"}},"issued":{"date-parts":[[1983,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1983,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v3:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,3]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T06:10:18Z","timestamp":1698127818563},"reference-count":13,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5322,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,2]]},"DOI":"10.1002\/fut.3990120109","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:57:55Z","timestamp":1183661875000},"page":"93-104","source":"Crossref","is-referenced-by-count":8,"title":["A redetermination of hedging strategies using foreign currency futures contracts and forward markets"],"prefix":"10.1002","volume":"12","author":[{"given":"A. F.","family":"Herbst","sequence":"first","affiliation":[]},{"given":"P. E.","family":"Swanson","sequence":"additional","affiliation":[]},{"given":"S. C.","family":"Caples","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Time Series Analysis: Forecasting and Control","author":"Box G. E. P.","year":"1976"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01074.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090302"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010408"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090509"},{"key":"e_1_2_1_11_1","first-page":"72","article-title":"Contracts that Don't Expire Aid Technical Analysis","volume":"12","author":"Pelletier R.","year":"1983","journal-title":"Commodities (now Futures)"},{"key":"e_1_2_1_12_1","first-page":"29","article-title":"Cross\u2010hedging, Hedge Effectiveness, and the Trade\u2010off between Risk and Return","volume":"1","author":"Pitts M.","year":"1986","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_13_1","volume-title":"Financial Futures Fundamentals, Strategies, and Applications","author":"Schwarz E. W.","year":"1986"},{"key":"e_1_2_1_14_1","first-page":"1012","article-title":"The Simultaneous Determination of Spot and Futures Prices","volume":"51","author":"Stein J.","year":"1961","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120109","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120109","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:26:32Z","timestamp":1698074792000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120109"}},"issued":{"date-parts":[[1992,2]]},"references-count":13,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1992,2]]}},"alternative-id":["10.1002\/fut.3990120109"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120109","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,2]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:41:22Z","timestamp":1697982082392},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7755,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,6]]},"DOI":"10.1002\/fut.3990050201","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:26:22Z","timestamp":1183613182000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"5","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050201","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050201","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T12:40:43Z","timestamp":1697892043000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050201"}},"issued":{"date-parts":[[1985,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1985,6]]}},"alternative-id":["10.1002\/fut.3990050201"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050201","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,6]]}},{"indexed":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T08:40:29Z","timestamp":1696581629835},"reference-count":0,"publisher":"Wiley","issue":"9","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,9]]},"DOI":"10.1002\/fut.v37.9","type":"journal-issue","created":{"date-parts":[[2017,8,2]],"date-time":"2017-08-02T10:30:16Z","timestamp":1501669816000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"37","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v37.9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T01:37:22Z","timestamp":1696556242000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/37\/9"}},"issued":{"date-parts":[[2017,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2017,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v37.9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,9]]}},{"indexed":{"date-parts":[[2023,10,28]],"date-time":"2023-10-28T04:40:18Z","timestamp":1698468018399},"reference-count":19,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8120,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,6]]},"DOI":"10.1002\/fut.3990040208","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T03:26:40Z","timestamp":1183606000000},"page":"173-187","source":"Crossref","is-referenced-by-count":6,"title":["An immunization strategy for futures contracts on government securities"],"prefix":"10.1002","volume":"4","author":[{"given":"Donald R.","family":"Chambers","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330472"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02170.x"},{"key":"e_1_2_1_4_1","volume-title":"Innovations in Bond Portfolio Management: Duration Analysis and Immunization","author":"Brennan M. J."},{"key":"e_1_2_1_5_1","unstructured":"Carleton W. T. Chambers D. R. andMcEnally R. W.(1982): \u201cImmunizing Default\u2010free Bond Portfolios with a Duration Vector \u201d Working Paper the University of North Carolina at Chapel Hill."},{"key":"e_1_2_1_6_1","unstructured":"Chambers D. R.(1981): \u201cThe Management of Default\u2010Free Bond Portfolios \u201d unpublished dissertation The University of North Carolina at Chapel Hill."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020303"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330252"},{"key":"e_1_2_1_9_1","unstructured":"Cox J. C. Ingersoll J. E. andRoss S. A.(1978): \u201cA Theory of the Term Structure of Interest Rates \u201d Working Paper Stanford University."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90020-X"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020405"},{"key":"e_1_2_1_12_1","volume-title":"Value and Capital","author":"Hicks J. R.","year":"1939"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb03472.x"},{"key":"e_1_2_1_15_1","unstructured":"Macaulay F. R.(1938):Some Theoretical Problems Suggested by the Movements of Interest Rates Bond Yields and Stock Prices in the U.S. Since 1956 New York National Bureau of Economic Research."},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00446.x"},{"key":"e_1_2_1_18_1","first-page":"16","article-title":"The Effect of Interest Rate Increases on the Banking System","volume":"35","author":"Samuelson P. A.","year":"1945","journal-title":"American Economic Review"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020304"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040208","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040208","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:51:39Z","timestamp":1697802699000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040208"}},"issued":{"date-parts":[[1984,6]]},"references-count":19,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1984,6]]}},"alternative-id":["10.1002\/fut.3990040208"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040208","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,6]]}},{"indexed":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T04:57:49Z","timestamp":1692593869890},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2023,4,6]],"date-time":"2023-04-06T00:00:00Z","timestamp":1680739200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,5]]},"DOI":"10.1002\/fut.22350","type":"journal-article","created":{"date-parts":[[2023,4,6]],"date-time":"2023-04-06T13:39:17Z","timestamp":1680788357000},"page":"577-577","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 43, Number 5, May 2023"],"prefix":"10.1002","volume":"43","member":"311","published-online":{"date-parts":[[2023,4,6]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22350","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T00:04:13Z","timestamp":1692576253000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22350"}},"issued":{"date-parts":[[2023,4,6]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2023,5]]}},"alternative-id":["10.1002\/fut.22350"],"URL":"https:\/\/doi.org\/10.1002\/fut.22350","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,4,6]]},"assertion":[{"value":"2023-04-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2022,3,30]],"date-time":"2022-03-30T23:37:13Z","timestamp":1648683433769},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6697,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,5]]},"DOI":"10.1002\/(sici)1096-9934(199705)17:3<303::aid-fut3>3.0.co;2-m","type":"journal-article","created":{"date-parts":[[2004,10,23]],"date-time":"2004-10-23T00:31:57Z","timestamp":1098491517000},"page":"303-316","source":"Crossref","is-referenced-by-count":1,"title":["Marking-to-market and the demand for interest rate futures contracts"],"prefix":"10.1002","volume":"17","author":[{"given":"Abraham","family":"Lioui","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199705)17:3%3C303::AID-FUT3%3E3.0.CO;2-M","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199705)17:3%3C303::AID-FUT3%3E3.0.CO;2-M","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:26:46Z","timestamp":1625131606000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199705)17:3<303::AID-FUT3>3.0.CO;2-M"}},"issued":{"date-parts":[[1997,5]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1997,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199705)17:3<303::aid-fut3>3.0.co;2-m","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,5]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T07:15:15Z","timestamp":1696662915011},"reference-count":39,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,1,12]],"date-time":"2015-01-12T00:00:00Z","timestamp":1421020800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,8]]},"abstract":"Abstract<\/jats:title>In May of 1997, in the midst of the Internet bubble, the average month end P\/E ratio for the software industry was 44. However, the 5\u2010year historical average was 31. In this study, we examine the effect of this industry value fluctuation on the effects of option prices. We examine the relationship between the level of relative valuation and option pricing via deviations in put\u2010call parity and a two\u2010factor option pricing model incorporating relative valuation. We find support that the increase in relative industry valuation Granger causes put\u2010call parity deviations, implying investors price options with greater expectation of downward movement. Additionally, we develop a model and find support that the two\u2010factor option pricing model that incorporates relative industry valuation prices options better than the standard Black\u2013Scholes (1973) model. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:738\u2013752, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21707","type":"journal-article","created":{"date-parts":[[2015,1,12]],"date-time":"2015-01-12T16:16:24Z","timestamp":1421079384000},"page":"738-752","source":"Crossref","is-referenced-by-count":6,"title":["Price\u2010to\u2010Earnings Ratios and Option Prices"],"prefix":"10.1002","volume":"35","author":[{"given":"Ansley","family":"Chua","sequence":"first","affiliation":[{"name":"Ansley Chua is at the College of Business Kansas State University, 117A Calvin Hall Manhattan Kansas 66506"}]},{"given":"R. Jared","family":"DeLisle","sequence":"additional","affiliation":[{"name":"R. Jared DeLisle is at the Utah State University Department of Economics and Finance, Jon M. Huntsman School of Business, 3565 Old Main Hill Logan Utah 84322\u20103565"}]},{"given":"Sze\u2010Shiang","family":"Feng","sequence":"additional","affiliation":[{"name":"Sze\u2010Shiang Feng is at the Synchrony Financial Kettering Ohio 45420"}]},{"given":"Bong Soo","family":"Lee","sequence":"additional","affiliation":[{"name":"Bong Soo Lee is at the College of Business Florida State University, 251 Rovetta Tallahassee Florida 32306"}]}],"member":"311","published-online":{"date-parts":[[2015,1,12]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491093"},{"issue":"1","key":"e_1_2_8_3_1","first-page":"4","article-title":"Mean reversion in earnings and the use of E\/P multiples in corporate valuation","volume":"14","author":"Bajaj M.","year":"2004","journal-title":"Journal of Applied Finance"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.21.2.129"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_8_7_1","first-page":"147","article-title":"On the use of implied stock volatilities in the prediction of successful corporate takeovers","volume":"7","author":"Barone\u2010Adesi G.","year":"1994","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb01979.x"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90031-4"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_8_12_1","volume-title":"Contingent claims evaluation when the convenience yield is stochastic: Analytical results","author":"Bjerksund P.","year":"1991"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.11.001"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_8_18_1","unstructured":"DeLisle R. J. Lee B.\u2010S. &Mauck N.(2013). The dynamic relation between short sellers option traders and aggregate returns. Working paper Florida State University."},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20327"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v66.n1.9"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20279"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.002"},{"issue":"1","key":"e_1_2_8_23_1","first-page":"35","article-title":"What really matters when buying and selling stocks: A survey of finance professors' investing behavior","volume":"8","author":"Doran J. S.","year":"2010","journal-title":"Advances in Financial Education"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(96)00896-3"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_8_27_1","volume-title":"The investment, financing, and valuation of the corporation","author":"Gordon M. J.","year":"1962"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm071"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2001.tb00010.x"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21651"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1993.tb01347.x"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v58.n2.2522"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-679X.00042"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v63.n2.4522"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2005.11.007"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/2490874"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1969.tb01694.x"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v60.n4.2633"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21707","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21707","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:51:46Z","timestamp":1696575106000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21707"}},"issued":{"date-parts":[[2015,1,12]]},"references-count":39,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2015,8]]}},"alternative-id":["10.1002\/fut.21707"],"URL":"https:\/\/doi.org\/10.1002\/fut.21707","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,1,12]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:31:27Z","timestamp":1699835487598},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8851,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,6]]},"DOI":"10.1002\/fut.3990020212","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T20:48:15Z","timestamp":1183582095000},"page":"207-208","source":"Crossref","is-referenced-by-count":0,"title":["Smith and jacobson VS.<\/i> IRS"],"prefix":"10.1002","volume":"2","author":[{"given":"Ronald J.","family":"Horowitz","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020212","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020212","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:19:28Z","timestamp":1699802368000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020212"}},"issued":{"date-parts":[[1982,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1982,6]]}},"alternative-id":["10.1002\/fut.3990020212"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020212","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,6]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:32:23Z","timestamp":1699835543130},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":9124,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,9]]},"DOI":"10.1002\/fut.3990010308","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:47:40Z","timestamp":1183578460000},"page":"359-366","source":"Crossref","is-referenced-by-count":7,"title":["The systematic downward bias in live cattle futures: An evaluation"],"prefix":"10.1002","volume":"1","author":[{"suffix":"Jr.","given":"Lennart A.","family":"Palme","sequence":"first","affiliation":[]},{"given":"James","family":"Graham","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010308","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010308","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:50:51Z","timestamp":1699786251000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010308"}},"issued":{"date-parts":[[1981,9]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1981,9]]}},"alternative-id":["10.1002\/fut.3990010308"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010308","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,9]]}},{"indexed":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T05:02:51Z","timestamp":1699938171543},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":2222,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,8]]},"DOI":"10.1002\/fut.v29:8","type":"journal-issue","created":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T02:13:11Z","timestamp":1699927991000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"29","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v29:8","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v29:8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T02:13:11Z","timestamp":1699927991000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/29\/8"}},"issued":{"date-parts":[[2009,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2009,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v29:8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,8]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:33Z","timestamp":1699834113619},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8851,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,6]]},"DOI":"10.1002\/fut.3990020213","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T20:48:15Z","timestamp":1183582095000},"page":"209-216","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"2","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020213","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020213","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:19:29Z","timestamp":1699802369000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020213"}},"issued":{"date-parts":[[1982,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1982,6]]}},"alternative-id":["10.1002\/fut.3990020213"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020213","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,6]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:08Z","timestamp":1699834088216},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":9369,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,3]]},"DOI":"10.1002\/fut.3990010102","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:17:30Z","timestamp":1183576650000},"page":"1-2","source":"Crossref","is-referenced-by-count":1,"title":["From the editors"],"prefix":"10.1002","volume":"1","author":[{"given":"Mark J.","family":"Powers","sequence":"first","affiliation":[]},{"given":"Perry J.","family":"Kaufman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010102","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010102","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:38:57Z","timestamp":1699785537000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010102"}},"issued":{"date-parts":[[1981,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1981,3]]}},"alternative-id":["10.1002\/fut.3990010102"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010102","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,3]]}},{"indexed":{"date-parts":[[2024,9,19]],"date-time":"2024-09-19T15:09:35Z","timestamp":1726758575586},"reference-count":54,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4775,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,8]]},"DOI":"10.1002\/fut.3990130504","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T01:04:37Z","timestamp":1183683877000},"page":"469-496","source":"Crossref","is-referenced-by-count":11,"title":["How price discovery by futures impacts the cash market"],"prefix":"10.1002","volume":"13","author":[{"given":"James T.","family":"Witherspoon","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"290","article-title":"Stock Index Futures and Cash Market Volatility","volume":"7","author":"Aggarwal R.","year":"1988","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Amihud Y. andMendelson H.(1989): \u201cIndex and Index\u2010Futures Returns \u201d Technical Report Salomon Brothers Center of the Study for Financial Institutions.","DOI":"10.1177\/0148558X8900400401"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04513.x"},{"key":"e_1_2_1_5_1","unstructured":"Brady N. F.(1988): Report of The Presidential Task Force on Market Mechanisms Washington D.C."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110203"},{"key":"e_1_2_1_7_1","volume-title":"A Treatise on Markets","author":"Burns J. M.","year":"1979"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296523"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Edwards F. R.(1988a): \u201cDoes Futures Trading Increase Stock Market Volatility?\u201d Financial Analysts Journal January\/February:63\u201369.","DOI":"10.2469\/faj.v44.n1.63"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080404"},{"key":"e_1_2_1_11_1","first-page":"71","volume-title":"Black Monday and the Future of Financial Markets","author":"Fama E. F.","year":"1989"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04636.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Grossman S. J.(1988): \u201cProgram Trading and Market Volatility: A Report on Interday Relationships \u201dFinancial Analysts Journal July\/August:18\u201328.","DOI":"10.2469\/faj.v44.n4.18"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04594.x"},{"key":"e_1_2_1_16_1","first-page":"80","article-title":"Margin Requirements and Stock Market Volatility","volume":"12","author":"Hardouvelis G. A.","year":"1988","journal-title":"Federal Reserve Bunk of New York Quarterly Review"},{"key":"e_1_2_1_17_1","first-page":"736","article-title":"Margin Requirements, Volatility, and the Transitory Component of Stock Prices","volume":"80","author":"Hardouvelis G. A.","year":"1990","journal-title":"American Economic Review"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02405.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/296343"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","unstructured":"Hasbrouck J. andSchwartz R. A.(1988): \u201cLiquidity and Execution Costs in Equity Markets \u201dJournal of Portfolio Management Spring:10\u201316.","DOI":"10.3905\/jpm.1988.409160"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070403"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05078.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050110"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110208"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2648757"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110107"},{"key":"e_1_2_1_28_1","first-page":"41","volume-title":"Financial Futures and Options in the US. Economy, A Study by the Staff of the Federal Reserve System","author":"Kling A.","year":"1986"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122807"},{"key":"e_1_2_1_30_1","first-page":"1","volume-title":"Financial Futures and Options in the US. Economy, A Study by the Staff of the Federal Reserve System","author":"Kwast M. L.","year":"1986"},{"key":"e_1_2_1_31_1","first-page":"272","article-title":"Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets","volume":"7","author":"Laatsch F.","year":"1988","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_32_1","first-page":"1583","article-title":"Efficient Capital Markets and Martingales","volume":"27","author":"LeRoy S. F.","year":"1989","journal-title":"Journal of Economic Literature"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070604"},{"key":"e_1_2_1_34_1","first-page":"43","article-title":"An Operational Measure of Liquidity","volume":"76","author":"Lippman S. A.","year":"1986","journal-title":"American Economic Review"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_36_1","unstructured":"Merrick Jr. J. J.(1987): \u201cPrice Discovery in the Stock Market \u201d Working Paper Series 416 Salomon Brothers Center for the Study of Financial Institutions."},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1991.tb00559.x"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1989.tb00170.x"},{"key":"e_1_2_1_39_1","first-page":"251","article-title":"Detecting Spot Price Forecasts in Futures Prices Using Causality Tests","volume":"6","author":"Ng N.","year":"1987","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_40_1","unstructured":"NYSE(1990): \u201cNew York Stock Exchange Blue\u2010Ribbon Panel Report on Market Volatility and Investor Confidence \u201d Technical Report New York Stock Exchange."},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090204"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110202"},{"key":"e_1_2_1_43_1","first-page":"460","article-title":"Does Futures Trading Reduce Price Fluctuations in the Cash Market?","volume":"60","author":"Powers M. J.","year":"1970","journal-title":"American Economic Review"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120203"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122797"},{"key":"e_1_2_1_46_1","first-page":"18","article-title":"Has Programmed Trading Made Stock Prices More Volatile?","volume":"69","author":"Santoni G. J.","year":"1987","journal-title":"Federal Reserve Bank of St. Louis Review"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110604"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110603"},{"key":"e_1_2_1_49_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00122799"},{"key":"e_1_2_1_50_1","first-page":"83","volume-title":"Futures Markets: Their Economic Role","author":"Silber W. L.","year":"1985"},{"key":"e_1_2_1_51_1","doi-asserted-by":"crossref","unstructured":"Stoll H. R. andWhaley R. E.(1988): \u201cVolatility and Futures: Message Versus Messenger \u201dJournal of Portfolio Management Winter:20\u201322.","DOI":"10.3905\/jpm.1988.409144"},{"key":"e_1_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_53_1","first-page":"300","article-title":"Index Arbitrage Program Trading and the Prediction of Intraday Stock Price Changes","volume":"7","author":"Swinnerton E. A.","year":"1988","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_54_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912279"},{"key":"e_1_2_1_55_1","doi-asserted-by":"crossref","unstructured":"Zeckhauser R. andNiederhoffer V.(1983): \u201cThe Performance of Market Index Futures Contracts \u201dFinancial Analysts Journal January\/February:59\u201365.","DOI":"10.2469\/faj.v39.n1.59"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130504","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130504","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:59:53Z","timestamp":1698289193000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130504"}},"issued":{"date-parts":[[1993,8]]},"references-count":54,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1993,8]]}},"alternative-id":["10.1002\/fut.3990130504"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130504","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,8]]}},{"indexed":{"date-parts":[[2024,6,18]],"date-time":"2024-06-18T13:19:17Z","timestamp":1718716757466},"reference-count":35,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2016,2,22]],"date-time":"2016-02-22T00:00:00Z","timestamp":1456099200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,11]]},"abstract":"This paper investigates carry trade opportunities in major currencies against the US dollar over the period January 2, 1999 to December 31, 2012. There is evidence of significant Australian dollar (AUD), Euro, and Japanese yen (JPY) carry trades during noncrisis periods. The AUD (JPY) was an investment (a funding) currency, and the Euro was both. However, cross currency carry trades were not present. For the AUD and JPY, carry trades were more likely with low volatility and volume. Macroeconomic news that appreciate (depreciate) the AUD (the JPY) also stimulated the AUD (the JPY) carry trades. However, there is no evidence of meaningful and consistent impact of macroeconomic news on the EUR carry trades. For weekly horizon investigations, net long futures positions in the AUD promoted carry trades in the AUD and JPY. However, net long positions in the JPY only managed to reduce JPY carry trade probability. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1076\u20131107, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21778","type":"journal-article","created":{"date-parts":[[2016,2,25]],"date-time":"2016-02-25T04:06:06Z","timestamp":1456373166000},"page":"1076-1107","source":"Crossref","is-referenced-by-count":2,"title":["Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation"],"prefix":"10.1002","volume":"36","author":[{"given":"Suk\u2010Joong","family":"Kim","sequence":"first","affiliation":[{"name":"Suk\u2010Joong Kim is Associate Professor and Chair of Discipline at Discipline of Finance The University of Sydney Business School, The University of Sydney Sydney, NSW Australia"}]}],"member":"311","published-online":{"date-parts":[[2016,2,22]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.85732"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282803321455151"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2007.02.004"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9396.2012.01034.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2011.01.001"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.010"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676223"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210900999038X"},{"key":"e_1_2_7_10_1","doi-asserted-by":"crossref","unstructured":"Brunnermeier M. K. Nagel S. &Pedersen L. H.(2008). Carry trades and currency crashes. NBER Working paper No. 14473 ed pp.313\u2013347.","DOI":"10.3386\/w14473"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.2.333"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1162\/JEEA.2008.6.2-3.581"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.01.040"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.japwor.2012.01.010"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000263"},{"key":"e_1_2_7_16_1","doi-asserted-by":"crossref","unstructured":"Colavecchio R.(2008). Tracking the yen carry trade: Evidence from a regime switching approach. Available at SSRN:http:\/\/ssrn.com\/abstract=1365968.","DOI":"10.2139\/ssrn.1365968"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.05.025"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2012.12.004"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.06.001"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.09.001"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2013.08.010"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.11.003"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2005.09.014"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1515\/9780691218632"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.10.022"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2011.07.003"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.05.004"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2003.02.001"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2015.03.015"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2013.10.001"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003598"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.12.005"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01728.x"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/s12197-011-9194-7"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.417"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20516"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21778","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21778","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T10:32:55Z","timestamp":1696588375000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21778"}},"issued":{"date-parts":[[2016,2,22]]},"references-count":35,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2016,11]]}},"alternative-id":["10.1002\/fut.21778"],"URL":"https:\/\/doi.org\/10.1002\/fut.21778","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,2,22]]}},{"indexed":{"date-parts":[[2024,9,5]],"date-time":"2024-09-05T15:04:03Z","timestamp":1725548643021},"reference-count":25,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2010,2,16]],"date-time":"2010-02-16T00:00:00Z","timestamp":1266278400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,11]]},"abstract":"Abstract<\/jats:title>This study constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables have been condensed into a few explanatory factors to summarize the noisy economic system. The impacts on default intensity processes are then examined based on no\u2010arbitrage pricing constraints. The approximated results show that economic factors indicated credit problems even before the recent subprime mortgage crisis, and economic fundamentals strongly influenced credit conditions. Testing of out\u2010of\u2010sample data shows that credit evolution can be identified by dynamic explanatory factors. Consequently, the factor\u2010based pricing model can either facilitate the evaluation of default probabilities or manage default risks more effectively by quantifying the relationship between economic environment and credit conditions. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20453","type":"journal-article","created":{"date-parts":[[2010,2,16]],"date-time":"2010-02-16T15:50:52Z","timestamp":1266335452000},"page":"1058-1081","source":"Crossref","is-referenced-by-count":4,"title":["Economic determinants of default risks and their impacts on credit derivative pricing"],"prefix":"10.1002","volume":"30","author":[{"given":"Szu\u2010Lang","family":"Liao","sequence":"first","affiliation":[]},{"given":"Jui\u2010Jane","family":"Chang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,9,9]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/497044"},{"key":"e_1_2_6_3_1","unstructured":"Amato J. D.(2005).Risk aversion and risk premia in the CDS market. BIS Quarterly Review December 55\u201368."},{"key":"e_1_2_6_4_1","doi-asserted-by":"crossref","unstructured":"Amato J. D. &Luisi M.(2006).Macro factors in the term structure of credit spreads. BIS Working paper.","DOI":"10.2139\/ssrn.637481"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00032-1"},{"key":"e_1_2_6_6_1","doi-asserted-by":"crossref","unstructured":"Ang A. Dong S. &Piazzesi M.(2004).No\u2010arbitrage Taylor rules. Working paper Columbia University New York.","DOI":"10.2139\/ssrn.621126"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v64.n4.2"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00402"},{"key":"e_1_2_6_9_1","unstructured":"Couderc F. &Renault O.(2004).Times\u2010to\u2010default: Life cycle global and industry cycle impacts. Working paper University of Geneva."},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01202.x"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2006.656006"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/713665832"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.011"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009090061"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2003.11.002"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2005.01.004"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680701834614"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00389"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.06.001"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0148-6195(99)00009-0"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90046-1"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01330.x"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465399558346"},{"key":"e_1_2_6_25_1","first-page":"78","article-title":"Estimating credit contagion in a standard factor model.","volume":"21","author":"R\u00f6sch D.","year":"2008","journal-title":"Risk"},{"key":"e_1_2_6_26_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1070.0835"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20453","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20453","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T13:13:25Z","timestamp":1698671605000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20453"}},"issued":{"date-parts":[[2010,9,9]]},"references-count":25,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2010,11]]}},"alternative-id":["10.1002\/fut.20453"],"URL":"https:\/\/doi.org\/10.1002\/fut.20453","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,9,9]]}},{"indexed":{"date-parts":[[2023,8,26]],"date-time":"2023-08-26T15:11:50Z","timestamp":1693062710073},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2022,5,6]],"date-time":"2022-05-06T00:00:00Z","timestamp":1651795200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,6]]},"DOI":"10.1002\/fut.22232","type":"journal-article","created":{"date-parts":[[2022,5,6]],"date-time":"2022-05-06T09:55:49Z","timestamp":1651830949000},"page":"981-981","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 42, Number 6, June 2022"],"prefix":"10.1002","volume":"42","member":"311","published-online":{"date-parts":[[2022,5,6]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22232","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22232","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T09:58:24Z","timestamp":1692957504000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22232"}},"issued":{"date-parts":[[2022,5,6]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2022,6]]}},"alternative-id":["10.1002\/fut.22232"],"URL":"https:\/\/doi.org\/10.1002\/fut.22232","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,5,6]]},"assertion":[{"value":"2022-05-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T00:13:36Z","timestamp":1700352816811},"reference-count":16,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2002,7,10]],"date-time":"2002-07-10T00:00:00Z","timestamp":1026259200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,9]]},"abstract":"Abstract<\/jats:title>Most previous empirical studies using the Heath\u2013Jarrow\u2013Morton model (hereafter referred to\n\nas the HJM model) have focused on the one\u2010factor model. In contrast, this study implements the Das\n\n(1999<\/jats:ext-link>) two\u2010factor Poisson\u2013Gaussian version of the HJM model that\n\nincorporates a jump component as the second\u2010state variable. This study aims at examining the performance\n\nof the two\u2010factor model through comparing it with the one\u2010factor model in pricing and hedging the\n\nEurodollar futures option. The degree of impact arising from the jump factor also is examined. In addition,\n\nthree new volatility specifications are constructed to enhance further the pricing performance of the model.\n\nTheir performances are compared according to three performance yardsticks\u2014in\u2010sample fitting,\n\nout\u2010of\u2010sample pricing, and the hedging test. The result indicates that the two\u2010factor model\n\noutperforms the one\u2010factor model in both the in\u2010sample and out\u2010sample price fitting, but\n\nthe one\u2010factor model performs better in the hedging test. In addition, the HJM model, coupled with the\n\nproposed volatility specification, leads to good fitting results that will be of considerable use to\n\npractitioners and academics in guiding model choice for interest\u2010rate derivatives. \u00a9 2002 Wiley\n\nPeriodicals, Inc. Jrl Fut Mark 22:839\u2013875, 2002<\/jats:p>","DOI":"10.1002\/fut.10031","type":"journal-article","created":{"date-parts":[[2002,10,6]],"date-time":"2002-10-06T11:46:55Z","timestamp":1033904815000},"page":"839-875","source":"Crossref","is-referenced-by-count":9,"title":["Pricing and hedging American fixed\u2010income derivatives with implied volatility structures in the two\u2010factor Heath\u2013Jarrow\u2013Morton model"],"prefix":"10.1002","volume":"22","author":[{"given":"Samuel Yau Man","family":"Zeto","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,7,10]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(94)90002-7"},{"issue":"5","key":"e_1_2_1_3_1","doi-asserted-by":"crossref","first-page":"2003","DOI":"10.1111\/j.1540-6261.1997.tb02749.x","article-title":"Empirical\n\nperformance of alternative option pricing models","author":"Bakshi G.","year":"1997","journal-title":"Journal of Finance"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2077892"},{"issue":"1","key":"e_1_2_1_5_1","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1111\/0022-1082.00104","article-title":"An empirical comparison of forward\u2010rate and\n\nspot\u2010rate models for valuing interest rate options","author":"B\u00fchler W.","year":"1999","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(98)00031-1"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1999.319247"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331009"},{"key":"e_1_2_1_9_1","first-page":"54","article-title":"Contingent\n\nclaim valuation with a random evolution of interest rates","volume":"11","author":"Heath D.","year":"1991","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"issue":"9","key":"e_1_2_1_11_1","first-page":"77","article-title":"Easier done than said","volume":"5","author":"Heath D.","year":"1992","journal-title":"Risk"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331103"},{"key":"e_1_2_1_13_1","volume-title":"Modelling fixed income securities and interest rate options","author":"Jarrow R.","year":"1996"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(97)00019-8"},{"key":"e_1_2_1_15_1","volume-title":"Derivative markets","author":"Ritchken P.","year":"1996"},{"key":"e_1_2_1_16_1","unstructured":"Ritchken P. &Chuang I.(1999 January).Interest rate option pricing with volatility humps(Working Paper). Cleveland: Case Western Reserve University."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(97)00057-5"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10031","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10031","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T12:28:29Z","timestamp":1700310509000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10031"}},"issued":{"date-parts":[[2002,7,10]]},"references-count":16,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2002,9]]}},"alternative-id":["10.1002\/fut.10031"],"URL":"https:\/\/doi.org\/10.1002\/fut.10031","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,7,10]]}},{"indexed":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T05:24:35Z","timestamp":1700630675359},"reference-count":23,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2012,2,3]],"date-time":"2012-02-03T00:00:00Z","timestamp":1328227200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,2]]},"abstract":"This study analyzes seller\u2010defaultable options that allow option writers to have a free\u2010will right to default, along with some prespecified default mechanisms. We analytically and numerically examine the pricing, hedging, defaulting, and profitability of the seller\u2010defaultable options, considering three possible scenarios for seller default. Analyzing the essential implications of seller\u2010defaultable options, we show that the option price is positively correlated with the default fine, underlying asset price, and volatility. The seller\u2010defaultable option's G<\/jats:styled-content>reeks appear more complicated than those of the plain vanilla options. The likelihood of sellers defaulting increases with the underlying asset price, interest rate, volatility, and maturity time. Subject to the default mechanism, the buyers\u2019 trading involves a trade\u2010off between profits and costs. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:129\u2013157, 2013<\/jats:p>","DOI":"10.1002\/fut.21542","type":"journal-article","created":{"date-parts":[[2012,2,3]],"date-time":"2012-02-03T15:54:21Z","timestamp":1328284461000},"page":"129-157","source":"Crossref","is-referenced-by-count":1,"title":["Valuing Seller\u2010Defaultable Options"],"prefix":"10.1002","volume":"33","author":[{"given":"Jin\u2010Ray","family":"Lu","sequence":"first","affiliation":[{"name":"Jin\u2010Ray Lu is an Associate Professor of Finance at the Department of Finance, National Dong Hwa University, Hualien, Taiwan, R.O.C"}]},{"given":"Yi\u2010Chun","family":"Chen","sequence":"additional","affiliation":[{"name":"Yi\u2010Chun Chen is a Lecturer of Finance at the Department of Finance, National Dong Hwa University, Hualien, Taiwan, R.O.C"}]},{"given":"Chih\u2010Chiang","family":"Hwang","sequence":"additional","affiliation":[{"name":"Chih\u2010Chiang Hwang is a Lecturer of Finance at the Department of Finance, National Dong Hwa University, Hualien, Taiwan, R.O.C"}]},{"given":"Yi\u2010Chun","family":"Ting","sequence":"additional","affiliation":[{"name":"Yi\u2010Chun Ting is a Revenue Officer at the Taipei Revenue Service, Taipei, Taiwan, R.O.C"}]}],"member":"311","published-online":{"date-parts":[[2012,2,3]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.5.1355"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.37"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01238.x"},{"key":"e_1_2_9_6_1","first-page":"57","article-title":"Pricing American options with counterparty risk","volume":"11","author":"Chang L.","year":"2007","journal-title":"Journal of American Academy of Business"},{"key":"e_1_2_9_7_1","first-page":"145","article-title":"The valuation of options for alternative stochastic processes","volume":"3","author":"Cox J. C.","year":"1976","journal-title":"Journal of Stochastic Processes"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/381280"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_9_11_1","volume-title":"Options, futures, and other derivatives","author":"Hull J.","year":"2009"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00050-D"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20136"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10690-005-6008-y"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02567.x"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4684-0302-2"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00052-6"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02452.x"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02714.x"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/12.3.0535"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04812.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2004.03.007"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF03396644"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21542","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21542","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T22:16:43Z","timestamp":1698704203000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21542"}},"issued":{"date-parts":[[2012,2,3]]},"references-count":23,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2013,2]]}},"alternative-id":["10.1002\/fut.21542"],"URL":"https:\/\/doi.org\/10.1002\/fut.21542","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,2,3]]}},{"indexed":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T05:24:49Z","timestamp":1700630689733},"reference-count":37,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2012,5,15]],"date-time":"2012-05-15T00:00:00Z","timestamp":1337040000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,7]]},"abstract":"The futures price of an asset should depend on the spot price of that asset, the interest rate, cash flows during the contract term, the convenience yield, and storage costs. Despite many tests of the spot\u2013future relation for commodities in historical periods, there have been no tests of this historical relation for equities. We price single\u2010stock equity futures on the Tokyo Stock Exchange between 1920 and 1923 and find that mispricing is considerably worse than in contemporary U.S. markets, after adjusting for (unavoidable) asynchronous data issues. The main cause of the mispricing is short\u2010sales constraints, rather than investor naivety. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.21560","type":"journal-article","created":{"date-parts":[[2012,5,15]],"date-time":"2012-05-15T17:52:59Z","timestamp":1337104379000},"page":"601-628","source":"Crossref","is-referenced-by-count":2,"title":["The Valuation of Equity Futures on the Tokyo Stock Exchange: 1920\u20131923"],"prefix":"10.1002","volume":"33","author":[{"given":"Toby","family":"Daglish","sequence":"first","affiliation":[{"name":"Toby Daglish is at the New Zealand Institute for the Study of Competition and Regulation and Victoria University of Wellington New Zealand"}]},{"given":"Lyndon","family":"Moore","sequence":"additional","affiliation":[{"name":"Lyndon Moore is at The University of Melbourne Victoria Australia"}]}],"member":"311","published-online":{"date-parts":[[2012,5,15]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.04.006"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296011"},{"key":"e_1_2_10_6_1","volume-title":"Speculation and the Chicago Board of Trade","author":"Boyle J.","year":"1921"},{"key":"e_1_2_10_7_1","unstructured":"Chambers D. &Dimson E.(2010).Keynes the Investor. Working Paper."},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00206-4"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967406"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967408"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226386867.003.0013"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.1905"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967409"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331378"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00224-6"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967407"},{"key":"e_1_2_10_23_1","volume-title":"A treatise on money","author":"Keynes J.","year":"1930"},{"key":"e_1_2_10_24_1","volume-title":"The history of commodity futures trading and its regulation","author":"Markham J.","year":"1987"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90020-4"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1525\/california\/9780520244207.001.0001"},{"key":"e_1_2_10_28_1","first-page":"199","volume-title":"Kakaku to shij\u014d no keisei (Prices and market formation)","author":"Miyamoto M.","year":"1977"},{"key":"e_1_2_10_29_1","volume-title":"The collected writings of John Maynard Keynes (Vol. XII)","author":"Moggridge D.","year":"1983"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01012.x"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0289.2008.00454.x"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn053"},{"key":"e_1_2_10_33_1","unstructured":"Proudhon P.\u2010J. (1857).Manuel du Sp\u00e9culateur \u00e1 la Bourse.Paris:Garnier Fr\u00e9res."},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(89)90028-9"},{"key":"e_1_2_10_35_1","volume-title":"The origins of value: The financial innovations that created modern capital markets","author":"Van de Mieroop M.","year":"2005"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00087-X"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-85711-2_21"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21560","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21560","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T14:53:58Z","timestamp":1698677638000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21560"}},"issued":{"date-parts":[[2012,5,15]]},"references-count":37,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2013,7]]}},"alternative-id":["10.1002\/fut.21560"],"URL":"https:\/\/doi.org\/10.1002\/fut.21560","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,5,15]]}},{"indexed":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T04:41:40Z","timestamp":1693284100526},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2022,1,17]],"date-time":"2022-01-17T00:00:00Z","timestamp":1642377600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,2]]},"DOI":"10.1002\/fut.22228","type":"journal-article","created":{"date-parts":[[2022,1,17]],"date-time":"2022-01-17T10:30:53Z","timestamp":1642415453000},"page":"189-189","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 42, Number 2, February 2022"],"prefix":"10.1002","volume":"42","member":"311","published-online":{"date-parts":[[2022,1,17]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22228","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22228","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T04:52:38Z","timestamp":1693198358000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22228"}},"issued":{"date-parts":[[2022,1,17]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,2]]}},"alternative-id":["10.1002\/fut.22228"],"URL":"https:\/\/doi.org\/10.1002\/fut.22228","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,1,17]]},"assertion":[{"value":"2022-01-17","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T21:40:15Z","timestamp":1699998015674},"reference-count":22,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2007,2,13]],"date-time":"2007-02-13T00:00:00Z","timestamp":1171324800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,4]]},"abstract":"Abstract<\/jats:title>This study examines the impact of execution delay on the profitability of put\u2010call\u2010futures quasi\u2010arbitrage strategies using trade and quote data in the Taiwanese market. Assuming order execution at the next immediate price following a mispricing signal, the execution of individual components is traced and a substantial delay resulting from the late execution of an option is reported. A fill\u2010or\u2010kill strategy that directly restricts such a delay is unsatisfactory because unwinding already acquired positions involves added transaction costs. Ex ante performance is significantly improved for combined strategies that execute the less liquid asset first, while shortening the time before acquisition of the first position. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:361\u2013385, 2007<\/jats:p>","DOI":"10.1002\/fut.20245","type":"journal-article","created":{"date-parts":[[2007,2,13]],"date-time":"2007-02-13T16:44:03Z","timestamp":1171385043000},"page":"361-385","source":"Crossref","is-referenced-by-count":5,"title":["The impact of execution delay on the profitability of put\u2010call\u2010futures trading strategies\u2014Evidence from Taiwan"],"prefix":"10.1002","volume":"27","author":[{"given":"Jong\u2010Rong","family":"Chiou","sequence":"first","affiliation":[]},{"given":"Wen\u2010Liang Gideon","family":"Hsieh","sequence":"additional","affiliation":[]},{"given":"Yuan\u2010Yi","family":"Lin","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,2,13]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199810)18:7<743::AID-FUT1>3.0.CO;2-4"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20152"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10037"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04644.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330769"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2206"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140807"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<797::AID-FUT4>3.0.CO;2-I"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407990"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2001.tb00005.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/295929"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331317"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2003.12.001"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331275"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110304"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130806"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90016-1"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/2.1.91"},{"key":"e_1_2_1_23_1","volume-title":"Financial futures, options and swaps","author":"Tucker A. L.","year":"1991"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20245","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20245","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T20:59:25Z","timestamp":1699995565000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20245"}},"issued":{"date-parts":[[2007,2,13]]},"references-count":22,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2007,4]]}},"alternative-id":["10.1002\/fut.20245"],"URL":"https:\/\/doi.org\/10.1002\/fut.20245","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,2,13]]}},{"indexed":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T05:52:31Z","timestamp":1698213151796},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7762,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,6]]},"DOI":"10.1002\/fut.v14:4","type":"journal-issue","created":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T14:35:39Z","timestamp":1698158139000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"14","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v14:4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v14:4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T14:35:39Z","timestamp":1698158139000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/14\/4"}},"issued":{"date-parts":[[1994,6]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1994,6]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v14:4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,6]]}},{"indexed":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T05:50:06Z","timestamp":1698213006233},"reference-count":39,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5868,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,8]]},"DOI":"10.1002\/fut.3990100406","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:23:56Z","timestamp":1183645436000},"page":"377-395","source":"Crossref","is-referenced-by-count":4,"title":["The relative responsiveness to information and variability of storable commodity spot and futures prices"],"prefix":"10.1002","volume":"10","author":[{"given":"Dean","family":"Leistikow","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297415"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2232798"},{"key":"e_1_2_1_5_1","first-page":"50","article-title":"The Supply of Storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_1_6_1","unstructured":"Castelino M(1981):Futures Markets: The Maturity Effect on Risk and Return unpublished Ph. D. dissertation CUNY."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020211"},{"key":"e_1_2_1_8_1","unstructured":"Chicago Board of Trade(1980):Commodity Trading Manual."},{"key":"e_1_2_1_9_1","unstructured":"Commodity Futures Trading Commission(1978):Report on Farmer's Use of Futures Markets and Forward Contracts Washington."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90029-0"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/260998"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030305"},{"key":"e_1_2_1_14_1","unstructured":"Grauer F(1976):Equilibrium in Commodity Futures Markets: Theory and Tests unpublished Ph. D. dissertation Stanford University."},{"issue":"3","key":"e_1_2_1_15_1","article-title":"The Characteristic Bias in Some Thin Futures Markets","volume":"1","author":"Gray R. W.","year":"1960","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_16_1","first-page":"307","volume-title":"Interest Rate Futures","author":"Hill J.","year":"1982"},{"key":"e_1_2_1_17_1","first-page":"143","volume-title":"A Treatise on Money","author":"Keynes J. M.","year":"1930"},{"issue":"3","key":"e_1_2_1_18_1","article-title":"Measurement of a Random Process in Futures Prices","volume":"1","author":"Larson A. B.","year":"1960","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_19_1","unstructured":"Leistikow D. A.(1987):Announcements and Storable Commodity Price and Position Determination in an Equilibrium Three Period Rational Expectations Model with Spot Near Futures and Far Futures Markets Unpublished Ph. D. dissertation Brown University."},{"issue":"6","key":"e_1_2_1_20_1","first-page":"477","article-title":"Announcements and Futures Price Variability","volume":"9","author":"Leistikow D. A.","year":"1989","journal-title":"The Journal of Futures Markets"},{"key":"e_1_2_1_21_1","first-page":"25","volume-title":"Commodity Markets and Futures Prices","author":"Miller K. D.","year":"1979"},{"key":"e_1_2_1_22_1","unstructured":"Milohas N. T.(1984): \u201cPrice Variability in Futures Markets: The Maturity Effect \u201d CSFM Working Paper Number 99."},{"key":"e_1_2_1_23_1","first-page":"314","article-title":"Sources of Nonstationarity in Cash and Futures Prices","volume":"4","author":"Milonas N. T.","year":"1985","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_24_1","volume-title":"The Selected Writings of Holbrook Working","author":"Peck A. E.","year":"1977"},{"key":"e_1_2_1_25_1","volume-title":"Selected Writings on Futures Markets","author":"Peck A. E.","year":"1977"},{"key":"e_1_2_1_26_1","first-page":"861","article-title":"Orange Juice and Weather","volume":"74","author":"Roll R.","year":"1984","journal-title":"American Economic Review"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936017"},{"key":"e_1_2_1_28_1","first-page":"41","article-title":"Proof that Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1936018"},{"key":"e_1_2_1_30_1","first-page":"1012","article-title":"The Simultaneous Determination of Spot and Futures","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_31_1","unstructured":"Stein J. L.(1962): \u201cThe Nature and Efficiency of the Foreign Exchange Market \u201d Essays in International Finance No. 40."},{"key":"e_1_2_1_32_1","unstructured":"Stein J. L.(1979): \u201cSpot Forward and Futures \u201d in Levy Ed. Research in Finance:225\u2013310."},{"key":"e_1_2_1_33_1","volume-title":"Market Clearing Futures Prices and Hedging","author":"Stein J. L.","year":"1985"},{"key":"e_1_2_1_34_1","unstructured":"Tomek W. G. andGray R. W.(1970): \u201cTemporal Relationships Among Prices on Commodity\u201d"},{"key":"e_1_2_1_35_1","first-page":"372","article-title":"Their Allocative and Stabilizing Roles","volume":"52","author":"Futures Markets","journal-title":"American Journal of Agricultural Economics"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(77)90030-7"},{"key":"e_1_2_1_37_1","volume-title":"The Dynamics of the World Cocoa Market","author":"Weymar H. F.","year":"1965"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_1_39_1","first-page":"1254","article-title":"The Theory of the Price of Storage","volume":"31","author":"Working H. F.","year":"1949","journal-title":"American Economic Review"},{"key":"e_1_2_1_40_1","first-page":"432","article-title":"New Concepts Concerning Futures Markets","volume":"52","author":"Working H. F.","year":"1962","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100406","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100406","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:15:14Z","timestamp":1697991314000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100406"}},"issued":{"date-parts":[[1990,8]]},"references-count":39,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1990,8]]}},"alternative-id":["10.1002\/fut.3990100406"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100406","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,8]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T11:48:07Z","timestamp":1698061687367},"reference-count":5,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5807,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,10]]},"DOI":"10.1002\/fut.3990100504","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:46:51Z","timestamp":1183646811000},"page":"469-479","source":"Crossref","is-referenced-by-count":7,"title":["The efficiency of the U.S. dollar index futures market"],"prefix":"10.1002","volume":"10","author":[{"given":"Giora","family":"Harpaz","sequence":"first","affiliation":[]},{"given":"Steven","family":"Krull","sequence":"additional","affiliation":[]},{"given":"Joseph","family":"Yagil","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080202"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060408"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100504","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100504","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:14:31Z","timestamp":1697991271000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100504"}},"issued":{"date-parts":[[1990,10]]},"references-count":5,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1990,10]]}},"alternative-id":["10.1002\/fut.3990100504"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100504","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,10]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:20:43Z","timestamp":1698074443527},"reference-count":5,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6294,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,6]]},"DOI":"10.1002\/fut.3990090309","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:01:42Z","timestamp":1183636902000},"page":"271-272","source":"Crossref","is-referenced-by-count":2,"title":["The relationship between stock indices and stock index futures from 3:00\u20133:15: A note"],"prefix":"10.1002","volume":"9","author":[{"given":"Edwin D.","family":"Maberly","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030102"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060402"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb02537.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Lakonishok J. andSmidt S.(1988): \u201cAre Seasonal Anomalies Real? A Ninety Year Perspective \u201dThe Review of Financial Studies forthcoming.","DOI":"10.1093\/rfs\/1.4.403"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080111"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090309","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090309","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:20:29Z","timestamp":1697991629000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090309"}},"issued":{"date-parts":[[1989,6]]},"references-count":5,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1989,6]]}},"alternative-id":["10.1002\/fut.3990090309"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090309","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,6]]}},{"indexed":{"date-parts":[[2025,5,19]],"date-time":"2025-05-19T21:01:46Z","timestamp":1747688506554},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1308,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,2]]},"DOI":"10.1002\/fut.v32.2","type":"journal-issue","created":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T02:57:43Z","timestamp":1698634663000},"source":"Crossref","is-referenced-by-count":5,"prefix":"10.1002","volume":"32","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v32.2","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T02:57:43Z","timestamp":1698634663000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/32\/2"}},"issued":{"date-parts":[[2012,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2012,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v32.2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,2]]}},{"indexed":{"date-parts":[[2025,11,15]],"date-time":"2025-11-15T16:53:05Z","timestamp":1763225585146},"reference-count":22,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,11]]},"DOI":"10.1002\/fut.20174","type":"journal-article","created":{"date-parts":[[2005,9,16]],"date-time":"2005-09-16T16:17:07Z","timestamp":1126887427000},"page":"1093-1120","source":"Crossref","is-referenced-by-count":15,"title":["Consistent calibration of HJM models to cap implied volatilities"],"prefix":"10.1002","volume":"25","author":[{"given":"Flavio","family":"Angelini","sequence":"first","affiliation":[]},{"given":"Stefano","family":"Herzel","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"key":"10.1002\/fut.20174-BIB1","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/0304-405X(94)90002-7","volume":"35","author":"Amin","year":"1994","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20174-BIB2","doi-asserted-by":"crossref","first-page":"8","DOI":"10.3905\/jod.2002.319182","volume":"9","author":"Angelini","year":"2002","journal-title":"Journal of Derivatives"},{"key":"10.1002\/fut.20174-BIB3","volume-title":"Zero-coupon yield curves: Technical documentation","author":"BIS","year":"1999","unstructured":"BIS. (1999). Zero-coupon yield curves: Technical documentation. Basel: Bank for International Settlements."},{"key":"10.1002\/fut.20174-BIB4","doi-asserted-by":"crossref","DOI":"10.1093\/0198775180.001.0001","volume-title":"Arbitrage theory in continuous time","author":"Bj\u00f6rk","year":"1998","unstructured":"(1998). Arbitrage theory in continuous time. Oxford: Oxford University Press."},{"key":"10.1002\/fut.20174-BIB5","volume-title":"Option pricing, interest rates and risk management","author":"Bj\u00f6rk","year":"2001","unstructured":"(2001). A geometric view of interest rate theory. In , & (Eds.), Option pricing, interest rates and risk management. Cambridge: Cambridge University Press."},{"key":"10.1002\/fut.20174-BIB6","doi-asserted-by":"crossref","first-page":"323","DOI":"10.1111\/1467-9965.00072","volume":"9","author":"Bj\u00f6rk","year":"1999","journal-title":"Mathematical Finance"},{"key":"10.1002\/fut.20174-BIB7","doi-asserted-by":"crossref","first-page":"303","DOI":"10.1007\/s007800100060","volume":"6","author":"Bj\u00f6rk","year":"2002","journal-title":"Finance and Stocastics"},{"key":"10.1002\/fut.20174-BIB8","doi-asserted-by":"crossref","first-page":"259","DOI":"10.1111\/j.1467-9965.1994.tb00095.x","volume":"4","author":"Brace","year":"1994","journal-title":"Mathematical Finance"},{"key":"10.1002\/fut.20174-BIB9","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-662-04553-4","volume-title":"Interest rate models: Theory and practice","author":"Brigo","year":"2001","unstructured":"& (2001). Interest rate models: Theory and practice. New York: Springer-Verlag."},{"key":"10.1002\/fut.20174-BIB10","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1111\/0022-1082.00104","volume":"54","author":"B\u00fchler","year":"1999","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20174-BIB11","doi-asserted-by":"crossref","first-page":"635","DOI":"10.2307\/4126735","volume":"38","author":"Driessen","year":"2003","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20174-BIB12","author":"Filipovi\u0107","year":"2001","unstructured":"(2001). Consistency problems for Heath-Jarrow-Morton interest rate models (Lecture Notes in Mathematics No. 1760). New York: Springer-Verlag."},{"key":"10.1002\/fut.20174-BIB13","doi-asserted-by":"crossref","first-page":"77","DOI":"10.2307\/2951677","volume":"60","author":"Heath","year":"1992","journal-title":"Econometrica"},{"key":"10.1002\/fut.20174-BIB14","doi-asserted-by":"crossref","first-page":"1011","DOI":"10.1111\/j.1540-6261.1986.tb02528.x","volume":"41","author":"Ho","year":"1986","journal-title":"The Journal of Finance"},{"key":"10.1002\/fut.20174-BIB15","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1093\/rfs\/3.4.573","volume":"3","author":"Hull","year":"1990","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/fut.20174-BIB16","doi-asserted-by":"crossref","first-page":"7","DOI":"10.3905\/jod.1994.407902","volume":"Fall","author":"Hull","year":"1994","journal-title":"The Journal of Derivatives"},{"key":"10.1002\/fut.20174-BIB17","author":"Mercurio","year":"1996","unstructured":"& (1996). An analytically tractable interest rate model with humped volatility (Discussion Paper No. TI 96-116-2). Rotterdam, The Netherlands: Tinbergen Institute, Erasmus University."},{"key":"10.1002\/fut.20174-BIB18","doi-asserted-by":"crossref","first-page":"9","DOI":"10.3905\/jod.2000.319122","volume":"Spring","author":"Moraleda","year":"2000","journal-title":"The Journal of Derivatives"},{"key":"10.1002\/fut.20174-BIB19","doi-asserted-by":"crossref","first-page":"473","DOI":"10.1086\/296409","volume":"60","author":"Nelson","year":"1987","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20174-BIB20","volume-title":"Interest rate option models","author":"Rebonato","year":"1998","unstructured":"(1998). Interest rate option models (2nd ed.). Chichester: Wiley."},{"key":"10.1002\/fut.20174-BIB21","doi-asserted-by":"crossref","first-page":"237","DOI":"10.1023\/A:1009690621051","volume":"3","author":"Ritchken","year":"1999","journal-title":"Review of Derivatives Research"},{"key":"10.1002\/fut.20174-BIB22","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1016\/0304-405X(77)90016-2","volume":"5","author":"Vasicek","year":"1977","journal-title":"Journal of Financial Economics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20174","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20174","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:07:10Z","timestamp":1625166430000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20174"}},"issued":{"date-parts":[[2005]]},"references-count":22,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2005,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20174","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2025,11,21]],"date-time":"2025-11-21T11:53:09Z","timestamp":1763725989639},"reference-count":36,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2005,12,14]],"date-time":"2005-12-14T00:00:00Z","timestamp":1134518400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,2]]},"abstract":"Abstract<\/jats:title>The impact of changes in trading costs, due to decimalization, on informed trading and speed of information transmission between exchange\u2010traded funds (ETFs) and their corresponding index futures is examined. ETFs began to trade in decimals on January 29, 2001, and index futures continued to trade in their original tick sizes. The focus is on whether the decrease in the minimum tick size of ETFs influences the relative performances of these two types of index instruments in the price\u2010discovery process. It is found that for ETFs, the trading activity increases, but the market depth drops significantly after decimalization. The spreads for ETFs generally decrease, but the adverse selection component of ETF spreads increases. Furthermore, after decimalization, ETFs start to lead index futures in the price\u2010discovery process and its share of information also increases. Although index futures still assume a dominant role in information discovery, the information content of the ETFs' prices improves significantly after decimalization. \u00a9 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:131\u2013151, 2006<\/jats:p>","DOI":"10.1002\/fut.20189","type":"journal-article","created":{"date-parts":[[2005,12,14]],"date-time":"2005-12-14T22:47:01Z","timestamp":1134600421000},"page":"131-151","source":"Crossref","is-referenced-by-count":59,"title":["Decimalization, trading costs, and information transmission between ETFs and index futures"],"prefix":"10.1002","volume":"26","author":[{"given":"Robin K.","family":"Chou","sequence":"first","affiliation":[]},{"given":"Huimin","family":"Chung","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005,12,14]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04567.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04817.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Ates A. &Wang G. H. K.(2004).Information transmission in electronic versus open\u2010outcry trading systems: An analysis of US equity index futures markets (working paper). Washington DC: Commodity Futures Trading Commission.","DOI":"10.1002\/fut.20160"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10053"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126742"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10086"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2004.00078.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2003.11.001"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009765322522"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(97)00058-2"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00009-1"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.623"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-9573(03)00017-2"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90034-7"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00061-6"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb03926.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913827"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(95)00867-E"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(90)90048-5"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.1035"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(97)00011-6"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.335"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.1.103"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00259"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/3666377"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140706"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<757::AID-FUT2>3.0.CO;2-M"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20189","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20189","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:35:59Z","timestamp":1700058959000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20189"}},"issued":{"date-parts":[[2005,12,14]]},"references-count":36,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2006,2]]}},"alternative-id":["10.1002\/fut.20189"],"URL":"https:\/\/doi.org\/10.1002\/fut.20189","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005,12,14]]}},{"indexed":{"date-parts":[[2025,11,30]],"date-time":"2025-11-30T09:14:38Z","timestamp":1764494078391,"version":"3.37.3"},"reference-count":31,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2019,11,17]],"date-time":"2019-11-17T00:00:00Z","timestamp":1573948800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,3]]},"abstract":"Abstract<\/jats:title>Algorithmic traders use their advantage of\u00a0speed to execute a large number of small\u2010sized trades in a very short time. In the presence of a minimum trading unit (MTU) restriction, they are forced to trade at the smallest possible sizes, often restricted by the MTU. Using a novel data set of single stock futures market obtained from the National Stock Exchange of India, we show that the MTU restriction acts as a binding constraint for traders while optimizing trade sizes. Contrary to expectation, we find weak evidence that liquidity is positively impacted by the contract size revision.<\/jats:p>","DOI":"10.1002\/fut.22073","type":"journal-article","created":{"date-parts":[[2019,11,18]],"date-time":"2019-11-18T03:50:00Z","timestamp":1574049000000},"page":"355-373","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Does trade size restriction affect trading behavior? Evidence from Indian single stock futures market"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6422-0155","authenticated-orcid":false,"given":"Anirban","family":"Banerjee","sequence":"first","affiliation":[{"name":"Finance, Accounting and Control Group Indian Institute of Management Kozhikode Kozhikode India"}]},{"given":"Ashok","family":"Banerjee","sequence":"additional","affiliation":[{"name":"Finance and Control Group Indian Institute of Management Calcutta Kolkata India"}]}],"member":"311","published-online":{"date-parts":[[2019,11,17]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.3390\/ijfs2020203"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2014.917119"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00141"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2010139211000067"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(97)00012-8"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2012.19.3.029"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2010.08.003"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00746.x"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu032"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12186"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20133"},{"key":"e_1_2_11_14_1","unstructured":"Chlistalla M.(2011).High frequency trading better than its reputation?(Technical Report)."},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90029-8"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/fima.12105"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331258"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126732"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v54.n1.2142"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/irfi.12026"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1999.tb00470.x"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1023\/B:REQU.0000004782.92370.89"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1177\/0148558X9701200101"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04370.x"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.06.006"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04565.x"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610928908830135"},{"key":"e_1_2_11_29_1","unstructured":"NSE.National Stock Exchange of India (NSE) spot and futures market order\u2010level historical data for the year 2015; data not publicly available; data set without account information can be acquired from NSE. Retrieved fromhttps:\/\/www.nseindia.com\/supra_global\/content\/dotex\/data_products.htm"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12185"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00259"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22073","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22073","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22073","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22073","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,8]],"date-time":"2023-09-08T01:54:42Z","timestamp":1694138082000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22073"}},"issued":{"date-parts":[[2019,11,17]]},"references-count":31,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2020,3]]}},"alternative-id":["10.1002\/fut.22073"],"URL":"https:\/\/doi.org\/10.1002\/fut.22073","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,11,17]]},"assertion":[{"value":"2018-05-20","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-10-22","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-11-17","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,13]],"date-time":"2025-12-13T06:47:12Z","timestamp":1765608432003},"reference-count":27,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2013,7,16]],"date-time":"2013-07-16T00:00:00Z","timestamp":1373932800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,11]]},"abstract":"Abstract<\/jats:title>We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moment variations computed from high\u2010frequency return series are good approximations to corresponding actual moments of the return distribution. An investor holding an asset with skewed or fat\u2010tailed distribution is able to hedge the tail risk by contracting the third or fourth moment swap under which the float leg of realized variation and the predetermined fixed leg are exchanged. Thus, constructed portfolio follows more Gaussian\u2010like distribution and hence the investor effectively hedges the tail risk. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:1040\u20131061, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21635","type":"journal-article","created":{"date-parts":[[2013,7,16]],"date-time":"2013-07-16T19:14:46Z","timestamp":1374002086000},"page":"1040-1061","source":"Crossref","is-referenced-by-count":7,"title":["High Moment Variations and Their Application"],"prefix":"10.1002","volume":"34","author":[{"given":"Geon Ho","family":"Choe","sequence":"first","affiliation":[{"name":"Geon Ho Choe and Kyungsub Lee are collocated at Department of Mathematical Sciences, KAIST, Daejeon, Korea. This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education (NRF\u20102011\u20100012073)."}]},{"given":"Kyungsub","family":"Lee","sequence":"additional","affiliation":[{"name":"Geon Ho Choe and Kyungsub Lee are collocated at Department of Mathematical Sciences, KAIST, Daejeon, Korea. This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education (NRF\u20102011\u20100012073)."}]}],"member":"311","published-online":{"date-parts":[[2013,7,16]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_8_4_1","first-page":"1945","volume":"52","author":"Bakshi G.","year":"2006","journal-title":"A theory of volatility spreads"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi018"},{"key":"e_1_2_8_10_1","doi-asserted-by":"crossref","unstructured":"Carr P. &Madan D.(2001). Towards a theory of volatility trading. In E. Jouini J. Cvitanic and Marek Musiela eds. Handbooks in mathematical finance: Option pricing interest rates and risk management (pp.458\u2013476). Cambridge UK: Cambridge University Press.","DOI":"10.1017\/CBO9780511569708.013"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.010"},{"key":"e_1_2_8_13_1","unstructured":"Demeterfi K. Derman E. Kamal M. & Zou J. (1999). More than you ever wanted to know about volatility swaps. Technical report Goldman Sachs."},{"key":"e_1_2_8_14_1","unstructured":"Du J. &Kapadia N.(2012). Volatility and tail indices from option prices. Working paper University of Massachusetts Amherst."},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000071"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676230"},{"key":"e_1_2_8_18_1","doi-asserted-by":"crossref","unstructured":"Kozhan R. Neuberger A. &Schneider P.(2012). The skew risk premium in the equity index market. Working paper Warwick Business School.","DOI":"10.2139\/ssrn.2565731"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01961.x"},{"key":"e_1_2_8_20_1","unstructured":"Kuo H.\u2010H.(2006). Introduction to stochastic integration. New York: Springer."},{"key":"e_1_2_8_21_1","unstructured":"Lee K.(2012a). GARCH intensity model and new methods of option pricing. Unpublished doctoral dissertation KAIST Daejon."},{"key":"e_1_2_8_22_1","doi-asserted-by":"crossref","unstructured":"Lee K.(2012b). Recursive formula for arithmetic Asian option prices. Journal of Futures Markets 34 220\u2013234.","DOI":"10.1002\/fut.21591"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2004.12.020"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA7417"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs101"},{"key":"e_1_2_8_26_1","doi-asserted-by":"crossref","unstructured":"Protter P.\u00a0E.(2005). Stochastic integration and differential equations. Berlin: Springer.","DOI":"10.1007\/978-3-662-10061-5"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp035"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-010-0168-0"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21635","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21635","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T16:43:34Z","timestamp":1696610614000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21635"}},"issued":{"date-parts":[[2013,7,16]]},"references-count":27,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2014,11]]}},"alternative-id":["10.1002\/fut.21635"],"URL":"https:\/\/doi.org\/10.1002\/fut.21635","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,7,16]]}},{"indexed":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T04:43:37Z","timestamp":1766983417557},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5083,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,10]]},"DOI":"10.1002\/fut.v21:10","type":"journal-issue","created":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T14:59:48Z","timestamp":1700319588000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"21","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v21:10","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T14:59:48Z","timestamp":1700319588000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/21\/10"}},"issued":{"date-parts":[[2001,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2001,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v21:10","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,10]]}},{"indexed":{"date-parts":[[2025,11,12]],"date-time":"2025-11-12T03:27:56Z","timestamp":1762918076871,"version":"3.37.3"},"reference-count":22,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2020,1,30]],"date-time":"2020-01-30T00:00:00Z","timestamp":1580342400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"Ministry of Education (MOE, Korea) and National Research Foundation of Korea","award":["21B20130000013"],"award-info":[{"award-number":["21B20130000013"]}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,6]]},"abstract":"Abstract<\/jats:title>We investigate whether the risk profile of contingent convertible (CoCo) bonds is well\u2010priced by testing the sensitivity of bond spreads to bank asset volatility. While equity holders (bankers) have an incentive to make riskier investments to trigger the write\u2010off, such risk\u2010taking behavior can be contained if CoCo bond investors punish it by demanding higher returns. We have found that investors in the Korean financial market understand the risk profile of CoCo bonds and require higher returns for the additional bank risk, which suggests the presence of market discipline with regard to CoCo bonds.<\/jats:p>","DOI":"10.1002\/fut.22097","type":"journal-article","created":{"date-parts":[[2020,1,30]],"date-time":"2020-01-30T13:52:16Z","timestamp":1580392336000},"page":"885-894","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Bank risk\u2010taking and market discipline: Evidence from CoCo bonds in Korea"],"prefix":"10.1002","volume":"40","author":[{"given":"Younghwan","family":"Lee","sequence":"first","affiliation":[{"name":"Economic Statistics Department The Bank of Korea Seoul Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0826-9456","authenticated-orcid":false,"given":"Haerang","family":"Park","sequence":"additional","affiliation":[{"name":"Department of Economics Seoul National University Seoul Korea"}]}],"member":"311","published-online":{"date-parts":[[2020,1,30]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"crossref","unstructured":"Avdjiev S. Bogdanova B. Bolton P. Jiang W. &Kartasheva A.(2017).CoCo issuance and bank fragility (No. w23999).National Bureau of Economic Research.","DOI":"10.3386\/w23999"},{"volume-title":"Basel: Basel Committee on Banking Supervision","year":"2010","author":"Basel Committee","key":"e_1_2_8_3_1"},{"key":"e_1_2_8_4_1","unstructured":"Beardsworth T. &Glover J.(2017).Contingent convertibles.\u00a0Retrieved fromhttps:\/\/www.bloomberg.com\/quicktake\/contingent\u2010convertible\u2010bonds"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2014.11.002"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn044"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1022021430852"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/coep.12020"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA11206"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21768"},{"key":"e_1_2_8_11_1","unstructured":"Hesse H.(2018).Incentive effects from write\u2010down CoCo bonds: An empirical analysis.SAFE Working Paper No. 212 Available at SSRN:https:\/\/ssrn.com\/abstract=2797203"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2014.03.009"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.06.009"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00354"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_8_16_1","first-page":"89","article-title":"An empirical study on market discipline role of financial market players in Korea","volume":"19","author":"Park J.\u2010S.","year":"2017","journal-title":"Korea Review of Applied Economics"},{"issue":"1","key":"e_1_2_8_17_1","first-page":"33","article-title":"Contingent capital: The trigger problem","volume":"98","author":"Prescott E. S.","year":"2012","journal-title":"FRB Richmond Economic Quarterly"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1353\/mcb.2003.0022"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12134"},{"key":"e_1_2_8_20_1","unstructured":"[Bond transaction data]; Not publicly available;data set can be acquired paying a data license fee inFnGuide."},{"key":"e_1_2_8_21_1","unstructured":"[CDS spread data]; Not publicly available;data set can be acquired paying a data license fee inBloomberg."},{"key":"e_1_2_8_22_1","unstructured":"[Korean macroeconomic data]; Publicly available;data set can be obtained from Economic Statistics System of Bank of Korea websitehttps:\/\/ecos.bok.or.kr"},{"key":"e_1_2_8_23_1","unstructured":"[Korean Banks' financial information]; Publicly available;data set can be obtained from Financial Statistics Information System of Korean Financial Supervisory Service websitehttp:\/\/fisis.fss.or.kr"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22097","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22097","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22097","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22097","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T22:32:25Z","timestamp":1694039545000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22097"}},"issued":{"date-parts":[[2020,1,30]]},"references-count":22,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2020,6]]}},"alternative-id":["10.1002\/fut.22097"],"URL":"https:\/\/doi.org\/10.1002\/fut.22097","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,1,30]]},"assertion":[{"value":"2019-08-16","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-30","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T05:40:36Z","timestamp":1698298836333},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7214,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,12]]},"DOI":"10.1002\/fut.v15:8","type":"journal-issue","created":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T17:33:35Z","timestamp":1698255215000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"15","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v15:8","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v15:8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T17:33:35Z","timestamp":1698255215000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/15\/8"}},"issued":{"date-parts":[[1995,12]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1995,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v15:8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,12]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T00:57:35Z","timestamp":1698281855848},"reference-count":28,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6842,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,12]]},"DOI":"10.1002\/fut.3990070605","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:47:54Z","timestamp":1183625274000},"page":"653-662","source":"Crossref","is-referenced-by-count":5,"title":["Risk premiums in financial futures markets: The case of treasury bond futures"],"prefix":"10.1002","volume":"7","author":[{"given":"Mark S.","family":"Rzepczynski","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030307"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Bodie Z. andRosansky V.(1980): \u201cRisk and Return in Commodity Futures \u201dFinancial Analysts Journal (May\/June):27\u201339.","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90016-3"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010208"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935783"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/261148"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020106"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Edwards F.(1981): \u201cThe Regulation of Futures Markets: A Conceptual Framework \u201dJournal of Futures Markets Supplement 1.","DOI":"10.1002\/fut.3990010211"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90027-1"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/260453"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90014-X"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2327061"},{"key":"e_1_2_1_16_1","first-page":"463","article-title":"Survey Evidence on the \u2018Rationality of Interest Rate Expectations\u2019","volume":"6","author":"Freidman B.","year":"1980","journal-title":"Journal of Monetary Economics"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/260898"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Kane E.(1982): \u201cNested Tests of Alternative Term Structure Theories \u201dRev. of Economics and Statistics (February):115\u2013123.","DOI":"10.2307\/1924415"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/260308"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226531922.001.0001"},{"key":"e_1_2_1_21_1","volume-title":"The Term Structure of Interest Rates","author":"Nelson C.","year":"1972"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(81)90013-1"},{"key":"e_1_2_1_23_1","unstructured":"Poole W.(1978): \u201cUsing T\u2010bill Futures to Gauge Interest Rate Expectations \u201d Federal Reserve Bank of San Francisco Economic Review (Spring):7\u201319."},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040209"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_26_1","volume-title":"The Behavior of Interest Rates: An Application of the Efficient Market Model to U.S. Treasury Bills","author":"Roll R.","year":"1970"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90005-8"},{"key":"e_1_2_1_28_1","first-page":"2","article-title":"Speculative Price: Economic Welfare and the Idiot of Chance","author":"Stein J. L.","year":"1981","journal-title":"The Review of Economics and Statistics"},{"key":"e_1_2_1_29_1","first-page":"1254","article-title":"The Theory of Price of Storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070605","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070605","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T17:26:51Z","timestamp":1697909211000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070605"}},"issued":{"date-parts":[[1987,12]]},"references-count":28,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1987,12]]}},"alternative-id":["10.1002\/fut.3990070605"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070605","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,12]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T08:41:51Z","timestamp":1698309711706},"reference-count":15,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4653,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,12]]},"DOI":"10.1002\/fut.3990130803","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:39:40Z","timestamp":1183682380000},"page":"849-864","source":"Crossref","is-referenced-by-count":0,"title":["Robust live hog pricing strategies under uncertain prices and risk preferences"],"prefix":"10.1002","volume":"13","author":[{"given":"Brian D.","family":"Adam","sequence":"first","affiliation":[]},{"given":"Philip","family":"Garcia","sequence":"additional","affiliation":[]},{"given":"Robert J.","family":"Hauser","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Adam B. D.(1990): \u201cIncorporating Options and Forecast Information in Producer Hog Marketing Strategies: Conceptual and Measurement Issues \u201d Ph.D. Thesis University of Illinois 1990."},{"key":"e_1_2_1_3_1","volume-title":"Institute of Food and Agricultural Sciences","author":"Babb E. M.","year":"1985"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_5_1","volume-title":"Options Markets","author":"Cox J. C.","year":"1985"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243040"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242728"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241304"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349348"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050302"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1403192"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118150740"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242884"},{"key":"e_1_2_1_14_1","first-page":"421","article-title":"Two\u2010Moment Decision Models and Expected Utility Maximization","volume":"77","author":"Meyer J.","year":"1987","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080203"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0148-6195(87)90013-0"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130803","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130803","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T04:22:12Z","timestamp":1698207732000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130803"}},"issued":{"date-parts":[[1993,12]]},"references-count":15,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1993,12]]}},"alternative-id":["10.1002\/fut.3990130803"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130803","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,12]]}},{"indexed":{"date-parts":[[2025,5,5]],"date-time":"2025-05-05T15:10:57Z","timestamp":1746457857157,"version":"3.37.3"},"reference-count":39,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2022,2,24]],"date-time":"2022-02-24T00:00:00Z","timestamp":1645660800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71701171","72073109","72071162"],"award-info":[{"award-number":["71701171","72073109","72071162"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,6]]},"abstract":"Abstract<\/jats:title>We are the first to study the pricing and hedging of VIX options via Monte Carlo (MC) under GARCH(1,1) and Glosten\u2013Jagannathan\u2013Runkle GARCH(1,1) models. Our pricing is ab initio and out\u2010of\u2010sample and can be implemented in real time. Importantly, we propose the so\u2010called single\u2010option hedge error, a better measure than that of Bakshi et al., and suggest several techniques to expedite MC by over 1000 times, which rivals the potential speedup of quantum computers. Empirically, our proposed approach outperforms two types of benchmarks; further, the asymmetric Glosten\u2013Jagannathan\u2013Runkle outperforms the symmetric GARCH. Overall, our paper has both theoretical and practical implications.<\/jats:p>","DOI":"10.1002\/fut.22318","type":"journal-article","created":{"date-parts":[[2022,2,24]],"date-time":"2022-02-24T12:22:36Z","timestamp":1645705356000},"page":"1039-1066","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["GARCH pricing and hedging of VIX options"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8466-3108","authenticated-orcid":false,"given":"Qiang","family":"Liu","sequence":"first","affiliation":[{"name":"School of Finance Southwestern University of Finance and Economics Chengdu China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7218-2013","authenticated-orcid":false,"given":"Yuhan","family":"Jiao","sequence":"additional","affiliation":[{"name":"School of Finance Southwestern University of Finance and Economics Chengdu China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8188-6517","authenticated-orcid":false,"given":"Shuxin","family":"Guo","sequence":"additional","affiliation":[{"name":"Department of Finance, School of Economics and Management Southwest Jiaotong University Chengdu China"}]}],"member":"311","published-online":{"date-parts":[[2022,2,24]]},"reference":[{"key":"e_1_2_8_2_1","first-page":"83","article-title":"The little Heston trap","author":"Albrecher H.","year":"2007","journal-title":"Wilmott"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn031"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22157"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22074"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1999.043"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/0740817X.2013.857063"},{"key":"e_1_2_8_9_1","unstructured":"Cboe. (2019\u20102020).Daily market VIX and VIX futures data.https:\/\/www.cboe.com"},{"key":"e_1_2_8_10_1","unstructured":"Cboe DataShop. (2019).Daily VIX options data.https:\/\/www.cboe.com"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009814324980"},{"volume-title":"Bond markets, analysis and strategies","year":"2004","author":"Fabozzi F. J.","key":"e_1_2_8_12_1"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-21617-1"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00506.x"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00034-8"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2019.1.089"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"volume-title":"Options, futures, and other derivatives","year":"2015","author":"Hull J. C.","key":"e_1_2_8_20_1"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22190"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22092"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2020.101326"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10203-011-0124-0"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20387"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2015.10.001"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2007.171"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680802392496"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22037"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.08.010"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"volume-title":"Numerical recipes in C++: The art of scientific computing","year":"2002","author":"Press W. H.","key":"e_1_2_8_33_1"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-04790-3_15"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21820"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20466"},{"key":"e_1_2_8_37_1","unstructured":"Yahoo!Finance. (1990\u20102019).Daily S&P 500 index data.https:\/\/finance.yahoo.com"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2019.1.075"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20512"},{"key":"e_1_2_8_40_1","unstructured":"U.S. Department of the Treasury. (2019).Daily treasury yield curve rates.https:\/\/home.treasury.gov"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22318","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22318","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22318","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T09:58:07Z","timestamp":1692957487000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22318"}},"issued":{"date-parts":[[2022,2,24]]},"references-count":39,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2022,6]]}},"alternative-id":["10.1002\/fut.22318"],"URL":"https:\/\/doi.org\/10.1002\/fut.22318","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,2,24]]},"assertion":[{"value":"2021-09-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-01-25","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-02-24","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:02:25Z","timestamp":1760522545424},"reference-count":19,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4867,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,5]]},"DOI":"10.1002\/fut.3990130306","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:58:36Z","timestamp":1183683516000},"page":"299-312","source":"Crossref","is-referenced-by-count":27,"title":["Do the options markets really overreact?"],"prefix":"10.1002","volume":"13","author":[{"given":"Fernando","family":"Diz","sequence":"first","affiliation":[]},{"given":"Thomas J.","family":"Finucane","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2343873"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1910133"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90024-4"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_9_1","unstructured":"Diz F. andFincane T. J.(1991): \u201cThe Time Series Properties of Implied Volatility of S&P100 Index Options \u201d Unpublished manuscript Syracuse University."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(74)90034-7"},{"key":"e_1_2_1_12_1","unstructured":"Harvey A. C. andMcAvinchey I. D.(1978 April): \u201cThe Small Sample Efficiency of Two\u2010Step Estimators in Regression Models with Autoregressive Disturbances \u201d Discussion Paper No. 78\u201010 University of British Columbia."},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Harvey C. R. andWhaley R. E.(1991a): \u201cDividends and S&P100 Index Option Valuation \u201dJournal of Futures Markets forthcoming.","DOI":"10.1002\/fut.3990120202"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Harvey C. R. andWhaley R. E.(1991b): \u201cMarket Volatility Prediction and the Efficiency of the S&P100 Index Option Market \u201dJournal of Financial Economics forthcoming.","DOI":"10.1016\/0304-405X(92)90011-L"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04631.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2232053"},{"key":"e_1_2_1_17_1","volume-title":"Econometrics","author":"Maddala G. S.","year":"1977"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90021-6"},{"issue":"4","key":"e_1_2_1_19_1","doi-asserted-by":"crossref","first-page":"1011","DOI":"10.1111\/j.1540-6261.1989.tb02635.x","article-title":"Overreactions in the Options Markets","author":"Stein J.","year":"1989","journal-title":"Journal of Finance"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.16"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130306","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130306","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T16:57:04Z","timestamp":1698253024000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130306"}},"issued":{"date-parts":[[1993,5]]},"references-count":19,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1993,5]]}},"alternative-id":["10.1002\/fut.3990130306"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130306","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,5]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:19:44Z","timestamp":1760523584196,"version":"3.37.3"},"reference-count":45,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2017,11,28]],"date-time":"2017-11-28T00:00:00Z","timestamp":1511827200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,7]]},"abstract":"Using futures markets, we examine the lead\u2010lag relationships among 11 industrialized countries. Lagged monthly returns for several countries have return predictability comparable to those in the United States for the 1988\u20132016 period. The international futures markets are more correlated in market downturns, while the lead\u2010lag relationships are more significant in market upturns. Consistent with these asymmetric relationships, a contrarian strategy (in particular, by buying the losers) offers significant profits in an up market but not in a down market. The contrarian profits are not captured by a factor model using global equity factors and momentum profits.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21892","type":"journal-article","created":{"date-parts":[[2017,11,29]],"date-time":"2017-11-29T15:43:49Z","timestamp":1511970229000},"page":"788-803","source":"Crossref","is-referenced-by-count":8,"title":["Return predictability and contrarian profits of international index futures"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2230-1261","authenticated-orcid":false,"given":"Yiuman","family":"Tse","sequence":"first","affiliation":[{"name":"Department of Finance and Legal Studies University of Missouri\u2014St. Louis St. Louis Missouri"}]}],"member":"311","published-online":{"date-parts":[[2017,11,28]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl021"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01642-D"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2011.37.4.067"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01060.x"},{"volume-title":"Econometric analysis of panel data","year":"2013","author":"Baltagi B. H.","key":"e_1_2_10_6_1"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.11.010"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.07.001"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00009-8"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-538X(95)00023-E"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.3.539"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609990776"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676188"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(99)00096-5"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00071-9"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00665.x"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1766"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.12.002"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05202.x"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.011"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.10.030"},{"key":"e_1_2_10_25_1","first-page":"393","article-title":"A comprehensive look at the empirical performance of equity premium prediction","volume":"2","author":"Goyal A.","year":"2008","journal-title":"Review of Financial Studies"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.2.281"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000404"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21837"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00184"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.09.010"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05110.x"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04702.x"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1006\/jfin.1995.1006"},{"key":"e_1_2_10_34_1","unstructured":"Koijen R. S. Moskowitz T. J. Pedersen L. H. &Vrugt E. B.(2016). Working paper University of Chicago Booth School of Business."},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2937816"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.2.175"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90098-E"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00340"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02711.x"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12041"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00026-3"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00041-0"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.10.003"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12095"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00118"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21892","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21892","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T03:40:36Z","timestamp":1694662836000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21892"}},"issued":{"date-parts":[[2017,11,28]]},"references-count":45,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2018,7]]}},"alternative-id":["10.1002\/fut.21892"],"URL":"https:\/\/doi.org\/10.1002\/fut.21892","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,11,28]]}},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T06:54:17Z","timestamp":1761807257772},"reference-count":34,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3530,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2006,9]]},"DOI":"10.1002\/fut.20220","type":"journal-article","created":{"date-parts":[[2006,7,18]],"date-time":"2006-07-18T20:48:42Z","timestamp":1153255722000},"page":"923-938","source":"Crossref","is-referenced-by-count":19,"title":["New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange"],"prefix":"10.1002","volume":"26","author":[{"given":"M.","family":"Illueca","sequence":"first","affiliation":[]},{"given":"J. A.","family":"LaFuente","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006]]},"reference":[{"key":"10.1002\/fut.20220-BIB1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1093\/rfs\/1.1.3","volume":"1","author":"Admati","year":"1988","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20220-BIB2","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1111\/j.1540-6261.1996.tb05206.x","volume":"51","author":"Andersen","year":"1996","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20220-BIB3","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1016\/S0304-405X(01)00055-1","volume":"61","author":"Andersen","year":"2001","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20220-BIB4","doi-asserted-by":"crossref","first-page":"529","DOI":"10.1111\/1468-0262.00418","volume":"71","author":"Andersen","year":"2003","journal-title":"Econometrica"},{"key":"10.1002\/fut.20220-BIB5","doi-asserted-by":"crossref","first-page":"1617","DOI":"10.1080\/00036840110111086","volume":"34","author":"Arag\u00f3","year":"2002","journal-title":"Applied Economics"},{"key":"10.1002\/fut.20220-BIB6","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1080\/07474939208800229","volume":"11","author":"Bollerslev","year":"1992","journal-title":"Econometric Reviews"},{"key":"10.1002\/fut.20220-BIB7","doi-asserted-by":"crossref","first-page":"275","DOI":"10.1002\/fut.3990140304","volume":"14","author":"Chen","year":"1994","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20220-BIB8","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1002\/fut.10054","volume":"23","author":"Chow","year":"2003","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20220-BIB9","doi-asserted-by":"crossref","first-page":"133","DOI":"10.2307\/2330769","volume":"24","author":"Conolly","year":"1989","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20220-BIB10","doi-asserted-by":"crossref","first-page":"1149","DOI":"10.2307\/2326280","volume":"31","author":"Copeland","year":"1976","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20220-BIB11","doi-asserted-by":"crossref","first-page":"905","DOI":"10.1002\/fut.2002","volume":"21","author":"Corredor","year":"2001","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20220-BIB12","doi-asserted-by":"crossref","first-page":"305","DOI":"10.2307\/1912726","volume":"44","author":"Epps","year":"1976","journal-title":"Econometrica"},{"key":"10.1002\/fut.20220-BIB13","first-page":"2","author":"Feinstein","year":"1988,september","journal-title":"Economic Review"},{"key":"10.1002\/fut.20220-BIB14","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/S1042-4431(98)00035-3","volume":"9","author":"Fung","year":"1999","journal-title":"Journal of International Financial Markets Institutions and Money"},{"key":"10.1002\/fut.20220-BIB15","first-page":"67","volume":"45","author":"Hancock","year":"1993","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/fut.20220-BIB16","doi-asserted-by":"crossref","first-page":"323","DOI":"10.1002\/fut.3990100309","volume":"10","author":"Herbst","year":"1990","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20220-BIB17","doi-asserted-by":"crossref","first-page":"841","DOI":"10.1002\/fut.10091","volume":"23","author":"Illueca","year":"2003","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20220-BIB18","doi-asserted-by":"crossref","first-page":"23","DOI":"10.3905\/jod.1996.407969","volume":"4","author":"Karolyi","year":"1996","journal-title":"Journal of Derivatives"},{"key":"10.1002\/fut.20220-BIB19","doi-asserted-by":"crossref","first-page":"109","DOI":"10.2307\/2330874","volume":"22","author":"Karpoff","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20220-BIB20","doi-asserted-by":"crossref","first-page":"221","DOI":"10.1111\/j.1540-6261.1990.tb05088.x","volume":"45","author":"Lamoureux","year":"1990","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20220-BIB21","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1093\/biomet\/44.1-2.187","volume":"44","author":"Lindley","year":"1957","journal-title":"Biometrika"},{"key":"10.1002\/fut.20220-BIB22","doi-asserted-by":"crossref","first-page":"661","DOI":"10.1002\/fut.10077","volume":"23","author":"Luu","year":"2003","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20220-BIB23","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/fut.20220-BIB24","doi-asserted-by":"crossref","first-page":"329","DOI":"10.1111\/j.1468-5957.1992.tb00628.x","volume":"19","author":"Pope","year":"1992","journal-title":"Journal of Business Finance and Accounting"},{"key":"10.1002\/fut.20220-BIB25","doi-asserted-by":"crossref","first-page":"155","DOI":"10.1023\/A:1020683012149","volume":"19","author":"Rahman","year":"2002","journal-title":"Review of Quantitative Finance and Accounting"},{"key":"10.1002\/fut.20220-BIB26","doi-asserted-by":"crossref","first-page":"16","DOI":"10.2469\/faj.v43.n2.16","volume":"63","author":"Stoll","year":"1987,march\/april","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/fut.20220-BIB27","doi-asserted-by":"crossref","first-page":"165","DOI":"10.1086\/296499","volume":"63","author":"Stoll","year":"1990","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20220-BIB28","doi-asserted-by":"crossref","first-page":"58","DOI":"10.2469\/faj.v47.n1.58","author":"Stoll","year":"1991,january\/february","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/fut.20220-BIB29","doi-asserted-by":"crossref","first-page":"139","DOI":"10.1177\/031289629702200202","volume":"22","author":"Stoll","year":"1997","journal-title":"Australian Journal of Management"},{"key":"10.1002\/fut.20220-BIB30","doi-asserted-by":"crossref","first-page":"545","DOI":"10.2307\/2676224","volume":"36","author":"Suominen","year":"2001","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20220-BIB31","doi-asserted-by":"crossref","first-page":"755","DOI":"10.1002\/fut.20103","volume":"24","author":"Szakmary","year":"2004","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20220-BIB32","doi-asserted-by":"crossref","first-page":"485","DOI":"10.2307\/1912002","volume":"51","author":"Tauchen","year":"1983","journal-title":"Econometrica"},{"key":"10.1002\/fut.20220-BIB33","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/1912934","volume":"48","author":"White","year":"1980","journal-title":"Econometrica"},{"key":"10.1002\/fut.20220-BIB34","first-page":"585","volume-title":"Bayesian statistics: Proceedings of the First International Meeting","author":"Zellner","year":"1980","unstructured":"& (1980). Posterior odds ratios for selected regression hypotheses. In , , & (Eds.), Bayesian statistics: Proceedings of the First International Meeting (pp. 585\u2013603). Valencia, Spain: University Press."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20220","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20220","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:19:06Z","timestamp":1625163546000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20220"}},"issued":{"date-parts":[[2006]]},"references-count":34,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2006,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20220","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006]]}},{"indexed":{"date-parts":[[2025,5,12]],"date-time":"2025-05-12T13:28:18Z","timestamp":1747056498870,"version":"3.37.3"},"reference-count":49,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2020,7,15]],"date-time":"2020-07-15T00:00:00Z","timestamp":1594771200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,10]]},"abstract":"Abstract<\/jats:title>Using Federal Reserve bank stress test announcements, we examine when option traders acquire informational advantage and when they exploit it. We find consistent evidence of informed options trading around announcements. However, when test results are announced in successive weeks we find high abnormal option volume, considerably positive abnormal returns and significant return predictability in the first week, but not the following week. This suggests that informed option traders are able to anticipate upcoming news events and skillfully process public information but it also suggests that trading on acquired information is conditioned on the level of information asymmetry in the market.<\/jats:p>","DOI":"10.1002\/fut.22149","type":"journal-article","created":{"date-parts":[[2020,7,15]],"date-time":"2020-07-15T07:42:44Z","timestamp":1594798964000},"page":"1459-1485","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-4437-404X","authenticated-orcid":false,"given":"Scott","family":"Fung","sequence":"first","affiliation":[{"name":"Department of Accounting and Finance, College of Business and Economics California State University\u2010East Bay Hayward California"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7901-0591","authenticated-orcid":false,"given":"Robert","family":"Loveland","sequence":"additional","affiliation":[{"name":"Department of Accounting and Finance, College of Business and Economics California State University\u2010East Bay Hayward California"}]}],"member":"311","published-online":{"date-parts":[[2020,7,15]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.05.003"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/422440"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.10.007"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.09.012"},{"key":"e_1_2_9_6_1","unstructured":"Board of Governors of the Federal Reserve System. (2009a).The supervisory capital assessment program: Design and implementation. April 24 2009.\u00a0Retrieved fromhttp:\/\/www.federalreserve.gov\/newsevents\/press\/bcreg\/bcreg20090424a1.pdf"},{"key":"e_1_2_9_7_1","unstructured":"Board of Governors of the Federal Reserve System. (2009b).The supervisory capital assessment program: Overview of results. May 7 2009.\u00a0Retrieved fromhttp:\/\/www.federalreserve.gov\/newsevents\/press\/bcreg\/bcreg20090507a1.pdf"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn020"},{"key":"e_1_2_9_10_1","unstructured":"Cremers M. Fodor A. &Weinbaum D.(2019).How do informed option traders trade? Option trading activity news releases and stock return predictability. Working Paper. Available at SSRN.\u00a0Retrieved fromhttps:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2544344"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90042-0"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2018.02.009"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.05.013"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.03.001"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12729"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2016.08.001"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.593"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(02)00058-7"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000023"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_9_24_1","unstructured":"Goncalves\u2010Pinto L. Grundy B. D. Hameed A. van derHeijden T. &Zhu Y.(2019).Why do option prices predict stock returns? The role of price pressure in the stock market. Forthcoming inManagement Science. FIRN Research Paper No. 2695145. Available at SSRN.\u00a0Retrieved fromhttps:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2695145"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2015.11.003"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000295"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-111914-042040"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491114"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/1911-3846.12443"},{"key":"e_1_2_9_30_1","unstructured":"Iselin M. &Van Buskirk A.(2019).Event\u2010specific uncertainty and its expected resolution. Available at SSRN.\u00a0Retrieved fromhttps:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2870646"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2012.00439.x"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.008"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1086\/262005"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2016.09.006"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(91)90033-G"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491051"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(94)90004-3"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(98)00013-5"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.685"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1177\/0148558X0301800107"},{"key":"e_1_2_9_41_1","unstructured":"Muravyev D. Pearson N. D. &Pollet J. M.(2018).Understanding returns to short selling using option\u2010implied stock borrowing fees. Available at SSRN.\u00a0Retrieved fromhttps:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2851560"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01352.x"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn053"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2007.04.001"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.02.002"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_9_48_1","unstructured":"The Board of Governors of the Federal Reserve System.Stress tests information. Option Metrics LLC; Ivy DB OptionMetrics; Retrieved from Wharton Research Data Service. Center for Research in Security Prices (CRSP); CRSP Stocks; Retrieved from Wharton Research Data Service. Retrieved fromhttps:\/\/www.federalreserve.gov\/supervisionreg\/stress-tests-capital-planning.htm[dataset]."},{"key":"e_1_2_9_49_1","doi-asserted-by":"crossref","unstructured":"Weinbaum D. Fodor A. Muravyev D. Cremers K. J. M.(2020).How Do Informed Option Traders Trade? Option Trading Activity News Releases and Stock Return Predictability (May 26 2020). 11th Annual Mid\u2010Atlantic Research Conference in Finance (MARC); 28th Annual Conference on Financial Economics and Accounting. Available at SSRN:https:\/\/ssrn.com\/abstract=2544344 https:\/\/doi.org\/10.2139\/ssrn.2544344","DOI":"10.2139\/ssrn.2544344"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22149","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22149","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22149","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22149","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T14:24:00Z","timestamp":1693923840000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22149"}},"issued":{"date-parts":[[2020,7,15]]},"references-count":49,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2020,10]]}},"alternative-id":["10.1002\/fut.22149"],"URL":"https:\/\/doi.org\/10.1002\/fut.22149","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,7,15]]},"assertion":[{"value":"2019-09-02","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-06-13","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-07-15","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,9,23]],"date-time":"2025-09-23T14:16:34Z","timestamp":1758636994454,"version":"3.30.2"},"reference-count":89,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2024,9,20]],"date-time":"2024-09-20T00:00:00Z","timestamp":1726790400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,1]]},"abstract":"ABSTRACT<\/jats:title>Motivated by the ongoing debate on whether optimal or naive diversification should be preferred when distributing wealth across investment alternatives, this article investigates how the choice of covariance estimator affects mean\u2010variance portfolio selection. In an environment tailored to ideal tradability, we construct optimal commodity futures portfolios based on 12 promising covariance matrix estimators and compare their out\u2010of\u2010sample investment performance to a simple, equally weighted investment strategy by means of bootstrap testing. We find that neither the naive allocation approach nor the advanced covariance estimators can outperform the traditional sample covariance matrix. Because this empirical result is robust to modifications of the research design (including alternative investigation periods, data frequencies, estimation window sizes, holding period lengths, weight constraint specifications, and transaction cost levels), it opposes the recurrent suggestion of the equity\u2010oriented literature that the sample covariance matrix should not be used for the purpose of portfolio optimization.<\/jats:p>","DOI":"10.1002\/fut.22550","type":"journal-article","created":{"date-parts":[[2024,9,20]],"date-time":"2024-09-20T07:26:19Z","timestamp":1726817179000},"page":"3-22","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Optimal Versus Naive Diversification in Commodity Futures Markets"],"prefix":"10.1002","volume":"45","author":[{"given":"Max","family":"Heide","sequence":"first","affiliation":[{"name":"Chair of Finance, Friedrich Schiller University Jena Jena Germany"},{"name":"Department of Finance University of Leipzig Leipzig Germany"}]},{"given":"Benjamin R.","family":"Auer","sequence":"additional","affiliation":[{"name":"Chair of Finance, Friedrich Schiller University Jena Jena Germany"},{"name":"Department of Finance University of Leipzig Leipzig Germany"},{"name":"Research Network Area Macro Money and International Finance, CESifo Munich Munich Germany"}]},{"given":"Frank","family":"Schuhmacher","sequence":"additional","affiliation":[{"name":"Department of Finance University of Leipzig Leipzig Germany"}]}],"member":"311","published-online":{"date-parts":[[2024,9,20]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2016.2497"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.07.003"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.008"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/10293523.2020.1723865"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.3390\/ijfs8030054"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/0015198X.2019.1600958"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101853"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2004.443322"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2014.10.003"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00515.x"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.11.020"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2014.953699"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.06.021"},{"key":"e_1_2_12_16_1","doi-asserted-by":"crossref","unstructured":"Bessler W. andD.Wolff.2017. \u201cPortfolio Optimization With Industry Return Prediction Models.\u201d SSRN Working Paper No. 3011135.","DOI":"10.2139\/ssrn.3011135"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.006"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1214\/08-AOS600"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2011.tm10560"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.5.937"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/00949655.2019.1577855"},{"key":"e_1_2_12_22_1","first-page":"1","volume-title":"Handbooks in Operations Research and Management Science","author":"Constantinides G. M.","year":"1995"},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.034"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm075"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.09.015"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/0015198X.2019.1618097"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2017.1345683"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.09.017"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/ectj.12061"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssb.12016"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.009"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.04.028"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/wics.1421"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.07.004"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00580"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12366"},{"volume-title":"RiskMetrics","year":"1996","author":"J.P. Morgan and Reuters","key":"e_1_2_12_38_1"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000004129"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109012000117"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v66.n2.6"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chaos.2017.06.019"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(03)00007-0"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2004.110"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0047-259X(03)00096-4"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.03.002"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/wilm.10036"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2015.04.006"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2017.06.004"},{"key":"e_1_2_12_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbaa007"},{"key":"e_1_2_12_51_1","doi-asserted-by":"publisher","DOI":"10.3150\/20-BEJ1315"},{"key":"e_1_2_12_52_1","unstructured":"Ledoit O. andM.Wolf.2023. \u201cMarkowitz Portfolios Under Transaction Costs.\u201d University of Zurich Working Paper No. 420."},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070404"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1062"},{"key":"e_1_2_12_55_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1952.tb01525.x"},{"key":"e_1_2_12_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2012.08.023"},{"key":"e_1_2_12_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.011"},{"key":"e_1_2_12_58_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2012.38.2.108"},{"key":"e_1_2_12_59_1","doi-asserted-by":"publisher","DOI":"10.1108\/JRF-07-2019-0122"},{"key":"e_1_2_12_60_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2023.2220118"},{"key":"e_1_2_12_61_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n1.31"},{"key":"e_1_2_12_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2016.01.001"},{"key":"e_1_2_12_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2021.11.036"},{"key":"e_1_2_12_64_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv063"},{"key":"e_1_2_12_65_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2017.1699"},{"key":"e_1_2_12_66_1","doi-asserted-by":"publisher","DOI":"10.1109\/TSP.2019.2908144"},{"key":"e_1_2_12_67_1","doi-asserted-by":"publisher","DOI":"10.1080\/1331677X.2021.1981963"},{"key":"e_1_2_12_68_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2010.534813"},{"key":"e_1_2_12_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.105718"},{"key":"e_1_2_12_70_1","doi-asserted-by":"publisher","DOI":"10.1080\/0015198X.2020.1854543"},{"key":"e_1_2_12_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2020.05.043"},{"key":"e_1_2_12_72_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118573617"},{"key":"e_1_2_12_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2023.06.006"},{"key":"e_1_2_12_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2020.05.006"},{"key":"e_1_2_12_75_1","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2009.0101"},{"key":"e_1_2_12_76_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1984.10477105"},{"key":"e_1_2_12_77_1","doi-asserted-by":"publisher","DOI":"10.1080\/00401706.1999.10485670"},{"key":"e_1_2_12_78_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.01.031"},{"key":"e_1_2_12_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.03.013"},{"key":"e_1_2_12_80_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2020.3846"},{"key":"e_1_2_12_81_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2017.10.019"},{"key":"e_1_2_12_82_1","doi-asserted-by":"crossref","unstructured":"Tan V. andS.Zohren.2020. \u201cEstimation of Large Financial Covariances: A Cross\u2010Validation Approach.\u201d SSRN Working Paper No. 3745692.","DOI":"10.2139\/ssrn.3745692"},{"key":"e_1_2_12_83_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296205"},{"key":"e_1_2_12_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.013"},{"key":"e_1_2_12_85_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2023.2269987"},{"key":"e_1_2_12_86_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2012.725386"},{"key":"e_1_2_12_87_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21553"},{"key":"e_1_2_12_88_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-80065-9"},{"key":"e_1_2_12_89_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.08.003"},{"key":"e_1_2_12_90_1","unstructured":"Zivot E.2021. \u201cIntroduction to Computational Finance and Financial Econometrics With R.\u201dhttps:\/\/bookdown.org\/compfinezbook\/introcompfinr."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22550","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,12]],"date-time":"2024-12-12T07:32:00Z","timestamp":1733988720000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22550"}},"issued":{"date-parts":[[2024,9,20]]},"references-count":89,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2025,1]]}},"alternative-id":["10.1002\/fut.22550"],"URL":"https:\/\/doi.org\/10.1002\/fut.22550","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2024,9,20]]},"assertion":[{"value":"2024-03-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-08-06","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-09-20","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,2]],"date-time":"2026-02-02T00:17:00Z","timestamp":1769991420920,"version":"3.49.0"},"reference-count":18,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1532,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,12]]},"DOI":"10.1002\/fut.20533","type":"journal-article","created":{"date-parts":[[2011,6,22]],"date-time":"2011-06-22T14:34:19Z","timestamp":1308753259000},"page":"1142-1169","source":"Crossref","is-referenced-by-count":76,"title":["Intraday price formation and bid-ask spread components: A new approach using a cross-market model"],"prefix":"10.1002","volume":"31","author":[{"given":"Doojin","family":"Ryu","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2011,6,22]]},"reference":[{"issue":"1","key":"10.1002\/fut.20533-BIB1|cit1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1093\/rfs\/1.1.3","article-title":"A theory of intraday patterns: Volume and price variability","volume":"1","author":"Admati","year":"1988","journal-title":"Review of Financial Studies"},{"issue":"4","key":"10.1002\/fut.20533-BIB2|cit2","doi-asserted-by":"crossref","first-page":"399","DOI":"10.1016\/S0927-5398(02)00003-8","article-title":"The components of the bid-ask spread in a limit-order market: Evidence from the Tokyo Stock Exchange","volume":"9","author":"Ahn","year":"2002","journal-title":"Journal of Empirical Finance"},{"issue":"12","key":"10.1002\/fut.20533-BIB3|cit3","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.20369","article-title":"Informed trading in the index option market: The case of KOSPI 200 Options","volume":"28","author":"Ahn","year":"2008","journal-title":"Journal of Futures Markets"},{"issue":"3","key":"10.1002\/fut.20533-BIB4|cit4","doi-asserted-by":"crossref","first-page":"301","DOI":"10.1111\/j.2041-6156.2010.01016.x","article-title":"Information effects of trade size and trade direction: Evidence from the KOSPI 200 index options market","volume":"39","author":"Ahn","year":"2010","journal-title":"Asia-Pacific Journal of Financial Studies"},{"issue":"1","key":"10.1002\/fut.20533-BIB5|cit5","doi-asserted-by":"crossref","first-page":"112","DOI":"10.1111\/j.1468-036X.2007.00416.x","article-title":"The components of the bid-ask spread: The case of the Athens stock exchange","volume":"15","author":"Angelidis","year":"2009","journal-title":"European Financial Management"},{"issue":"4","key":"10.1002\/fut.20533-BIB6|cit6","doi-asserted-by":"crossref","first-page":"2243","DOI":"10.1086\/503662","article-title":"Stock market quality in the presence of a traded option","volume":"79","author":"De Jong","year":"2006","journal-title":"Journal of Business"},{"issue":"1","key":"10.1002\/fut.20533-BIB7|cit7","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1016\/0304-405X(88)90034-7","article-title":"Estimating the components of the bid\/ask spread","volume":"21","author":"Glosten","year":"1988","journal-title":"Journal of Financial Economics"},{"issue":"9","key":"10.1002\/fut.20533-BIB8|cit8","doi-asserted-by":"crossref","first-page":"835","DOI":"10.1002\/fut.20113","article-title":"The components of bid-ask spread and their determinants: TAIFEX versus SGX-DT","volume":"24","author":"Huang","year":"2004","journal-title":"Journal of Futures Markets"},{"issue":"4","key":"10.1002\/fut.20533-BIB9|cit9","doi-asserted-by":"crossref","first-page":"995","DOI":"10.1093\/rfs\/10.4.995","article-title":"The components of the bid-ask spread: A general approach","volume":"10","author":"Huang","year":"1997","journal-title":"Review of Financial Studies"},{"issue":"1","key":"10.1002\/fut.20533-BIB10|cit10","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1016\/j.irfa.2009.11.003","article-title":"Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market","volume":"19","author":"Hwang","year":"2010","journal-title":"International Review of Financial Analysis"},{"issue":"S1","key":"10.1002\/fut.20533-BIB11|cit11","first-page":"6","article-title":"Which trades move futures prices? An analysis of futures trading data","volume":"46","author":"Kang","year":"2010","journal-title":"Emerging Markets Finance and Trade"},{"issue":"3","key":"10.1002\/fut.20533-BIB12|cit12","doi-asserted-by":"crossref","first-page":"311","DOI":"10.1108\/17439130910969738","article-title":"The lead-lag relationship between stock index options and the stock index market: Model, moneyness, and news","volume":"5","author":"Kim","year":"2009","journal-title":"International Journal of Managerial Finance"},{"issue":"2","key":"10.1002\/fut.20533-BIB13|cit13","doi-asserted-by":"crossref","first-page":"183","DOI":"10.1016\/S0927-538X(01)00040-3","article-title":"Time-varying bid-ask components of Nikkei 225 index futures on SIMEX","volume":"10","author":"Kim","year":"2002","journal-title":"Pacific-Basin Finance Journal"},{"issue":"4","key":"10.1002\/fut.20533-BIB14|cit14","doi-asserted-by":"crossref","first-page":"1035","DOI":"10.1093\/rfs\/10.4.1035","article-title":"Why do security prices change? A transaction-level analysis of NYSE stocks","volume":"10","author":"Madhavan","year":"1997","journal-title":"Review of Financial Studies"},{"issue":"3","key":"10.1002\/fut.20533-BIB15|cit15","doi-asserted-by":"crossref","first-page":"455","DOI":"10.1111\/j.2041-6156.2009.tb00020.x","article-title":"What do options have to do with it? Inclusion of options market indicators in bid-ask spread decomposition","volume":"38","author":"Michayluk","year":"2009","journal-title":"Asia-Pacific Journal of Financial Studies"},{"issue":"2","key":"10.1002\/fut.20533-BIB16|cit16","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8","article-title":"A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea","volume":"19","author":"Min","year":"1999","journal-title":"Journal of Futures Markets"},{"issue":"4","key":"10.1002\/fut.20533-BIB17|cit17","doi-asserted-by":"crossref","first-page":"398","DOI":"10.1016\/j.irfa.2006.02.003","article-title":"An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets","volume":"15","author":"Nam","year":"2006","journal-title":"International Review of Financial Analysis"},{"issue":"2","key":"10.1002\/fut.20533-BIB18|cit18","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson","year":"1965","journal-title":"Industrial Management Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20533","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/onlinelibrary.wiley.com\/wol1\/doi\/10.1002\/fut.20533\/fullpdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:52:13Z","timestamp":1625165533000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20533"}},"issued":{"date-parts":[[2011,6,22]]},"references-count":18,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2011,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20533","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2011,6,22]]}},{"indexed":{"date-parts":[[2026,2,1]],"date-time":"2026-02-01T10:39:16Z","timestamp":1769942356736,"version":"3.49.0"},"reference-count":53,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2008,10,17]],"date-time":"2008-10-17T00:00:00Z","timestamp":1224201600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,12]]},"abstract":"Abstract<\/jats:title>This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse\u2010selection cost component of the spread estimated by the model is then used as a proxy for the degree of informed trading. We find that adverse\u2010selection costs constitute a nontrivial portion of the transaction costs in index options trading. Approximately one\u2010third of the spread can be accounted for by information asymmetry costs. A further analysis indicates that adverse\u2010selection costs are positively related with option delta. Our regression analysis shows that option\u2010related variables are significantly associated with estimated information asymmetry costs, even when controlling for proxies for informed trading in the index futures market. Finally, we find the evidence that foreign investors are better informed compared to domestic investors and that domestic institutions have an edge in terms of information over domestic individuals. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1118\u20131146, 2008<\/jats:p>","DOI":"10.1002\/fut.20369","type":"journal-article","created":{"date-parts":[[2008,10,18]],"date-time":"2008-10-18T00:06:10Z","timestamp":1224288370000},"page":"1118-1146","source":"Crossref","is-referenced-by-count":141,"title":["Informed trading in the index option market: The case of KOSPI 200 options"],"prefix":"10.1002","volume":"28","author":[{"given":"Hee\u2010Joon","family":"Ahn","sequence":"first","affiliation":[]},{"given":"Jangkoo","family":"Kang","sequence":"additional","affiliation":[]},{"given":"Doojin","family":"Ryu","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,10,17]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02614.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Barber B. M. Lee Y. Liu Y. &Odean T.(2007).Just how much individual investors lose by trading? (working paper). University of California at Davis.","DOI":"10.2139\/ssrn.529062"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00226"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00063-0"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1049"},{"key":"e_1_2_1_10_1","unstructured":"Chan K. C. Chang Y. &Lung P. P.(2005).Do options contribute to price discovery in emerging markets? (working paper). University of Dayton."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90003-T"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Cho Y. H. &Engle R. F.(1998).Modeling the impacts of market activity on bid\u2013ask spreads in the option market (working paper). University of California San Diego.","DOI":"10.3386\/w7331"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi028"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330882"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/503662"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"Dennis P. J. &Weston J. P.(2001).Who's informed? An analysis of stock ownership and informed trading (working paper). University of Virginia.","DOI":"10.2139\/ssrn.267350"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00747.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2005.07.003"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00084-2"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm091"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.623"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90034-7"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_1_25_1","unstructured":"Greene J. T.(1996).The impact of limit order executions on trading costs in New York Stock Exchange stocks (working paper). Georgia State University."},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00044-6"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.473"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00396"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90004-3"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.1.179"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.995"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.4.631"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2007.01.001"},{"key":"e_1_2_1_35_1","doi-asserted-by":"crossref","unstructured":"Kaul G. Nimalendran M. &Zhang D.(2004).Informed trading and option spreads (working paper). University of Michigan at Ann Arbor.","DOI":"10.2139\/ssrn.547462"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(94)00799-7"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676221"},{"key":"e_1_2_1_38_1","unstructured":"Lin J.(1992).Order persistence adverse selection and gross profits earned by NYSE specialists (working paper). Louisiana State University."},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.4.1153"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.1035"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(91)90039-M"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03597.x"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2004.06.001"},{"key":"e_1_2_1_47_1","unstructured":"Seasholes M. S.(2000).Smart foreign traders in emerging markets (working paper). Harvard University Business School."},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05152.x"},{"key":"e_1_2_1_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00026-3"},{"key":"e_1_2_1_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_1_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb02431.x"},{"key":"e_1_2_1_54_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491358"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20369","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20369","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T12:23:29Z","timestamp":1699964609000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20369"}},"issued":{"date-parts":[[2008,10,17]]},"references-count":53,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2008,12]]}},"alternative-id":["10.1002\/fut.20369"],"URL":"https:\/\/doi.org\/10.1002\/fut.20369","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,10,17]]}},{"indexed":{"date-parts":[[2026,1,25]],"date-time":"2026-01-25T01:31:10Z","timestamp":1769304670076,"version":"3.49.0"},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1645,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,3]]},"DOI":"10.1002\/fut.v31.3","type":"journal-issue","created":{"date-parts":[[2023,10,8]],"date-time":"2023-10-08T18:58:36Z","timestamp":1696791516000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"31","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v31.3","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,8]],"date-time":"2023-10-08T18:58:36Z","timestamp":1696791516000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/31\/3"}},"issued":{"date-parts":[[2011,3]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2011,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v31.3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,3]]}},{"indexed":{"date-parts":[[2025,10,4]],"date-time":"2025-10-04T08:19:29Z","timestamp":1759565969323,"version":"3.37.3"},"reference-count":36,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1735,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,2]]},"DOI":"10.1002\/fut.20465","type":"journal-article","created":{"date-parts":[[2010,4,28]],"date-time":"2010-04-28T19:43:20Z","timestamp":1272483800000},"page":"165-191","source":"Crossref","is-referenced-by-count":20,"title":["A Markov regime-switching ARMA approach for hedging stock indices"],"prefix":"10.1002","volume":"31","author":[{"given":"Chao-Chun","family":"Chen","sequence":"first","affiliation":[]},{"given":"Wen-Jen","family":"Tsay","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,12,1]]},"reference":[{"key":"10.1002\/fut.20465-BIB1|cit1","doi-asserted-by":"crossref","first-page":"649","DOI":"10.1002\/fut.10130","article-title":"A Markov regime switching approach for hedging stock indices","volume":"24","author":"Alizadeh","year":"2004","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20465-BIB2|cit2","doi-asserted-by":"crossref","first-page":"1970","DOI":"10.1016\/j.jbankfin.2007.12.020","article-title":"A Markov regime switching approach for hedging energy commodities","volume":"32","author":"Alizadeh","year":"2008","journal-title":"Journal of Banking & Finance"},{"key":"10.1002\/fut.20465-BIB3|cit3","doi-asserted-by":"crossref","first-page":"111","DOI":"10.1111\/j.1540-6261.1987.tb02553.x","article-title":"Nonsynchronous security trading and market index autocorrelation","volume":"42","author":"Atchison","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20465-BIB4|cit4","doi-asserted-by":"crossref","first-page":"239","DOI":"10.1016\/S0304-4076(99)00022-6","article-title":"Regime switching in foreign exchange rates: Evidence from currency option prices","volume":"94","author":"Bollen","year":"2000","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20465-BIB5|cit5","doi-asserted-by":"crossref","first-page":"542","DOI":"10.2307\/1925546","article-title":"A conditionally heteroskedastic time series model for speculative prices and rates of return","volume":"69","author":"Bollerslev","year":"1987","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/fut.20465-BIB6|cit6","doi-asserted-by":"crossref","first-page":"905","DOI":"10.2307\/2118454","article-title":"Trading volume and serial correlation in stock returns","volume":"108","author":"Campbell","year":"1993","journal-title":"Quarterly Journal of Economics"},{"key":"10.1002\/fut.20465-BIB7|cit7","doi-asserted-by":"crossref","first-page":"623","DOI":"10.2307\/1935825","article-title":"Estimation of the optimal futures hedge","volume":"70","author":"Cecchetti","year":"1988","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/fut.20465-BIB8|cit8","doi-asserted-by":"crossref","first-page":"249","DOI":"10.1111\/j.1540-6261.1980.tb02152.x","article-title":"Implications of microstructure theory for empirical research on stock price behavior","volume":"35","author":"Cohen","year":"1980","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20465-BIB9|cit9","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","article-title":"The hedging performance of the new futures markets","volume":"34","author":"Ederington","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20465-BIB10|cit10","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1016\/0022-1996(94)90062-0","article-title":"Can the Markov switching model forecast exchange rates?","volume":"36","author":"Engel","year":"1994","journal-title":"Journal of International Economics"},{"key":"10.1002\/fut.20465-BIB11|cit11","first-page":"689","article-title":"Long swings in the dollar: Are they in the data and do markets know it?","volume":"80","author":"Engel","year":"1990","journal-title":"American Economic Review"},{"key":"10.1002\/fut.20465-BIB12|cit12","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","article-title":"Hedging performance and basis risk in stock index futures","volume":"39","author":"Figlewski","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20465-BIB13|cit13","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(87)90026-2","article-title":"Expected stock returns and volatility","volume":"19","author":"French","year":"1987","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20465-BIB14|cit14","doi-asserted-by":"crossref","first-page":"767","DOI":"10.1002\/fut.3990150703","article-title":"Hedging short-term interest risk under time-varying distributions","volume":"15","author":"Gagnon","year":"1995","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20465-BIB15|cit15","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1016\/0304-405X(96)00875-6","article-title":"Modeling the conditional distribution of interest rates as a regime-switching process","volume":"42","author":"Gray","year":"1996","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20465-BIB16|cit16","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1093\/rfs\/3.2.281","article-title":"Correlations in price changes and volatility across international stock markets","volume":"3","author":"Hamao","year":"1990","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20465-BIB17|cit17","doi-asserted-by":"crossref","first-page":"357","DOI":"10.2307\/1912559","article-title":"A new approach to the economic analysis of nonstationary time series and the business cycle","volume":"57","author":"Hamilton","year":"1989","journal-title":"Econometrica"},{"key":"10.1002\/fut.20465-BIB18|cit18","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton","year":"1994a"},{"key":"10.1002\/fut.20465-BIB19|cit19","doi-asserted-by":"crossref","first-page":"3039","DOI":"10.1016\/S1573-4412(05)80019-4","volume-title":"Handbook of Econometrics","volume":"4","author":"Hamilton J. D.","year":"1994b"},{"key":"10.1002\/fut.20465-BIB20|cit20","doi-asserted-by":"crossref","first-page":"697","DOI":"10.1002\/fut.3990110605","article-title":"Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation","volume":"11","author":"Howard","year":"1991","journal-title":"Journal of Futures Markets"},{"volume-title":"Fundamentals of futures and options markets","year":"2008","author":"Hull","key":"10.1002\/fut.20465-BIB21|cit21"},{"key":"10.1002\/fut.20465-BIB22|cit22","doi-asserted-by":"crossref","first-page":"41","DOI":"10.3905\/jod.2000.319112","article-title":"Hedging in the freight futures market","volume":"8","author":"Kavussanos","year":"2000","journal-title":"Journal of Derivatives"},{"key":"10.1002\/fut.20465-BIB23|cit23","doi-asserted-by":"crossref","first-page":"535","DOI":"10.2307\/2331164","article-title":"Time-varying distributions and dynamic hedging with foreign currency futures","volume":"28","author":"Kroner","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20465-BIB24|cit24","doi-asserted-by":"crossref","first-page":"1053","DOI":"10.1016\/S0378-4266(02)00245-5","article-title":"Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market","volume":"27","author":"Lafuente","year":"2003","journal-title":"Journal of Banking & Finance"},{"key":"10.1002\/fut.20465-BIB25|cit25","doi-asserted-by":"crossref","first-page":"199","DOI":"10.1086\/296565","article-title":"Some relations between volatility and serial correlations in stock market returns","volume":"65","author":"LeBaron","year":"1992","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20465-BIB26|cit26","doi-asserted-by":"crossref","first-page":"1253","DOI":"10.1080\/00036840500438970","article-title":"A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratio","volume":"39","author":"Lee","year":"2007a","journal-title":"Applied Economics"},{"key":"10.1002\/fut.20465-BIB27|cit27","doi-asserted-by":"crossref","first-page":"495","DOI":"10.1002\/fut.20256","article-title":"Optimal hedging with a regime-switching time-varying correlation GARCH model","volume":"27","author":"Lee","year":"2007b","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20465-BIB28|cit28","doi-asserted-by":"crossref","first-page":"103","DOI":"10.1002\/fut.20193","article-title":"A random coefficient autoregressive Markov regime switching model for dynamic futures hedging","volume":"26","author":"Lee","year":"2006","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20465-BIB29|cit29","doi-asserted-by":"crossref","first-page":"181","DOI":"10.1016\/0304-4076(90)90098-E","article-title":"An econometric analysis of nonsynchronous trading","volume":"45","author":"Lo","year":"1990","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20465-BIB30|cit30","doi-asserted-by":"crossref","first-page":"1129","DOI":"10.2307\/2330176","article-title":"Asymmetrical information in securities markets and trading volume","volume":"15","author":"Morse","year":"1980","journal-title":"Journal of Financial Quantitative Analysis"},{"key":"10.1002\/fut.20465-BIB31|cit31","doi-asserted-by":"crossref","first-page":"39","DOI":"10.1002\/fut.3990110105","article-title":"Estimating time-varying optimal hedge ratios on futures markets","volume":"11","author":"Myers","year":"1991","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20465-BIB32|cit32","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1016\/0304-4076(90)90101-X","article-title":"Alternative models for conditional stock volatility","volume":"45","author":"Pagan","year":"1990","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20465-BIB33|cit33","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1002\/fut.3990150106","article-title":"Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note","volume":"15","author":"Park","year":"1995","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20465-BIB34|cit34","doi-asserted-by":"crossref","first-page":"369","DOI":"10.1016\/S0304-4076(98)00010-4","article-title":"Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching","volume":"86","author":"Psaradakis","year":"1998","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20465-BIB35|cit35","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1002\/1096-9934(200008)20:7<603::AID-FUT1>3.0.CO;2-X","article-title":"The cost of carry model and regime shifts in stock index futures markets: An empirical investigation","volume":"20","author":"Sarno","year":"2000","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20465-BIB36|cit36","doi-asserted-by":"crossref","first-page":"309","DOI":"10.1016\/0304-405X(77)90041-1","article-title":"Estimating betas from nonsynchronous","volume":"5","author":"Scholes","year":"1977","journal-title":"Journal of Financial Economics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20465","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20465","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,20]],"date-time":"2025-02-20T08:06:57Z","timestamp":1740038817000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20465"}},"issued":{"date-parts":[[2010,12,1]]},"references-count":36,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2011,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20465","ISSN":["0270-7314"],"issn-type":[{"type":"print","value":"0270-7314"}],"published":{"date-parts":[[2010,12,1]]}},{"indexed":{"date-parts":[[2025,10,4]],"date-time":"2025-10-04T07:47:32Z","timestamp":1759564052974},"reference-count":23,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2007,10,9]],"date-time":"2007-10-09T00:00:00Z","timestamp":1191888000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,12]]},"abstract":"Abstract<\/jats:title>Using a proprietary data set from the Sydney Futures Exchange, this study reconciles an inconsistency in futures microstructure literature. One strand of the literature documents that single trades in futures markets contain information, whereas another strand finds that trade packages in futures markets do not contain information. This study controls for methodological and sample differences in examining the price impact of individual trades and trade packages. We find little evidence that transactions in futures markets contain information. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1159\u20131174, 2007<\/jats:p>","DOI":"10.1002\/fut.20290","type":"journal-article","created":{"date-parts":[[2007,10,9]],"date-time":"2007-10-09T20:17:41Z","timestamp":1191961061000},"page":"1159-1174","source":"Crossref","is-referenced-by-count":19,"title":["Transactions in futures markets: Informed or uninformed?"],"prefix":"10.1002","volume":"27","author":[{"given":"Alex","family":"Frino","sequence":"first","affiliation":[]},{"given":"Jennifer","family":"Kruk","sequence":"additional","affiliation":[]},{"given":"Andrew","family":"Lepone","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,10,9]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90029-B"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(04)00048-2"},{"key":"e_1_2_1_4_1","unstructured":"Bessembinder H. &Kaufman H.(1996).Quotations and trading costs on the domestic equity exchanges(working paper). Arizona State University."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00063-0"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90003-T"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04053.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04819.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00651.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00331"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2362.00072"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6281.2007.00219.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10013"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20184"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05225.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90004-3"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(90)90013-P"},{"key":"e_1_2_1_18_1","unstructured":"Johnstone D.(2005).Significance levels and large samples in finance: correction of connolly (1989)(working paper). University of Sydney."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.659"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00985.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20176"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.1.175"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/295444"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.17"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20290","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20290","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T17:46:47Z","timestamp":1700070407000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20290"}},"issued":{"date-parts":[[2007,10,9]]},"references-count":23,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2007,12]]}},"alternative-id":["10.1002\/fut.20290"],"URL":"https:\/\/doi.org\/10.1002\/fut.20290","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,10,9]]}},{"indexed":{"date-parts":[[2025,8,15]],"date-time":"2025-08-15T01:51:39Z","timestamp":1755222699102,"version":"3.43.0"},"reference-count":34,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2025,6,11]],"date-time":"2025-06-11T00:00:00Z","timestamp":1749600000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,9]]},"abstract":"ABSTRACT<\/jats:title>Agricultural producers face significant price risk, yet studies consistently find farmers use futures and options much less than predicted by optimal hedging models. Using nationally representative farm\u2010level data, we investigate two underexplored factors that can affect the use of exchange\u2010traded derivatives: historical basis risk and cash constraints. We show that corn and soybean farms located in counties that experienced a large, negative change in the corn basis between planting and harvest (a negative basis shock<\/jats:italic>) in the last 5 years are less likely to use futures contracts (6\u201312 percentage points) and options contracts (3\u201318 percentage points), but have a greater likelihood of marketing contract use (14\u201324 percentage points). We also find that farms with greater cash constraints (lower cash holdings<\/jats:italic>) are less likely to use futures and options. We show that crop insurance, storage, and cooperative membership are complementary when using futures and options.<\/jats:p>","DOI":"10.1002\/fut.22610","type":"journal-article","created":{"date-parts":[[2025,6,12]],"date-time":"2025-06-12T02:09:49Z","timestamp":1749694189000},"page":"1324-1342","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6379-1397","authenticated-orcid":false,"given":"Daniel L.","family":"Prager","sequence":"first","affiliation":[{"name":"Office of the Chief Economist Commodity Futures Trading Commission Washington District of Columbia USA"}]},{"given":"Christopher B.","family":"Burns","sequence":"additional","affiliation":[{"name":"Office of the Chief Economist Commodity Futures Trading Commission Washington District of Columbia USA"}]},{"given":"Ryan","family":"Williams","sequence":"additional","affiliation":[{"name":"Natural Resources Conservation Service, USDA Washington District of Columbia USA"}]}],"member":"311","published-online":{"date-parts":[[2025,6,11]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"Adjemian M. K. A.Shawn V.Breneman R.Johansson andR.Williams.2019. \u201cTariff Retaliation Weakened the U.S. Soybean Basis\u201dChoices. Quarter 4.http:\/\/www.choicesmagazine.org\/choices-magazine\/theme-articles\/the-economic-impacts-of-trade-retaliation-on-us-agriculture-a-one-year-review\/tariff-retaliation-weakened-the-us-soybean-basis."},{"issue":"1","key":"e_1_2_9_3_1","first-page":"24","article-title":"Farmers' Use of Forward Contracting and Hedging","volume":"8","author":"Asplund N. M.","year":"1989","journal-title":"Review of Futures Markets"},{"issue":"1","key":"e_1_2_9_4_1","doi-asserted-by":"crossref","first-page":"174","DOI":"10.2307\/1243899","article-title":"Optimal Hedge Ratios With Risk\u2010Neutral Producers and Nonlinear Borrowing Costs","volume":"77","author":"Brorsen B. W.","year":"1995","journal-title":"American Journal of Agricultural Economics"},{"issue":"3","key":"e_1_2_9_5_1","doi-asserted-by":"crossref","first-page":"361","DOI":"10.1002\/fut.22173","article-title":"Derivatives Use and the Value of Cash Holdings: Evidence From the U.S. Oil and Gas Industry","volume":"41","author":"Choi S.","year":"2021","journal-title":"Journal of Futures Markets"},{"volume-title":"NCCC\u2010134 Applied Commodity Price Analysis, Forecasting and Market Risk Management. Conference Paper","year":"1998","author":"Coble K. H.","key":"e_1_2_9_6_1"},{"issue":"2","key":"e_1_2_9_7_1","doi-asserted-by":"crossref","first-page":"419","DOI":"10.1016\/j.jfineco.2013.03.004","article-title":"Does Risk Management Matter? Evidence From the US Agricultural Industry","volume":"109","author":"Cornaggia J.","year":"2013","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_9_8_1","doi-asserted-by":"crossref","unstructured":"Deep A.2002. \u201cOptimal Dynamic Hedging Using Futures Under a Borrowing Constraint.\u201dBIS Working Papers No. 109. Bank for International Settlements.","DOI":"10.2139\/ssrn.846326"},{"volume-title":"Drought, Low River Water Levels, and Local Soybean Markets: The Role of Physical and Economic Distance","year":"2023","author":"Flores I.","key":"e_1_2_9_9_1"},{"issue":"3","key":"e_1_2_9_10_1","doi-asserted-by":"crossref","first-page":"324","DOI":"10.1002\/agr.21293","article-title":"Crop Production Contracts and Marketing Strategies: What Drives Their Use?","volume":"28","author":"Franken J. R. V.","year":"2012","journal-title":"Agribusiness"},{"issue":"4","key":"e_1_2_9_11_1","doi-asserted-by":"crossref","first-page":"897","DOI":"10.1111\/0002-9092.00089","article-title":"The Demand for Hedging and the Value of Hedging Opportunities","volume":"82","author":"Frechette D. L.","year":"2000","journal-title":"American Journal of Agricultural Economics"},{"issue":"8","key":"e_1_2_9_12_1","doi-asserted-by":"crossref","first-page":"693","DOI":"10.1002\/fut.1801","article-title":"The Demand for Hedging With Futures and Options","volume":"21","author":"Frechette D. L.","year":"2001","journal-title":"Journal of Futures Markets"},{"issue":"12","key":"e_1_2_9_13_1","doi-asserted-by":"crossref","first-page":"4083","DOI":"10.1093\/rfs\/hhx069","article-title":"Does Hedging Affect Firm Value? Evidence From a Natural Experiment","volume":"30","author":"Gilje E. P.","year":"2017","journal-title":"Review of Financial Studies"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349591"},{"issue":"4","key":"e_1_2_9_15_1","doi-asserted-by":"crossref","first-page":"936","DOI":"10.2307\/1243753","article-title":"Human Capital, Producer Education Programs, and the Adoption of Forward\u2010Pricing Methods","volume":"76","author":"Goodwin B. K.","year":"1994","journal-title":"American Journal of Agricultural Economics"},{"issue":"3","key":"e_1_2_9_16_1","doi-asserted-by":"crossref","first-page":"449","DOI":"10.1017\/S1074070800008762","article-title":"Hedging With Futures and Options Under a Truncated Cash Price Distribution","volume":"31","author":"Hanson S. D.","year":"1999","journal-title":"Journal of Agricultural and Applied Economics"},{"key":"e_1_2_9_17_1","doi-asserted-by":"crossref","first-page":"47","DOI":"10.2307\/1349408","article-title":"Does Hedging Increase Credit for Illinois Crop Farmers?","volume":"3","author":"Harris K. S.","year":"1981","journal-title":"North Central Journal of Agricultural Economics"},{"key":"e_1_2_9_18_1","unstructured":"Harwood J. R.Heifner K.Coble J.Perry andA.Somwaru.1999.Managing Risk in Farming: Concepts Research and Analysis. Agricultural Economic Report No. 774. Economic Research Service U.S. Department of Agriculture."},{"issue":"1","key":"e_1_2_9_19_1","doi-asserted-by":"crossref","first-page":"107","DOI":"10.1111\/0022-1082.00202","article-title":"Financing Policy, Basis Risk, and Corporate Hedging: Evidence From Oil and Gas Producers","volume":"55","author":"Haushalter G. D.","year":"2000","journal-title":"Journal of Finance"},{"volume-title":"Grain Pricing. No. 1","year":"1977","author":"Helmuth J. W.","key":"e_1_2_9_20_1"},{"key":"e_1_2_9_21_1","first-page":"88","article-title":"Two\u2010Step Econometric Estimation of Farm Characteristics Affecting Marketing Contract Decisions","volume":"86","author":"Katchova A. L.","year":"2004","journal-title":"American Journal of Agricultural Economics"},{"issue":"2","key":"e_1_2_9_22_1","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1093\/aepp\/ppy006","article-title":"The Income Volatility of U.S. Commercial Farm Households","volume":"40","author":"Key N.","year":"2018","journal-title":"Applied Economic Perspectives and Policy"},{"volume-title":"Contracts, Markets, and Prices: Organizing the Production and Use of Agricultural Commodities","year":"2004","author":"MacDonald J. M.","key":"e_1_2_9_23_1"},{"issue":"1","key":"e_1_2_9_24_1","doi-asserted-by":"crossref","first-page":"59","DOI":"10.1002\/fut.2207","article-title":"Hedging in Futures and Options Markets With Basis Risk","volume":"22","author":"Mahul O.","year":"2002","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_9_25_1","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1111\/j.1574-0862.2008.00313.x","article-title":"More Reasons Why Farmers Have so Little Interest in Futures Markets","volume":"39","author":"Pannell D. J.","year":"2008","journal-title":"Agricultural Economics"},{"issue":"5","key":"e_1_2_9_26_1","doi-asserted-by":"crossref","first-page":"951","DOI":"10.1016\/S0378-4266(03)00046-3","article-title":"Hedging Behavior in Small and Medium\u2010Sized Enterprises: The Role of Unobserved Heterogeneity","volume":"28","author":"Pennings J. M. E.","year":"2004","journal-title":"Journal of Banking & Finance"},{"issue":"4","key":"e_1_2_9_27_1","doi-asserted-by":"crossref","first-page":"908","DOI":"10.1111\/0002-9092.00090","article-title":"The Role of Farmers\u2019 Behavioral Attitudes and Heterogeneity in Futures Contracts Usage","volume":"82","author":"Pennings J. M. E.","year":"2000","journal-title":"American Journal of Agricultural Economics"},{"key":"e_1_2_9_28_1","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1002\/fut.3990130405","article-title":"Hedging and Crop Insurance","volume":"13","author":"Poitras G.","year":"1993","journal-title":"Journal of Futures Markets"},{"volume-title":"Farm Use of Futures, Options, and Marketing Contracts, EIB\u2010219","year":"2020","author":"Prager D.","key":"e_1_2_9_29_1"},{"issue":"2","key":"e_1_2_9_30_1","doi-asserted-by":"crossref","first-page":"145","DOI":"10.1093\/aepp\/10.2.145","article-title":"Factors Affecting Farmers\u2019 Hedging Decisions","volume":"10","author":"Shapiro B. I.","year":"1988","journal-title":"Applied Economic Perspectives and Policy"},{"issue":"10","key":"e_1_2_9_31_1","doi-asserted-by":"crossref","first-page":"953","DOI":"10.1002\/fut.2004","article-title":"Risk Management in Agricultural Markets: A Review","volume":"21","author":"Tomek W. G.","year":"2001","journal-title":"Journal of Futures Markets"},{"issue":"4","key":"e_1_2_9_32_1","doi-asserted-by":"crossref","first-page":"946","DOI":"10.2307\/1242626","article-title":"A Farm\u2010Level Financial Analysis of Farmers\u2019 Use of Futures and Options Under Alternative Farm Programs","volume":"72","author":"Turvey C. G.","year":"1990","journal-title":"American Journal of Agricultural Economics"},{"key":"e_1_2_9_33_1","unstructured":"U.S. Department of Agriculture.2024.Economic Research Service. Farm Sector Income & Finances: Assets Debt and Wealth."},{"issue":"7","key":"e_1_2_9_34_1","doi-asserted-by":"crossref","first-page":"4176","DOI":"10.3168\/jds.2011-5219","article-title":"Dairy Farmer Use of Price Risk Management Tools","volume":"95","author":"Wolf C. A.","year":"2012","journal-title":"Journal of Dairy Science"},{"issue":"6","key":"e_1_2_9_35_1","first-page":"1254","article-title":"The Theory of Price of Storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22610","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T04:20:32Z","timestamp":1754886032000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22610"}},"issued":{"date-parts":[[2025,6,11]]},"references-count":34,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2025,9]]}},"alternative-id":["10.1002\/fut.22610"],"URL":"https:\/\/doi.org\/10.1002\/fut.22610","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,6,11]]},"assertion":[{"value":"2024-11-07","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-23","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-11","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T16:30:30Z","timestamp":1759941030958,"version":"3.37.3"},"reference-count":61,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2019,12,3]],"date-time":"2019-12-03T00:00:00Z","timestamp":1575331200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["106\u20102221\u2010E\u2010002\u2010049\u2010MY3","108\u20102410\u2010H\u2010141\u2010019\u2010"],"award-info":[{"award-number":["106\u20102221\u2010E\u2010002\u2010049\u2010MY3","108\u20102410\u2010H\u2010141\u2010019\u2010"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,4]]},"abstract":"Abstract<\/jats:title>A local\u2010volatility (LV) model captures the volatility smile while retaining the preference freedom of the Black\u2013Scholes model. Past attempts to construct a smile\u2010consistent tree for the LV surface do not guarantee validity. This paper presents an efficient and valid smile\u2010consistent tree for the LV model. The only assumption is that the LV surface be upper\u2010 and lower\u2010bounded. With this tree, double\u2010barrier options can be priced with fast convergence even in the presence of volatility smile. This is confirmed numerically. An implied tree is also presented. It recovers the LV surface reasonably well.<\/jats:p>","DOI":"10.1002\/fut.22080","type":"journal-article","created":{"date-parts":[[2019,12,4]],"date-time":"2019-12-04T04:29:58Z","timestamp":1575433798000},"page":"556-574","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Efficient trinomial trees for local\u2010volatility models in pricing double\u2010barrier options"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3023-1961","authenticated-orcid":false,"given":"U Hou","family":"Lok","sequence":"first","affiliation":[{"name":"College of Business National Taipei University of Business Taipei Taiwan"}]},{"given":"Yuh\u2010Dauh","family":"Lyuu","sequence":"additional","affiliation":[{"name":"Department of Finance and Department of Computer Science & Information Engineering National Taiwan University Taipei Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2019,12,3]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1137\/1.9780898717495"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05130.x"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1997.009"},{"key":"e_1_2_10_5_1","unstructured":"1989 John Wiley & Sons New York NY K. Atkinson An introduction to numerical analysis"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/wilm.42820040117"},{"issue":"2","key":"e_1_2_10_7_1","first-page":"127","article-title":"How to grow a smiling tree","volume":"7","author":"Barle S.","year":"1999","journal-title":"Journal of Financial Engineering"},{"key":"e_1_2_10_8_1","unstructured":"Bennett C.(2014).Trading volatility: Trading volatility correlation term structure and skew. CreateSpace. Retrieved fromhttp:\/\/www.trading\u2010volatility.com"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2010.00469.x"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407891"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/s102030050004"},{"volume-title":"The evidence and impact of financial globalization","year":"2012","author":"Caprio G.","key":"e_1_2_10_13_1"},{"issue":"1","key":"e_1_2_10_14_1","first-page":"38","article-title":"A synthesis of binomial option pricing models for lognormally distributed asset","volume":"18","author":"Chance D. M.","year":"2008","journal-title":"Journal of Applied Finance"},{"volume-title":"Introduction to algorithms","year":"2009","author":"Cormen T.","key":"e_1_2_10_15_1"},{"key":"e_1_2_10_16_1","unstructured":"Cox J. C.(1975).Notes on option pricing I: Constant elasticity of variance diffusion. Unpublished Note Graduate School of Business Stanford University."},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1137\/S0036141001400202"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680400000038"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.camwa.2007.08.046"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2010.17.4.007"},{"issue":"2","key":"e_1_2_10_23_1","first-page":"32","article-title":"Riding on a smile","volume":"7","author":"Derman E.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1996.407952"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781119289258"},{"volume-title":"Dynamic asset pricing theory","year":"2001","author":"Duffie D.","key":"e_1_2_10_26_1"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"issue":"1","key":"e_1_2_10_28_1","first-page":"18","article-title":"Pricing with a smile","volume":"7","author":"Dupire B.","year":"1994","journal-title":"Risk"},{"volume-title":"Semiparametric modeling of implied volatility","year":"2005","author":"Fengler M. R.","key":"e_1_2_10_29_1"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00024-0"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1101483"},{"volume-title":"The volatility surface: A practitioneras guide","year":"2006","author":"Gatheral J.","key":"e_1_2_10_32_1"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2013.819986"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00122.x"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/wilj.42"},{"key":"e_1_2_10_36_1","doi-asserted-by":"crossref","unstructured":"Haahtela T. J.(2010).Recombining trinomial tree for real option valuation with changing volatility. Retrieved fromhttps:\/\/ssrn.com\/abstract=1932411","DOI":"10.2139\/ssrn.1932411"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"volume-title":"Options, futures and other derivatives","year":"2012","author":"Hull J.","key":"e_1_2_10_38_1"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.2307\/3595007"},{"key":"e_1_2_10_40_1","unstructured":"Ivy DB Optionmetrics(2019).OptionMetrics\u2014Index dividend yield & zero coupon yield curve. Retrieved fromhttps:\/\/wrds\u2010web.wharton.upenn.edu\/wrds\/ds\/optionm\/zerocd\/index.cfm?navId=302"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407989"},{"key":"e_1_2_10_42_1","unstructured":"Kamp R.(2009).Local volatility modelling. Master's Thesis University of Twente Enschede the Netherlands."},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1992.tb00033.x"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024917500339"},{"issue":"2","key":"e_1_2_10_45_1","first-page":"69","article-title":"A new algorithm for constructing implied binomial trees: Does the implied model fit any volatility smile?","volume":"4","author":"Li Y.","year":"2000","journal-title":"Journal of Financial Engineering"},{"issue":"7","key":"e_1_2_10_46_1","first-page":"601","article-title":"Pricing options using implied trees: Evidence from FTSE\u2010100 options","volume":"22","author":"Lim K. G.","year":"2002","journal-title":"Management Science"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024905003359"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.camwa.2016.12.008"},{"issue":"2","key":"e_1_2_10_49_1","first-page":"157","article-title":"Valuation of standard options under the constant elasticity of variance model","volume":"4","author":"Lu R.","year":"2005","journal-title":"International Journal of Business and Economics"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2001.070"},{"volume-title":"Financial engineering and computation: Principles, mathematics, algorithms","year":"2002","author":"Lyuu Y.\u2010D.","key":"e_1_2_10_51_1"},{"issue":"2","key":"e_1_2_10_52_1","first-page":"82","article-title":"Rational shapes of local volatility","volume":"26","author":"Marco S. D.","year":"2013","journal-title":"Risk"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.3.393"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118673539"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407939"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"issue":"8","key":"e_1_2_10_58_1","first-page":"28","article-title":"Breaking down the barriers","volume":"4","author":"Rubinstein M.","year":"1991","journal-title":"Risk"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009803506170"},{"key":"e_1_2_10_60_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1998.012"},{"volume-title":"Structured products handbook 2005","year":"2005","author":"Tan G.","key":"e_1_2_10_61_1"},{"volume-title":"Pricing financial instruments: The finite difference method","year":"2000","author":"Tavella D.","key":"e_1_2_10_62_1"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22080","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22080","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22080","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22080","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T17:25:51Z","timestamp":1694021151000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22080"}},"issued":{"date-parts":[[2019,12,3]]},"references-count":61,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2020,4]]}},"alternative-id":["10.1002\/fut.22080"],"URL":"https:\/\/doi.org\/10.1002\/fut.22080","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,12,3]]},"assertion":[{"value":"2019-06-04","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-11-22","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-12-03","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:20:38Z","timestamp":1761016838422},"reference-count":23,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2010,2,2]],"date-time":"2010-02-02T00:00:00Z","timestamp":1265068800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,12]]},"abstract":"Abstract<\/jats:title>This study modifies the static replication approach of Derman, E., Ergener, D., and Kani, I. (1995, DEK) to hedge continuous barrier options under the Black, F. and Scholes, M. (1973) model. In the DEK method, the value of the static replication portfolio, consisting of standard options with varying maturities, matches the zero value<\/jats:italic> of the barrier option at n<\/jats:italic> evenly spaced time points when the stock price equals the barrier. In contrast, our modified DEK method constructs a portfolio of standard options and binary options with varying maturities to match not only the zero value<\/jats:italic> but also zero theta<\/jats:italic> on the barrier. Our numerical results indicate that the modified DEK approach improves performance of static hedges significantly for an up\u2010and\u2010out call option under the BS model even if the bid\u2013ask spreads are considered. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.20451","type":"journal-article","created":{"date-parts":[[2010,2,2]],"date-time":"2010-02-02T19:11:07Z","timestamp":1265137867000},"page":"1150-1166","source":"Crossref","is-referenced-by-count":11,"title":["A modified static hedging method for continuous barrier options"],"prefix":"10.1002","volume":"30","author":[{"given":"San\u2010Lin","family":"Chung","sequence":"first","affiliation":[]},{"given":"Pai\u2010Ta","family":"Shih","sequence":"additional","affiliation":[]},{"given":"Wei\u2010Che","family":"Tsai","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,2,2]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_6_3_1","first-page":"45","article-title":"Static simplicity","volume":"7","author":"Bowie J.","year":"1994","journal-title":"Risk Magazine"},{"key":"e_1_2_6_4_1","first-page":"139","article-title":"Breaking barriers: Static hedging of barrier securities","volume":"10","author":"Carr P.","year":"1997","journal-title":"Risk Magazine"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00048"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00057-4"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.1998.005"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.05.016"},{"issue":"1","key":"e_1_2_6_9_1","first-page":"15","article-title":"Notes on option pricing I: Constant elasticity of variance diffusion","volume":"23","author":"Cox J.","year":"1975","journal-title":"Stanford University working paper and reprinted in Journal of Portfolio Management, December Special Issue"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407927"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10089"},{"key":"e_1_2_6_12_1","volume-title":"The volatility surface","author":"Gatheral J.","year":"2006"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00186-008-0273-2"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.635420"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20199"},{"key":"e_1_2_6_17_1","first-page":"75","article-title":"Breaking down the barriers","volume":"4","author":"Reiner E.","year":"1991","journal-title":"Risk Magazine"},{"key":"e_1_2_6_18_1","first-page":"62","article-title":"The long and short of static hedging with frictions","volume":"38","author":"Siven J.","year":"2008","journal-title":"Wilmott Magazine"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-009-9040-7"},{"key":"e_1_2_6_20_1","volume-title":"Dynamic hedging: Managing vanilla and exotic options","author":"Taleb N.","year":"1996"},{"key":"e_1_2_6_21_1","first-page":"147","article-title":"How well can barrier options be hedged by a static portfolio of standard options?","volume":"7","author":"Toft K. B.","year":"1998","journal-title":"Journal of Financial Engineering"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1108\/eb043497"},{"key":"e_1_2_6_23_1","unstructured":"Thomsen H.(1998).Barrier options\u2014Evaluation and hedging. Unpublished doctoral dissertation University of Aarhus Aarhus Denmark."},{"key":"e_1_2_6_24_1","volume-title":"FX options and structured products","author":"Wystup U.","year":"2007"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20451","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20451","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,10]],"date-time":"2023-10-10T12:35:10Z","timestamp":1696941310000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20451"}},"issued":{"date-parts":[[2010,2,2]]},"references-count":23,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2010,12]]}},"alternative-id":["10.1002\/fut.20451"],"URL":"https:\/\/doi.org\/10.1002\/fut.20451","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,2,2]]}},{"indexed":{"date-parts":[[2025,10,19]],"date-time":"2025-10-19T21:08:42Z","timestamp":1760908122786},"reference-count":14,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2004,5,5]],"date-time":"2004-05-05T00:00:00Z","timestamp":1083715200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,7]]},"abstract":"Abstract<\/jats:title>In this paper, the behavior of the competitive firm under price uncertainty when the firm has access to an intertemporally unbiased futures market is examined. Futures contracts are marked\u2010to\u2010market and thus require interim cash settlement of gains and losses. The firm is subject to a liquidity constraint in that it is forced to prematurely close its futures position on which the interim loss incurred exceeds a threshold level. It is shown that the liquidity constrained firm optimally opts for an under\u2010hedge should it be prudent. Furthermore, the prudent firm cuts down its optimal level of output in response to the presence of the liquidity constraint. As such, the liquidity risk created by the interim funding requirement of a futures hedge adversely affects the hedging and production decisions of the competitive firm under price uncertainty. \u00a9 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:697\u2013706, 2004<\/jats:p>","DOI":"10.1002\/fut.10133","type":"journal-article","created":{"date-parts":[[2004,5,5]],"date-time":"2004-05-05T17:06:45Z","timestamp":1083776805000},"page":"697-706","source":"Crossref","is-referenced-by-count":9,"title":["Hedging, liquidity, and the competitive firm under price uncertainty"],"prefix":"10.1002","volume":"24","author":[{"given":"Kit Pong","family":"Wong","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,5,5]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"OTC derivatives: Settlement procedures and counterparty risk management","author":"Committee on Payment and Settlement Systems","year":"1998"},{"key":"e_1_2_1_3_1","first-page":"12","article-title":"Derivative dingbats","volume":"8","author":"Culp C. L.","year":"1994","journal-title":"The International Economy"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1995.tb00263.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Deep A.(2002).Optimal dynamic hedging using futures under a borrowing constraint. Unpublished manuscript Bank for International Settlements Basel Switzerland.","DOI":"10.2139\/ssrn.846326"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110207"},{"key":"e_1_2_1_7_1","volume-title":"Introduction to mathematical statistics","author":"Hogg R. V.","year":"1989"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938334"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951719"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10075"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090608"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(70)90038-4"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(71)90034-2"},{"key":"e_1_2_1_14_1","first-page":"65","article-title":"On the theory of the competitive firm under price uncertainty","volume":"61","author":"Sandmo A.","year":"1971","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1996.tb00295.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10133","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10133","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T04:36:09Z","timestamp":1700195769000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10133"}},"issued":{"date-parts":[[2004,5,5]]},"references-count":14,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2004,7]]}},"alternative-id":["10.1002\/fut.10133"],"URL":"https:\/\/doi.org\/10.1002\/fut.10133","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,5,5]]}},{"indexed":{"date-parts":[[2025,10,20]],"date-time":"2025-10-20T10:04:56Z","timestamp":1760954696201,"version":"3.30.2"},"reference-count":56,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6970,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,8]]},"DOI":"10.1002\/(sici)1096-9934(199608)16:5<561::aid-fut4>3.0.co;2-e","type":"journal-article","created":{"date-parts":[[2004,10,21]],"date-time":"2004-10-21T01:59:38Z","timestamp":1098323978000},"page":"561-584","source":"Crossref","is-referenced-by-count":51,"title":["The role of futures trading activity in exchange rate volatility"],"prefix":"10.1002","volume":"16","author":[{"given":"Arjun","family":"Chatrath","sequence":"first","affiliation":[]},{"given":"Sanjay","family":"Ramchander","sequence":"additional","affiliation":[]},{"given":"Frank","family":"Song","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"year":"1973","author":"Akaike","key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB1","unstructured":"(1973): \u201cInformation Theory and the Extension of the Maximum Likelihood Principle,\u201d in Second International Symposium on Information Theory, Petrov, B. N., and Caski, F. (eds.), Budapest."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB2","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1086\/296451","volume":"62","author":"Akgir","year":"1989","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB3","doi-asserted-by":"crossref","first-page":"297","DOI":"10.1080\/07350015.1989.10509739","volume":"7","author":"Baillie","year":"1989","journal-title":"Journal of Business and Economic Statistics"},{"year":"1990","author":"Becketti","key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB4","unstructured":"and (1990, Nov.\/Dec): \u201cWill Increased Regulation of Stock Index Futures Reduce Stock Market Volatility?\u201d Economic Review of Federal Reserve Bank of Kansas City, 33\u201346."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB5","doi-asserted-by":"crossref","first-page":"2015","DOI":"10.1111\/j.1540-6261.1992.tb04695.x","volume":"47","author":"Bessembinder","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB6","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB7","doi-asserted-by":"crossref","first-page":"575","DOI":"10.2307\/1911513","volume":"49","author":"Bray","year":"1981","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB8","volume-title":"New Directions in Economic Practice","author":"Charemza","year":"1992","unstructured":"and (1992): New Directions in Economic Practice, England: Edward Elgar Publishing."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB9","doi-asserted-by":"crossref","first-page":"375","DOI":"10.1002\/fut.3990050308","volume":"5","author":"Clifton","year":"1985","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB10","doi-asserted-by":"crossref","first-page":"1215","DOI":"10.1086\/260509","volume":"48","author":"Cox","year":"1976","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB11","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1016\/0022-0531(78)90124-2","volume":"17","author":"Danthine","year":"1978","journal-title":"Journal of Economic Theory"},{"year":"1990","author":"Darrat","key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB12","unstructured":"(1990): Journal of Financial and Quantitative Analysis, September, pp. 387\u201398."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB13","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/jae.3950040102","volume":"4","author":"Diebold","year":"1989","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB14","doi-asserted-by":"crossref","first-page":"1161","DOI":"10.1086\/260506","volume":"84","author":"Dornbusch","year":"1976","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB15","doi-asserted-by":"crossref","first-page":"421","DOI":"10.1002\/fut.3990080404","volume":"8","author":"Edwards","year":"1988","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB16","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1002\/fut.3990040204","volume":"4","author":"Eldridge","year":"1984","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB17","doi-asserted-by":"crossref","first-page":"391","DOI":"10.1080\/00036849100000149","volume":"23","author":"Ely","year":"1991","journal-title":"Applied Economies"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB18","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","volume":"50","author":"Engle","year":"1982","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB19","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB20","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1016\/0304-4076(87)90085-6","volume":"35","author":"Engle","year":"1987","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB21","doi-asserted-by":"crossref","first-page":"445","DOI":"10.1111\/j.1540-6261.1981.tb00461.x","volume":"36","author":"Figlewski","year":"1981","journal-title":"Journal of Finance"},{"year":"1978","author":"Froewiss","key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB22","unstructured":"(1978): \u201cGNMA Futures: Stabilizing or Destabilizing?\u201d Federal Reserve Bank of San Francisco Economic Review, 20\u201329."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB23","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.3990060102","volume":"6","author":"Garcia","year":"1986","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB24","doi-asserted-by":"crossref","first-page":"319","DOI":"10.1086\/296330","volume":"59","author":"Grammatikos","year":"1986","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB25","doi-asserted-by":"crossref","first-page":"1155","DOI":"10.1111\/j.1540-6261.1989.tb02648.x","volume":"44","author":"Harris","year":"1989","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB26","doi-asserted-by":"crossref","first-page":"129","DOI":"10.1016\/0022-1996(88)90025-6","volume":"24","author":"Hsieh","year":"1988","journal-title":"Journal of International Economics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB27","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1086\/296466","volume":"62","author":"Hsieh","year":"1989","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB28","doi-asserted-by":"crossref","first-page":"25","DOI":"10.1002\/fut.3990140104","volume":"14","author":"Jabbour","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB29","doi-asserted-by":"crossref","first-page":"109","DOI":"10.2307\/2330874","volume":"22","author":"Karpoff","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB30","doi-asserted-by":"crossref","first-page":"708","DOI":"10.2307\/1928117","volume":"71","author":"Koray","year":"1989","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB31","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","volume":"53","author":"Kyle","year":"1985","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB32","first-page":"1","volume-title":"Financial Futures and Options in the U.S. Economy","author":"Kwast","year":"1986","unstructured":"(1986): \u201cFutures Markets and Transaction Costs,\u201d in Financial Futures and Options in the U.S. Economy, (ed.), Washington, D.C.: Federal Reserve Board of Governors, pp. 1\u201338."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB33","doi-asserted-by":"crossref","first-page":"221","DOI":"10.1111\/j.1540-6261.1990.tb05088.x","volume":"45","author":"Lamoureux","year":"1990","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB34","first-page":"25","volume":"4","author":"Litterman","year":"1986","journal-title":"Journal of Business and Economic Statistics"},{"year":"1983","author":"Maldonado","key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB35","unstructured":"and (1983): \u201cForeign Exchange Futures and the Law of One Price,\u201d Financial Management, 19\u201323."},{"year":"1986","author":"Manas-Anton","key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB36","unstructured":"(1986): \u201cEmpirical Behavior of Flexible Exchange Rates: Statistical Analysis and Consistent Models,\u201d Ph.D. Dissertation, University of Chicago."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB37","doi-asserted-by":"crossref","first-page":"335","DOI":"10.1002\/fut.3990130402","volume":"13","author":"McCarthy","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB38","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1111\/j.1467-9892.1983.tb00373.x","volume":"4","author":"McLeod","year":"1983","journal-title":"Journal of Time Series Analysis"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB39","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0022-1996(83)90017-X","volume":"14","author":"Meese","year":"1983","journal-title":"Journal of International Economics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB40","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1080\/07350015.1987.10509564","volume":"5","author":"Milhoj","year":"1987","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB41","doi-asserted-by":"crossref","first-page":"496","DOI":"10.1086\/295881","volume":"49","author":"Morgan","year":"1976","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB42","first-page":"203","volume":"2","author":"Peck","year":"1980","journal-title":"Food Research Institute Studies"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB43","first-page":"460","volume":"60","author":"Powers","year":"1970","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB44","doi-asserted-by":"crossref","first-page":"325","DOI":"10.2307\/2109665","volume":"74","author":"Pozo","year":"1992","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB45","doi-asserted-by":"crossref","first-page":"268","DOI":"10.2307\/1924980","volume":"36","author":"Rogalski","year":"1978","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB46","first-page":"160","volume-title":"International Futures Trading Seminar","author":"Rutledge","year":"1979","unstructured":"(1979): \u201cTrading Volume and Price Variability: New Evidence on the Price Effects of Speculation,\u201d International Futures Trading Seminar, Chicago, Chicago Board of Trade, pp. 160\u2013174."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB47","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1111\/j.1465-7295.1989.tb02012.x","volume":"27","author":"Salyer","year":"1989","journal-title":"Economic Inquiry"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB48","doi-asserted-by":"crossref","first-page":"669","DOI":"10.1002\/fut.3990110603","volume":"11","author":"Schwarz","year":"1991","journal-title":"The Journal of Futures Markets"},{"year":"1990","author":"Schwert","key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB49","unstructured":"(1990): \u201cStock Market Volatility,\u201d Financial Analysts Journal, May-June, pp. 23\u201334."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB50","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1016\/0304-405X(89)90005-6","volume":"23","author":"Skinner","year":"1989","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB51","doi-asserted-by":"crossref","first-page":"357","DOI":"10.1002\/fut.3990020406","volume":"2","author":"Simpson","year":"1985","journal-title":"The Journal of Futures Markets"},{"year":"1982","author":"Sims","key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB52","unstructured":"(1982): \u201cPolicy Analysis with Econometric Models,\u201d Brookings Papers on Econometric Activity I, 107\u2013154."},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB53","doi-asserted-by":"crossref","first-page":"1123","DOI":"10.1086\/261508","volume":"95","author":"Stein","year":"1987","journal-title":"Journal of Political Economy"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB54","first-page":"20","volume":"14","author":"Stoll","year":"1988","journal-title":"Journal of Portfolio Management"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB55","doi-asserted-by":"crossref","first-page":"485","DOI":"10.2307\/1912002","volume":"51","author":"Tauchen","year":"1983","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E-BIB56","first-page":"185","volume":"1","author":"Working","year":"1960","journal-title":"Food Research Institute Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199608)16:5%3C561::AID-FUT4%3E3.0.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199608)16:5%3C561::AID-FUT4%3E3.0.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,19]],"date-time":"2024-12-19T02:36:18Z","timestamp":1734575778000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E"}},"issued":{"date-parts":[[1996,8]]},"references-count":56,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1996,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199608)16:5<561::aid-fut4>3.0.co;2-e","ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[1996,8]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:09:39Z","timestamp":1761016179931},"reference-count":25,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2002,10,16]],"date-time":"2002-10-16T00:00:00Z","timestamp":1034726400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,12]]},"abstract":"Abstract<\/jats:title>The hedging problem is examined where futures prices obey the cost\u2010of\u2010carry model. The\nresultant hedging model explicitly incorporates maturity effects in the futures basis. Formulas for the optimal\nstatic and dynamic hedges are derived. Although these formulas are developed for the case of direct hedging, the\nframework used is sufficiently flexible so that these formulas can be applied to many cross\u2010hedging\nsituations. The performance of the model is compared with that of several other models for two hedging\nscenarios: one involving a financial asset and the other involving a commodity. In both cases, significant\nmaturity effects were found in the first and second moments of the futures basis. Our hedging formulas\noutperformed other hedging strategies on an ex\u2010ante basis. \u00a9 2002 Wiley Periodicals, Inc. Jrl Fut\nMark 22:1179\u20131203, 2002<\/jats:p>","DOI":"10.1002\/fut.10035","type":"journal-article","created":{"date-parts":[[2002,10,18]],"date-time":"2002-10-18T16:17:19Z","timestamp":1034957839000},"page":"1179-1203","source":"Crossref","is-referenced-by-count":20,"title":["Multiperiod hedging with futures contracts"],"prefix":"10.1002","volume":"22","author":[{"given":"Aaron","family":"Low","sequence":"first","affiliation":[]},{"given":"Jayaram","family":"Muthuswamy","sequence":"additional","affiliation":[]},{"given":"Sudipto","family":"Sakar","sequence":"additional","affiliation":[]},{"given":"Eric","family":"Terry","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,10,16]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080302"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<441::AID-FUT5>3.0.CO;2-I"},{"key":"e_1_2_1_6_1","volume-title":"Futures markets","author":"Duffie D.","year":"1989"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/3666307"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90021-5"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150703"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150502"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130703"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/296147"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90103-X"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110605"},{"key":"e_1_2_1_17_1","volume-title":"Options, futures, and other derivative securities","author":"Hull J. C.","year":"1997"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130808"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140806"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140508"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330894"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10035","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10035","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T03:24:59Z","timestamp":1694575499000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10035"}},"issued":{"date-parts":[[2002,10,16]]},"references-count":25,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2002,12]]}},"alternative-id":["10.1002\/fut.10035"],"URL":"https:\/\/doi.org\/10.1002\/fut.10035","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,10,16]]}},{"indexed":{"date-parts":[[2025,10,24]],"date-time":"2025-10-24T08:10:49Z","timestamp":1761293449953,"version":"3.37.3"},"reference-count":40,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2016,7,26]],"date-time":"2016-07-26T00:00:00Z","timestamp":1469491200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,3]]},"abstract":"Abstract<\/jats:title>The aim of this paper is to develop a multi\u2010asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead\u2013lag relationship as well as the correlation between the assets within this framework. We compute several statistical quantities and the covariance matrix associated with the diffusive limit of the model so that the relation between the parameters driving the assets at high and low frequencies is explicit. We illustrate the results using several financial assets quoted in the Eurex market and show how the model captures the lead\u2013lag relationship between them. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:260\u2013285, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21800","type":"journal-article","created":{"date-parts":[[2016,7,27]],"date-time":"2016-07-27T03:46:49Z","timestamp":1469591209000},"page":"260-285","source":"Crossref","is-referenced-by-count":11,"title":["Correlation and Lead\u2013Lag Relationships in a Hawkes Microstructure Model"],"prefix":"10.1002","volume":"37","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6882-4511","authenticated-orcid":false,"given":"Jos\u00e9","family":"Da Fonseca","sequence":"first","affiliation":[{"name":"Jos\u00e9 Da Fonseca is Senior Lecturer at Department of Finance Business School Auckland University of Technology Auckland New Zealand"}]},{"given":"Riadh","family":"Zaatour","sequence":"additional","affiliation":[{"name":"Riadh Zaatour is at Chair of Quantitative Finance Ecole Centrale Paris Ch\u00e2tenay\u2010Malabry France"}]}],"member":"311","published-online":{"date-parts":[[2016,7,26]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024913500258"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.002"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-015-0282-y"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1140\/epjb\/e2012-21005-8"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2011.647054"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2013.04.007"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2382626615500057"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2014.897000"},{"key":"e_1_2_8_10_1","unstructured":"Bacry E. &Muzy J.\u2010F.(2014b).Second order statistics characterization of Hawkes processes and non\u2010parametric estimation. Available athttp:\/\/www.cmap.polytechnique.fr\/\u02dcbacry\/ftpPapers.html"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.11.007"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01158695"},{"volume-title":"Interest rate models \u2019 Theory and practice","year":"2006","author":"Brigo D.","key":"e_1_2_8_13_1"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2008.08.001"},{"key":"e_1_2_8_16_1","doi-asserted-by":"crossref","unstructured":"Cont R. &De Larrard A.(2012).Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations. arXiv:1202.6412.","DOI":"10.2139\/ssrn.1757861"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1137\/110856605"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21644"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21676"},{"volume-title":"An introduction to the theory of point processes: Vol 1: Elementary theory and methods","year":"2002","author":"Daley D. J.","key":"e_1_2_8_20_1"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-49835-5"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009765322522"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00009-1"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00123.x"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1060202833"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2010.528444"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1137\/090771272"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21715"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-21925-2"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/58.1.83"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070403"},{"key":"e_1_2_8_34_1","unstructured":"Hewlett P.(2006).Clustering of order arrivals price impact and trade path optimisation. Unpublished Working paper."},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.3150\/11-BEJ407"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.01.003"},{"key":"e_1_2_8_37_1","doi-asserted-by":"crossref","unstructured":"Jedidi A. &Abergel F.(2013).On the stability and price scaling limit of a Hawkes process\u2010based order book model. Working paper. Available at:http:\/\/hal.archives\u2010ouvertes.fr\/hal\u201000821607.","DOI":"10.2139\/ssrn.2263162"},{"key":"e_1_2_8_38_1","doi-asserted-by":"crossref","first-page":"59","DOI":"10.3233\/AF-13017","article-title":"A multiscale model of high\u2010frequency trading","volume":"2","author":"Kirilenko A.","year":"2013","journal-title":"Algorithmic Finance"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.09.001"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1109\/TIT.1981.1056305"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-06400-9"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21800","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21800","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21800","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,5]],"date-time":"2023-10-05T21:28:14Z","timestamp":1696541294000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21800"}},"issued":{"date-parts":[[2016,7,26]]},"references-count":40,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2017,3]]}},"alternative-id":["10.1002\/fut.21800"],"URL":"https:\/\/doi.org\/10.1002\/fut.21800","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2016,7,26]]}},{"indexed":{"date-parts":[[2025,10,25]],"date-time":"2025-10-25T12:35:43Z","timestamp":1761395743683,"version":"3.37.3"},"reference-count":27,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2020,5,12]],"date-time":"2020-05-12T00:00:00Z","timestamp":1589241600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,9]]},"abstract":"Abstract<\/jats:title>We use the 2008 short\u2010selling ban to examine the impact of single\u2010stock futures (SSFs) trading on options market quality. We show that there is a substitution effect between options trading and SSFs trading during the ban period. In addition, our results show that SSFs trading had a significant effect in narrowing the bid\u2010ask spreads of options contracts. Moreover, compared to stocks without SSFs, stocks with SSFs were less likely to violate put\u2010call parity during the ban period. Our results suggest that SSFs trading helps mitigate the negative effect of the short\u2010selling ban on options market quality documented in the literature.<\/jats:p>","DOI":"10.1002\/fut.22126","type":"journal-article","created":{"date-parts":[[2020,5,12]],"date-time":"2020-05-12T15:03:48Z","timestamp":1589295828000},"page":"1398-1419","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["When trading options is not the only option: The effects of single\u2010stock futures trading on options market quality"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3045-9608","authenticated-orcid":false,"given":"George J.","family":"Jiang","sequence":"first","affiliation":[{"name":"Department of Finance and Management Science, Carson College of Business Washington State University Pullman Washington"}]},{"given":"Yoshiki","family":"Shimizu","sequence":"additional","affiliation":[{"name":"Department of Accounting and Finance, Labovitz School of Business and Economics University of Minnesota Duluth Duluth Minnesota"}]},{"given":"Cuyler","family":"Strong","sequence":"additional","affiliation":[{"name":"Department of Finance and Management Science, Carson College of Business Washington State University Pullman Washington"}]}],"member":"311","published-online":{"date-parts":[[2020,5,12]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21973"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.04.004"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01700.x"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01802.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21849"},{"key":"#cr-split#-e_1_2_7_7_1.1","unstructured":"Bloomberg L. P.(2019). Bloomberg database"},{"key":"#cr-split#-e_1_2_7_7_1.2","unstructured":"Daily single\u2010stock futures trading volume (2008). Retrieved fromhttps:\/\/www.bloomberg.com"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht017"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb03834.x"},{"volume-title":"Options markets","year":"1985","author":"Cox J. C.","key":"e_1_2_7_10_1"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2009.02159.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90042-0"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20323"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/fire.12147"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.013"},{"key":"e_1_2_7_18_1","doi-asserted-by":"crossref","unstructured":"Jiang G. J. Shimizu Y. &Strong C.(2019).Back to the futures: When short selling is banned(Working paper). Washington State University.","DOI":"10.2139\/ssrn.3420275"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gfj.2009.06.004"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/367683"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.03.005"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.008"},{"key":"#cr-split#-e_1_2_7_23_1.1","unstructured":"OptionMetrics LLC. (2019). OptionMetrics"},{"key":"#cr-split#-e_1_2_7_23_1.2","unstructured":"IvyDB US by OptionMetrics (2008). Retrieved from Wharton Research Data Servicehttps:\/\/doi.org\/10.17616\/R3NC9W"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20313"},{"key":"#cr-split#-e_1_2_7_25_1.1","unstructured":"The University of Chicago Booth School of Business. (2019). Center For Research in Security Prices"},{"key":"#cr-split#-e_1_2_7_25_1.2","unstructured":"CRSP Stocks (2008). Retrieved from Wharton Research Data Servicehttps:\/\/doi.org\/10.17616\/R3NC9W"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22126","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22126","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22126","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22126","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,5]],"date-time":"2023-09-05T12:31:44Z","timestamp":1693917104000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22126"}},"issued":{"date-parts":[[2020,5,12]]},"references-count":27,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2020,9]]}},"alternative-id":["10.1002\/fut.22126"],"URL":"https:\/\/doi.org\/10.1002\/fut.22126","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,5,12]]},"assertion":[{"value":"2019-10-08","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-04-22","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-05-12","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,25]],"date-time":"2025-10-25T12:11:31Z","timestamp":1761394291189},"reference-count":32,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2013,2,22]],"date-time":"2013-02-22T00:00:00Z","timestamp":1361491200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,6]]},"abstract":"Abstract<\/jats:title>This study investigates the linkage between the options and credit default swap (CDS) markets around the subprime mortgage crisis period, using the unit recovery claim (URC). Through estimation of a well\u2010hedging strike price within a firm\u2010specific and time\u2010varying default corridor and consideration of the CDS term structure and firm\u2010specific recovery rate, modified URCs from the two markets are demonstrated to have a tighter linkage. The adjusted URCs show that, after the crisis, the effect of macroeconomic variable on deviations between the two markets increased and the options market's predictive power for the future movement of the CDS market was amplified. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21595","type":"journal-article","created":{"date-parts":[[2013,2,22]],"date-time":"2013-02-22T21:11:57Z","timestamp":1361567517000},"page":"518-554","source":"Crossref","is-referenced-by-count":13,"title":["The Linkage Between the Options and Credit Default Swap Markets During the Subprime Mortgage Crisis"],"prefix":"10.1002","volume":"33","author":[{"given":"Tong Suk","family":"Kim","sequence":"first","affiliation":[{"name":"Tong Suk Kim is at the Graduate School of Finance and Accounting Korea Advanced Institute of Science and Technology Dongdaemoon\u2010gu, Seoul Korea"}]},{"given":"Yuen Jung","family":"Park","sequence":"additional","affiliation":[{"name":"Yuen Jung Park is at theDepartment of Finance Hallym University Gangwon\u2010Do Korea"}]},{"given":"Jaesun","family":"Noh","sequence":"additional","affiliation":[{"name":"Jaesun Noh is at the Canadian Imperial Bank of Commerce Toronto, Ontario Canada"}]}],"member":"311","published-online":{"date-parts":[[2013,2,22]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.05.003"},{"key":"e_1_2_7_3_1","first-page":"51","article-title":"The credit spread puzzle","volume":"5","author":"Amato J. D.","year":"2003","journal-title":"BIS Quarterly Review"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.37"},{"key":"e_1_2_7_5_1","unstructured":"Baba Y. Engle R. F. Kraft D. Kenneth F. &Kroner K. F.(1989). Multivariate simultaneous generalized ARCH. University of California\u2010San Diego Department of Economics Unpublished manuscript."},{"key":"e_1_2_7_6_1","doi-asserted-by":"crossref","unstructured":"Berndt A. &Ostrovnaya A.(2008). Do equity markets favor credit markets news over options market news? American Finance Association 2008 New Orleans Meetings paper Carnegie Mellon University.","DOI":"10.2139\/ssrn.972806"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00607.x"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2010.01.002"},{"key":"e_1_2_7_9_1","doi-asserted-by":"crossref","unstructured":"Carey M. &Gordy M. B.(2007).The bank as grim reaper: Debt composition and recoveries on defaulted debt (working paper). Board of Governors of the Federal Reserve System.","DOI":"10.2139\/ssrn.972484"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq129"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn078"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00402"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn071"},{"key":"e_1_2_7_15_1","unstructured":"Delianedis G. &Geske R.(2001).The components of corporate credit spreads: Default recovery tax jumps liquidity and market factors (working paper). University of California Los Angeles."},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_7_18_1","doi-asserted-by":"crossref","unstructured":"Eichengreen B. Mody A. Nedeljkovic M. &Sarno L.(2009).How the subprime crisis went global: Evidence from bank credit default swap spreads (working paper). National Bureau of Economic Research.","DOI":"10.3386\/w14904"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00324"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_7_22_1","doi-asserted-by":"crossref","unstructured":"Forte S. &Lovreta L.(2009).Credit risk discovery in the stock and CDS markets: Who leads when and why? (working paper). ESADE Business School.","DOI":"10.2139\/ssrn.1183202"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/hhl047"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2290916"},{"key":"e_1_2_7_26_1","unstructured":"JacobyG. Jiang G. &Theocharides G.(2009).Cross\u2010market liquidity shocks: Evidence from the CDS corporate bond and equity markets (working paper). Asper School of Business University of Manitoba."},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02714.x"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01330.x"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00797.x"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.12.001"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp004"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21595","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21595","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T03:03:37Z","timestamp":1698635017000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21595"}},"issued":{"date-parts":[[2013,2,22]]},"references-count":32,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2013,6]]}},"alternative-id":["10.1002\/fut.21595"],"URL":"https:\/\/doi.org\/10.1002\/fut.21595","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,2,22]]}},{"indexed":{"date-parts":[[2025,10,28]],"date-time":"2025-10-28T03:16:25Z","timestamp":1761621385980,"version":"3.41.0"},"reference-count":27,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2018,6,6]],"date-time":"2018-06-06T00:00:00Z","timestamp":1528243200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,10]]},"abstract":"This study examines price discovery at the short end of the yield curve by examining the lead\u2013lag relationship in the prices of Australian interest rate swap and bank accepted bill futures contracts. Consistent with previous research, we find strong bidirectional flows of information between swap and futures markets during daytime trading. However, the swap market leads price discovery during overnight trading while futures markets lead swap markets on macroeconomic announcement days\u2014both new findings. We demonstrate and conclude that price discovery in derivatives at the short end of the yield curve is driven by transaction costs.<\/jats:p>","DOI":"10.1002\/fut.21935","type":"journal-article","created":{"date-parts":[[2018,6,6]],"date-time":"2018-06-06T12:51:29Z","timestamp":1528289489000},"page":"1179-1188","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Price discovery in short\u2010term interest rate markets: Futures versus swaps"],"prefix":"10.1002","volume":"38","author":[{"given":"Alex","family":"Frino","sequence":"first","affiliation":[{"name":"School of Accounting, Economics and Finance, Faculty of Business University of Wollongong Wollongong New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8852-0630","authenticated-orcid":false,"given":"Michael","family":"Garcia","sequence":"additional","affiliation":[{"name":"School of Accounting, Economics and Finance, Faculty of Business University of Wollongong Wollongong New South Wales Australia"}]}],"member":"311","published-online":{"date-parts":[[2018,6,6]]},"reference":[{"key":"e_1_2_7_1_2_1","unstructured":"Australian Financial Markets Association (AFMA). (2017).2017 Australian Financial Markets report.Sydney Australia:AFMA."},{"key":"e_1_2_7_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20106"},{"key":"e_1_2_7_1_4_1","unstructured":"Australian Security Exchange (ASX). (2014).90 day bank accepted bill futures and options interest rate markets fact sheet.Australia:ASX."},{"key":"e_1_2_7_1_5_1","unstructured":"Australian Security Exchange (ASX). (2018).Interest rate derivatives price and valuation guide.Australia:ASX."},{"key":"e_1_2_7_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04527.x"},{"key":"e_1_2_7_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_7_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05136.x"},{"key":"e_1_2_7_1_9_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.29.2.191"},{"key":"e_1_2_7_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04750.x"},{"key":"e_1_2_7_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"volume-title":"Intranight trading behaviour","year":"2000","author":"Frino A.","key":"e_1_2_7_1_12_1"},{"key":"e_1_2_7_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00132-1"},{"key":"e_1_2_7_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200005)20:5<467::AID-FUT4>3.0.CO;2-L"},{"key":"e_1_2_7_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(91)90025-F"},{"key":"e_1_2_7_1_16_1","doi-asserted-by":"publisher","DOI":"10.1006\/jfin.1994.1002"},{"key":"e_1_2_7_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21775"},{"key":"e_1_2_7_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8"},{"key":"e_1_2_7_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1999.tb00471.x"},{"key":"e_1_2_7_1_20_1","doi-asserted-by":"crossref","first-page":"296","DOI":"10.69554\/DGRH6089","article-title":"Evolving financial benchmarks: The impact on legacy contracts","volume":"7","author":"Perkins J.","year":"2015","journal-title":"Journal of Securities Operations & Custody"},{"key":"e_1_2_7_1_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/096031099332249"},{"key":"e_1_2_7_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20282"},{"key":"e_1_2_7_1_23_1","unstructured":"Reserve Bank of Australia (RBA)(2015).Report on the Australian OTC derivatives market.RBA."},{"key":"e_1_2_7_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(98)00005-X"},{"key":"e_1_2_7_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<405::AID-FUT3>3.0.CO;2-M"},{"key":"e_1_2_7_1_26_1","first-page":"540","article-title":"Money, income, and causality","volume":"62","author":"Sims C. A.","year":"1972","journal-title":"The American Economic Review"},{"key":"e_1_2_7_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_7_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2006.02.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21935","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21935","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,7,5]],"date-time":"2025-07-05T00:29:09Z","timestamp":1751675349000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21935"}},"issued":{"date-parts":[[2018,6,6]]},"references-count":27,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2018,10]]}},"alternative-id":["10.1002\/fut.21935"],"URL":"https:\/\/doi.org\/10.1002\/fut.21935","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,6,6]]},"assertion":[{"value":"2018-05-02","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-05-02","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-06-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:47:35Z","timestamp":1761562055905},"reference-count":49,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,12,18]],"date-time":"2015-12-18T00:00:00Z","timestamp":1450396800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,10]]},"abstract":"Abstract<\/jats:title>Many studies have estimated the optimal time\u2010varying hedge ratio using futures, with most employing a bivariate generalized autoregressive conditional heteroscedasticity (BGARCH) model or a random coefficient model to estimate the time\u2010varying hedge ratio. However, it has been argued that when the variability of the estimated time\u2010varying hedge ratio is large, this ratio's hedging performance is not as good as that of the unconditional (constant) hedge ratio. This study proposes a nonparametric estimation approach to estimate and evaluate the optimal conditional hedge ratio. This method produces a time\u2010varying hedge ratio with less volatility than those obtained from the BGARCH and random coefficient models. We evaluate the hedging performance of the various models using soybean oil, corn, S&P 500, and Hang Seng futures indices. The empirical results support the proposed nonparametric approach in terms of both in\u2010sample and out\u2010of\u2010sample performance. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:968\u2013991, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21766","type":"journal-article","created":{"date-parts":[[2015,12,19]],"date-time":"2015-12-19T02:54:21Z","timestamp":1450493661000},"page":"968-991","source":"Crossref","is-referenced-by-count":16,"title":["Estimation and Hedging Effectiveness of Time\u2010Varying Hedge Ratio: Nonparametric Approaches"],"prefix":"10.1002","volume":"36","author":[{"given":"Rui","family":"Fan","sequence":"first","affiliation":[{"name":"Rui Fan is at the Department of Economics University of Illinois at Urbana\u2010Champaign Champaign, Illinois USA"}]},{"given":"Haiqi","family":"Li","sequence":"additional","affiliation":[{"name":"Haiqi Li is at the College of Finance and Statistics Hunan University Changsha, Hunan China"}]},{"given":"Sung Y.","family":"Park","sequence":"additional","affiliation":[{"name":"Sung Y. Park is at the School of Economics Chung\u2010Ang University 84 Heukseok\u2010Ro, Dongjak\u2010Gu, Seoul Korea"}]}],"member":"311","published-online":{"date-parts":[[2015,12,18]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.008"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00068"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_7_5_1","first-page":"346","article-title":"Estimation of time\u2010varying hedge ratios for corn and soybeans: BGARCH and random coefficient approaches","volume":"59","author":"Bera A. K.","year":"1997","journal-title":"Sankhy\u0101: The Indian Journal of Statistics, Series B"},{"key":"e_1_2_7_6_1","first-page":"863","article-title":"Inference for semiparametric models: Some current frontiers (with discussion)","volume":"11","author":"Bickel P.","year":"2001","journal-title":"Statistica Sinica"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20542"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/338484"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.08.004"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.09.012"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610920008832562"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_7_17_1","unstructured":"Fan J. &Gijbels I.(1996). Local polynomial modelling and its applications. London: Chapman and Hall."},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1137421639"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.05.016"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036849500000095"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130703"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030305"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10085"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20345"},{"key":"e_1_2_7_26_1","unstructured":"Jorion P.(2000). Value at risk: The new benchmark for managing financial risk. New York: McGraw\u2010Hill New York."},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1366-5545(99)00029-0"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200009)20:8<775::AID-FUT4>3.0.CO;2-4"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20193"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618531"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2011.07.004"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199610)16:7<773::AID-FUT3>3.0.CO;2-L"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10024"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2003.08.004"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20297"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20455"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20116"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00012-9"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.02.006"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(80)90084-6"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20401"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474930802459016"},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1081\/ETC-120028836"},{"key":"e_1_2_7_47_1","doi-asserted-by":"crossref","unstructured":"Robinson P.(1989).Nonparametric estimation of time\u2010varying parameters. In P. Hackl (Ed.) Statistical analysis and forecasting economic structural change. Berlin: Springer\u2010Verlag.","DOI":"10.1007\/978-3-662-02571-0_15"},{"key":"e_1_2_7_48_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1995.10476630"},{"key":"e_1_2_7_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21598"},{"key":"e_1_2_7_50_1","doi-asserted-by":"publisher","DOI":"10.1006\/jmva.2001.2012"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21766","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21766","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:12:49Z","timestamp":1696597969000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21766"}},"issued":{"date-parts":[[2015,12,18]]},"references-count":49,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2016,10]]}},"alternative-id":["10.1002\/fut.21766"],"URL":"https:\/\/doi.org\/10.1002\/fut.21766","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,12,18]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:59:36Z","timestamp":1761562776678,"version":"3.37.3"},"reference-count":35,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2021,5,26]],"date-time":"2021-05-26T00:00:00Z","timestamp":1621987200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71771199","71701106","71790594"],"award-info":[{"award-number":["71771199","71701106","71790594"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,8]]},"abstract":"Abstract<\/jats:title>This paper investigates the information content of the futures option markets trading activities in determining commodity futures returns. Our findings suggest that position changes in the commodity futures option markets provide incremental predictive power for commodity futures returns in addition to the effects of commodity futures markets position changes. Particularly, for both commercial traders and noncommercial traders, options position changes impact the futures price in the same direction as futures position changes. Furthermore, the nonmomentum of position changes of options market contributes overwhelmingly relative to the idiosyncratic risk and hedging pressure in the case of noncommercial trading.<\/jats:p>","DOI":"10.1002\/fut.22221","type":"journal-article","created":{"date-parts":[[2021,5,26]],"date-time":"2021-05-26T20:30:09Z","timestamp":1622061009000},"page":"1333-1347","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["How trading in commodity futures option markets impacts commodity futures prices"],"prefix":"10.1002","volume":"41","author":[{"given":"Xingguo","family":"Luo","sequence":"first","affiliation":[{"name":"School of Economics and Academy of Financial Research Zhejiang University Hangzhou China"}]},{"given":"Yuting","family":"Lin","sequence":"additional","affiliation":[{"name":"School of Economics and Institute for Fiscal Big\u2010Data & Policy Zhejiang University Hangzhou China"}]},{"given":"Xiaoli","family":"Yu","sequence":"additional","affiliation":[{"name":"School of Economics and Institute for Fiscal Big\u2010Data & Policy Zhejiang University Hangzhou China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1708-0954","authenticated-orcid":false,"given":"Feng","family":"He","sequence":"additional","affiliation":[{"name":"School of Finance Tianjin University of Finance and Economics Tianjin China"},{"name":"Laboratory for Fintech and Risk Management Tianjin China"}]}],"member":"311","published-online":{"date-parts":[[2021,5,26]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22021"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/096031098333276"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu043"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22007"},{"key":"e_1_2_8_8_1","unstructured":"Commitment of Traders reports. Publicly available;Data set can be obtained from Commodity Futures Trading Commission (CFTC)website (https:\/\/www.cftc.gov\/data)."},{"key":"e_1_2_8_9_1","unstructured":"Commodity futures price data.Publicly available; Data set can be obtained from the Macrotrend website(https:\/\/www.macrotrends.net)."},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20118"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22087"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2020.1814009"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.08.019"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2019.3398"},{"key":"e_1_2_8_15_1","article-title":"Price discovery and its determinants for the Chinese soybean options and futures markets","author":"Hao J.","year":"2020","journal-title":"Finance Research Letters"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2020.1814037"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_8_18_1","first-page":"44","article-title":"Future trading upon organized commodity markets in the United States","author":"Hoffman G. W.","year":"1932","journal-title":"Journal of Political Economy"},{"key":"e_1_2_8_19_1","doi-asserted-by":"crossref","unstructured":"Hong H. G. &Yogo M.(2012).What does futures market interest tell us about the macroeconomy and asset prices?Working paper National Bureau of Economic Research.","DOI":"10.2139\/ssrn.1364674"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21999"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.008"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12845"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2012.02.029"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2020.09.012"},{"key":"e_1_2_8_26_1","doi-asserted-by":"crossref","unstructured":"McCallum A. H. &Wu T.(2005).Do oil futures prices help predict future oil prices?Working paper Board of Governors of the Federal Reserve System.","DOI":"10.2139\/ssrn.1967966"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.08.005"},{"key":"e_1_2_8_28_1","first-page":"100","article-title":"Price discovery in stock and option markets","volume":"47","author":"Patela V.","year":"2020","journal-title":"Journal of Financial Markets"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110311-101716"},{"issue":"1","key":"e_1_2_8_30_1","first-page":"113","article-title":"International copper futures market price linkage and information transmission: Empirical evidence from the primary world copper markets","volume":"12","author":"Rutledge R. W.","year":"2013","journal-title":"Journal of International Business Research"},{"key":"e_1_2_8_31_1","first-page":"276","article-title":"Smart money: The forecasting ability of CFTC large traders in agricultural futures markets","volume":"34","author":"Sanders D. R.","year":"2009","journal-title":"Journal of Agricultural Resource Economics"},{"key":"e_1_2_8_32_1","unstructured":"S&P 500 price data. Publicly available; Data set can be obtained from the Yahoo Finance website (https:\/\/finance.yahoo.com)."},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0148-6195(96)00016-1"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22018"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20514"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22221","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22221","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22221","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T01:21:49Z","timestamp":1693358509000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22221"}},"issued":{"date-parts":[[2021,5,26]]},"references-count":35,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2021,8]]}},"alternative-id":["10.1002\/fut.22221"],"URL":"https:\/\/doi.org\/10.1002\/fut.22221","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,5,26]]},"assertion":[{"value":"2021-02-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-04-29","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-26","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:51:43Z","timestamp":1761562303518,"version":"3.37.3"},"reference-count":37,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2017,11,8]],"date-time":"2017-11-08T00:00:00Z","timestamp":1510099200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/100007225","name":"Ministry of Science and Technology","doi-asserted-by":"publisher","id":[{"id":"10.13039\/100007225","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,4]]},"abstract":"We compile option\u2010implied tail loss and gain measures based on a deep out\u2010of\u2010the\u2010money option pricing formula derived by applying \u201cextreme value theory,\u201d and then use these measures to investigate the information content of option\u2010implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S&P 500 and VIX options can predict future changes in the corresponding underlying assets and are informative on the future returns of the S&P 500 index. The relationships are particularly strong during periods of economic recession and driven by the tail\u2010risk premium.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21887","type":"journal-article","created":{"date-parts":[[2017,11,8]],"date-time":"2017-11-08T12:17:15Z","timestamp":1510143435000},"page":"493-510","source":"Crossref","is-referenced-by-count":7,"title":["The information content of option\u2010implied tail risk on the future returns of the underlying asset"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3051-4339","authenticated-orcid":false,"given":"Yaw\u2010Huei","family":"Wang","sequence":"first","affiliation":[{"name":"Department of Finance National Taiwan University Taipei Taiwan"}]},{"given":"Kuang\u2010Chieh","family":"Yen","sequence":"additional","affiliation":[{"name":"Department of Finance National Taiwan University Taipei Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2017,11,8]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.06.005"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.01.002"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.007"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.121.3.823"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.008"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00157-6"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00227-8"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.02.010"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs087"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-53683-9.00010-4"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20532"},{"key":"e_1_2_10_19_1","doi-asserted-by":"crossref","unstructured":"Du J. &Kapadia N.(2012). The tail in the volatility index. Working paper University of Massachusetts Amherst.","DOI":"10.2139\/ssrn.1787344"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rft004"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04738.x"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.2.64"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjs001"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2005.500363"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.102.6.2734"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00877.x"},{"key":"e_1_2_10_27_1","doi-asserted-by":"crossref","first-page":"85","DOI":"10.21314\/JOR.2017.366","article-title":"Estimating the tail shape parameter from option prices","volume":"19","author":"Hamidieh K.","year":"2017","journal-title":"Journal of Risk"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000071"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319143"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu039"},{"volume-title":"Quantitative risk management: Concepts, techniques and tools","year":"2015","author":"McNeil A. J.","key":"e_1_2_10_31_1"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2015.05.003"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-75953-1"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(88)90172-9"},{"key":"e_1_2_10_36_1","doi-asserted-by":"crossref","unstructured":"Vilkov G. &Xiao Y.(2013). Option\u2010implied information and predictability of extreme returns. Working Paper Goethe University Frankfurt.","DOI":"10.2139\/ssrn.2209654"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12018"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2000.319728"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21887","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21887","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,25]],"date-time":"2023-09-25T00:42:45Z","timestamp":1695602565000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21887"}},"issued":{"date-parts":[[2017,11,8]]},"references-count":37,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2018,4]]}},"alternative-id":["10.1002\/fut.21887"],"URL":"https:\/\/doi.org\/10.1002\/fut.21887","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,11,8]]}},{"indexed":{"date-parts":[[2025,11,5]],"date-time":"2025-11-05T11:25:56Z","timestamp":1762341956671,"version":"3.37.3"},"reference-count":31,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2022,11,23]],"date-time":"2022-11-23T00:00:00Z","timestamp":1669161600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,2]]},"abstract":"Abstract<\/jats:title>In this paper, we propose a new explicit series expansion formula for the price of an arithmetic Asian option under the Black\u2013Scholes model and Merton's jump\u2010diffusion model. The method is based on an equivalence in law relation together with the diffusion operator integral\u00a0method proposed by Heath and Platen. The method yields explicit series expansion formula for the Asian options' prices. The theoretical convergence of the expansion to the true value is established. We also consider the American Asian option (i.e., Amerasian option) and derive the corresponding expansion formula through the early exercise premium\u00a0representation. Numerical results illustrate the accuracy and efficiency of the method as compared with benchmarks in the literature.<\/jats:p>","DOI":"10.1002\/fut.22387","type":"journal-article","created":{"date-parts":[[2022,11,24]],"date-time":"2022-11-24T12:53:35Z","timestamp":1669294415000},"page":"217-241","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach"],"prefix":"10.1002","volume":"43","author":[{"given":"Kailin","family":"Ding","sequence":"first","affiliation":[{"name":"Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9429-7121","authenticated-orcid":false,"given":"Zhenyu","family":"Cui","sequence":"additional","affiliation":[{"name":"School of Business Stevens Institute of Technology Hoboken New Jersey USA"}]},{"given":"Xiaoguang","family":"Yang","sequence":"additional","affiliation":[{"name":"Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2022,11,23]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2007.02.003"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2015.1385"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1992.tb00040.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21956"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22265"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2017.10.049"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/3\/4\/305"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S095679250800750X"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1998.024"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1287\/moor.2015.0739"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.027"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024902001389"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1993.tb00092.x"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.46.8.1116.12027"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/5\/305"},{"issue":"3","key":"e_1_2_8_17_1","first-page":"510","article-title":"Asian options on oil spreads","volume":"9","author":"Heenk B. A.","year":"1990","journal-title":"Review of Futures Markets"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(90)90039-5"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1137\/16M1057127"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-020-00366-0"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.05.007"},{"volume-title":"Introductory lectures on fluctuations of L\u00e9vy processes with applications","year":"2006","author":"Kyprianou A. E.","key":"e_1_2_8_22_1"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.1040.0113"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.113"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2021.104145"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"volume-title":"Optimal stopping and free\u2010boundary problems","year":"2006","author":"Peskir G.","key":"e_1_2_8_27_1"},{"key":"e_1_2_8_28_1","unstructured":"Peskir G. &Uys N.(2005).On Asian options of American type\u00a0(Technical report Exotic Option Pricing and Advanced L\u00e9vy Models Eindhoven 2004)."},{"issue":"6","key":"e_1_2_8_29_1","first-page":"113","article-title":"Unified Asian pricing","volume":"15","author":"Vecer J.","year":"2002","journal-title":"Risk"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22064"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1142\/S021902499900008X"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.51.1.52.12798"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22387","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22387","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22387","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,20]],"date-time":"2023-08-20T20:18:32Z","timestamp":1692562712000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22387"}},"issued":{"date-parts":[[2022,11,23]]},"references-count":31,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2023,2]]}},"alternative-id":["10.1002\/fut.22387"],"URL":"https:\/\/doi.org\/10.1002\/fut.22387","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,11,23]]},"assertion":[{"value":"2021-10-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-11-02","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-11-23","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,5]],"date-time":"2026-03-05T22:32:10Z","timestamp":1772749930935,"version":"3.50.1"},"reference-count":21,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6903,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,10]]},"DOI":"10.1002\/fut.3990070503","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:46:21Z","timestamp":1183625181000},"page":"483-496","source":"Crossref","is-referenced-by-count":28,"title":["Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects"],"prefix":"10.1002","volume":"7","author":[{"suffix":"Jr.","given":"John J.","family":"Merrick","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935783"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913889"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010303"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924704"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912726"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296330"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_1_12_1","first-page":"393","article-title":"On the Impossibility of Informationally Efficient Markets","volume":"70","author":"Grossman S.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_1_13_1","unstructured":"Harris L.(1983): \u201cThe Joint Distribution of Speculative Prices and Daily Trading Volume.\u201d Unpublished manuscript University of Southern California."},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050310"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","first-page":"21","DOI":"10.1111\/j.1540-6261.1985.tb04935.x","article-title":"The Trading Decision and Market Clearing under Transaction Price Uncertainty","volume":"40","author":"Ho T.","year":"1983","journal-title":"Journal of Finance"},{"key":"e_1_2_1_16_1","first-page":"21","article-title":"A Comparison of Yields on Futures Contracts and Implied Forward Rates","volume":"50","author":"Lang R.","year":"1978","journal-title":"Federal Reserve Bank of St. Louis Monthly Review"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_18_1","unstructured":"Poole W.(1978 Spring): \u201cUsing T\u2010bill Futures to Gauge Interest Rate Expectations.\u201dFederal Reserve Bank of San Francisco Economic Review pp.7\u201315."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1985.tb00404.x"},{"key":"e_1_2_1_21_1","volume-title":"Expiration Day Effects of Index Options and Futures","author":"Stoll H.","year":"1986"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070503","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070503","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:39:40Z","timestamp":1697920780000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070503"}},"issued":{"date-parts":[[1987,10]]},"references-count":21,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1987,10]]}},"alternative-id":["10.1002\/fut.3990070503"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070503","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,10]]}},{"indexed":{"date-parts":[[2026,3,8]],"date-time":"2026-03-08T16:18:32Z","timestamp":1772986712784,"version":"3.50.1"},"reference-count":58,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T00:00:00Z","timestamp":1761782400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T00:00:00Z","timestamp":1761782400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,2]]},"abstract":"ABSTRACT<\/jats:title>\n This paper empirically demonstrates that the SSE 50 ETF option market has the informational advantage compared to the underlying market, and evaluates the relative importance of option characteristics in price discovery using interpretable machine learning methods. Estimating the Information Leadership Share using 1\u2010s resolution price data as a measure of price discovery indicates that price discovery occurs in the SSE 50 ETF option market more, less in the underlying market. The feature importance analysis reveals that trading cost is the primary factor contributing to the informational advantage of option markets, followed by leverage, market maker risk, and speculation, while liquidity and open interest have less impact. Extensive robustness tests are also conducted to assess the stability of the feature importance.<\/jats:p>","DOI":"10.1002\/fut.70052","type":"journal-article","created":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T10:33:37Z","timestamp":1761820417000},"page":"237-261","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0917-8799","authenticated-orcid":false,"given":"Jufang","family":"Liang","sequence":"first","affiliation":[{"name":"College of Finance and Statistics, and Center for Studies in Capital Markets Hunan University Changsha Hunan China"}]},{"given":"Dan","family":"Yang","sequence":"additional","affiliation":[{"name":"Research Department, China Financial Futures Exchange Shanghai China"}]},{"given":"Qian","family":"Han","sequence":"additional","affiliation":[{"name":"Lingnan College, Sun Yat\u2010Sen University Hunan University Guangzhou Guangdong China"}]}],"member":"311","published-online":{"date-parts":[[2025,10,30]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21970"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.02.009"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331149"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1111"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1049"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2015.06.034"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.03.009"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbac020"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx113"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1057-5219(99)00003-4"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2020.06.019"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa078"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/296574"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13371"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/raab022"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2019.3398"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1995.10524576"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa009"},{"key":"e_1_2_10_28_1","first-page":"84","article-title":"Managing Smile Risk","volume":"1","author":"Hagan P. S.","year":"2002","journal-title":"Wilmott Magazine"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00017-9"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbz027"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.12.004"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.11.007"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04409.x"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1108\/17439130910969738"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00077-5"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.10.007"},{"key":"e_1_2_10_39_1","unstructured":"Molnar C.2022.Interpretable Machine Learning(2nd ed.).https:\/\/christophm.github.io\/interpretable-ml-book\/."},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12380"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.09.003"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw028"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2019.100524"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.004"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21960"},{"key":"e_1_2_10_46_1","volume-title":"A Value for N\u2010Person Games","author":"Shapley L. S.","year":"1952"},{"key":"e_1_2_10_47_1","doi-asserted-by":"crossref","unstructured":"Shen Z. andD.Xiu.2025. \u201cCan Machines Learn Weak Signals?.\u201dNBER Working Papers (33421).","DOI":"10.3386\/w33421"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1969.tb01694.x"},{"issue":"4","key":"e_1_2_10_50_1","first-page":"128","article-title":"The Determinants of Price Discovery in CSI 300 Stock Index Futures","author":"Tao L. B.","year":"2014","journal-title":"Journal of Financial Research"},{"issue":"2","key":"e_1_2_10_51_1","first-page":"154","article-title":"How Do Restrictive Trading Regulations Affect the Relationship Between Stock Index Futures and the Spot Market?","author":"Xu R.","year":"2019","journal-title":"Journal of Financial Research"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.003"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhab067"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2018.1444562"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101796"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22008"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.01.004"},{"issue":"11","key":"e_1_2_10_58_1","first-page":"74","article-title":"Order Flow, Inventory Risk and Option Returns","volume":"23","author":"Zheng Z.","year":"2020","journal-title":"Journal of Management Sciences in China"},{"issue":"12","key":"e_1_2_10_59_1","first-page":"3045","article-title":"Macroeconomic Announcements and Price Discovery in the CSI 300 Stock Index Futures Market","volume":"33","author":"Zhou Z.","year":"2013","journal-title":"Systems Engineering \u2010 Theory & Practice"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70052","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70052","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70052","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,3,8]],"date-time":"2026-03-08T10:40:52Z","timestamp":1772966452000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70052"}},"issued":{"date-parts":[[2025,10,30]]},"references-count":58,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2026,2]]}},"alternative-id":["10.1002\/fut.70052"],"URL":"https:\/\/doi.org\/10.1002\/fut.70052","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,10,30]]},"assertion":[{"value":"2024-12-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-26","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-10-30","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,8]],"date-time":"2026-03-08T16:18:21Z","timestamp":1772986701567,"version":"3.50.1"},"reference-count":32,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T00:00:00Z","timestamp":1762473600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"},{"start":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T00:00:00Z","timestamp":1762473600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,2]]},"abstract":"ABSTRACT<\/jats:title>\n This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model to the case of subordinated debt. While empirical behaviors are emulated, the impacts of dynamic debt over the credit spreads are explored. In this model, the possibility of debt increases magnifies credit spreads and the reverse occurs for the possibility of debt decreases.<\/jats:p>","DOI":"10.1002\/fut.70057","type":"journal-article","created":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T14:05:18Z","timestamp":1762524318000},"page":"334-352","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Dynamic Debt With Intensity\u2010Based Models"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4700-424X","authenticated-orcid":false,"given":"Jo\u00e3o Miguel","family":"Reis","sequence":"first","affiliation":[{"name":"Business Research Unit (BRU\u2010IUL) Lisbon Portugal"},{"name":"Universidade Europeia Lisbon Portugal"}]},{"given":"Jos\u00e9 Carlos","family":"Dias","sequence":"additional","affiliation":[{"name":"Business Research Unit (BRU\u2010IUL) Lisbon Portugal"},{"name":"Instituto Universit\u00e1rio de Lisboa (ISCTE\u2010IUL) Lisbon Portugal"}]}],"member":"311","published-online":{"date-parts":[[2025,11,7]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22189"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01891.x"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00260-X"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00395"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.012"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx147"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12163"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20353"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs005"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.07.007"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2014.10.007"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109012000300"},{"key":"e_1_2_11_15_1","doi-asserted-by":"crossref","unstructured":"Gemmill G.2002. \u201cTesting Merton's Model for Credit Spreads on Zero\u2010Coupon Bonds.\u201d Working Paper. Cass Business School City University of London.","DOI":"10.2139\/ssrn.314266"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992132"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00044-7"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05167.x"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00052-6"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00109-6"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chaos.2017.05.012"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.03.016"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01531332"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20418"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01531333"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.3390\/computation10090155"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1755-053X.2010.01115.x"},{"key":"e_1_2_11_29_1","doi-asserted-by":"crossref","unstructured":"Musiela M. andM.Rutkowski2005.Martingale Methods in Financial Modelling.2nd ed.Springer\u2010Verlag.","DOI":"10.1007\/b137866"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs007"},{"key":"e_1_2_11_31_1","unstructured":"Protter P.2003.Stochastic Integration and Differential Equation.2nd ed.Springer\u2010Verlag."},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.08.005"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70057","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70057","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70057","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,3,8]],"date-time":"2026-03-08T10:40:39Z","timestamp":1772966439000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70057"}},"issued":{"date-parts":[[2025,11,7]]},"references-count":32,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2026,2]]}},"alternative-id":["10.1002\/fut.70057"],"URL":"https:\/\/doi.org\/10.1002\/fut.70057","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,11,7]]},"assertion":[{"value":"2024-02-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-10-13","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-11-07","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,6]],"date-time":"2026-01-06T02:22:33Z","timestamp":1767666153568},"reference-count":40,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2004,7,7]],"date-time":"2004-07-07T00:00:00Z","timestamp":1089158400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,9]]},"abstract":"Abstract<\/jats:title>This paper compares the intraday components of bid\u2010ask spread in Taiwan stock index futures traded on Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX\u2010DT). Variables that determine the components of spread are also examined. SGX\u2010DT uses a floor trading system while TAIFEX uses an electronic call system. This study finds that both information asymmetry and order processing cost components exhibit U\u2010shaped patterns in the two markets, in contrast to previous findings for U.S. equity markets. Moreover, the information asymmetry components are lower in the TAIFEX relative to the SGX\u2010DT futures, suggesting that the continuous open outcry markets are more vulnerable to information asymmetry than the electronic call markets. The regression results show that volatility and information are the major determinants of the components while number of trades is not the major determinant of the order processing and information asymmetry components for both markets. \u00a9 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:835\u2013860, 2004<\/jats:p>","DOI":"10.1002\/fut.20113","type":"journal-article","created":{"date-parts":[[2004,7,7]],"date-time":"2004-07-07T18:02:18Z","timestamp":1089223338000},"page":"835-860","source":"Crossref","is-referenced-by-count":25,"title":["The components of bid\u2010ask spread and their determinants: TAIFEX versus SGX\u2010DT"],"prefix":"10.1002","volume":"24","author":[{"given":"Yu Chuan","family":"Huang","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,7,7]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00003-8"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90025-S"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05192.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(92)90045-G"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1999.tb00724.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330882"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/260966"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb03834.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1882244"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.623"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02450.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90034-7"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1006\/jfin.1994.1002"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.3.849"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.24.2.47"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90070-0"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03749.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb03926.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.1.179"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(95)00867-E"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.995"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10040"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(01)00040-3"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.1996.tb00032.x"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.345"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.4.1153"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04403.x"},{"key":"e_1_2_1_32_1","first-page":"1035","article-title":"Why do security prices change?","volume":"10","author":"Madhavan A.","year":"1997","journal-title":"A transaction\u2010level analysis of NYSE stocks. Review of Financial Studies"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6288.00026"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(97)00011-6"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02695.x"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02696.x"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.2307\/3666377"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-4431(99)00002-5"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20113","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20113","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T14:47:54Z","timestamp":1700232474000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20113"}},"issued":{"date-parts":[[2004,7,7]]},"references-count":40,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2004,9]]}},"alternative-id":["10.1002\/fut.20113"],"URL":"https:\/\/doi.org\/10.1002\/fut.20113","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,7,7]]}},{"indexed":{"date-parts":[[2026,1,9]],"date-time":"2026-01-09T17:08:44Z","timestamp":1767978524019,"version":"3.49.0"},"reference-count":27,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2017,2,1]],"date-time":"2017-02-01T00:00:00Z","timestamp":1485907200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,8]]},"abstract":"This paper examines whether commodity futures momentum can predict business cycles in the US, China, UK, Japan, and India. Momentum as a risk factor may play a role as a state variable in the spirit of Liew and Vassalou (). We find significant and negative predictability of commodity futures momentum, although the basis factor of the commodity futures markets shows insignificant results. Moreover, we find that commodity futures momentum is an independent factor that cannot be fully explained by traditional risk factors, macroeconomic variables, or commodity sector momentum. \u00a9 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:803\u2013835, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21834","type":"journal-article","created":{"date-parts":[[2017,2,1]],"date-time":"2017-02-01T11:03:59Z","timestamp":1485947039000},"page":"803-835","source":"Crossref","is-referenced-by-count":27,"title":["Momentum in International Commodity Futures Markets"],"prefix":"10.1002","volume":"37","author":[{"given":"Jangkoo","family":"Kang","sequence":"first","affiliation":[{"name":"Jangkoo Kang and Kyung Yoon Kwon are at the College of Business, Korea Advanced Institute of Science and Technology, Seoul, South Korea"}]},{"given":"Kyung Yoon","family":"Kwon","sequence":"additional","affiliation":[{"name":"Jangkoo Kang and Kyung Yoon Kwon are at the College of Business, Korea Advanced Institute of Science and Technology, Seoul, South Korea"}]}],"member":"311","published-online":{"date-parts":[[2017,2]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v53.n2.2069"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.05.003"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03808.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00449"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02724.x"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_7_11_1","first-page":"131","article-title":"Size and book\u2010to\u2010market factors in earnings and returns","volume":"50","author":"Fama E. F.","year":"1995","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.10.010"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.009"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_7_17_1","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1111\/j.1540-6261.1993.tb04702.x","article-title":"Returns to buying winners and selling losers: Implications for stock market efficiency","volume":"48","author":"Jegadeesh N.","year":"1998","journal-title":"Journal of Finance"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00347"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00056-8"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913811"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00146"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21685"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.671841"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.04.005"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20252"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00248-9"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21834","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21834","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T07:52:57Z","timestamp":1694677977000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21834"}},"issued":{"date-parts":[[2017,2]]},"references-count":27,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2017,8]]}},"alternative-id":["10.1002\/fut.21834"],"URL":"https:\/\/doi.org\/10.1002\/fut.21834","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,2]]}},{"indexed":{"date-parts":[[2026,1,9]],"date-time":"2026-01-09T14:19:06Z","timestamp":1767968346169,"version":"3.49.0"},"reference-count":24,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2008,12,8]],"date-time":"2008-12-08T00:00:00Z","timestamp":1228694400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,2]]},"abstract":"Abstract<\/jats:title>The estimation of physical intensity processes in the context of default risk is investigated here. Using data from Moody's Corporate Bond Default Database, a term structure of default probabilities for different rating classes is constructed each year from 1970 to 2001. Two specifications used for modeling the dynamics of the (risk\u2010neutral) intensity process in the bond\u2010pricing literature are then examined empirically: the Ornstein\u2013Uhlenbeck and square\u2010root cases. The results reveal that the Ornstein\u2013Uhlenbeck case is not an adequate modeling alternative with a rejection of this specification in five out of seven credit classes and nonsignificant mean reverting behavior for all credit classes. The square\u2010root case obtains better results with four credit classes out of seven for which this specification cannot be rejected and significant mean reversion parameters in many cases. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:95\u2013113, 2009<\/jats:p>","DOI":"10.1002\/fut.20353","type":"journal-article","created":{"date-parts":[[2008,12,9]],"date-time":"2008-12-09T22:33:25Z","timestamp":1228862005000},"page":"95-113","source":"Crossref","is-referenced-by-count":7,"title":["Estimation of physical intensity models for default risk"],"prefix":"10.1002","volume":"29","author":[{"given":"Michel","family":"Denault","sequence":"first","affiliation":[]},{"given":"Genevi\u00e8ve","family":"Gauthier","sequence":"additional","affiliation":[]},{"given":"Jean\u2010Guy","family":"Simonato","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,12,8]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1968.tb00843.x"},{"key":"e_1_2_1_3_1","unstructured":"Berndt A.(2007).Specification analysis of reduced\u2010form credit risk models. Working paper Tepper School of Business."},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Berndt A. Douglas R. Duffie D. Ferguson M. &Schranz D.(2005).Measuring default risk premia from default swap rates and EDFs. Working paper Tepper School of Business.","DOI":"10.2139\/ssrn.556080"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00260-X"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.06.003"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392263"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi009"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1008304625054"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.1.197"},{"key":"e_1_2_1_12_1","unstructured":"Duffee G. &Stanton R.(2004).Estimation of dynamic term structure models. Working paper Hass School of Business."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00123.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.687"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","DOI":"10.1515\/9781400829170","volume-title":"Credit risk: Pricing, measurement and management","author":"Duffie D.","year":"2003"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00324"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2004.391026"},{"key":"e_1_2_1_18_1","volume-title":"Forecasting structural time series model and the Kalman filter","author":"Harvey A.","year":"1989"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1111\/j.1540-6261.1995.tb05167.x","article-title":"Pricing derivatives on financial securities subject to credit risk","volume":"1","author":"Jarrow R.","year":"1995","journal-title":"Journal of Finance"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","DOI":"10.1515\/9781400829194","volume-title":"Credit risk modeling","author":"Lando D.","year":"2004"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00228-X"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90046-1"},{"key":"e_1_2_1_23_1","first-page":"449","article-title":"On the pricing of corporate debt: the Risk structure of interest rates","volume":"28","author":"Merton R.","year":"1974","journal-title":"Journal of Finance"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2002.094"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/209665"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20353","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20353","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:31:19Z","timestamp":1700058679000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20353"}},"issued":{"date-parts":[[2008,12,8]]},"references-count":24,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2009,2]]}},"alternative-id":["10.1002\/fut.20353"],"URL":"https:\/\/doi.org\/10.1002\/fut.20353","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,12,8]]}},{"indexed":{"date-parts":[[2026,1,16]],"date-time":"2026-01-16T01:06:13Z","timestamp":1768525573385,"version":"3.49.0"},"reference-count":27,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2004,3,8]],"date-time":"2004-03-08T00:00:00Z","timestamp":1078704000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,5]]},"abstract":"Abstract<\/jats:title>We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for\nS&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these\ncontracts, there is a dramatic change when the S&P 500 futures contract is designated a front\u2010month\ncontract (decrease in clustering) and a back\u2010month contract (increase in clustering).\nWe find that trade price clustering is a positive function of volatility and a negative function of volume or open\ninterest. In addition, we find a high degree of clustering in the daily opening and closing prices, but a lower\ndegree of clustering in the settlement prices. \u00a9 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:413\u2013428,\n2004<\/jats:p>","DOI":"10.1002\/fut.10129","type":"journal-article","created":{"date-parts":[[2004,3,9]],"date-time":"2004-03-09T08:00:52Z","timestamp":1078819252000},"page":"413-428","source":"Crossref","is-referenced-by-count":47,"title":["Clustering in the futures market: Evidence from S&P 500 futures contracts"],"prefix":"10.1002","volume":"24","author":[{"given":"Adam L.","family":"Schwartz","sequence":"first","affiliation":[]},{"given":"Bonnie F.","family":"Van Ness","sequence":"additional","affiliation":[]},{"given":"Robert A.","family":"Van Ness","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,3,8]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.3758\/BF03212608"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050105"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00010-X"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00011-1"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04783.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04782.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00014-8"},{"key":"e_1_2_1_9_1","first-page":"1","article-title":"The rounding of appraisal estimates","volume":"8","author":"Colwell P.","year":"1994","journal-title":"Illinois Real Estate Letter"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00262-X"},{"key":"e_1_2_1_11_1","volume-title":"Stepping ahead of the book (working paper)","author":"Edwards A.","year":"2002"},{"key":"e_1_2_1_12_1","volume-title":"The Nasdaq market: Reconsidering the collusion hypothesis (mimeographed)","author":"Furbush D.","year":"1995"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(95)00863-A"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/467365"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.389"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(95)00867-E"},{"key":"e_1_2_1_17_1","unstructured":"Jennings R.(2001).Getting \u201cpennied\u201d: The effect of decimalization on traders' willingness to lean on the limit order book at the New York Stock Exchange. NNYSE Document 2001\u201001. New York: New York Stock Exchange."},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00185"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1418556"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2202"},{"key":"e_1_2_1_21_1","volume-title":"Why do Christie and Schultz infer collusion from their data? (mimeographed)","author":"Kleidon A.","year":"1995"},{"key":"e_1_2_1_22_1","unstructured":"Laux P.(1995).The bid\u2010ask spreads of Nasdaq stocks that quote on even eighths. Unpublished manuscript Case Western Reserve University Cleveland OH."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.13.2.258"},{"key":"e_1_2_1_25_1","unstructured":"Palmon O. Smith B. &Sopranzetti B.(1998).Clustering in real estate prices: Patterns and impacts on demand. Unpublished manuscript Rutgers The State University of New Jersey."},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1086\/209504"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0148-2963(89)90017-9"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00032-5"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10129","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10129","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T22:27:15Z","timestamp":1700173635000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10129"}},"issued":{"date-parts":[[2004,3,8]]},"references-count":27,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2004,5]]}},"alternative-id":["10.1002\/fut.10129"],"URL":"https:\/\/doi.org\/10.1002\/fut.10129","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,3,8]]}},{"indexed":{"date-parts":[[2026,1,4]],"date-time":"2026-01-04T11:20:44Z","timestamp":1767525644893,"version":"3.37.3"},"reference-count":22,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2021,6,1]],"date-time":"2021-06-01T00:00:00Z","timestamp":1622505600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,7]]},"abstract":"Abstract<\/jats:title>We propose an equilibrium valuation model for bitcoin options by extending Cao. Bitcoin is interpreted as a foreign currency in a small open economy where money supply and aggregate dividend are exogenous. The equilibrium bitcoin prices increase with diffusive and jump risks of these two exogenous factors. Analytical option pricing formulas are obtained with Merton's\u00a0model as a special case. Static analysis reveals that a bitcoin call (put) option value increases (decreases) with the money supply growth rate. Numerical analysis shows that all risks lead to a positive premium in option prices relative to the Black\u2013Scholes model.<\/jats:p>","DOI":"10.1002\/fut.22214","type":"journal-article","created":{"date-parts":[[2021,6,2]],"date-time":"2021-06-02T05:14:23Z","timestamp":1622610863000},"page":"1007-1026","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":22,"title":["Valuation of bitcoin options"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3889-2596","authenticated-orcid":false,"given":"Melanie","family":"Cao","sequence":"first","affiliation":[{"name":"Finance Area, Schulich School of Business York University Toronto Ontario Canada"}]},{"given":"Batur","family":"Celik","sequence":"additional","affiliation":[{"name":"Finance Area, Schulich School of Business York University Toronto Ontario Canada"}]}],"member":"311","published-online":{"date-parts":[[2021,6]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935826"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(93)90035-A"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04942.x"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00039-9"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00053-X"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20122"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.10.011"},{"issue":"5","key":"e_1_2_10_10_1","article-title":"Expecting a spike in bitcoin? Investors say it may take time","author":"Chavez\u2010Dreyfuss G.","year":"2020","journal-title":"Globe and Mail"},{"issue":"2","key":"e_1_2_10_11_1","first-page":"250","article-title":"Pricing cryptocurrency options","volume":"18","author":"Hou A. J.","year":"2020","journal-title":"Journal of Financial Econometrics"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.4.427"},{"volume-title":"The theory and practice of econometrics","year":"1985","author":"Judge G. G.","key":"e_1_2_10_13_1"},{"key":"e_1_2_10_14_1","article-title":"Bitcoin derivatives explained: A guide to trading crypto derivatives in 2020","author":"Lielacher A.","year":"2019","journal-title":"Bitcoin Market Journal"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913837"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296383"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.493"},{"key":"e_1_2_10_19_1","unstructured":"Shome A.(2020).Bitcoin derivatives demand in 2021: Industry insiders predict.https:\/\/www.financemagnates.com\/cryptocurrency\/trading\/crypto\u2010derivatives\u2010demand\u2010in\u20102021\u2010industry\u2010insiders\u2010predict\/"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-25275-5_25"},{"key":"e_1_2_10_21_1","unstructured":"Yahoo!Finance.\u00a0(2021).Bitcoin\u2010USD real time daily price historical data.https:\/\/finance.yahoo.com\/quote\/BTC\u2010USD\/history?p=BTC\u2010USD\u00a0"},{"key":"e_1_2_10_22_1","unstructured":"Yahoo!Finance.\u00a0(2021).S&P 500 real time daily price historical data.https:\/\/finance.yahoo.com\/quote\/%5EGSPC\/history?p=%5EGSPC\u00a0"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-29739-8_29"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22214","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22214","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22214","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T18:15:01Z","timestamp":1693419301000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22214"}},"issued":{"date-parts":[[2021,6]]},"references-count":22,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2021,7]]}},"alternative-id":["10.1002\/fut.22214"],"URL":"https:\/\/doi.org\/10.1002\/fut.22214","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,6]]},"assertion":[{"value":"2020-11-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-04-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-06-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,22]],"date-time":"2026-01-22T04:36:27Z","timestamp":1769056587538,"version":"3.49.0"},"reference-count":23,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1804,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,5]]},"DOI":"10.1002\/fut.20481","type":"journal-article","created":{"date-parts":[[2010,9,23]],"date-time":"2010-09-23T12:12:24Z","timestamp":1285243944000},"page":"407-439","source":"Crossref","is-referenced-by-count":32,"title":["Pricing average options on commodities"],"prefix":"10.1002","volume":"31","author":[{"given":"Kenichiro","family":"Shiraya","sequence":"first","affiliation":[]},{"given":"Akihiko","family":"Takahashi","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,9,23]]},"reference":[{"key":"10.1002\/fut.20481-BIB1|cit1","first-page":"48","article-title":"Markets and models","volume":"14","author":"Derman","year":"2001","journal-title":"Risk"},{"key":"10.1002\/fut.20481-BIB2|cit2","doi-asserted-by":"crossref","unstructured":"Derman , E. Kani , I. Chriss , N. 1996 Implied Trinomial Trees of the Volatility Smile. Quantitative Strategies Research Notes, Goldman Sachs","DOI":"10.3905\/jod.1996.407952"},{"key":"10.1002\/fut.20481-BIB3|cit3","doi-asserted-by":"crossref","first-page":"173","DOI":"10.2307\/1969318","article-title":"Two singular diffusion problems","volume":"54","author":"Feller","year":"1951","journal-title":"Annals of Mathematics"},{"key":"10.1002\/fut.20481-BIB4|cit4","doi-asserted-by":"crossref","first-page":"352","DOI":"10.1088\/1469-7688\/3\/5\/301","article-title":"Pricing Asian options with stochastic volatility","volume":"3","author":"Fouque","year":"2003","journal-title":"Quantitative Finance"},{"key":"10.1002\/fut.20481-BIB5|cit5","doi-asserted-by":"crossref","first-page":"597","DOI":"10.1080\/14697680400000041","article-title":"Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models","volume":"4","author":"Fouque","year":"2004","journal-title":"Quantitative Finance"},{"key":"10.1002\/fut.20481-BIB6|cit6","doi-asserted-by":"crossref","first-page":"1648","DOI":"10.1137\/S0036139902401550","article-title":"Singular perturbations in option pricing","volume":"63","author":"Fouque","year":"2003","journal-title":"SIAM Journal on Applied Mathematics"},{"key":"10.1002\/fut.20481-BIB7|cit7","first-page":"84","article-title":"Managing smile risk","author":"Hagan","year":"2002","journal-title":"Willmott Magazine"},{"key":"10.1002\/fut.20481-BIB8|cit8","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","article-title":"A closed-form solution for options with stochastic volatility with applications to bond and currency options","volume":"6","author":"Heston","year":"1993","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20481-BIB9|cit9","volume-title":"Managing Energy Price Risk","year":"1999"},{"key":"10.1002\/fut.20481-BIB10|cit10","doi-asserted-by":"crossref","first-page":"914","DOI":"10.1214\/aoap\/1060202831","article-title":"On validity of the asymptotic expansion approach in contingent claim analysis","volume":"13","author":"Kunitomo","year":"2003","journal-title":"Annals of Applied Probability"},{"key":"10.1002\/fut.20481-BIB11|cit11","unstructured":"Labordere , P. H. 2006 http:\/\/arxiv.org\/abs\/cond-mat\/0504317"},{"key":"10.1002\/fut.20481-BIB12|cit12","unstructured":"Takahashi , A. 1995 Essays on the valuation problems of contingent claims. Unpublished Ph.D. Dissertation, Haas School of Business, University of California, Berkeley"},{"key":"10.1002\/fut.20481-BIB13|cit13","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1023\/A:1010080610650","article-title":"An asymptotic expansion approach to pricing contingent claims","volume":"6","author":"Takahashi","year":"1999","journal-title":"Asia-Pacific Financial Markets"},{"key":"10.1002\/fut.20481-BIB14|cit14","first-page":"199","article-title":"On an asymptotic expansion approach to numerical problems in finance. Selected Papers on Probability and Statistics","author":"Takahashi","year":"2009","journal-title":"American Mathematical Society"},{"key":"10.1002\/fut.20481-BIB15|cit15","doi-asserted-by":"crossref","first-page":"153","DOI":"10.1023\/B:SISP.0000026045.26381.1d","article-title":"An asymptotic expansion scheme for optimal investment problems","volume":"7","author":"Takahashi","year":"2004","journal-title":"Statistical Inference for Stochastic Processes"},{"key":"10.1002\/fut.20481-BIB16|cit16","doi-asserted-by":"crossref","first-page":"171","DOI":"10.14490\/jjss.35.171","article-title":"Monte Carlo simulation with asymptotic method","volume":"35","author":"Takahashi","year":"2005","journal-title":"Journal of Japan Statistical Society"},{"key":"10.1002\/fut.20481-BIB17|cit17","doi-asserted-by":"crossref","unstructured":"Takahashi , A. Takehera , K. Toda , M. 2009 Computation in an Asymptotic Expansion Method","DOI":"10.2139\/ssrn.1413924"},{"key":"10.1002\/fut.20481-BIB18|cit18","doi-asserted-by":"crossref","first-page":"4423","DOI":"10.1093\/rfs\/hhp036","article-title":"Unspanned stochastic volatility and the pricing of commodity derivatives","volume":"22","author":"Trolle","year":"2009","journal-title":"The Review of Financial Studies"},{"key":"10.1002\/fut.20481-BIB19|cit19","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1214\/aop\/1176992255","article-title":"Analysis of Wiener functionals (Malliavin Calculus) and its applications to heat kernels","volume":"15","author":"Watanabe","year":"1987","journal-title":"The Annals of Probability"},{"key":"10.1002\/fut.20481-BIB20|cit20","doi-asserted-by":"crossref","first-page":"371","DOI":"10.1080\/13504860500148672","article-title":"Calibration of the SABR model in illiquid markets","volume":"12-4","author":"West","year":"2005","journal-title":"Applied Mathematical Finance"},{"key":"10.1002\/fut.20481-BIB21|cit21","doi-asserted-by":"crossref","first-page":"301","DOI":"10.1088\/1469-7688\/4\/3\/006","article-title":"Geometric Asian options: Valuation and calibration with stochastic volatility","volume":"4","author":"Wong","year":"2004","journal-title":"Quantitative Finance"},{"key":"10.1002\/fut.20481-BIB22|cit22","doi-asserted-by":"crossref","first-page":"275","DOI":"10.1007\/BF01300558","article-title":"Asymptotic expansion for small diffusions via the theory of Malliavin-Watanabe","volume":"92","author":"Yoshida","year":"1992a","journal-title":"Probability Theory and Related Fields"},{"key":"10.1002\/fut.20481-BIB23|cit23","first-page":"139","article-title":"Asymptotic expansions for statistics related to small diffusions","volume":"22","author":"Yoshida","year":"1992b","journal-title":"Journal of Japan Statistical Society"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20481","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20481","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:35:07Z","timestamp":1625164507000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20481"}},"issued":{"date-parts":[[2010,9,23]]},"references-count":23,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2011,5]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20481","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2010,9,23]]}},{"indexed":{"date-parts":[[2026,1,20]],"date-time":"2026-01-20T04:36:10Z","timestamp":1768883770495,"version":"3.49.0"},"reference-count":69,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2024,3,5]],"date-time":"2024-03-05T00:00:00Z","timestamp":1709596800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,6]]},"abstract":"Abstract<\/jats:title>The development of deep learning technique has granted firms with new opportunities to substantially improve their risk management strategies for sustainable growth. This paper introduces a novel deep learning\u2010based financial hedging (DL\u2010HE) strategy to leverage the salient ability of deep learning in extracting nonlinear features from complex high dimensional data, thus boosting the management of inventory risks arising from erratic commodity prices. Using real\u2010world data, we find that the average annualized economic benefit of the proposed strategy is at least 1.21 million CNY for a typical aluminum firm carrying an average level of inventory in China, as compared with those of the traditional hedging strategies. Further analysis reveals that such an economic benefit can largely be explained by the efficacy of the proposed DL\u2010HE strategy in terms of significantly improving return while still effectively controlling risk. Moreover, the superior of this strategy remains robust when extending to copper and zinc.<\/jats:p>","DOI":"10.1002\/fut.22497","type":"journal-article","created":{"date-parts":[[2024,3,5]],"date-time":"2024-03-05T08:14:47Z","timestamp":1709626487000},"page":"879-900","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["A deep learning\u2010based financial hedging approach for the effective management of commodity risks"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3148-6755","authenticated-orcid":false,"given":"Yan","family":"Hu","sequence":"first","affiliation":[{"name":"Department of Finance, School of Statistics Chengdu University of Information Technology Chengdu China"}]},{"given":"Jian","family":"Ni","sequence":"additional","affiliation":[{"name":"Department of Finance, School of Finance Southwestern University of Finance and Economics Chengdu China"}]}],"member":"311","published-online":{"date-parts":[[2024,3,5]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.03.012"},{"key":"e_1_2_8_3_1","doi-asserted-by":"crossref","unstructured":"Althelaya K. A. El\u2010Alfy E.\u2010S. &Mohammed S.(2018). Evaluation of bidirectional LSTM for short\u2010and long\u2010term stock market prediction. In2018 9th International Conference on Information and Communication Systems (ICICS)(pp.151\u2013156).IEEE.","DOI":"10.1109\/IACS.2018.8355458"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2011.05.055"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.11.022"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.40.2.nbeh"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1109\/TPAMI.2013.50"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/17520840701859856"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2016.1150948"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20542"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/135184799336975"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.01.009"},{"key":"e_1_2_8_15_1","unstructured":"Chollet F.(2016). Keras.https:\/\/github.com\/fchollet\/keras."},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200002)20:2<189::AID-FUT5>3.0.CO;2-V"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.04.004"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_8_19_1","unstructured":"Dozat T.(2016).Incorporating nesterov momentum into Adam. ICLR Workshop."},{"key":"e_1_2_8_20_1","doi-asserted-by":"crossref","unstructured":"Eapen J. Bein D. &Verma A.(2019). Novel deep learning model with CNN and bi\u2010directional LSTM for improved stock market index prediction. In2019 IEEE 9th Annual Computing and Communication Workshop and Conference (CCWC)(pp.264\u2013270).IEEE.","DOI":"10.1109\/CCWC.2019.8666592"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2010.05.009"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_8_25_1","unstructured":"Goodfellow I. Bengio Y. &Courville A.(2016).Deep learning.MIT press."},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.5858\/arpa.2016-0471-ED"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa009"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0148-2963(03)00043-2"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1162\/neco.1997.9.8.1735"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1996.tb00402.x"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0893-6080(89)90020-8"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2013.04.001"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/oca.2494"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470801890701"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2018.03.002"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2015.04.058"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2016.08.045"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2017.05.024"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2004.01.007"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1038\/nature14539"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10075"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2006.12.002"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.neucom.2019.01.078"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.procs.2016.07.145"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2016.03.005"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22302"},{"key":"e_1_2_8_47_1","doi-asserted-by":"crossref","unstructured":"Nelson D. M. Q. Pereira A. C. M. &Oliveira R. A. D.(2017). Stock market's price movement prediction with LSTM neural networks. In International joint conference on neural networks (pp.1419\u20131426).","DOI":"10.1109\/IJCNN.2017.7966019"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2014.09.004"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_8_50_1","volume-title":"Fractal market analysis: Applying chaos theory to investment and economics","author":"Peters E. E.","year":"1994"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2018.08.002"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2019.03.046"},{"key":"e_1_2_8_53_1","unstructured":"Sardelich M. &Manandhar S.(2018). Multimodal deep learning for short\u2010term stock volatility prediction. arXiv preprint arXiv:1812.10479."},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.07.003"},{"key":"e_1_2_8_55_1","doi-asserted-by":"crossref","unstructured":"Shah D. Campbell W. &Zulkernine F. H.(2018). A comparative study of LSTM and DNN for stock market forecasting. In2018 IEEE International Conference on Big Data (Big Data)(pp.4148\u20134155).IEEE.","DOI":"10.1109\/BigData.2018.8622462"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21614"},{"key":"e_1_2_8_57_1","unstructured":"Simonyan K. &Zisserman A.(2015). Very deep convolutional networks for large\u2010scale image recognition. arXiv preprint arXiv:1409.1556.https:\/\/arxiv.org\/abs\/1409.1556"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11042-016-4159-7"},{"issue":"5","key":"e_1_2_8_59_1","first-page":"1012","article-title":"The simultaneous determination of spot and futures prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_8_60_1","doi-asserted-by":"crossref","unstructured":"Sunny M. A. I. Maswood M. M. S. &Alharbi A. G.(2020). Deep learning\u2010based stock price prediction using LSTM and bi\u2010directional LSTM model. In2020 2nd Novel Intelligent and Leading Emerging Sciences Conference(NILES) (pp.87\u201392).IEEE.","DOI":"10.1109\/NILES50944.2020.9257950"},{"key":"e_1_2_8_61_1","first-page":"3104","article-title":"Sequence to sequence learning with neural networks","volume":"27","author":"Sutskever I.","year":"2014","journal-title":"Advances in Neural Information Processing Systems"},{"key":"e_1_2_8_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2020.113481"},{"key":"e_1_2_8_63_1","doi-asserted-by":"crossref","unstructured":"Wang J. &Cao Z.(2017). Chinese text sentiment analysis using LSTM network based on L2 and Nadam. InIEEE 17th International Conference on Communication Technology (ICCT)(pp.1891\u20131895)IEEE.","DOI":"10.1109\/ICCT.2017.8359958"},{"key":"e_1_2_8_64_1","doi-asserted-by":"publisher","DOI":"10.1109\/TASE.2019.2938673"},{"key":"e_1_2_8_65_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2028"},{"key":"e_1_2_8_66_1","unstructured":"Wind. (2008\u20132020). Wind historical data (dataset).https:\/\/www.wind.com.cn\/"},{"key":"e_1_2_8_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.09.120"},{"key":"e_1_2_8_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2009.12.001"},{"key":"e_1_2_8_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2019.121299"},{"key":"e_1_2_8_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2015.10.009"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22497","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,11,13]],"date-time":"2024-11-13T20:36:08Z","timestamp":1731530168000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22497"}},"issued":{"date-parts":[[2024,3,5]]},"references-count":69,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2024,6]]}},"alternative-id":["10.1002\/fut.22497"],"URL":"https:\/\/doi.org\/10.1002\/fut.22497","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,3,5]]},"assertion":[{"value":"2022-11-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-02-18","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-03-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,20]],"date-time":"2026-01-20T04:56:42Z","timestamp":1768885002119,"version":"3.49.0"},"reference-count":35,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2010,10,6]],"date-time":"2010-10-06T00:00:00Z","timestamp":1286323200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,8]]},"abstract":"Abstract<\/jats:title>This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25\u201333% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is found in both call and put option volumes, is robust to different \u201cestimation\u201d and \u201cevent window\u201d lengths, to different sub\u2010samples, and to liquidity considerations. These results support the argument that informed investors will transact in both the options and the stock market, and are comparable to results reported by the FSA in the cash market. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:703\u2013726, 2011<\/jats:p>","DOI":"10.1002\/fut.20491","type":"journal-article","created":{"date-parts":[[2010,10,6]],"date-time":"2010-10-06T19:20:29Z","timestamp":1286392829000},"page":"703-726","source":"Crossref","is-referenced-by-count":17,"title":["Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets"],"prefix":"10.1002","volume":"31","author":[{"given":"Spyros","family":"Spyrou","sequence":"first","affiliation":[]},{"given":"Andrianos","family":"Tsekrekos","sequence":"additional","affiliation":[]},{"given":"Georgia","family":"Siougle","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,10,6]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1997.tb00531.x"},{"key":"e_1_2_6_3_1","doi-asserted-by":"crossref","unstructured":"Arnold T. Erwin G. Nail L. &Bos T.(2000).Speculation or insider trading: Informed trading in options markets preceding tender offer announcements. Working paper University of Alabama at Birmingham.","DOI":"10.2139\/ssrn.234797"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2006.05.001"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-6803.t01-1-00007"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90030-X"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v60.n1.2593"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1998.tb01386.x"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90043-5"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2007.00371.x"},{"key":"e_1_2_6_14_1","doi-asserted-by":"crossref","unstructured":"Dubow B. &Monteiro N.(2006).Measuring market cleanliness. Financial Services Authority Occasional Papers in Financial Regulation Occasional Paper Series No. 23.","DOI":"10.2139\/ssrn.1019999"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_6_17_1","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1093\/oso\/9780199247875.003.0025","volume-title":"Corporate governance regimes: Convergence and diversity","author":"Faccio M.","year":"2002"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01008.x"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1006\/jfin.2001.0317"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00174"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00477"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-5957.00107"},{"key":"e_1_2_6_23_1","doi-asserted-by":"crossref","unstructured":"Gregory A. Tharyan R. &Huang A.(2009).The Fama\u2010French and momentum portfolios and factors in the UK. Xfi Centre for Finance and Investment University of Exeter Paper No 09\/05 December 2009.","DOI":"10.2139\/ssrn.1506960"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0306-686X.2004.0003.x"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665645"},{"key":"e_1_2_6_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2001.tb00010.x"},{"key":"e_1_2_6_27_1","unstructured":"Kyriacou K. Luintel K. B. &Mase B.(2008).Private information in executive stock option trades: Evidence of insider trading in the UK. Cardiff Economics Working Papers No E2008\/4."},{"key":"e_1_2_6_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676221"},{"key":"e_1_2_6_29_1","doi-asserted-by":"crossref","first-page":"1273","DOI":"10.1111\/j.1540-6261.1990.tb02436.x","article-title":"Insider trading at the OTC Market","volume":"52","author":"Lin J.\u2010C.","year":"1990","journal-title":"Journal of Finance"},{"key":"e_1_2_6_30_1","first-page":"1635","article-title":"The allocation of informed trading across related markets: An analysis of the impact of changes in equity\u2010option margin requirements","volume":"55","author":"Mayhew S.","year":"1995","journal-title":"Journal of Finance"},{"key":"e_1_2_6_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2009.02148.x"},{"key":"e_1_2_6_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.07.002"},{"key":"e_1_2_6_33_1","doi-asserted-by":"crossref","unstructured":"Monteiro N. Zaman Q. &Leitterstorf S.(2007).Updated measurement of market cleanliness. Financial Services Authority Occasional Papers in Financial Regulation Occasional Paper Series No. 25.","DOI":"10.2139\/ssrn.1011212"},{"key":"e_1_2_6_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_6_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491108"},{"key":"e_1_2_6_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90060-7"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20491","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20491","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,31]],"date-time":"2024-03-31T03:43:14Z","timestamp":1711856594000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20491"}},"issued":{"date-parts":[[2010,10,6]]},"references-count":35,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2011,8]]}},"alternative-id":["10.1002\/fut.20491"],"URL":"https:\/\/doi.org\/10.1002\/fut.20491","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,10,6]]}},{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T20:03:28Z","timestamp":1771617808342,"version":"3.50.1"},"reference-count":98,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2021,8,18]],"date-time":"2021-08-18T00:00:00Z","timestamp":1629244800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"publisher","award":["2072021146"],"award-info":[{"award-number":["2072021146"]}],"id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"publisher","award":["WK2040000029"],"award-info":[{"award-number":["WK2040000029"]}],"id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,12]]},"abstract":"Abstract<\/jats:title>We study the effects of foreign exchange hedging on corporate innovation. According to the information asymmetry hypothesis<\/jats:italic>, corporate hedging reduces firms' information asymmetry, alleviates managers' career concerns, and helps investors better monitor managers, which enhances innovation. According to the market pressure hypothesis<\/jats:italic>, hedging imposes short\u2010term earnings pressure on managers as a result of mark\u2010to\u2010market hedge accounting, discouraging innovation. Using 32,194 observations of 5847 nonfinancial firms from 1998 to 2006, we document results that support the information asymmetry hypothesis<\/jats:italic>. Hedged firms invest more heavily in innovative projects, generate more patents, and have more patent citations. To address endogeneity concerns, we employ both difference\u2010in\u2010differences and instrumental variable regressions and explicitly test for reverse causality.<\/jats:p>","DOI":"10.1002\/fut.22255","type":"journal-article","created":{"date-parts":[[2021,8,18]],"date-time":"2021-08-18T19:19:54Z","timestamp":1629314394000},"page":"2046-2078","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["The real effect of foreign exchange hedging on corporate innovation"],"prefix":"10.1002","volume":"41","author":[{"given":"Chongwu","family":"Xia","sequence":"first","affiliation":[{"name":"International Institute of Finance, School of Management University of Science and Technology of China Hefei Anhui China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4901-8266","authenticated-orcid":false,"given":"Chuyi","family":"Yang","sequence":"additional","affiliation":[{"name":"Department of Finance, School of Economics,\u00a0The Wang Yanan Institute for Studies in Economics (WISE), MOE Key Laboratory of Econometrics Xiamen University Xiamen Fujian China"}]},{"given":"Lei","family":"Zhang","sequence":"additional","affiliation":[{"name":"College of Business City University of Hong Kong Hong Kong SAR China"}]}],"member":"311","published-online":{"date-parts":[[2021,8,18]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx125"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2010.05.003"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.1.277"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.91.2.391"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.243"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.t01-1-00020"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12019"},{"key":"e_1_2_13_10_1","unstructured":"Bank for International Settlements. (2019).Statistical release: OTC derivatives statistics at end\u2010December 2019\u00a0(Report)."},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12275"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.11.010"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297419"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr.2005.80.1.1"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.04.004"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00097"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2016.25.3.007"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00049-6"},{"issue":"3","key":"e_1_2_13_19_1","first-page":"305","article-title":"The influence of institutional investors on myopic R&D investment behavior","volume":"73","author":"Bushee B. J.","year":"1998","journal-title":"The Accounting Review"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.009"},{"key":"e_1_2_13_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/1911-3846.12069"},{"key":"e_1_2_13_22_1","article-title":"Do debt investors adjust financial statement ratios when financial statements fail to reflect economic substance? Evidence from cash flow hedges","author":"Campbell J. L.","year":"2020","journal-title":"Contemporary Accounting Research"},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01683.x"},{"key":"e_1_2_13_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1755-053X.2006.tb00131.x"},{"key":"e_1_2_13_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2015.07.005"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.12.012"},{"key":"e_1_2_13_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12006"},{"key":"e_1_2_13_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00223-4"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000391"},{"key":"e_1_2_13_30_1","unstructured":"Compustat;1996\u20132006 \u201cUS Nonfinancial Firm Financial Data;\u201dhttps:\/\/www.spglobal.com\/marketintelligence\/en\/?product=compustat-research-insight"},{"key":"e_1_2_13_31_1","unstructured":"CRSP;1996\u20132006 \u201cUS Nonfinancial Firm Stock Price Data;\u201dhttp:\/\/www.crsp.org\/products\/research-products\/crsp-us-stock-databases"},{"key":"e_1_2_13_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2216"},{"key":"e_1_2_13_33_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-020-09553-w"},{"key":"e_1_2_13_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2017.03.010"},{"key":"e_1_2_13_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(91)90156-X"},{"key":"e_1_2_13_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.3.743"},{"key":"e_1_2_13_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04620.x"},{"key":"e_1_2_13_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00490"},{"key":"e_1_2_13_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(02)00286-0"},{"key":"e_1_2_13_40_1","volume-title":"Stock market overvaluation, moon shots, and corporate innovation","author":"Dong M.","year":"2017"},{"key":"e_1_2_13_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2014.11.001"},{"key":"e_1_2_13_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00493"},{"key":"e_1_2_13_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00751.x"},{"key":"e_1_2_13_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhh002"},{"key":"e_1_2_13_45_1","unstructured":"Financial Accounting Standards Board (FASB). (1998).FASB statement No. 133: Accounting for derivative instruments and hedging activities. Norwalk.http:\/\/www.fasb.org\/pdf\/aop_FAS133.pdf"},{"key":"e_1_2_13_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.05.007"},{"key":"e_1_2_13_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05123.x"},{"key":"e_1_2_13_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb01112.x"},{"key":"e_1_2_13_49_1","volume-title":"Entrepreneurship and household saving","author":"Gentry W. M.","year":"2004"},{"key":"e_1_2_13_50_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2020.1816559"},{"key":"e_1_2_13_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/fima.12232"},{"key":"e_1_2_13_52_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx069"},{"key":"e_1_2_13_53_1","doi-asserted-by":"publisher","DOI":"10.1162\/00335530360535162"},{"key":"e_1_2_13_54_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v53.n3.2084"},{"key":"e_1_2_13_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2005.01.002"},{"key":"e_1_2_13_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00443"},{"key":"e_1_2_13_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00187"},{"key":"e_1_2_13_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(98)00032-9"},{"key":"e_1_2_13_59_1","doi-asserted-by":"crossref","unstructured":"Hall B. H. Jaffe A. B. &Trajtenberg M.(2001).The NBER patent citation data file: Lessons insights and methodological tools. National Bureau of Economic Research.","DOI":"10.3386\/w8498"},{"issue":"1","key":"e_1_2_13_60_1","first-page":"16","article-title":"Market value and patent citations","volume":"36","author":"Hall B. H.","year":"2005","journal-title":"The RAND Journal of Economics"},{"key":"e_1_2_13_61_1","doi-asserted-by":"publisher","DOI":"10.2307\/2696400"},{"key":"e_1_2_13_62_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913827"},{"key":"e_1_2_13_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.001"},{"key":"e_1_2_13_64_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01753.x"},{"key":"e_1_2_13_65_1","doi-asserted-by":"publisher","DOI":"10.1086\/261893"},{"key":"e_1_2_13_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.12.002"},{"key":"e_1_2_13_67_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00858.x"},{"key":"e_1_2_13_68_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331212"},{"key":"e_1_2_13_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2009.08.002"},{"key":"e_1_2_13_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2005.09.003"},{"key":"e_1_2_13_71_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1080.0933"},{"key":"e_1_2_13_72_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw040"},{"key":"e_1_2_13_73_1","doi-asserted-by":"publisher","unstructured":"Kogan Papanikolaou Seru &Stoffman;1996\u20132006.US innovation output data. [dataset].https:\/\/doi.org\/10.1093\/qje\/qjw040","DOI":"10.1093\/qje\/qjw040"},{"key":"e_1_2_13_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2015.03.004"},{"key":"e_1_2_13_75_1","article-title":"The use and misuse of patent data: Issues for corporate finance and beyond","author":"Lerner J.","year":"2015","journal-title":"Booth"},{"key":"e_1_2_13_76_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-014-9282-y"},{"key":"e_1_2_13_77_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2016.2717"},{"key":"e_1_2_13_78_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01688.x"},{"key":"e_1_2_13_79_1","doi-asserted-by":"publisher","DOI":"10.1086\/296481"},{"issue":"3","key":"e_1_2_13_80_1","first-page":"261","article-title":"The cost of capital, corporation finance and the theory of investment","volume":"48","author":"Modigliani F.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_13_81_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.102.1.396"},{"key":"e_1_2_13_82_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.10.3222"},{"key":"e_1_2_13_83_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04709.x"},{"key":"e_1_2_13_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.04.003"},{"key":"e_1_2_13_85_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12061"},{"key":"e_1_2_13_86_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/70.1.41"},{"key":"e_1_2_13_87_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"},{"key":"e_1_2_13_88_1","doi-asserted-by":"publisher","DOI":"10.1086\/261524"},{"key":"e_1_2_13_89_1","doi-asserted-by":"publisher","DOI":"10.2307\/2937861"},{"key":"e_1_2_13_90_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(90)90011-N"},{"key":"e_1_2_13_91_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330894"},{"key":"e_1_2_13_92_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jhealeco.2007.09.009"},{"key":"e_1_2_13_93_1","unstructured":"Thomson Reuters;1996\u20132006 \u201cUS Nonfinancial Firm Institutional Ownership Data;\u201dhttps:\/\/www.refinitiv.com\/en\/financial-data\/company-data\/ownership-and-profiles-analysis"},{"key":"e_1_2_13_94_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr130"},{"key":"e_1_2_13_95_1","doi-asserted-by":"publisher","DOI":"10.2307\/2555502"},{"key":"e_1_2_13_96_1","doi-asserted-by":"publisher","DOI":"10.1080\/10438599700000006"},{"key":"e_1_2_13_97_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04064.x"},{"key":"e_1_2_13_98_1","unstructured":"Various US Nonfinancial Firms;1996\u20102006; \u201cUS Nonfinancial Firm FX Hedging Data;\u201d SEC Edgar Online for 10K and 10Q Files of US Nonfinancial Firms (hand\u2010collected data). [dataset].https:\/\/www.sec.gov\/edgar\/searchedgar\/companysearch.html"},{"key":"e_1_2_13_99_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00085-X"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22255","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22255","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22255","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T06:50:53Z","timestamp":1693205453000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22255"}},"issued":{"date-parts":[[2021,8,18]]},"references-count":98,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2021,12]]}},"alternative-id":["10.1002\/fut.22255"],"URL":"https:\/\/doi.org\/10.1002\/fut.22255","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,8,18]]},"assertion":[{"value":"2021-02-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-07-27","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-18","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T20:02:00Z","timestamp":1771012920825,"version":"3.50.1"},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6179,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,10]]},"DOI":"10.1002\/(sici)1096-9934(199810)18:7<851::aid-fut5>3.0.co;2-v","type":"journal-article","created":{"date-parts":[[2004,11,13]],"date-time":"2004-11-13T09:28:40Z","timestamp":1100338120000},"page":"851-866","source":"Crossref","is-referenced-by-count":9,"title":["Are regression approach futures hedge ratios stationary?"],"prefix":"10.1002","volume":"18","author":[{"given":"Robert","family":"Ferguson","sequence":"first","affiliation":[]},{"given":"Dean","family":"Leistikow","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199810)18:7%3C851::AID-FUT5%3E3.0.CO;2-V","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199810)18:7%3C851::AID-FUT5%3E3.0.CO;2-V","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:01:38Z","timestamp":1625133698000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199810)18:7<851::AID-FUT5>3.0.CO;2-V"}},"issued":{"date-parts":[[1998,10]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1998,10]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199810)18:7<851::aid-fut5>3.0.co;2-v","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,10]]}},{"indexed":{"date-parts":[[2026,2,9]],"date-time":"2026-02-09T05:54:11Z","timestamp":1770616451987,"version":"3.49.0"},"reference-count":27,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5746,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,12]]},"DOI":"10.1002\/fut.3990100603","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:48:48Z","timestamp":1183646928000},"page":"573-603","source":"Crossref","is-referenced-by-count":96,"title":["Stock index futures arbitrage: International evidence"],"prefix":"10.1002","volume":"10","author":[{"given":"Pradeep K.","family":"Yadav","sequence":"first","affiliation":[]},{"given":"Peter F.","family":"Pope","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Arditti F. Ayadin S. Mattu R. andRigskee S.(1986): \u201cA Passive Futures Strategy that Outperforms Active Management \u201d Financial Analysts Journal 63\u201366.","DOI":"10.2469\/faj.v42.n4.63"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Beach C. andMackinnon J.(1978) \u201cA Maximum Likelihood Procedure for Regression with Autocorrelated Errors \u201d Econometrica 51\u201358.","DOI":"10.2307\/1913644"},{"issue":"4","key":"e_1_2_1_4_1","first-page":"653","article-title":"Estimation and Inference in Nonlinear Structural Models","volume":"3","author":"Benndt E. R.","year":"1974","journal-title":"Annals of Economic and Social Measurement"},{"key":"e_1_2_1_5_1","unstructured":"Brennan M. J. andSchwartz E. S.(1987): \u201cArbitrage in Stock Index Futures \u201d UCLA Graduate School of Management Working Paper 9."},{"key":"e_1_2_1_6_1","volume-title":"The Microstructure of Securities Markets","author":"Cohen K. J.","year":"1986"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050109"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Cornell B. andFrench K. R.(1983a()): \u201cThe Pricing of Stock Index Futures \u201d Journal of Futures Markets 1\u201314.","DOI":"10.1002\/fut.3990030102"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1983.tb02496.x","article-title":"Taxes and the pricing of Stock Index Futures","volume":"38","author":"Cornell B.","year":"1983","journal-title":"Journal of Finance"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Figlewski S.(1984): \u201cExplaining the early discounts on Stock Index Futures: The case for disequilibrium \u201d Financial Analysis Journal July.","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Finnerty J. E. andPark H. Y.(1988): \u201cHow to profit from program trading \u201d Journal of Portfolio Management 41\u201346.","DOI":"10.3905\/jpm.1988.409134"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Gould F. J.(1988): \u201cStock Index Futures: The Arbitrage Cycle and Portfolio Insurance \u201d Financial Analysis Journal July.","DOI":"10.2469\/faj.v44.n1.48"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"Hill J. M. Jain A. andWood R. A.(1988 ): Winter \u201cInsurance: Volatility Risk and Futures Mispricing \u201d Journal of Portfolio Management 23\u201329.","DOI":"10.3905\/jpm.1988.409136"},{"key":"e_1_2_1_17_1","volume-title":"Stock Market Strategist","author":"Kipnis G.","year":"1984"},{"key":"e_1_2_1_18_1","unstructured":"Mackinlay C. andRamaswamy K.(1987): \u201cProgram Trading and the behavior of Stock Index Futures prices \u201d Centre for the Study of Futures Markets Working Paper Series CSFM 161."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090203"},{"key":"e_1_2_1_20_1","unstructured":"Merrick J. J.Jr.(1987): \u201cHedging with Mispriced Futures \u201d Centre for the Study of Futures Markets Working Paper Series CSFM 154."},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Modest D.(1984): \u201cOn the pricing of stock index futures \u201d Journal of Portfolio Management 51\u201357.","DOI":"10.3905\/jpm.1984.408973"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Modest M. andSunderashen M.(1984): \u201cThe relationship between spot and futures in stock index futures: some preliminary evidence \u201d Journal of Futures Markets 15\u201341.","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_1_24_1","unstructured":"Pope P. F. Peel D. A. andYadav P. K.(1990 ): May \u201cVolatility of and the Big Bang Factor (Has the Big Bang made stock prices more volatile?) \u201d Professional Investor 20\u201322."},{"key":"e_1_2_1_25_1","doi-asserted-by":"crossref","unstructured":"A.Rubinstein(1987): \u201cDerivative Assets Analysis \u201d UCLA Working Paper.","DOI":"10.1257\/jep.1.2.73"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080208"},{"key":"e_1_2_1_27_1","doi-asserted-by":"crossref","unstructured":"Stoll H. R. andWhaley R. E.(1987 ): March \u201cProgram Trading and Expiration day effects \u201d Financial Analysis Journal 16\u201327.","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_1_28_1","doi-asserted-by":"crossref","unstructured":"Yadav P. K. andPope P. F.(1991): \u201cTesting Index Futures Market Efficiency Using Price Differences: A Critical Analysis \u201d Journal of Futures Markets (forthcoming).","DOI":"10.1002\/fut.3990110209"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100603","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100603","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T22:17:32Z","timestamp":1695766652000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100603"}},"issued":{"date-parts":[[1990,12]]},"references-count":27,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1990,12]]}},"alternative-id":["10.1002\/fut.3990100603"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100603","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,12]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T19:17:40Z","timestamp":1771010260437,"version":"3.50.1"},"reference-count":12,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6842,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,12]]},"DOI":"10.1002\/fut.3990070609","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:47:54Z","timestamp":1183625274000},"page":"705-719","source":"Crossref","is-referenced-by-count":57,"title":["Are petroleum futures prices good predictors of cash value?"],"prefix":"10.1002","volume":"7","author":[{"given":"Anthony E.","family":"Bopp","sequence":"first","affiliation":[]},{"given":"Scott","family":"Sitzer","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_2","unstructured":"Energy Information Administration(1986): \u201cFutures Markets and Petroleum Supply: A Study of Heating Oil Futures \u201d DOE\/EIA\u20100486 Washington DC."},{"key":"e_1_2_1_3_2","unstructured":"Energy Information Administration (various issues a):Monthly Energy Review DOE\/EIA\u20100035 Washington DC."},{"key":"e_1_2_1_4_2","unstructured":"Energy Information Administration (various issues b):Petroleum Marketing Monthly DOE\/EIA\u20100380 Washington DC."},{"key":"e_1_2_1_5_2","unstructured":"Energy Information Administration (various issues c):Short\u2010Term Energy Outlook DOE\/EIA\u20100202 Washington DC."},{"key":"e_1_2_1_6_2","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030108"},{"key":"e_1_2_1_7_2","volume-title":"Econometric Methods","author":"Johnston J.","year":"1972"},{"key":"e_1_2_1_8_2","volume-title":"Elements of Econometrics","author":"Kmenta J.","year":"1971"},{"key":"e_1_2_1_9_2","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030106"},{"key":"e_1_2_1_10_2","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.29.9.987"},{"issue":"4","key":"e_1_2_1_11_2","first-page":"24","article-title":"The Price of Gasoline: Three Simulations","volume":"18","author":"Neri J.","year":"1978","journal-title":"Quarterly Review of Economics and Business"},{"key":"e_1_2_1_12_2","unstructured":"New York Mercantile Exchange (various issues): \u201cDaily Futures Report \u201d New York NY."},{"key":"e_1_2_1_13_2","doi-asserted-by":"publisher","DOI":"10.1080\/758534702"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070609","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070609","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T17:27:01Z","timestamp":1697909221000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070609"}},"issued":{"date-parts":[[1987,12]]},"references-count":12,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1987,12]]}},"alternative-id":["10.1002\/fut.3990070609"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070609","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,12]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T20:47:30Z","timestamp":1771015650459,"version":"3.50.1"},"reference-count":14,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6780,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,2]]},"DOI":"10.1002\/fut.3990080111","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:54:50Z","timestamp":1183629290000},"page":"115-121","source":"Crossref","is-referenced-by-count":37,"title":["The \u201cweekend effect\u201d for stock indexes and stock index futures: Dividend and interest rate effects"],"prefix":"10.1002","volume":"8","author":[{"given":"Frederick J.","family":"Phillips\u2010Patrick","sequence":"first","affiliation":[]},{"given":"Thomas","family":"Schneeweis","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04975.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060402"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb02537.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04956.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90021-5"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296147"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Harris L.(1986 Winter): \u201cHow to Profit from Intradaily Stock Returns \u201dJournal of Portfolio Management 61\u201365.","DOI":"10.3905\/jpm.1986.409046"},{"key":"e_1_2_1_10_1","first-page":"483","article-title":"The Weekend Effect in Common Stock Returns: The International Evidence","volume":"40","author":"Jaffe J.","year":"1985","journal-title":"Journal of Finance"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060305"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03675.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb02231.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04957.x"},{"key":"e_1_2_1_15_1","first-page":"265","article-title":"New Findings Regarding Day of the Week Returns over Trading and Non\u2010trading Periods: A Note","volume":"39","author":"Rogalski R.","year":"1984","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080111","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080111","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T23:30:15Z","timestamp":1697931015000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080111"}},"issued":{"date-parts":[[1988,2]]},"references-count":14,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1988,2]]}},"alternative-id":["10.1002\/fut.3990080111"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080111","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,2]]}},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T21:22:08Z","timestamp":1773091328209,"version":"3.50.1"},"reference-count":42,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2019,9,9]],"date-time":"2019-09-09T00:00:00Z","timestamp":1567987200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,12]]},"abstract":"Abstract<\/jats:title>This study examines the time\u2010series momentum in China's commodity futures market. We find that a time\u2010series momentum strategy outperforms classical passive long and cross\u2010sectional momentum strategies in terms of the Sharpe ratio, risk\u2010adjusted excess returns, and cumulative returns. The time\u2010series momentum strategy with a 1\u2010month look\u2010back period and a 1\u2010month holding period exhibits the best performance. We observe clear time\u2010series momentum patterns and find that the time\u2010series momentum strategy is effective in the Chinese commodity futures market. However, the momentum lasts for less time in China than in the United States because China's futures market seems to have a greater number of speculative investors.<\/jats:p>","DOI":"10.1002\/fut.22053","type":"journal-article","created":{"date-parts":[[2019,9,10]],"date-time":"2019-09-10T04:15:14Z","timestamp":1568088914000},"page":"1515-1528","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":36,"title":["Time\u2010series momentum in China's commodity futures market"],"prefix":"10.1002","volume":"39","author":[{"given":"Hyuna","family":"Ham","sequence":"first","affiliation":[{"name":"December & Company Inc Seoul Korea"}]},{"given":"Hoon","family":"Cho","sequence":"additional","affiliation":[{"name":"Graduate School of Finance Korea Advanced Institute of Science and Technology Seoul Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0386-005X","authenticated-orcid":false,"given":"Hyeongjun","family":"Kim","sequence":"additional","affiliation":[{"name":"Department of Business Administration Yeungnam University Gyeongsan Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0059-4887","authenticated-orcid":false,"given":"Doojin","family":"Ryu","sequence":"additional","affiliation":[{"name":"Department of Economics Sungkyunkwan University Seoul Korea"}]}],"member":"311","published-online":{"date-parts":[[2019,9,9]]},"reference":[{"key":"e_1_2_7_1_2_1_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.05.012"},{"key":"e_1_2_7_1_2_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_7_1_2_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2015.11.001"},{"key":"e_1_2_7_1_2_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_7_1_2_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.11.010"},{"key":"e_1_2_7_1_2_6_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2014.17.2.103"},{"key":"e_1_2_7_1_2_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03808.x"},{"key":"e_1_2_7_1_2_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/irfi.12148"},{"key":"e_1_2_7_1_2_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21718"},{"key":"e_1_2_7_1_2_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.10.001"},{"key":"e_1_2_7_1_2_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000431"},{"key":"e_1_2_7_1_2_12_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v69.n1.6"},{"key":"e_1_2_7_1_2_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_7_1_2_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_7_1_2_15_1","unstructured":"Fan J. H. Mo D. &Zhang T.(2018).Commodity futures speculation in China(Working Paper).https:\/\/acfr.aut.ac.nz\/__data\/assets\/pdf_file\/0006\/185307\/172978\u2010D\u2010Mo\u2010FMZ_China\u2010Speculation_21May_2018.pdf"},{"key":"e_1_2_7_1_2_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.009"},{"key":"e_1_2_7_1_2_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20474"},{"key":"e_1_2_7_1_2_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.05.009"},{"key":"e_1_2_7_1_2_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx131"},{"key":"e_1_2_7_1_2_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.3.783"},{"issue":"54","key":"e_1_2_7_1_2_21_1","first-page":"5868","article-title":"Market overreaction and investment strategies","volume":"47","author":"Han C.","year":"2015","journal-title":"Applied Economics"},{"issue":"3","key":"e_1_2_7_1_2_22_1","first-page":"42","article-title":"Demystifying managed futures","volume":"11","author":"Hurst B.","year":"2013","journal-title":"Journal of Investment Management"},{"key":"e_1_2_7_1_2_23_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2017.44.1.015"},{"key":"e_1_2_7_1_2_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04702.x"},{"key":"e_1_2_7_1_2_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21834"},{"key":"e_1_2_7_1_2_26_1","doi-asserted-by":"crossref","unstructured":"Kang W. Rouwenhorst K. G. &Tang K.(2019).A tale of two premiums: The role of hedgers and speculators in commodity futures marketsJournal of Finance Forthcoming. Available at SSRN:https:\/\/ssrn.com\/abstract=2449315. orhttp:\/\/dx.doi.org\/10.2139\/ssrn.2449315","DOI":"10.2139\/ssrn.2449315"},{"key":"e_1_2_7_1_2_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.11.002"},{"key":"e_1_2_7_1_2_28_1","first-page":"1","article-title":"The difference in the intraday return\u2010volume relationships of spot and futures: A quantile regression approach","volume":"13","author":"Lee J.","year":"2019","journal-title":"Economics"},{"key":"e_1_2_7_1_2_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_7_1_2_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2016.01.001"},{"key":"e_1_2_7_1_2_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_7_1_2_32_1","doi-asserted-by":"crossref","unstructured":"Roache S. K.(2012).China's impact on world commodity markets(No. 12\u2010115). International Monetary Fund.https:\/\/www.imf.org\/~\/media\/Websites\/IMF\/imported\u2010full\u2010text\u2010pdf\/external\/pubs\/ft\/wp\/2012\/_wp12115.ashx","DOI":"10.5089\/9781475503364.001"},{"key":"e_1_2_7_1_2_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20533"},{"key":"e_1_2_7_1_2_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2012.11.005"},{"key":"e_1_2_7_1_2_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21637"},{"key":"e_1_2_7_1_2_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20252"},{"key":"e_1_2_7_1_2_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chieco.2015.12.007"},{"key":"e_1_2_7_1_2_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2016.01.002"},{"key":"e_1_2_7_1_2_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.04.010"},{"key":"e_1_2_7_1_3_2_1","unstructured":"Bloomberg;2019;Commodities; Available: Bloomberg."},{"key":"e_1_2_7_1_3_3_1","unstructured":"French K. R.;2019a;Fama\/French Asia Pacific ex Japan 3 Factors [Daily]; Available:https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/data_library.html"},{"key":"e_1_2_7_1_3_4_1","unstructured":"French K. R.;2019b; Fama\/French Asia Pacific ex Japan Momentum Factor (Mom) [Daily]; Available:https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/data_library.html"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22053","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22053","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22053","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22053","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T04:31:53Z","timestamp":1694233913000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22053"}},"issued":{"date-parts":[[2019,9,9]]},"references-count":42,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2019,12]]}},"alternative-id":["10.1002\/fut.22053"],"URL":"https:\/\/doi.org\/10.1002\/fut.22053","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,9,9]]},"assertion":[{"value":"2019-01-07","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-08-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-09-09","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T22:27:05Z","timestamp":1773268025515,"version":"3.50.1"},"reference-count":74,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2025,8,17]],"date-time":"2025-08-17T00:00:00Z","timestamp":1755388800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,11]]},"abstract":"ABSTRACT<\/jats:title>This paper uses high\u2010frequency data of agricultural futures trading prices in the Chicago Mercantile Exchange, totaling about 1.2 million pieces of data, to conduct a study of climate risk and realized volatility based on machine learning methods. We carry out the following studies: first, we find that the nonlinear machine learning method has better applicability to the extended model of heterogeneous autoregressive model with the realized volatility model. Second, by analyzing the importance of the factors in the forecasting model, we find that compared with the global climate risk factor and most of the macroeconomic fundamentals, the climate risk factor of the main agricultural production region constructed in this paper contributes more to the forecasting of realized volatility. Third, based on the Shapley Additive exPlanations value analysis of the predictors, this paper examines the directional impact of climate risk factors and macroeconomic fundamentals on agricultural commodity volatility.<\/jats:p>","DOI":"10.1002\/fut.70027","type":"journal-article","created":{"date-parts":[[2025,8,17]],"date-time":"2025-08-17T10:25:04Z","timestamp":1755426304000},"page":"2034-2065","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High\u2010Frequency Data"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0009-0008-4704-3848","authenticated-orcid":false,"given":"Xiaoming","family":"Zhang","sequence":"first","affiliation":[{"name":"Department of Finance Beijing Jiaotong University Beijing China"},{"name":"Beijing Laboratory of National Economic Security Early\u2010Warning Engineering Beijing Jiaotong University Beijing China"}]},{"given":"Rongkun","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Finance Beijing Jiaotong University Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0037-4347","authenticated-orcid":false,"given":"Chien\u2010Chiang","family":"Lee","sequence":"additional","affiliation":[{"name":"Faculty of Finance City University of Macau Macao SAR China"}]}],"member":"311","published-online":{"date-parts":[[2025,8,17]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2014.04.003"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2019.04.002"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.07.014"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2015.11.005"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2018.06.001"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.12.013"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2014.09.005"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/ejss.12253"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2021.100867"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.05.008"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2022.100760"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.foodpol.2013.08.007"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gloenvcha.2015.08.003"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2017.09.001"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10584-013-0822-4"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/joes.12525"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2024.103175"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106285"},{"key":"e_1_2_13_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_13_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.01.005"},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2017.05.006"},{"key":"e_1_2_13_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2023.106948"},{"key":"e_1_2_13_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.scitotenv.2022.156438"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.08.035"},{"key":"e_1_2_13_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2023.103731"},{"key":"e_1_2_13_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2023.100367"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102681"},{"key":"e_1_2_13_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.01.011"},{"key":"e_1_2_13_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12362"},{"key":"e_1_2_13_32_1","doi-asserted-by":"publisher","DOI":"10.2134\/agronj2010.0303"},{"key":"e_1_2_13_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2025.108278"},{"key":"e_1_2_13_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.09.015"},{"key":"e_1_2_13_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2023.06.030"},{"key":"e_1_2_13_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2020.101750"},{"key":"e_1_2_13_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22416"},{"key":"e_1_2_13_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2010.11.001"},{"key":"e_1_2_13_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104543"},{"key":"e_1_2_13_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2022.101061"},{"key":"e_1_2_13_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106334"},{"key":"e_1_2_13_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2016.10.031"},{"key":"e_1_2_13_43_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-024-00688-2"},{"key":"e_1_2_13_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2023.102021"},{"key":"e_1_2_13_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2025.135468"},{"key":"e_1_2_13_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eiar.2023.107324"},{"key":"e_1_2_13_47_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10333-009-0181-y"},{"key":"e_1_2_13_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22569"},{"key":"e_1_2_13_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2931"},{"key":"e_1_2_13_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2022.106416"},{"key":"e_1_2_13_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.10.031"},{"key":"e_1_2_13_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22467"},{"key":"e_1_2_13_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2022.08.010"},{"key":"e_1_2_13_54_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2511"},{"key":"e_1_2_13_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105377"},{"key":"e_1_2_13_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405x(80)90007-0"},{"key":"e_1_2_13_57_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aav025"},{"key":"e_1_2_13_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105129"},{"key":"e_1_2_13_59_1","doi-asserted-by":"publisher","DOI":"10.1038\/s41558-021-01000-1"},{"key":"e_1_2_13_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2019.102063"},{"key":"e_1_2_13_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103383"},{"key":"e_1_2_13_62_1","doi-asserted-by":"publisher","DOI":"10.1038\/s41586-018-0757-z"},{"key":"e_1_2_13_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.05.004"},{"key":"e_1_2_13_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2012.11.059"},{"key":"e_1_2_13_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2021.101477"},{"key":"e_1_2_13_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2018.08.006"},{"key":"e_1_2_13_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.004"},{"key":"e_1_2_13_68_1","doi-asserted-by":"publisher","DOI":"10.32628\/ijsrst218583"},{"key":"e_1_2_13_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.12.010"},{"key":"e_1_2_13_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103866"},{"key":"e_1_2_13_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2024.144592"},{"key":"e_1_2_13_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.renene.2025.123182"},{"key":"e_1_2_13_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.01.011"},{"key":"e_1_2_13_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2022.10.018"},{"key":"e_1_2_13_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.05.018"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70027","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T07:34:22Z","timestamp":1760254462000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70027"}},"issued":{"date-parts":[[2025,8,17]]},"references-count":74,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2025,11]]}},"alternative-id":["10.1002\/fut.70027"],"URL":"https:\/\/doi.org\/10.1002\/fut.70027","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,8,17]]},"assertion":[{"value":"2024-05-26","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-28","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-08-17","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T14:35:36Z","timestamp":1773153336324,"version":"3.50.1"},"reference-count":17,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2003,3,21]],"date-time":"2003-03-21T00:00:00Z","timestamp":1048204800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,5]]},"abstract":"Abstract<\/jats:title>Moving\u2010average\u2010type options are complex path\u2010dependent derivatives whose payoff depends\non the moving average of stock prices. This article concentrates on two such options traded in practice: the\nmoving\u2010average\u2010lookback option and the moving\u2010average\u2010reset option. Both options\nwere issued in Taiwan in 1999, for example. The moving\u2010average\u2010lookback option is an option struck\nat the minimum moving average of the underlying asset's prices. This article presents efficient algorithms\nfor pricing geometric and arithmetic moving\u2010average\u2010lookback options. Monte Carlo simulation\nconfirmed that our algorithms converge quickly to the option value. The price difference between geometric\naveraging and arithmetic averaging is small. Because it takes much less time to price the\ngeometric\u2010moving\u2010average version, it serves as a practical approximation to the arithmetic\nmoving\u2010average version. When applied to the moving\u2010average\u2010lookback options traded on\nTaiwan's stock exchange, our algorithm gave almost the exact issue prices. The numerical delta and gamma of\nthe options revealed subtle behavior and had implications for hedging. The moving\u2010average\u2010reset\noption was struck at a series of decreasing contract\u2010specified prices on the basis of moving averages.\nSimilar results were obtained for such options with the same methodology. \u00a9 2003 Wiley Periodicals, Inc.\nJrl Fut Mark 23:415\u2013440, 2003<\/jats:p>","DOI":"10.1002\/fut.10072","type":"journal-article","created":{"date-parts":[[2003,3,21]],"date-time":"2003-03-21T18:58:46Z","timestamp":1048273126000},"page":"415-440","source":"Crossref","is-referenced-by-count":15,"title":["Pricing of moving\u2010average\u2010type options with applications"],"prefix":"10.1002","volume":"23","author":[{"given":"Chih\u2010Hao","family":"Kao","sequence":"first","affiliation":[]},{"given":"Yuh\u2010Dauh","family":"Lyuu","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,3,21]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(99)00085-8"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(97)00028-6"},{"key":"e_1_2_1_4_1","unstructured":"Chang C.\u2010C. Chung S.\u2010L. &Shackleton M.(2000).Pricing options with American style average reset features(Working Paper 2000\/015). U.K.: Lancaster University."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2000.319114"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(96)00052-6"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_8_1","article-title":"Efficient, exact algorithms for Asian options with multiresolution lattices","author":"Dai T.\u2010S.","journal-title":"Review of Derivatives Research"},{"key":"e_1_2_1_9_1","unstructured":"Fang Y.\u2010Y.(2002).A general analytic formula for path\u2010dependent options: Theory and applications. Master's thesis Department of Finance National Taiwan University Taiwan."},{"key":"e_1_2_1_10_1","unstructured":"Forsyth P. A. Vetzal K. R. &Zvan R.(2001).The use of interpolation in pricing path\u2010dependent options: A detailed examination of convergence for the case of Asian options(Working Paper). University of Waterloo."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407987"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00080"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407869"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","first-page":"89","DOI":"10.21314\/JCF.2001.067","article-title":"Simple, fast and flexible pricing of Asian options","volume":"4","author":"Klassen T. R.","year":"2001","journal-title":"The Journal of Computational Finance"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.113"},{"key":"e_1_2_1_16_1","volume-title":"Financial engineering and computation: Principles, mathematics, and algorithms","author":"Lyuu Y.\u2010D.","year":"2002"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407888"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1999.036"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10072","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10072","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T23:27:41Z","timestamp":1700263661000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10072"}},"issued":{"date-parts":[[2003,3,21]]},"references-count":17,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2003,5]]}},"alternative-id":["10.1002\/fut.10072"],"URL":"https:\/\/doi.org\/10.1002\/fut.10072","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,3,21]]}},{"indexed":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T18:28:30Z","timestamp":1773167310634,"version":"3.50.1"},"reference-count":45,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2020,9,1]],"date-time":"2020-09-01T00:00:00Z","timestamp":1598918400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,12]]},"abstract":"Abstract<\/jats:title>In this paper we propose semiclosed\u2010form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed analytic expressions by comparing them with those obtained from benchmark Monte\u2013Carlo simulations. The empirical performance of the two affine GARCH models is tested using different calibration exercises based on historical returns and market quotes on VIX and SPX options.<\/jats:p>","DOI":"10.1002\/fut.22157","type":"journal-article","created":{"date-parts":[[2020,9,1]],"date-time":"2020-09-01T20:11:45Z","timestamp":1598991105000},"page":"1880-1917","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":23,"title":["Valuation of VIX and target volatility options with affine GARCH models"],"prefix":"10.1002","volume":"40","author":[{"given":"Hongkai","family":"Cao","sequence":"first","affiliation":[{"name":"School of Business Stevens Institute of Technology Hoboken New Jersey"}]},{"given":"Alexandru","family":"Badescu","sequence":"additional","affiliation":[{"name":"Department of Mathematics and Statistics University of Calgary Calgary Alberta Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9429-7121","authenticated-orcid":false,"given":"Zhenyu","family":"Cui","sequence":"additional","affiliation":[{"name":"School of Business Stevens Institute of Technology Hoboken New Jersey"}]},{"given":"Sarath Kumar","family":"Jayaraman","sequence":"additional","affiliation":[{"name":"Department of Mathematics and Statistics University of Calgary Calgary Alberta Canada"}]}],"member":"311","published-online":{"date-parts":[[2020,9]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2019.1574021"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbx022"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-018-2941-9"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2015.06.046"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1099717"},{"key":"e_1_2_9_7_1","unstructured":"Bormetti G. Corsi F. &Majewski A.(2016). Term structure of variance risk premium and returns\u2019 predictability. Available at SSRN 2619278."},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2424786319500270"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.010"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht033"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2013.21.2.008"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.08.015"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.orl.2015.09.006"},{"key":"e_1_2_9_14_1","first-page":"1","article-title":"More than you ever wanted to know about volatility swaps","volume":"41","author":"Demeterfi K.","year":"1999","journal-title":"Goldman Sachs Quantitative Strategies Research Notes"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009814324980"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024911006474"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2012.715958"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2017.1393551"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/38.3-4.481"},{"issue":"3","key":"e_1_2_9_20_1","doi-asserted-by":"crossref","first-page":"439","DOI":"10.1111\/j.1467-9965.2011.00506.x","article-title":"Stochastic volatility models and the pricing of VIX options","volume":"23","author":"Goard J.","year":"2013","journal-title":"Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21720"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00034-8"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs026"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.681813"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.01.008"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1108\/JRF-06-2014-0090"},{"key":"e_1_2_9_29_1","volume-title":"Option valuation under stochastic volatility","author":"Lewis A.","year":"2000"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10203-011-0124-0"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21572"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22037"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.036"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1994.409478"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-04790-3_15"},{"key":"e_1_2_9_38_1","first-page":"84","article-title":"VIX option pricing in a jump\u2010diffusion model","author":"Sepp A.","year":"2008","journal-title":"Risk Magazine"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024913500052"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21820"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.3934\/jimo.2014.10.207"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407868"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21925"},{"key":"e_1_2_9_44_1","first-page":"1","article-title":"VIX futures pricing with affine jump\u2010GARCH dynamics and variance\u2010dependent pricing kernels","author":"Yang X.","year":"2019","journal-title":"The Journal of Derivatives"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1159318"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20512"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22157","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22157","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22157","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,4]],"date-time":"2023-09-04T21:19:10Z","timestamp":1693862350000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22157"}},"issued":{"date-parts":[[2020,9]]},"references-count":45,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2020,12]]}},"alternative-id":["10.1002\/fut.22157"],"URL":"https:\/\/doi.org\/10.1002\/fut.22157","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,9]]},"assertion":[{"value":"2020-03-07","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-07-16","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-09-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T07:32:15Z","timestamp":1773214335930,"version":"3.50.1"},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,7]],"date-time":"2006-08-07T00:00:00Z","timestamp":1154908800000},"content-version":"vor","delay-in-days":9198,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,6]]},"DOI":"10.1002\/fut.3990010208","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:48:50Z","timestamp":1183578530000},"page":"169-189","source":"Crossref","is-referenced-by-count":19,"title":["Financial futures markets: Is more regulation needed?"],"prefix":"10.1002","volume":"1","author":[{"given":"Phillip","family":"Cagan","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010208","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010208","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:32:58Z","timestamp":1699785178000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010208"}},"issued":{"date-parts":[[1981,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1981,6]]}},"alternative-id":["10.1002\/fut.3990010208"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010208","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,6]]}},{"indexed":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T13:45:48Z","timestamp":1773150348965,"version":"3.50.1"},"reference-count":17,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,2]]},"DOI":"10.1002\/fut.3990100106","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:23:26Z","timestamp":1183641806000},"page":"61-73","source":"Crossref","is-referenced-by-count":45,"title":["The hedging effectiveness of options and futures: A mean\u2010gini approach"],"prefix":"10.1002","volume":"10","author":[{"given":"C. Sherman","family":"Cheung","sequence":"first","affiliation":[]},{"given":"Clarence C. Y.","family":"Kwan","sequence":"additional","affiliation":[]},{"given":"Patrick C. Y.","family":"Yip","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664976"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v41.n1.48"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060210"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040407"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb03217.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050204"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050209"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010408"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(84)90126-5"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329621"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04917.x"},{"key":"e_1_2_1_17_1","first-page":"178","article-title":"Stochastic Dominance, Mean Variance and Gini's Mean Difference","volume":"72","author":"Yitzhaki S.","year":"1982","journal-title":"American Economic Review"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2648789"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100106","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100106","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:44:29Z","timestamp":1697993069000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100106"}},"issued":{"date-parts":[[1990,2]]},"references-count":17,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1990,2]]}},"alternative-id":["10.1002\/fut.3990100106"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100106","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,2]]}},{"indexed":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T12:56:32Z","timestamp":1773320192775,"version":"3.50.1"},"reference-count":10,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6111,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,12]]},"DOI":"10.1002\/fut.3990090604","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:48:11Z","timestamp":1183639691000},"page":"507-518","source":"Crossref","is-referenced-by-count":27,"title":["Nonlinearities and chaotic effects in options prices"],"prefix":"10.1002","volume":"9","author":[{"given":"Robert","family":"Savit","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Brock W. Dechert W. andScheinkman J.(1986): \u201cA Test for Independence Based on the Correlation Dimension \u201d unpublished."},{"key":"e_1_2_1_3_1","unstructured":"Brock W. andDechert W.(1987): \u201cTheorems on Distinguishing Deterministic from Random Systems \u201d University of Wisconsin preprint unpublished."},{"key":"e_1_2_1_4_1","unstructured":"Brock W. andSayers C.(1985): \u201cIs the Business Cycle Characterized by Deterministic Chaos?\u201d University of Wisconsin preprint."},{"key":"e_1_2_1_5_1","volume-title":"The Economy as an Evolving Complex System","author":"Brock W.","year":"1988"},{"key":"e_1_2_1_6_1","unstructured":"Hsieh D.(1987): \u201cTesting for Nonlinear Dependence in Foreign Exchange Rates: 1974\u20131983 \u201d University of Chicago preprint."},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Sakai H. andTokumaru H.(1980): IEEE Trans. Acoust. Speech Signal Process. V. I. ASSP\u201028 588.","DOI":"10.1109\/TASSP.1980.1163449"},{"key":"e_1_2_1_8_1","unstructured":"Savit R. andGreen M.(1989): \u201cTime Series and Dependent Variables \u201d University of Michigan preprint."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080303"},{"key":"e_1_2_1_10_1","unstructured":"Savit R.(1988b): \u201cNotes on the Price Behavior of Fixed Income Instruments \u201d unpublished."},{"key":"e_1_2_1_11_1","unstructured":"Scheinkman J. andLeBaron B.(1986): \u201cNonlinear Dynamics and Stock Returns \u201d University of Chicago preprint."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090604","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090604","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:12:17Z","timestamp":1697980337000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090604"}},"issued":{"date-parts":[[1989,12]]},"references-count":10,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1989,12]]}},"alternative-id":["10.1002\/fut.3990090604"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090604","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,12]]}},{"indexed":{"date-parts":[[2026,3,14]],"date-time":"2026-03-14T06:48:03Z","timestamp":1773470883244,"version":"3.50.1"},"reference-count":20,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2001,8,3]],"date-time":"2001-08-03T00:00:00Z","timestamp":996796800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,10]]},"abstract":"Abstract<\/jats:title>This study examines the usefulness of trader\u2010position\u2010based sentiment index for forecasting\nfuture prices in six major agricultural futures markets. It has been found that large speculator sentiment\nforecasts price continuations. In contrast, large hedger sentiment predicts price reversals. Small trader\nsentiment hardly forecasts future market movements. An investigation was performed into various\nsentiment\u2010based timing strategies, and it was found that the combination of extreme large trader\nsentiments provides the strongest timing signal. These results are generally consistent with the\nhedging\u2010pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in\nfutures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior\nforecasting ability. \u00a9 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:929\u2013952, 2001<\/jats:p>","DOI":"10.1002\/fut.2003","type":"journal-article","created":{"date-parts":[[2004,10,28]],"date-time":"2004-10-28T09:11:22Z","timestamp":1098954682000},"page":"929-952","source":"Crossref","is-referenced-by-count":111,"title":["Investor Sentiment and Return Predictability in Agricultural Futures Markets"],"prefix":"10.1002","volume":"21","author":[{"given":"Changyun","family":"Wang","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,8,3]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"PPS trading system","author":"Arnold C.","year":"1995"},{"key":"e_1_2_1_3_1","first-page":"2015","article-title":"Systematic risk, hedging pressure, and risk premiums in futures\nmarkets","volume":"47","author":"Bessembinder H.","year":"1992","journal-title":"Review of Financial Studies"},{"key":"e_1_2_1_4_1","first-page":"20","article-title":"Illuminating data: Commitments of traders report can disclose promise, perils in the\nmarket","author":"Briese E.","year":"1994","journal-title":"Barron's"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04944.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(97)00007-1"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v54.n3.2182"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0169-2070(93)90030-Q"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v56.n2.2340"},{"key":"e_1_2_1_11_1","volume-title":"Value and capital","author":"Hicks J. R.","year":"1939"},{"key":"e_1_2_1_12_1","first-page":"173","article-title":"Residual risk, trading costs, and commodity futures risk\npremia","volume":"1","author":"Hirshleifer D.","year":"1988","journal-title":"Journal of Political Economy"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938209"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1928531"},{"key":"e_1_2_1_15_1","volume-title":"A treatise on money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_17_1","first-page":"107","article-title":"Normal backwardation, forecasting, and the returns to commodity futures\ntraders","volume":"7","author":"Rockwell C.","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Sanders D. R. Irwin S. H. &Leuthold R. M.(1997).Noise traders market sentiment and futures price behavior. Working Paper. University of Illinois at Urbana\u2010Champaign.","DOI":"10.2139\/ssrn.39932"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n5.45"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330460"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2003","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2003","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T15:00:01Z","timestamp":1700319601000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2003"}},"issued":{"date-parts":[[2001,8,3]]},"references-count":20,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2001,10]]}},"alternative-id":["10.1002\/fut.2003"],"URL":"https:\/\/doi.org\/10.1002\/fut.2003","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,8,3]]}},{"indexed":{"date-parts":[[2026,3,25]],"date-time":"2026-03-25T07:02:49Z","timestamp":1774422169690,"version":"3.50.1"},"reference-count":22,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2010,1,22]],"date-time":"2010-01-22T00:00:00Z","timestamp":1264118400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,9]]},"abstract":"Abstract<\/jats:title>This study analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself. We observe that VIX futures and VIX are highly correlated; the term structure of average VIX futures prices is upward sloping, whereas the term structure of VIX futures volatility is downward sloping. To establish a theoretical relationship between VIX futures and VIX, we model the instantaneous variance using a simple square root mean\u2010reverting process with a stochastic long\u2010term mean level. Using daily calibrated long\u2010term mean and VIX, the model gives good predictions of VIX futures prices under normal market situation. These parameter estimates could be used to price VIX options. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:809\u2013833, 2010<\/jats:p>","DOI":"10.1002\/fut.20448","type":"journal-article","created":{"date-parts":[[2010,1,22]],"date-time":"2010-01-22T19:05:49Z","timestamp":1264187149000},"page":"809-833","source":"Crossref","is-referenced-by-count":95,"title":["The new market for volatility trading"],"prefix":"10.1002","volume":"30","author":[{"given":"Jin E.","family":"Zhang","sequence":"first","affiliation":[]},{"given":"Jinghong","family":"Shu","sequence":"additional","affiliation":[]},{"given":"Menachem","family":"Brenner","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,7]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n4.61"},{"key":"e_1_2_7_3_1","unstructured":"Brenner M. Shu J.\u2010H. &Zhang J. E.(2006).The market for volatility trading; VIX futures (working paper). New York University ."},{"key":"e_1_2_7_4_1","first-page":"417","volume-title":"Volatility estimation techniques for pricing derivatives","author":"Carr P.","year":"1998"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.616865"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20148"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20424"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319129"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.01.011"},{"key":"e_1_2_7_12_1","doi-asserted-by":"crossref","unstructured":"Egloff D. Leippold M. &Wu L.\u2010R.(2010).The term structure of variance swap rates and optimal variance swap investments. Journal of Financial and Quantitative Analysis; forthcoming.","DOI":"10.1017\/S0022109010000463"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00034-8"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20291"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20387"},{"key":"e_1_2_7_17_1","doi-asserted-by":"crossref","unstructured":"Lu Z.\u2010J. &Zhu Y.\u2010Z.(2010).Volatility components: The term structure dynamics of VIX futures. Journal of Futures Markets forthcoming.","DOI":"10.1002\/fut.20415"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_7_19_1","first-page":"84","article-title":"VIX option pricing in jump\u2010diffusion model","author":"Sepp A.","year":"2008","journal-title":"Risk"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2008.185"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20400"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024907004123"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20448","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20448","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,9]],"date-time":"2023-10-09T06:57:11Z","timestamp":1696834631000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20448"}},"issued":{"date-parts":[[2010,7]]},"references-count":22,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2010,9]]}},"alternative-id":["10.1002\/fut.20448"],"URL":"https:\/\/doi.org\/10.1002\/fut.20448","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,7]]}},{"indexed":{"date-parts":[[2026,3,30]],"date-time":"2026-03-30T16:40:08Z","timestamp":1774888808105,"version":"3.50.1"},"reference-count":27,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2023,2,16]],"date-time":"2023-02-16T00:00:00Z","timestamp":1676505600000},"content-version":"am","delay-in-days":365,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#am"},{"start":{"date-parts":[[2022,2,16]],"date-time":"2022-02-16T00:00:00Z","timestamp":1644969600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72031003"],"award-info":[{"award-number":["72031003"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100000923","name":"Australian Research Council","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100000923","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100000155","name":"Social Sciences and Humanities Research Council of Canada","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100000155","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,6]]},"abstract":"Abstract<\/jats:title>This paper presents a numerical method to price American exchange options based on jump\u2010diffusion processes. We first derive a closed\u2010form expression for the value of European exchange options, then decompose the value function of an American exchange option into a European counterpart, and an early exercise premium that is derived analytically. The early exercise boundary for an American exchange option approximately satisfies an algebraic equation that can be quickly numerically solved. Consequently, a formula is obtained for efficiently pricing American exchange options. The numerical results reveal that our pricing formula is robust and accurate.<\/jats:p>","DOI":"10.1002\/fut.22316","type":"journal-article","created":{"date-parts":[[2022,2,16]],"date-time":"2022-02-16T09:08:44Z","timestamp":1645002524000},"page":"983-1001","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Approximate pricing of American exchange options with jumps"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-2800-2310","authenticated-orcid":false,"given":"Guanghua","family":"Lian","sequence":"first","affiliation":[{"name":"Devision of Global Market UBS Group AG, Central Hong Kong"},{"name":"Department of Finance Southern University of Science and Technology Shenzhen China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5486-6999","authenticated-orcid":false,"given":"Robert J.","family":"Elliott","sequence":"additional","affiliation":[{"name":"School of Business University of South Australia Adelaide South Australia Australia"},{"name":"Haskayne School of Business University of Calgary Calgary Alberta Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6082-1263","authenticated-orcid":false,"given":"Petko","family":"Kalev","sequence":"additional","affiliation":[{"name":"Department of Economics & Finance La Trobe University Melbourne Victoria Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2591-7283","authenticated-orcid":false,"given":"Zhaojun","family":"Yang","sequence":"additional","affiliation":[{"name":"Department of Finance Southern University of Science and Technology Shenzhen China"}]}],"member":"311","published-online":{"date-parts":[[2022,2,16]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/07362999108809230"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2011.617775"},{"key":"e_1_2_7_5_1","doi-asserted-by":"crossref","unstructured":"Bongaerts D. Roll. R. R\u00f6sch D. Van Dijk M. &Yuferova D.(2021). How do shocks arise and spread across stock markets? A microstructure perspective.Management Science.","DOI":"10.1287\/mnsc.2021.3979"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00032"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03967.x"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22009"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2010.505390"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2015.1061443"},{"key":"e_1_2_7_11_1","doi-asserted-by":"crossref","unstructured":"Cont R. &Tankov P.(2004).Financial modelling with jump processes. Chapman & Hall\/CRC.","DOI":"10.1201\/9780203485217"},{"key":"e_1_2_7_12_1","volume-title":"American\u2010style derivatives: Valuation and computation","author":"Detemple J.","year":"2006"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2008.00338.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2021.1926534"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.2143\/AST.24.2.2005065"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00118.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04921.x"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12498"},{"key":"e_1_2_7_20_1","first-page":"71","article-title":"Correlation in the energy markets","volume":"1","author":"Kirk E.","year":"1995","journal-title":"Managing Energy Price Risk"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20247"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.11650\/twjm\/1500405554"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21997"},{"key":"e_1_2_7_24_1","first-page":"119","article-title":"Analytic approximation for the American put option","volume":"1","author":"MacMillan L. W.","year":"1986","journal-title":"Advances Futures Option"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb03397.x"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024915500247"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1239\/aap\/1208358891"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21929"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22316","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22316","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/am-pdf\/10.1002\/fut.22316","content-type":"application\/pdf","content-version":"am","intended-application":"syndication"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22316","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T09:57:54Z","timestamp":1692957474000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22316"}},"issued":{"date-parts":[[2022,2,16]]},"references-count":27,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2022,6]]}},"alternative-id":["10.1002\/fut.22316"],"URL":"https:\/\/doi.org\/10.1002\/fut.22316","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,2,16]]},"assertion":[{"value":"2021-09-18","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-01-21","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-02-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,4,3]],"date-time":"2026-04-03T15:49:43Z","timestamp":1775231383451,"version":"3.50.1"},"reference-count":39,"publisher":"Wiley","license":[{"start":{"date-parts":[[2026,1,31]],"date-time":"2026-01-31T00:00:00Z","timestamp":1769817600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2026,1,31]],"date-time":"2026-01-31T00:00:00Z","timestamp":1769817600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"abstract":"ABSTRACT<\/jats:title>\n We model the VIX term structure using the rough Heston model. Since the direct numerical modeling of the rough Heston model is computationally inefficient, we adopt a Markovian approximation approach. Building on the Markovian framework, we eliminate the need for simulation by exploiting an analytical expression for VIX. The resulting formula for squared VIX under the Markovian approximation provides an analytical approximation to its counterpart under the rough Heston model. Another efficiency in the calibration procedure is achieved by exploiting the analytical gradient formulas of squared VIX. Empirically, using an extensive dataset of daily VIX term structures, we show that the rough Heston model outperforms various competing Heston\u2010type models with jumps in both in\u2010sample and out\u2010of\u2010sample fit and yields more reliable estimates of spot volatility, validating that rough volatility is preferred to jumps in modeling VIX term structure.<\/jats:p>","DOI":"10.1002\/fut.70082","type":"journal-article","created":{"date-parts":[[2026,2,1]],"date-time":"2026-02-01T06:01:36Z","timestamp":1769925696000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["VIX Term Structure in the Rough Heston Model via Markovian Approximation"],"prefix":"10.1002","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7696-6029","authenticated-orcid":false,"given":"Yifan","family":"Ye","sequence":"first","affiliation":[{"name":"Faculty of Business and Management Beijing Normal \u2010 Hong Kong Baptist University Zhuhai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4752-9019","authenticated-orcid":false,"given":"Zheqi","family":"Fan","sequence":"additional","affiliation":[{"name":"Division of Emerging Interdisciplinary Areas Hong Kong University of Science and Technology Hong Kong China"},{"name":"Financial Technology Thrust Hong Kong University of Science and Technology Guangzhou China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3474-445X","authenticated-orcid":false,"given":"Yue Kuen","family":"Kwok","sequence":"additional","affiliation":[{"name":"Financial Technology Thrust Hong Kong University of Science and Technology Guangzhou China"}]}],"member":"311","published-online":{"date-parts":[[2026,1,31]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2019.1615113"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2019.01.024"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1137\/18M1170236"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12463"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.006"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2021.08.023"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.09.008"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"issue":"9","key":"e_1_2_11_10_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/14697688.2024.2391523","article-title":"Efficient Option Pricing in the Rough Heston Model Using Weak Simulation Schemes","volume":"24","author":"Bayer C.","year":"2024","journal-title":"Quantitative Finance"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1065"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq032"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2017.05.018"},{"key":"e_1_2_11_14_1","unstructured":"[data\u2010set]2025. VIX Term Structure Daily Data.https:\/\/www.travislakejohnson.com\/data.html."},{"key":"e_1_2_11_15_1","unstructured":"[data\u2010set]CBOE.2025. VIX and VIX9D Daily Data."},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-009-0112-1"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1214\/18-AAP1408"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12173"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2025.2472892"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2019.01.074"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2023.2221281"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00667.x"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000825"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.07.012"},{"key":"e_1_2_11_28_1","doi-asserted-by":"crossref","DOI":"10.1201\/9781003263524","volume-title":"Pricing Models of Volatility Products and Exotic Variance Derivatives","author":"Kwok Y. K.","year":"2022"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21572"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2025.2454623"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297912"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2020.11.050"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2022.2081592"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp036"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2025.107560"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22202"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfw001"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2022.00327"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70082","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70082","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70082","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,2,1]],"date-time":"2026-02-01T06:01:38Z","timestamp":1769925698000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70082"}},"issued":{"date-parts":[[2026,1,31]]},"references-count":39,"alternative-id":["10.1002\/fut.70082"],"URL":"https:\/\/doi.org\/10.1002\/fut.70082","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2026,1,31]]},"assertion":[{"value":"2025-10-26","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-01-13","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-01-31","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"fut.70082"},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:44:18Z","timestamp":1709243058241},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6697,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,5]]},"DOI":"10.1002\/(sici)1096-9934(199705)17:3<317::aid-fut4>3.3.co;2-3","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T17:44:44Z","timestamp":1031679884000},"page":"317-339","source":"Crossref","is-referenced-by-count":1,"title":["Informational content in historical CTA performance"],"prefix":"10.1002","volume":"17","author":[{"given":"David","family":"McCarthy","sequence":"first","affiliation":[]},{"given":"Thomas","family":"Schneeweis","sequence":"additional","affiliation":[]},{"given":"Richard","family":"Spurgin","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199705)17:3%3C317::AID-FUT4%3E3.3.CO;2-3","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T13:04:50Z","timestamp":1507640690000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199705%2917%3A3%3C317%3A%3AAID-FUT4%3E3.3.CO%3B2-3"}},"issued":{"date-parts":[[1997,5]]},"references-count":0,"journal-issue":{"issue":"3"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199705)17:3<317::aid-fut4>3.3.co;2-3","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,5]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T23:00:11Z","timestamp":1709247611900},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5448,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,10]]},"DOI":"10.1002\/1096-9934(200010)20:9<803::aid-fut1>3.3.co;2-h","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T18:00:45Z","timestamp":1030298445000},"page":"803-821","source":"Crossref","is-referenced-by-count":5,"title":["Normal backwardation is normal"],"prefix":"10.1002","volume":"20","author":[{"given":"Jo\u00eblle","family":"Miffre","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200010)20:9%3C803::AID-FUT1%3E3.3.CO;2-H","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T15:56:58Z","timestamp":1507651018000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/1096-9934%28200010%2920%3A9%3C803%3A%3AAID-FUT1%3E3.3.CO%3B2-H"}},"issued":{"date-parts":[[2000,10]]},"references-count":0,"journal-issue":{"issue":"9"},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200010)20:9<803::aid-fut1>3.3.co;2-h","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,10]]}},{"indexed":{"date-parts":[[2023,10,14]],"date-time":"2023-10-14T22:21:39Z","timestamp":1697322099169},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6332,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,5]]},"DOI":"10.1002\/(sici)1096-9934(199805)18:3<343::aid-fut7>3.0.co;2-8","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"343-362","source":"Crossref","is-referenced-by-count":13,"title":["Concentrated trading in the foreign exchange futures markets: Discretionary liquidity trading or market closure?"],"prefix":"10.1002","volume":"18","author":[{"given":"Michael F.","family":"Ferguson","sequence":"first","affiliation":[]},{"given":"Steven C.","family":"Mann","sequence":"additional","affiliation":[]},{"given":"Leonard J.","family":"Schneck","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199805)18:3%3C343::AID-FUT7%3E3.0.CO;2-8","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199805)18:3%3C343::AID-FUT7%3E3.0.CO;2-8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:28:10Z","timestamp":1625135290000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199805)18:3<343::AID-FUT7>3.0.CO;2-8"}},"issued":{"date-parts":[[1998,5]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1998,5]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199805)18:3<343::aid-fut7>3.0.co;2-8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,5]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T10:42:41Z","timestamp":1696675361912},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2017,10,2]],"date-time":"2017-10-02T00:00:00Z","timestamp":1506902400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,11]]},"DOI":"10.1002\/fut.21818","type":"journal-article","created":{"date-parts":[[2017,10,5]],"date-time":"2017-10-05T10:10:40Z","timestamp":1507198240000},"page":"1051-1051","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 37, Number 11, November 2017"],"prefix":"10.1002","volume":"37","member":"311","published-online":{"date-parts":[[2017,10,2]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21818","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21818","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T17:17:53Z","timestamp":1696612673000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21818"}},"issued":{"date-parts":[[2017,10,2]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2017,11]]}},"alternative-id":["10.1002\/fut.21818"],"URL":"https:\/\/doi.org\/10.1002\/fut.21818","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,10,2]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T11:12:05Z","timestamp":1696677125300},"reference-count":46,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2016,2,4]],"date-time":"2016-02-04T00:00:00Z","timestamp":1454544000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,10]]},"abstract":"We investigate the implications of low but persistent serial correlation in Managed Futures' returns for portfolio management. Using a measure based on the unweighted sum of autocorrelations, we find that more positively autocorrelated Managed Futures exhibit distinctly different risk\u2010return profiles and outperform, on a risk\u2010adjusted basis, Managed Futures that exhibit lower degrees of serial correlation. The observed premium is unlikely to be explained by a concentration in certain strategies, fund size and age, attrition or delisting bias, and does not seem to hamper Managed Futures' portfolio benefits as a tail\u2010risk hedge. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:992\u20131013, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21773","type":"journal-article","created":{"date-parts":[[2016,2,4]],"date-time":"2016-02-04T06:57:48Z","timestamp":1454569068000},"page":"992-1013","source":"Crossref","is-referenced-by-count":4,"title":["An Analysis of the Risk\u2010Return Characteristics of Serially Correlated Managed Futures"],"prefix":"10.1002","volume":"36","author":[{"given":"Gert","family":"Elaut","sequence":"first","affiliation":[{"name":"Gert Elaut and John Sj\u00f6din are at Department of Financial Economics Ghent University Ghent Oost\u2010Vlaanderen Belgium"}]},{"given":"P\u00e9ter","family":"Erd\u0151s","sequence":"additional","affiliation":[{"name":"P\u00e9ter Erd\u0151s is Investment Analyst at RPM Risk & Portfolio Management AB Stockholm Sweden"}]},{"given":"John","family":"Sj\u00f6din","sequence":"additional","affiliation":[{"name":"Gert Elaut and John Sj\u00f6din are at Department of Financial Economics Ghent University Ghent Oost\u2010Vlaanderen Belgium"}]}],"member":"311","published-online":{"date-parts":[[2016,2,4]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01499.x"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676207"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"e_1_2_8_5_1","doi-asserted-by":"crossref","unstructured":"Arnold J.(2013).Survival of commodity trading advisors: Systematic vs. Discretionary CTAs. Unpublished Working paper Centre for Hedge Fund Research Risk Management Laboratory. UK: Imperial College London Business School.","DOI":"10.2139\/ssrn.2081903"},{"key":"e_1_2_8_6_1","doi-asserted-by":"crossref","unstructured":"Baltas A.\u2010N. Kosowski R. (2012).Momentum strategies in futures markets and trend\u2010following funds. Unpublished Working paper Centre for Hedge Fund Research Risk Management Laboratory Imperial College Business School. UK: Imperial College London Business School.","DOI":"10.2139\/ssrn.1968996"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000001848"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v64.n6.6"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109012000634"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8454.1978.tb00635.x"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2003.319877"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/209603"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2013.16.1.019"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2002.12.002"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2004.419603"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/261569"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jwm.2004.391058"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.003"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2008.00471.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1997.409630"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.2.313"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v60.n5.2657"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.04.001"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913829"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20441"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118891018"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330813"},{"key":"e_1_2_8_29_1","doi-asserted-by":"crossref","unstructured":"Joenv\u00e4\u00e4r\u00e4 J. Kosowski R. &Tolonen P.(2012).Revisiting 'stylized facts' about hedge funds insights from a novel aggregation of the main hedge fund databases. Unpublished Working paper Centre for Hedge Fund Research Risk Management Laboratory. UK: Imperial College London Business School.","DOI":"10.2139\/ssrn.1989410"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2013.16.3.037"},{"key":"e_1_2_8_31_1","unstructured":"Kaminski K. M. &Mende A.(2011).Crisis alpha and risk in alternative investment strategies. Unpublished Working paper. US: CME Group Chicago."},{"key":"e_1_2_8_32_1","first-page":"102","volume-title":"The advanced theory of statistics","author":"Kendall M.","year":"1976"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1142\/S2010139211000080"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.12.009"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.03.002"},{"key":"e_1_2_8_36_1","unstructured":"Levich R. M. &Rizzo R. C.(1999).Alternative tests for time series dependence based on autocorrelation coefficients. Unpublished Working paper New York University Salomon Center S. US: New York University."},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.41"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v58.n4.2453"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v61.n6.2775"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.1999.318905"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.05.001"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199705)17:3<317::AID-FUT4>3.0.CO;2-L"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1991.409343"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr092"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq105"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21773","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21773","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:12:34Z","timestamp":1696597954000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21773"}},"issued":{"date-parts":[[2016,2,4]]},"references-count":46,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2016,10]]}},"alternative-id":["10.1002\/fut.21773"],"URL":"https:\/\/doi.org\/10.1002\/fut.21773","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,2,4]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:34:27Z","timestamp":1699835667069},"reference-count":4,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":9369,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,3]]},"DOI":"10.1002\/fut.3990010108","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:17:30Z","timestamp":1183576650000},"page":"89-91","source":"Crossref","is-referenced-by-count":4,"title":["Newspaper articles and their impact on commodity price formation case study: Copper"],"prefix":"10.1002","volume":"1","author":[{"given":"Norman E.","family":"Frey","sequence":"first","affiliation":[]},{"given":"John W.","family":"Labuszewski","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2525569"},{"key":"e_1_2_1_4_1","volume-title":"Econometric Methods","author":"Johnston J.","year":"1972"},{"key":"e_1_2_1_5_1","article-title":"Measurement of a Random Process in Futures Prices","author":"Larson A. B.","year":"1960","journal-title":"Food Research Institute Studies"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010108","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010108","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:38:36Z","timestamp":1699785516000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010108"}},"issued":{"date-parts":[[1981,3]]},"references-count":4,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1981,3]]}},"alternative-id":["10.1002\/fut.3990010108"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010108","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,3]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:34:30Z","timestamp":1699835670022},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8943,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,3]]},"DOI":"10.1002\/fut.3990020103","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T20:49:25Z","timestamp":1183582165000},"page":"7-7","source":"Crossref","is-referenced-by-count":0,"title":["Editorial"],"prefix":"10.1002","volume":"2","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020103","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020103","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:28:47Z","timestamp":1699802927000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020103"}},"issued":{"date-parts":[[1982,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1982,3]]}},"alternative-id":["10.1002\/fut.3990020103"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020103","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,3]]}},{"indexed":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T03:40:32Z","timestamp":1699933232660},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2009,9,28]],"date-time":"2009-09-28T00:00:00Z","timestamp":1254096000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,12]]},"DOI":"10.1002\/fut.20434","type":"journal-article","created":{"date-parts":[[2009,9,28]],"date-time":"2009-09-28T20:08:31Z","timestamp":1254168511000},"page":"1101-1101","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"29","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,9,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20434","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20434","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T03:11:17Z","timestamp":1699931477000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20434"}},"issued":{"date-parts":[[2009,9,28]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2009,12]]}},"alternative-id":["10.1002\/fut.20434"],"URL":"https:\/\/doi.org\/10.1002\/fut.20434","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,9,28]]}},{"indexed":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T09:43:47Z","timestamp":1700041427218},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3165,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,1]]},"DOI":"10.1002\/fut.v27:1","type":"journal-issue","created":{"date-parts":[[2006,11,10]],"date-time":"2006-11-10T21:50:02Z","timestamp":1163195402000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"27","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v27:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v27:1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T09:14:07Z","timestamp":1700039647000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/27\/1"}},"issued":{"date-parts":[[2007,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2007,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v27:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,1]]}},{"indexed":{"date-parts":[[2023,9,15]],"date-time":"2023-09-15T06:11:09Z","timestamp":1694758269332},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2017,3,2]],"date-time":"2017-03-02T00:00:00Z","timestamp":1488412800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,4]]},"DOI":"10.1002\/fut.21811","type":"journal-article","created":{"date-parts":[[2017,3,2]],"date-time":"2017-03-02T07:25:35Z","timestamp":1488439535000},"page":"313-313","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 37, Number 4, April 2017"],"prefix":"10.1002","volume":"37","member":"311","published-online":{"date-parts":[[2017,3,2]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21811","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21811","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T07:54:34Z","timestamp":1694678074000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21811"}},"issued":{"date-parts":[[2017,3,2]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2017,4]]}},"alternative-id":["10.1002\/fut.21811"],"URL":"https:\/\/doi.org\/10.1002\/fut.21811","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,3,2]]}},{"indexed":{"date-parts":[[2024,3,7]],"date-time":"2024-03-07T18:46:09Z","timestamp":1709837169901},"reference-count":9,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2002,3,7]],"date-time":"2002-03-07T00:00:00Z","timestamp":1015459200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,5]]},"abstract":"Abstract<\/jats:title>Using Swedish equity option data, the rationality in the exercise of American call options is analyzed to see\nhow well it complies with the theoretical exercise rules. Although the exercise behavior appears to be rational\noverall, several cases of both faulty exercise and failure to exercise are found. Almost a third of the early\nexercised calls are exercised at other times than predicted by theory. Several of these exercise decisions could\npotentially be explained by transaction costs, indicating that market frictions do affect the exercise behavior.\nHowever, over two thirds of the faulty exercises cannot be explained at all. \u00a9 2002 Wiley Periodicals, Inc.\nJrl Fut Mark 22:471\u2013482, 2002<\/jats:p>","DOI":"10.1002\/fut.10020","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T23:13:41Z","timestamp":1030317221000},"page":"471-482","source":"Crossref","is-referenced-by-count":10,"title":["A note on rational call option exercise"],"prefix":"10.1002","volume":"22","author":[{"given":"Malin","family":"Engstr\u00f6m","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,3,7]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1996.tb01033.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.4.765"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200002)20:2<167::AID-FUT4>3.0.CO;2-5"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(96)00054-4"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90062-7"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb05045.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407904"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10020","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10020","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T09:56:41Z","timestamp":1700387801000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10020"}},"issued":{"date-parts":[[2002,3,7]]},"references-count":9,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2002,5]]}},"alternative-id":["10.1002\/fut.10020"],"URL":"https:\/\/doi.org\/10.1002\/fut.10020","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,3,7]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:10:29Z","timestamp":1697955029428},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":10074,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,2]]},"DOI":"10.1002\/fut.v8:1","type":"journal-issue","created":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T23:29:38Z","timestamp":1697930978000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"8","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v8:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v8:1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T23:29:38Z","timestamp":1697930978000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/8\/1"}},"issued":{"date-parts":[[1988,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1988,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v8:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,2]]}},{"indexed":{"date-parts":[[2022,4,1]],"date-time":"2022-04-01T14:15:19Z","timestamp":1648822519937},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8431,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1992,8]]},"DOI":"10.1002\/fut.3990120409","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:18:59Z","timestamp":1183663139000},"page":"489-490","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"12","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120409","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.3990120409","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,8,1]],"date-time":"2018-08-01T15:16:45Z","timestamp":1533136605000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/fut.3990120409"}},"issued":{"date-parts":[[1992,8]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1992,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.3990120409","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,8]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:32Z","timestamp":1698043232942},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8797,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,8]]},"DOI":"10.1002\/fut.v11:4","type":"journal-issue","created":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T01:33:22Z","timestamp":1698024802000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"11","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v11:4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v11:4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T01:33:22Z","timestamp":1698024802000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/11\/4"}},"issued":{"date-parts":[[1991,8]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1991,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v11:4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,8]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T06:40:35Z","timestamp":1698043235729},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":9708,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,2]]},"DOI":"10.1002\/fut.v9:1","type":"journal-issue","created":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:07:22Z","timestamp":1697980042000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"9","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v9:1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v9:1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:07:22Z","timestamp":1697980042000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/9\/1"}},"issued":{"date-parts":[[1989,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1989,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v9:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,2]]}},{"indexed":{"date-parts":[[2022,3,29]],"date-time":"2022-03-29T06:08:36Z","timestamp":1648534116512},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1584,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,5]]},"DOI":"10.1002\/fut.v31.5","type":"journal-issue","created":{"date-parts":[[2016,2,25]],"date-time":"2016-02-25T13:41:28Z","timestamp":1456407688000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"31","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v31.5","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2016,2,25]],"date-time":"2016-02-25T13:41:28Z","timestamp":1456407688000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/fut.v31.5"}},"issued":{"date-parts":[[2011,5]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2011,5]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v31.5","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2011,5]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T09:42:16Z","timestamp":1698140536126},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8309,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,12]]},"DOI":"10.1002\/fut.v12:6","type":"journal-issue","created":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T10:25:02Z","timestamp":1698056702000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"12","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v12:6","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v12:6","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T10:25:02Z","timestamp":1698056702000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/12\/6"}},"issued":{"date-parts":[[1992,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1992,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v12:6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,12]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T12:03:38Z","timestamp":1698149018205},"reference-count":25,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,9,18]],"date-time":"2006-09-18T00:00:00Z","timestamp":1158537600000},"content-version":"vor","delay-in-days":7049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,6]]},"DOI":"10.1002\/fut.3990070303","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T06:04:33Z","timestamp":1183615473000},"page":"245-267","source":"Crossref","is-referenced-by-count":13,"title":["The efficiency of foreign exchange futures markets in turbulent and non\u2010turbulent periods"],"prefix":"10.1002","volume":"7","author":[{"given":"Debra","family":"Glassman","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,18]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/260137"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Boothe P. andGlassman D.(1987): \u201cThe Statistical Distribution of Exchange Rate Changes: Empirical Evidence and Economic Implications \u201dJournal of International Economics (Forthcoming).","DOI":"10.1016\/S0022-1996(87)80025-9"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(86)90038-0"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90029-0"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924339"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912611"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1057243"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Frankel J. A. andFroot K.(1985 November): \u201cThe Dollar As an Irrational Speculative Bubble: A Tale of Fundamentalists and Chartists \u201d Unpublished manuscript.","DOI":"10.3386\/w1854"},{"key":"e_1_2_1_11_1","volume-title":"The Economics of Exchange Rates: Selected Studies","author":"Frenkel J. A.","year":"1978"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/260633"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1926062"},{"key":"e_1_2_1_14_1","volume-title":"Canada and International Trade","author":"Glassman D.","year":"1985"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Glassman D.(1987): \u201cExchange Rate Risk and Volatility: Evidence from Bid\u2010Ask Spreads \u201dJournal of International Money and Finance (Forthcoming).","DOI":"10.1016\/0261-5606(87)90024-6"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/260910"},{"key":"e_1_2_1_17_1","first-page":"42","article-title":"Forecasting Effectiveness of Foreign Currency Futures","volume":"16","author":"Hill J.","year":"1981","journal-title":"Business Economics"},{"key":"e_1_2_1_18_1","volume-title":"The Economics of Exchange Rates: Selected Studies","author":"Levich R. M.","year":"1978"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb01986.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/294632"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb02218.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/261377"},{"key":"e_1_2_1_23_1","volume-title":"Policies for Employment, Prices, and Exchange Rates","author":"Mussa M.","year":"1979"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","volume-title":"Empirical Evidence on International Monetary Market Currency Futures","author":"Panton D. B.","DOI":"10.1057\/palgrave.jibs.8490662"},{"key":"e_1_2_1_25_1","first-page":"41","article-title":"Proof That Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_26_1","volume-title":"The Economics of Exchange Rates: Selected Studies","author":"Stockman A. C.","year":"1978"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070303","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070303","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T17:07:01Z","timestamp":1697994421000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070303"}},"issued":{"date-parts":[[1987,6]]},"references-count":25,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1987,6]]}},"alternative-id":["10.1002\/fut.3990070303"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070303","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,6]]}},{"indexed":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T15:35:45Z","timestamp":1698161745639},"reference-count":6,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5506,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,8]]},"DOI":"10.1002\/fut.3990110402","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T17:24:34Z","timestamp":1183656274000},"page":"399-409","source":"Crossref","is-referenced-by-count":9,"title":["Risk\u2010return hedging effectiveness measures for stock index futures"],"prefix":"10.1002","volume":"11","author":[{"given":"Mary","family":"Lindahl","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330971"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050204"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070102"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330972"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050313"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110402","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110402","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T01:33:33Z","timestamp":1698024813000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110402"}},"issued":{"date-parts":[[1991,8]]},"references-count":6,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1991,8]]}},"alternative-id":["10.1002\/fut.3990110402"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110402","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,8]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T15:32:42Z","timestamp":1700321562338},"reference-count":23,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7390,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,6]]},"DOI":"10.1002\/fut.3990060209","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:36:00Z","timestamp":1183613760000},"page":"273-288","source":"Crossref","is-referenced-by-count":5,"title":["On marketing strategies with options: A technique to measure risk and return"],"prefix":"10.1002","volume":"6","author":[{"given":"R. J.","family":"Hauser","sequence":"first","affiliation":[]},{"given":"J. S.","family":"Eales","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Avery D. L.(1985 July): \u201cHow Commercial Firms Can Hedge Soybeans with Options.\u201dFutures pp.70\u201372."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349071"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-5915.1979.tb00043.x"},{"key":"e_1_2_1_8_1","first-page":"116","article-title":"Mean\u2010Risk Analysis with Risk Associated with Below\u2010Target Returns","volume":"67","author":"Fishburn P. C.","year":"1977","journal-title":"American Economic Review"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020205"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239876"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050405"},{"key":"e_1_2_1_12_1","volume-title":"Decisions under Uncertainty","author":"Halter A. N.","year":"1971"},{"key":"e_1_2_1_13_1","first-page":"182","article-title":"A Risk\u2010Return Model with Risk and Return Measured as Deviations from a Target Return","volume":"71","author":"Holthausen D. M.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_1_14_1","unstructured":"Hudson M. A. Hauser R. J.andFortenbery T. R.(1985): \u201cCommodity Futures versus Commodity Options: An Analysis of Price Risk Management Strategies for Commercial Cattle Feeders.\u201dApplied Commodity Price Analysis Forecasting and Market Risk Management pp.207\u2013221."},{"key":"e_1_2_1_15_1","volume-title":"Agricultural Commodity Options: A Teacher's Guide, Section III\u2010Risk Management Through Options","author":"Ikerd J.","year":"1984"},{"key":"e_1_2_1_16_1","volume-title":"Option Pricing","author":"Jarrow R. A.","year":"1983"},{"key":"e_1_2_1_17_1","volume-title":"Farmers' Guide to Trading Agricultural Commodity Options","author":"Kenyon D. E.","year":"1984"},{"key":"e_1_2_1_18_1","unstructured":"Kenyon D. E.(1984b August): \u201cThe Use of Futures versus Put Options in Pricing Corn Production in Virginia.\u201d Paper presented at the 1984 American Agricultural Economics Association Annual Meeting."},{"key":"e_1_2_1_19_1","volume-title":"Agricultural Commodity Options: A Teacher's Guide, Section II\u2010Potential Uses","author":"Kenyon D. E.","year":"1984"},{"key":"e_1_2_1_20_1","volume-title":"Agricultural Commodity Options: A Teacher's Guide, Section I\u2010Basis Concepts","author":"McKissick J. C.","year":"1984"},{"key":"e_1_2_1_21_1","unstructured":"Sarassoro G. F.(1985): \u201cCommodity Futures Price Changes and Distribution.\u201d Unpublished M.S. thesis University of Illinois."},{"key":"e_1_2_1_22_1","unstructured":"Young D. L.\u201cEvaluating Procedures for Computing Objective Risk from Historical Time Series.\u201d pp.1\u201321."},{"key":"e_1_2_1_22_2","volume-title":"Risk Analysis in Agriculture: Research and Education Developments","year":"1980"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/3180376"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060209","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060209","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:01:27Z","timestamp":1697914887000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060209"}},"issued":{"date-parts":[[1986,6]]},"references-count":23,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1986,6]]}},"alternative-id":["10.1002\/fut.3990060209"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060209","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,6]]}},{"indexed":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T16:43:14Z","timestamp":1692895394514},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2022,6,9]],"date-time":"2022-06-09T00:00:00Z","timestamp":1654732800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,7]]},"DOI":"10.1002\/fut.22233","type":"journal-article","created":{"date-parts":[[2022,6,9]],"date-time":"2022-06-09T10:58:57Z","timestamp":1654772337000},"page":"1187-1187","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 42, Number 7, July 2022"],"prefix":"10.1002","volume":"42","member":"311","published-online":{"date-parts":[[2022,6,9]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22233","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22233","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T00:27:46Z","timestamp":1692836866000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22233"}},"issued":{"date-parts":[[2022,6,9]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2022,7]]}},"alternative-id":["10.1002\/fut.22233"],"URL":"https:\/\/doi.org\/10.1002\/fut.22233","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,6,9]]},"assertion":[{"value":"2022-06-09","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:40:41Z","timestamp":1698010841309},"reference-count":11,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6720,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,4]]},"DOI":"10.1002\/fut.3990080204","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:48:51Z","timestamp":1183628931000},"page":"157-166","source":"Crossref","is-referenced-by-count":3,"title":["The rationality model revisited"],"prefix":"10.1002","volume":"8","author":[{"given":"Edward F.","family":"Renshaw","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"25","article-title":"Price Movements in Speculative Markets: Trends or Random Walks, No. 2","volume":"5","author":"Alexander Sidney","year":"1964","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.10.1.174"},{"key":"e_1_2_1_4_1","first-page":"145","article-title":"Criteria for Choice Among Risky Ventures","volume":"38","author":"Latane Henry","year":"1959","journal-title":"Journal of Political Economy"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2977869"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1986.409047"},{"key":"e_1_2_1_7_1","volume-title":"Portfolio Selection: Efficient Diversification of Investments","author":"Markowitz H.","year":"1959"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(71)90038-X"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1986.409060"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1056454"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1926559"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.68.10.2493"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080204","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080204","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:46:59Z","timestamp":1697921219000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080204"}},"issued":{"date-parts":[[1988,4]]},"references-count":11,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1988,4]]}},"alternative-id":["10.1002\/fut.3990080204"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080204","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,4]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:40:27Z","timestamp":1697956827835},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":10501,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,12]]},"DOI":"10.1002\/fut.v6:4","type":"journal-issue","created":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:49:38Z","timestamp":1697914178000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"6","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v6:4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v6:4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:49:38Z","timestamp":1697914178000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/6\/4"}},"issued":{"date-parts":[[1986,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1986,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v6:4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,12]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:40:30Z","timestamp":1697956830952},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7207,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,12]]},"DOI":"10.1002\/fut.3990060401","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:45:01Z","timestamp":1183614301000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"6","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060401","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060401","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:50:19Z","timestamp":1697914219000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060401"}},"issued":{"date-parts":[[1986,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1986,12]]}},"alternative-id":["10.1002\/fut.3990060401"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060401","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,12]]}},{"indexed":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T16:11:08Z","timestamp":1693411868381},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2021,8,5]],"date-time":"2021-08-05T00:00:00Z","timestamp":1628121600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,9]]},"DOI":"10.1002\/fut.22140","type":"journal-article","created":{"date-parts":[[2021,8,6]],"date-time":"2021-08-06T00:06:59Z","timestamp":1628208419000},"page":"1349-1349","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 41, Number 9, September 2021"],"prefix":"10.1002","volume":"41","member":"311","published-online":{"date-parts":[[2021,8,5]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22140","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22140","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T20:15:20Z","timestamp":1693340120000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22140"}},"issued":{"date-parts":[[2021,8,5]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2021,9]]}},"alternative-id":["10.1002\/fut.22140"],"URL":"https:\/\/doi.org\/10.1002\/fut.22140","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,8,5]]},"assertion":[{"value":"2021-08-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,1,2]],"date-time":"2024-01-02T13:58:48Z","timestamp":1704203928899},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6780,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,2]]},"DOI":"10.1002\/fut.3990080109","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:54:50Z","timestamp":1183629290000},"page":"99-102","source":"Crossref","is-referenced-by-count":5,"title":["A note: Do futures prices always reflect the cheapest deliverable grade of the commodity?"],"prefix":"10.1002","volume":"8","author":[{"given":"Betsey A.","family":"Kuhn","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080109","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080109","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T23:29:46Z","timestamp":1697930986000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080109"}},"issued":{"date-parts":[[1988,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1988,2]]}},"alternative-id":["10.1002\/fut.3990080109"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080109","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,2]]}},{"indexed":{"date-parts":[[2023,11,20]],"date-time":"2023-11-20T00:09:17Z","timestamp":1700438957262},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,2]]},"DOI":"10.1002\/fut.v22:2","type":"journal-issue","created":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T12:00:35Z","timestamp":1700395235000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"22","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T12:00:36Z","timestamp":1700395236000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/22\/2"}},"issued":{"date-parts":[[2002,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2002,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v22:2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,2]]}},{"indexed":{"date-parts":[[2024,8,9]],"date-time":"2024-08-09T21:12:02Z","timestamp":1723237922975},"reference-count":29,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2002,2,6]],"date-time":"2002-02-06T00:00:00Z","timestamp":1012953600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,4]]},"abstract":"Abstract<\/jats:title>Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers typically are\nallowed to deliver any of several grades of the underlying commodity and at any of several locations. On the\ndelivery day, the futures price as such needs not converge to the spot price of the par\u2010delivery grade at\nthe par\u2010delivery location, thereby imposing an additional delivery risk on hedgers. This article derives\nthe optimal hedging strategy for a risk\u2010averse hedger in the presence of delivery risk. In particular, it\nis shown that the hedger optimally uses options on futures for hedging purposes. This article provides a\nrationale for the hedging role of options when futures markets allow for multiple delivery specifications.\n\u00a9 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:339\u2013354, 2002<\/jats:p>","DOI":"10.1002\/fut.10011","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T22:21:43Z","timestamp":1030314103000},"page":"339-354","source":"Crossref","is-referenced-by-count":10,"title":["Delivery risk and the hedging role of options"],"prefix":"10.1002","volume":"22","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[]},{"given":"Kit Pong","family":"Wong","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,2,6]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040206"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Broll U. Chow K. W. &Wong K. P.(2001).Hedging and nonlinear risk exposure. Oxford Economic Papers 53 281\u2013296.","DOI":"10.1093\/oep\/53.2.281"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130203"},{"key":"e_1_2_1_5_1","volume-title":"Options markets","author":"Cox J.","year":"1985"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90124-2"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884543"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296201"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030410"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90004-7"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90042-5"},{"key":"e_1_2_1_12_1","unstructured":"Hieronymous T. A.(1977).The economics of futures trading for commercial and personal profit. New York: Commodity Research Bureau."},{"key":"e_1_2_1_13_1","first-page":"989","article-title":"Hedging and the competitive firm under price uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330887"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb03924.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04499.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03611.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242884"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(94)00575-M"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243630"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080604"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110504"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527128"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527271"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/259427"},{"key":"e_1_2_1_26_1","first-page":"129","article-title":"Deliveries on Chicago Board of Trade:\nWheat, corn, and soybean futures contracts, 1964\/65\u20131988\/89","volume":"22","author":"Peck A. E.","year":"1991","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_27_1","doi-asserted-by":"crossref","unstructured":"Peck A. E. &Williams J. C.(1992).Deliveries on commodity futures contracts. Economic Record Supplement:Special Issues on Futures Market 63\u201374.","DOI":"10.1111\/j.1475-4932.1992.tb02296.x"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242925"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243816"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120302"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10011","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10011","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T08:40:15Z","timestamp":1700296815000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10011"}},"issued":{"date-parts":[[2002,2,6]]},"references-count":29,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2002,4]]}},"alternative-id":["10.1002\/fut.10011"],"URL":"https:\/\/doi.org\/10.1002\/fut.10011","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,2,6]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T06:10:09Z","timestamp":1697868609713},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8120,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,6]]},"DOI":"10.1002\/fut.3990040214","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T03:26:40Z","timestamp":1183606000000},"page":"235-235","source":"Crossref","is-referenced-by-count":7,"title":["Commodities trading: Foundations, analysis and operations by Andrew D. Seidel and Philip M. Ginsberg, prentice\u2010hall, englewood cliffs, nj, 1983, hardcover, 464 pp."],"prefix":"10.1002","volume":"4","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040214","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040214","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:51:56Z","timestamp":1697802716000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040214"}},"issued":{"date-parts":[[1984,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1984,6]]}},"alternative-id":["10.1002\/fut.3990040214"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040214","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,6]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T06:10:09Z","timestamp":1697868609652},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7145,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,2]]},"DOI":"10.1002\/fut.3990070111","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:52:38Z","timestamp":1183614758000},"page":"109-110","source":"Crossref","is-referenced-by-count":0,"title":["Legal and regulatory developments. The exchange\u2010trading requirement of the commodity exchange act"],"prefix":"10.1002","volume":"7","author":[{"given":"Frederick L.","family":"White","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070111","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070111","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T01:08:25Z","timestamp":1697850505000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070111"}},"issued":{"date-parts":[[1987,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1987,2]]}},"alternative-id":["10.1002\/fut.3990070111"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070111","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,2]]}},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T00:04:08Z","timestamp":1700093048704},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2007,10,9]],"date-time":"2007-10-09T00:00:00Z","timestamp":1191888000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,12]]},"DOI":"10.1002\/fut.20295","type":"journal-article","created":{"date-parts":[[2007,10,9]],"date-time":"2007-10-09T20:17:25Z","timestamp":1191961045000},"page":"1127-1127","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"27","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,10,9]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20295","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20295","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T17:47:08Z","timestamp":1700070428000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20295"}},"issued":{"date-parts":[[2007,10,9]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2007,12]]}},"alternative-id":["10.1002\/fut.20295"],"URL":"https:\/\/doi.org\/10.1002\/fut.20295","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,10,9]]}},{"indexed":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T08:40:29Z","timestamp":1696581629500},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2017,8,2]],"date-time":"2017-08-02T00:00:00Z","timestamp":1501632000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,9]]},"DOI":"10.1002\/fut.21816","type":"journal-article","created":{"date-parts":[[2017,8,2]],"date-time":"2017-08-02T10:30:16Z","timestamp":1501669816000},"page":"863-863","source":"Crossref","is-referenced-by-count":1,"title":["Journal of Futures Markets: Volume 37, Number 9, September 2017"],"prefix":"10.1002","volume":"37","member":"311","published-online":{"date-parts":[[2017,8,2]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21816","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21816","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T01:37:54Z","timestamp":1696556274000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21816"}},"issued":{"date-parts":[[2017,8,2]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2017,9]]}},"alternative-id":["10.1002\/fut.21816"],"URL":"https:\/\/doi.org\/10.1002\/fut.21816","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,8,2]]}},{"indexed":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T09:13:55Z","timestamp":1694337235366},"reference-count":0,"publisher":"Wiley","issue":"8","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,8]]},"DOI":"10.1002\/fut.v39.8","type":"journal-issue","created":{"date-parts":[[2019,7,9]],"date-time":"2019-07-09T11:44:52Z","timestamp":1562672692000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"39","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T16:10:31Z","timestamp":1694275831000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/39\/8"}},"issued":{"date-parts":[[2019,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2019,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v39.8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,8]]}},{"indexed":{"date-parts":[[2023,9,4]],"date-time":"2023-09-04T10:11:08Z","timestamp":1693822268786},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,2]]},"DOI":"10.1002\/fut.v41.2","type":"journal-issue","created":{"date-parts":[[2021,1,15]],"date-time":"2021-01-15T06:07:27Z","timestamp":1610690847000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"41","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,3]],"date-time":"2023-09-03T12:05:30Z","timestamp":1693742730000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/41\/2"}},"issued":{"date-parts":[[2021,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2021,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v41.2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,2]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:37:06Z","timestamp":1700267826731},"reference-count":0,"publisher":"Wiley","issue":"7","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,7]]},"DOI":"10.1002\/fut.v24:7","type":"journal-issue","created":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T04:35:50Z","timestamp":1700195750000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"24","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T04:35:51Z","timestamp":1700195751000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/24\/7"}},"issued":{"date-parts":[[2004,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2004,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v24:7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,7]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:59:35Z","timestamp":1700269175207},"reference-count":13,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5875,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,8]]},"DOI":"10.1002\/(sici)1096-9934(199908)19:5<565::aid-fut4>3.0.co;2-r","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:30:12Z","timestamp":1030303812000},"page":"565-582","source":"Crossref","is-referenced-by-count":12,"title":["Is the Australian wool futures market efficient as a predictor of spot prices?"],"prefix":"10.1002","volume":"19","author":[{"given":"Jeremy","family":"Graham-Higgs","sequence":"first","affiliation":[]},{"given":"Alicia","family":"Rambaldi","sequence":"additional","affiliation":[]},{"given":"Brian","family":"Davidson","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB1","volume-title":"Wool Marketing News","author":"Australian Wool Corporation","year":"1993","unstructured":"Australian Wool Corporation (1993 and earlier issues). Annual price summary. Wool Marketing News, Parkville: Australian Wool Corporation."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB2","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1002\/jae.3950060202","volume":"6","author":"Bailie","year":"1991","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB3","author":"Cunnigham","year":"1995","unstructured":"(1995). Wool futures and type premium or discount risk. Paper presented at the Perth meeting of the Australian Agricultural Economics Society, 14-16 February, Perth, Australia."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB4","volume-title":"Applied econometric time-series","author":"Enders","year":"1995","unstructured":"(1995). Applied econometric time-series. New York: John Wiley & Sons."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB5","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1111\/j.1467-8454.1980.tb00264.x","volume":"19","author":"Giles","year":"1980","journal-title":"Australian Economic Papers"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB6","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.1467-8489.1981.tb00380.x","volume":"25","author":"Giles","year":"1981","journal-title":"Australian Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB7","doi-asserted-by":"crossref","first-page":"203","DOI":"10.1016\/0304-4076(94)90044-2","volume":"60","author":"Gonzalo","year":"1994","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB8","doi-asserted-by":"crossref","first-page":"199","DOI":"10.1016\/0304-4076(88)90045-0","volume":"39","author":"Granger","year":"1988","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB9","volume-title":"ABARE Research Report","volume":"97.1","author":"Lubulwa","year":"1997","unstructured":"& (1997). Wool futures: Price risk management for Australian wool growers. ABARE Research Report 97.1, Canberra: AGPS."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB10","doi-asserted-by":"crossref","first-page":"1361","DOI":"10.2307\/1913712","volume":"57","author":"Perron","year":"1989","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB11","author":"Sydney Futures Exchange","year":"1997","unstructured":"Sydney Futures Exchange (1997). Available, 26 May 1997, Internet, URL: http:\/\/www.sfe.com.au\/statistics\/daily_data\/specs.html."},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB12","doi-asserted-by":"crossref","first-page":"372","DOI":"10.2307\/1237388","volume":"52","author":"Tomek","year":"1970","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R-BIB13","volume-title":"Wool Marketing News","author":"Wool International","year":"1997","unstructured":"Wool International (1997 and earlier issues). Annual price summary. Wool Marketing News, Parkville: Wool International."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199908)19:5%3C565::AID-FUT4%3E3.0.CO;2-R","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199908)19:5%3C565::AID-FUT4%3E3.0.CO;2-R","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:43:08Z","timestamp":1625132588000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R"}},"issued":{"date-parts":[[1999,8]]},"references-count":13,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1999,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199908)19:5<565::aid-fut4>3.0.co;2-r","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,8]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:51Z","timestamp":1699834131436},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8943,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,3]]},"DOI":"10.1002\/fut.3990020101","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T20:49:25Z","timestamp":1183582165000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"2","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020101","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020101","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:28:48Z","timestamp":1699802928000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020101"}},"issued":{"date-parts":[[1982,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1982,3]]}},"alternative-id":["10.1002\/fut.3990020101"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020101","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,3]]}},{"indexed":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:14:24Z","timestamp":1697775264242},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8303,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,12]]},"DOI":"10.1002\/fut.3990030411","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:16:40Z","timestamp":1183591000000},"page":"473-474","source":"Crossref","is-referenced-by-count":9,"title":["Fred Gehm, Commodity Market Money Management, John Wiley and Sons, New York, 1983, 361 pp."],"prefix":"10.1002","volume":"3","author":[{"given":"Perry J.","family":"Kaufman","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030411","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030411","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T07:41:11Z","timestamp":1697701271000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030411"}},"issued":{"date-parts":[[1983,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1983,12]]}},"alternative-id":["10.1002\/fut.3990030411"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030411","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,12]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T07:45:51Z","timestamp":1696664751592},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":123,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,5]]},"DOI":"10.1002\/fut.v35.5","type":"journal-issue","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:25:55Z","timestamp":1696584355000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"35","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v35.5","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:25:55Z","timestamp":1696584355000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/35\/5"}},"issued":{"date-parts":[[2015,5]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2015,5]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v35.5","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,5]]}},{"indexed":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T15:15:01Z","timestamp":1693667701464},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2021,4,6]],"date-time":"2021-04-06T00:00:00Z","timestamp":1617667200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,5]]},"DOI":"10.1002\/fut.22136","type":"journal-article","created":{"date-parts":[[2021,4,6]],"date-time":"2021-04-06T10:32:00Z","timestamp":1617705120000},"page":"557-557","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 41, Number 5, May 2021"],"prefix":"10.1002","volume":"41","member":"311","published-online":{"date-parts":[[2021,4,6]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22136","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22136","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T20:03:11Z","timestamp":1693598591000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22136"}},"issued":{"date-parts":[[2021,4,6]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2021,5]]}},"alternative-id":["10.1002\/fut.22136"],"URL":"https:\/\/doi.org\/10.1002\/fut.22136","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,4,6]]},"assertion":[{"value":"2021-04-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:42Z","timestamp":1740104562338,"version":"3.37.3"},"reference-count":27,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2019,9,1]],"date-time":"2019-09-01T00:00:00Z","timestamp":1567296000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["106\u20102410\u2010H\u2010260\u2010013"],"award-info":[{"award-number":["106\u20102410\u2010H\u2010260\u2010013"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,12]]},"abstract":"Abstract<\/jats:title>This paper investigates the out\u2010of\u2010sample performance of hedged portfolios constructed using a novel rotated ARCH (RARCH) model class, which enables flexible covariance dynamics for spot and futures returns. The model's empirical fit can be significantly improved when it incorporates rotated realized covariance matrix measures. The empirical results suggest that a highly risk\u2010averse hedger implementing the restricted RARCH model would be willing to pay substantial switching fees to capture the incremental gains generated by the flexible and informative alternative; this thus supports the economic importance of incorporating high\u2010frequency data into flexible RARCH modeling processes for the construction of optimal hedged portfolios.<\/jats:p>","DOI":"10.1002\/fut.22054","type":"journal-article","created":{"date-parts":[[2019,9,2]],"date-time":"2019-09-02T06:00:16Z","timestamp":1567404016000},"page":"1529-1548","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Flexible covariance dynamics, high\u2010frequency data, and optimal futures hedging"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1344-0817","authenticated-orcid":false,"given":"Yu\u2010Sheng","family":"Lai","sequence":"first","affiliation":[{"name":"Department of Banking and Finance National Chi Nan University Puli Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2019,9]]},"reference":[{"key":"e_1_2_9_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.03.012"},{"key":"e_1_2_9_1_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_9_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_9_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"e_1_2_9_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.009"},{"key":"e_1_2_9_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00515.x"},{"key":"e_1_2_9_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/338484"},{"key":"e_1_2_9_1_9_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_9_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.683"},{"key":"e_1_2_9_1_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_9_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00327"},{"key":"e_1_2_9_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00259-3"},{"key":"e_1_2_9_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00718.x"},{"key":"e_1_2_9_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.628"},{"key":"e_1_2_9_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1234"},{"key":"e_1_2_9_1_17_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_9_1_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_9_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_9_1_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470801890701"},{"key":"e_1_2_9_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21735"},{"key":"e_1_2_9_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20444"},{"key":"e_1_2_9_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1248"},{"key":"e_1_2_9_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1260"},{"key":"e_1_2_9_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.10.003"},{"key":"e_1_2_9_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1158"},{"key":"e_1_2_9_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912557"},{"key":"e_1_2_9_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.012"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22054","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22054","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22054","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22054","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T04:31:56Z","timestamp":1694233916000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22054"}},"issued":{"date-parts":[[2019,9]]},"references-count":27,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2019,12]]}},"alternative-id":["10.1002\/fut.22054"],"URL":"https:\/\/doi.org\/10.1002\/fut.22054","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,9]]},"assertion":[{"value":"2018-08-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-08-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-09-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,3,28]],"date-time":"2025-03-28T11:31:43Z","timestamp":1743161503540,"version":"3.37.3"},"reference-count":71,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2024,12,24]],"date-time":"2024-12-24T00:00:00Z","timestamp":1734998400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,2]]},"abstract":"ABSTRACT<\/jats:title>We apply the regression\u2010based affine term structure model to estimate the term structure of commodity futures. This model is advantageous in that it has a simple and fast algorithm, can accommodate a variety of observable and unspanned factors, and can be applied to daily and even real\u2010time observations. The results show that the model appropriately captures time\u2010series variations across different maturities and exhibits satisfactory performance in capturing cross\u2010sectional variations for specific months. Furthermore, we investigate the relationship between the existing commodity risk factor returns and the risk premiums inferred by the model. Our analysis reveals that different risk factor returns explain the spot and term premiums differently. Therefore, using the advantages of the model, we can better understand the term structure and risk premiums in commodity futures.<\/jats:p>","DOI":"10.1002\/fut.22557","type":"journal-article","created":{"date-parts":[[2024,12,24]],"date-time":"2024-12-24T11:34:20Z","timestamp":1735040060000},"page":"118-142","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Term Structure and Risk Premiums of Commodity Futures With Linear Regressions"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-7252-2890","authenticated-orcid":false,"given":"Daejin","family":"Kim","sequence":"first","affiliation":[{"name":"Department of Fintech, SKKU Business School Sungkyunkwan University Seoul South\u00a0Korea"}]}],"member":"311","published-online":{"date-parts":[[2024,12,24]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.03.003"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.009"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00325"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2019.3445"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.05.043"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.102.4.1596"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296288"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy129"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/261148"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102691"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04944.x"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu043"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1146\/financial.2014.6.issue-1"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/258347"},{"key":"e_1_2_8_22_1","article-title":"Financialization and Commodity Markets Serial Dependence","volume":"70","author":"Da Z.","year":"2023","journal-title":"Management Science"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331381"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.08.012"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.04.004"},{"key":"e_1_2_8_27_1","unstructured":"Dhume D.2011.Using Durable Consumption Risk to Explain Commodities Returns. Working Paper."},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs024"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.06.015"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.v35.3"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.009"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1050.0361"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13165"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2000.318924"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.003"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu091"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.005"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12845"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2023.100313"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2005.523082"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.014"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1991.692347"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.03.013"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr068"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20180098"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2017.06.001"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.v35.9"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/12.3.0429"},{"key":"e_1_2_8_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.105718"},{"key":"e_1_2_8_58_1","doi-asserted-by":"crossref","unstructured":"Piazzesi M.2010. \"Affine Term Structure Models \" inHandbook of Financial Econometrics: Tools and Techniques vol1 691\u2013766.Elsevier.","DOI":"10.1016\/B978-0-444-50897-3.50015-8"},{"key":"e_1_2_8_59_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhac008"},{"key":"e_1_2_8_60_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"key":"e_1_2_8_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105807"},{"key":"e_1_2_8_62_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.46.7.893.12034"},{"key":"e_1_2_8_63_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_8_64_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12261"},{"key":"e_1_2_8_65_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"key":"e_1_2_8_66_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_8_67_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhac035"},{"key":"e_1_2_8_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.08.017"},{"key":"e_1_2_8_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.01.009"},{"key":"e_1_2_8_70_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.v23:2"},{"issue":"6","key":"e_1_2_8_71_1","first-page":"1254","article-title":"The Theory of Price of Storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"},{"key":"e_1_2_8_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.012"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22557","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,1,7]],"date-time":"2025-01-07T09:37:21Z","timestamp":1736242641000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22557"}},"issued":{"date-parts":[[2024,12,24]]},"references-count":71,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2025,2]]}},"alternative-id":["10.1002\/fut.22557"],"URL":"https:\/\/doi.org\/10.1002\/fut.22557","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2024,12,24]]},"assertion":[{"value":"2024-09-27","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-11-27","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-12-24","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,8,11]],"date-time":"2024-08-11T15:14:11Z","timestamp":1723389251496},"reference-count":22,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,4]]},"DOI":"10.1002\/fut.20152","type":"journal-article","created":{"date-parts":[[2005,1,31]],"date-time":"2005-01-31T16:52:26Z","timestamp":1107190346000},"page":"375-398","source":"Crossref","is-referenced-by-count":14,"title":["How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options"],"prefix":"10.1002","volume":"25","author":[{"given":"Kevin H. K.","family":"Cheng","sequence":"first","affiliation":[]},{"given":"Joseph K. W.","family":"Fung","sequence":"additional","affiliation":[]},{"given":"Yiuman","family":"Tse","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"key":"10.1002\/fut.20152-BIB1","first-page":"233","volume":"6","author":"Bessembinder","year":"2003","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20152-BIB2","first-page":"1695","volume":"20","author":"Christie","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20152-BIB3","doi-asserted-by":"crossref","first-page":"133","DOI":"10.2307\/2330769","volume":"24","author":"Connolly","year":"1989","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20152-BIB4","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1016\/1042-9573(90)90004-Y","volume":"1","author":"Domowitz","year":"1990","journal-title":"Journal of Financial Intermediations"},{"key":"10.1002\/fut.20152-BIB5","doi-asserted-by":"crossref","first-page":"1989","DOI":"10.1016\/S0378-4266(00)00166-7","volume":"25","author":"Duan","year":"2001","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/fut.20152-BIB6","doi-asserted-by":"crossref","first-page":"225","DOI":"10.1016\/S1042-4431(98)00042-0","volume":"8","author":"Frino","year":"1998","journal-title":"Journal of International Financial Markets"},{"key":"10.1002\/fut.20152-BIB7","doi-asserted-by":"crossref","first-page":"695","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H","volume":"10","author":"Fung","year":"1999","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/fut.20152-BIB8","doi-asserted-by":"crossref","first-page":"37","DOI":"10.3905\/jod.1997.407990","author":"Fung","year":"1997","journal-title":"Journal of Derivatives, Winter"},{"key":"10.1002\/fut.20152-BIB9","author":"Fung","year":"inp","unstructured":"& (in press). Effects of electronic trading on the Hang Seng Index futures markets. International Review of Economics and Finance."},{"key":"10.1002\/fut.20152-BIB10","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1111\/j.1540-6288.2001.tb00005.x","volume":"36","author":"Fung","year":"2001","journal-title":"Financial Review"},{"key":"10.1002\/fut.20152-BIB11","doi-asserted-by":"crossref","first-page":"166","DOI":"10.1006\/jfin.1994.1002","volume":"3","author":"Grunbichler","year":"1994","journal-title":"Journal of Financial Intermediation"},{"key":"10.1002\/fut.20152-BIB12","doi-asserted-by":"crossref","first-page":"647","DOI":"10.1002\/fut.10080","volume":"23","author":"Gwilym","year":"2003","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20152-BIB13","doi-asserted-by":"crossref","first-page":"389","DOI":"10.1093\/rfs\/4.3.389","volume":"4","author":"Harris","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20152-BIB14","author":"Hasbrouck","year":"1992","unstructured":"& (1992) Orders, trade, reports and quotes at the New York Stock Exchange. New York University, Working Paper, 92-01."},{"key":"10.1002\/fut.20152-BIB15","doi-asserted-by":"crossref","first-page":"481","DOI":"10.1086\/296644","volume":"67","author":"Kumar","year":"1994","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20152-BIB16","doi-asserted-by":"crossref","first-page":"733","DOI":"10.1111\/j.1540-6261.1991.tb02683.x","volume":"41","author":"Lee","year":"1991","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20152-BIB17","doi-asserted-by":"crossref","first-page":"889","DOI":"10.1002\/fut.3990130806","volume":"13","author":"Lee","year":"1993","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20152-BIB18","doi-asserted-by":"crossref","first-page":"243","DOI":"10.1016\/S1042-4431(98)00044-4","volume":"8","author":"Martens","year":"1998","journal-title":"Journal of International Financial Markets"},{"key":"10.1002\/fut.20152-BIB19","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1002\/(SICI)1096-9934(199608)16:5<519::AID-FUT2>3.0.CO;2-J","volume":"16","author":"Pirrong","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20152-BIB20","doi-asserted-by":"crossref","first-page":"441","DOI":"10.2307\/2331010","volume":"25","author":"Stoll","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20152-BIB21","doi-asserted-by":"crossref","first-page":"1289","DOI":"10.1016\/S0378-4266(99)00073-4","volume":"24","author":"Taylor","year":"2000","journal-title":"Journal of Banking & Finance"},{"key":"10.1002\/fut.20152-BIB22","doi-asserted-by":"crossref","first-page":"713","DOI":"10.1002\/fut.1802","volume":"21","author":"Tse","year":"2001","journal-title":"Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20152","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20152","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:15:15Z","timestamp":1625166915000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20152"}},"issued":{"date-parts":[[2005]]},"references-count":22,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2005,4]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20152","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T06:48:52Z","timestamp":1696661332395},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":577,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,2]]},"DOI":"10.1002\/fut.v34.2","type":"journal-issue","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T11:56:35Z","timestamp":1696593395000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"34","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v34.2","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v34.2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T11:56:35Z","timestamp":1696593395000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/34\/2"}},"issued":{"date-parts":[[2014,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2014,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v34.2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,2]]}},{"indexed":{"date-parts":[[2023,8,22]],"date-time":"2023-08-22T04:43:42Z","timestamp":1692679422348},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2022,10,4]],"date-time":"2022-10-04T00:00:00Z","timestamp":1664841600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,11]]},"DOI":"10.1002\/fut.22385","type":"journal-article","created":{"date-parts":[[2022,10,4]],"date-time":"2022-10-04T11:55:30Z","timestamp":1664884530000},"page":"2021-2021","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"42","member":"311","published-online":{"date-parts":[[2022,10,4]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22385","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22385","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22385","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T15:06:32Z","timestamp":1692630392000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22385"}},"issued":{"date-parts":[[2022,10,4]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2022,11]]}},"alternative-id":["10.1002\/fut.22385"],"URL":"https:\/\/doi.org\/10.1002\/fut.22385","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,10,4]]},"assertion":[{"value":"2022-10-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2022,4,3]],"date-time":"2022-04-03T07:09:28Z","timestamp":1648969768407},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3379,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2006,6]]},"DOI":"10.1002\/fut.v26:6","type":"journal-issue","created":{"date-parts":[[2006,4,4]],"date-time":"2006-04-04T23:16:35Z","timestamp":1144192595000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"26","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v26:6","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v26:6","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,8,4]],"date-time":"2018-08-04T15:29:40Z","timestamp":1533396580000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/fut.v26:6"}},"issued":{"date-parts":[[2006,6]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2006,6]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v26:6","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,6]]}},{"indexed":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T15:40:13Z","timestamp":1694619613135},"reference-count":0,"publisher":"Wiley","issue":"10","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,10]]},"DOI":"10.1002\/fut.v38.10","type":"journal-issue","created":{"date-parts":[[2018,9,24]],"date-time":"2018-09-24T21:59:53Z","timestamp":1537826393000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"38","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,12]],"date-time":"2023-09-12T07:51:37Z","timestamp":1694505097000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/38\/10"}},"issued":{"date-parts":[[2018,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2018,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v38.10","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,10]]}},{"indexed":{"date-parts":[[2025,8,15]],"date-time":"2025-08-15T01:51:39Z","timestamp":1755222699953,"version":"3.43.0"},"reference-count":77,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2025,6,22]],"date-time":"2025-06-22T00:00:00Z","timestamp":1750550400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,9]]},"abstract":"ABSTRACT<\/jats:title>We propose and implement a trading strategy based on the index\u2010tracking approach to build portfolios that hedge climate risk using commodity futures. We consider the climate change news index of Engle et al. to derive the hedge target. The empirical results suggest that the index\u2010tracking approach performs well in constructing climate change hedge portfolios. The short\u2010selling constraint enhances the out\u2010of\u2010sample hedge performance due to the alleviation of overfitting. The hedge performance indicates that commodity futures could be effective tools for hedging climate risk. We further reveal the heterogeneous roles of commodity futures in hedging climate risk. Our work provides an effective strategy for constructing climate change hedge portfolios and highlights the important and potential role of commodity futures in the era of climate change.<\/jats:p>","DOI":"10.1002\/fut.70005","type":"journal-article","created":{"date-parts":[[2025,6,23]],"date-time":"2025-06-23T01:57:05Z","timestamp":1750643825000},"page":"1361-1387","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Hedging Climate Change News With Commodity Futures: An Index\u2010Tracking Approach"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9507-9668","authenticated-orcid":false,"given":"Tong","family":"Fang","sequence":"first","affiliation":[{"name":"School of Economics Shandong University Jinan China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0193-6735","authenticated-orcid":false,"given":"Libo","family":"Yin","sequence":"additional","affiliation":[{"name":"School of Finance Central University of Finance and Economics Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2025,6,22]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.worlddev.2021.105546","article-title":"Coping With Climate Shocks: The Complex Role of Livestock Portfolios","volume":"146","author":"Acosta A.","year":"2021","journal-title":"World development"},{"key":"e_1_2_11_3_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.eneco.2020.104769","article-title":"Have Commodities Become a Financial Asset? Evidence From Ten Years of Financialization","volume":"89","author":"Adams Z.","year":"2020","journal-title":"Energy Economics"},{"key":"e_1_2_11_4_1","doi-asserted-by":"crossref","unstructured":"Alekseev G. S.Giglio Q.Maingi J.Selgrad andJ.Stroebel.2022. A Quantity\u2010Based Approach to Constructing Climate Risk Hedge Portfolios. NBER Working Papers 30703.","DOI":"10.3386\/w30703"},{"issue":"3","key":"e_1_2_11_5_1","doi-asserted-by":"crossref","first-page":"13","DOI":"10.2469\/faj.v72.n3.4","article-title":"Hedging Climate Risk","volume":"72","author":"Andersson M.","year":"2016","journal-title":"Financial Analysts Journal"},{"issue":"12","key":"e_1_2_11_6_1","doi-asserted-by":"crossref","first-page":"7151","DOI":"10.1287\/mnsc.2022.4636","article-title":"Climate Change Concerns and the Performance of Green Versus Brown Stocks","volume":"69","author":"Ardia D.","year":"2023","journal-title":"Management Science"},{"issue":"4","key":"e_1_2_11_7_1","doi-asserted-by":"crossref","first-page":"1593","DOI":"10.1093\/qje\/qjw024","article-title":"Measuring Economic Policy Uncertainty","volume":"131","author":"Baker S. R.","year":"2016","journal-title":"Quarterly Journal of Economics"},{"issue":"4","key":"e_1_2_11_8_1","doi-asserted-by":"crossref","first-page":"1511","DOI":"10.1111\/jofi.12408","article-title":"A Model of Financialization of Commodities","volume":"71","author":"Basak S.","year":"2016","journal-title":"Journal of Finance"},{"issue":"5911","key":"e_1_2_11_9_1","doi-asserted-by":"crossref","first-page":"240","DOI":"10.1126\/science.1164363","article-title":"Historical Warnings of Future Food Insecurity With Unprecedented Seasonal Heat","volume":"323","author":"Battisti D. S.","year":"2009","journal-title":"Science"},{"key":"e_1_2_11_10_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jfs.2021.100867","article-title":"Climate Risks and Financial Stability","volume":"54","author":"Battiston S.","year":"2021","journal-title":"Journal of Financial Stability"},{"key":"e_1_2_11_11_1","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1111\/j.1540-6288.2010.00244.x","article-title":"Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold","volume":"45","author":"Baur D. G.","year":"2010","journal-title":"Financial Review"},{"key":"e_1_2_11_12_1","doi-asserted-by":"crossref","first-page":"1886","DOI":"10.1016\/j.jbankfin.2009.12.008","article-title":"Is Gold a Safe Haven? International Evidence","volume":"34","author":"Baur D. G.","year":"2010","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_11_13_1","doi-asserted-by":"crossref","unstructured":"Bloch D. A. J.Annan andJ.Bowles.2010. \u201cHedging Climate Risks With Derivatives.\u201d SSRN Working Paper.","DOI":"10.2139\/ssrn.1583354"},{"issue":"9","key":"e_1_2_11_14_1","doi-asserted-by":"crossref","first-page":"1107","DOI":"10.1002\/fut.22021","article-title":"Price Discovery in Commodity Derivatives: Speculation or Hedging?","volume":"39","author":"Bohmann M. J. M.","year":"2019","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_15_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jfs.2021.100877","article-title":"Climate Risks and Weather Derivatives: A Copula\u2010Based Pricing Model","volume":"54","author":"Bressan G. M.","year":"2021","journal-title":"Journal of Financial Stability"},{"issue":"11","key":"e_1_2_11_16_1","doi-asserted-by":"crossref","first-page":"1065","DOI":"10.1002\/fut.20122","article-title":"Weather Derivatives Valuation and Market Price of Weather Risk","volume":"24","author":"Cao M.","year":"2004","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_17_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.econlet.2022.110312","article-title":"Hedging Climate Risks With Green Assets","volume":"212","author":"Cepni O.","year":"2022","journal-title":"Economics Letters"},{"issue":"1","key":"e_1_2_11_18_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.20463","article-title":"No Chills or Burns From Temperature Surprises: An Empirical Analysis of the Weather Derivatives Market","volume":"31","author":"Chincarini L.","year":"2011","journal-title":"Journal of Futures Markets"},{"issue":"1","key":"e_1_2_11_19_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1093\/rfs\/hhu072","article-title":"The Sum of All FEARS Investor Sentiment and Asset Prices","volume":"28","author":"Da Z.","year":"2015","journal-title":"Review of Financial Studies"},{"issue":"2","key":"e_1_2_11_20_1","doi-asserted-by":"crossref","first-page":"198","DOI":"10.1257\/aer.99.2.198","article-title":"Temperature and Income: Reconciling New Cross\u2010Sectional and Panel Estimates","volume":"99","author":"Dell M.","year":"2009","journal-title":"American Economic Review"},{"issue":"3","key":"e_1_2_11_21_1","first-page":"66","article-title":"Temperature Shocks and Economic Growth: Evidence From the Last Half Century","volume":"4","author":"Dell M.","year":"2012","journal-title":"American Economic Journal: Macroeconomics"},{"key":"e_1_2_11_22_1","doi-asserted-by":"crossref","unstructured":"Deryugina T. andS. M.Hsiang.2014. Does the Environment Still Matter? Daily Temperature and Income in the United States. NBER working paper.","DOI":"10.3386\/w20750"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22544"},{"key":"e_1_2_11_24_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jbankfin.2022.106558","article-title":"Global Weather\u2010Based Trading Strategies","volume":"143","author":"Dong M.","year":"2022","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_11_25_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jfs.2021.100872","article-title":"Climate Sentiments, Transition Risk, and Financial Stability in a Stock\u2010Flow Consistent Model","volume":"54","author":"Dunz N.","year":"2021","journal-title":"Journal of Financial Stability"},{"key":"e_1_2_11_26_1","doi-asserted-by":"crossref","first-page":"549","DOI":"10.1016\/j.ejor.2013.07.015","article-title":"A Comparison of Regime\u2010Switching Temperature Modeling Approaches for Applications in Weather Derivatives","volume":"232","author":"Elias R. S.","year":"2014","journal-title":"European Journal of Operational Research"},{"issue":"3","key":"e_1_2_11_27_1","doi-asserted-by":"crossref","first-page":"1184","DOI":"10.1093\/rfs\/hhz072","article-title":"Hedging Climate Change News","volume":"33","author":"Engle R. F.","year":"2020","journal-title":"Review of Financial Studies"},{"key":"e_1_2_11_28_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jbankfin.2023.106948","article-title":"Dissecting Climate Risks: Are They Reflected in Stock Price?","volume":"155","author":"Faccini R.","year":"2023","journal-title":"Journal of Banking & Finance"},{"issue":"10","key":"e_1_2_11_29_1","doi-asserted-by":"crossref","first-page":"968","DOI":"10.1002\/fut.21766","article-title":"Estimation and Hedging Effectiveness of Time\u2010Varying Hedge Ratio: Nonparametric Approaches","volume":"36","author":"Fan R.","year":"2016","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_30_1","doi-asserted-by":"crossref","first-page":"2155","DOI":"10.1007\/s00181-020-01843-1","article-title":"Does the Green Inspiration Effect Matter for Stock Returns? Evidence From the Chinese Stock Market","volume":"60","author":"Fang T.","year":"2021","journal-title":"Empirical Economics"},{"key":"e_1_2_11_31_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jbankfin.2020.105902","article-title":"Fear of Hazards in Commodity Futures Markets","volume":"119","author":"Fernandez\u2010Perez A.","year":"2020","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_11_32_1","doi-asserted-by":"crossref","unstructured":"Gavriilidis K.2021. Measuring Climate Policy Uncertainty. SSRN.","DOI":"10.2139\/ssrn.3847388"},{"key":"e_1_2_11_33_1","doi-asserted-by":"crossref","first-page":"2553","DOI":"10.1016\/j.jbankfin.2008.04.002","article-title":"Wti Crude Oil Futures in Portfolio Diversification: The Time\u2010to\u2010Maturity Effect","volume":"32","author":"Geman H.","year":"2008","journal-title":"Journal of Banking & Finance"},{"issue":"6","key":"e_1_2_11_34_1","doi-asserted-by":"crossref","first-page":"1545","DOI":"10.1111\/j.1468-0262.2006.00718.x","article-title":"Tests of Conditional Predictive Ability","volume":"74","author":"Giacomini R.","year":"2006","journal-title":"Econometrica"},{"key":"e_1_2_11_35_1","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1146\/annurev-financial-102620-103311","article-title":"Climate Finance","volume":"13","author":"Giglio S.","year":"2021","journal-title":"Annual Review of Financial Economics"},{"key":"e_1_2_11_36_1","unstructured":"Grant M. andS.Boyd.2013. CVX: Matlab Software for Disciplined Convex Programming version 2.0 beta.http:\/\/cvxr.com\/cvx."},{"key":"e_1_2_11_37_1","doi-asserted-by":"crossref","first-page":"1031","DOI":"10.1002\/fut.21853","article-title":"The Effects of Investor Attention on Commodity Futures Markets","volume":"37","author":"Han L.","year":"2017","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_38_1","doi-asserted-by":"crossref","first-page":"264","DOI":"10.1016\/j.worlddev.2017.03.011","article-title":"Insurance Function of Livestock, Farmers Coping Capacity With Crop Failure in Southwestern Madagascar","volume":"96","author":"H\u00e4nke H.","year":"2017","journal-title":"World Development"},{"key":"e_1_2_11_39_1","doi-asserted-by":"crossref","first-page":"265","DOI":"10.1016\/j.jeconom.2018.09.015","article-title":"Climate Risks and Market Efficiency","volume":"208","author":"Hong H.","year":"2019","journal-title":"Journal of Econometrics"},{"issue":"3","key":"e_1_2_11_40_1","doi-asserted-by":"crossref","first-page":"791","DOI":"10.1093\/rfs\/hhu080","article-title":"Investor Sentiment Aligned: A Powerful Predictor of Stock Returns","volume":"28","author":"Huang D.","year":"2015","journal-title":"Review of Financial Studies"},{"issue":"7","key":"e_1_2_11_41_1","doi-asserted-by":"crossref","first-page":"968","DOI":"10.1002\/fut.22423","article-title":"A Good Hedge or Safe Haven? The Hedging Ability of China's Commodity Futures Market under Extreme Market Conditions","volume":"43","author":"Huang H.","year":"2023","journal-title":"Journal of Futures Markets"},{"issue":"9","key":"e_1_2_11_42_1","doi-asserted-by":"crossref","first-page":"1152","DOI":"10.1002\/fut.21923","article-title":"Modeling Temperature Behaviors: Application to Weather Derivative Valuation","volume":"38","author":"Huang J. W.","year":"2018","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_43_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.rser.2022.112689","article-title":"Climate\u2010Related Financial Risk Assessment on Energy Infrastructure Investments","volume":"167","author":"In S. Y.","year":"2022","journal-title":"Renewable and Sustainable Energy Reviews"},{"key":"e_1_2_11_44_1","unstructured":"Intergovernmental Panel on Climate Change (IPCC).2014. Climate Change 2014: Synthesis Report. Contribution of Working Groups I II and III to the Fifth Assessment Report of the IPCC ed. RK Pachauri LA Meyer. Genava."},{"key":"e_1_2_11_45_1","unstructured":"Intergovernmental Panel on Climate Change (IPCC).2018. Summary for Policymakers. In: Global Warming of 1.5\u00b0C Above Pre\u2010Industrial Levels and Related Global Greenhouse Gas Emission Pathways in the Context of Strengthening the Global Response to the Threat of Climate Change Sustainable Development and Efforts to Eradicate Poverty ed. VP Masson\u2010Delmotte HO Zhai D Portner J Roberts PR Skea et al. Genava."},{"key":"e_1_2_11_46_1","doi-asserted-by":"crossref","first-page":"1393","DOI":"10.1002\/fut.22416","article-title":"Global Climate Change and Commodity Markets: A Hedging Perspective","volume":"43","author":"Jia S.","year":"2023","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_47_1","doi-asserted-by":"crossref","first-page":"70","DOI":"10.2469\/faj.v59.n5.2565","article-title":"Portfolio Optimization With Tracking\u2010Error Constraints","volume":"59","author":"Jorion P.","year":"2003","journal-title":"Financial Analysts Journal"},{"key":"e_1_2_11_48_1","doi-asserted-by":"crossref","first-page":"255","DOI":"10.1016\/j.intfin.2018.01.002","article-title":"Commodity Market\u2010Based Hedging Against Stock Market Risk in Times of Financial Crisis. The Case of Crude Oil and Gold","volume":"56","author":"Junttila J.","year":"2018","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"issue":"1","key":"e_1_2_11_49_1","doi-asserted-by":"crossref","first-page":"377","DOI":"10.1111\/jofi.12845","article-title":"A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets","volume":"75","author":"Kang W.","year":"2020","journal-title":"Journal of Finance"},{"issue":"2","key":"e_1_2_11_50_1","doi-asserted-by":"crossref","first-page":"413","DOI":"10.1016\/j.jdeveco.2006.01.011","article-title":"Consumption Smoothing? Livestock, Insurance and Drought in Rural Burkina Faso","volume":"79","author":"Kazianga H.","year":"2006","journal-title":"Journal of Development Economics"},{"issue":"3","key":"e_1_2_11_51_1","doi-asserted-by":"crossref","first-page":"1067","DOI":"10.1093\/rfs\/hhz137","article-title":"The Importance of Climate Risks for Institutional Investors","volume":"33","author":"Krueger P.","year":"2020","journal-title":"Review of Financial Studies"},{"issue":"1","key":"e_1_2_11_52_1","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1016\/S0304-4076(01)00074-4","article-title":"Economic Tracking Portfolios","volume":"105","author":"Lamont O. A.","year":"2001","journal-title":"Journal of Econometrics"},{"issue":"1","key":"e_1_2_11_53_1","doi-asserted-by":"crossref","first-page":"283","DOI":"10.1007\/s10640-018-0262-8","article-title":"Weather, Climate and Total Factor Productivity","volume":"73","author":"Letta M.","year":"2019","journal-title":"Environmental and Resource Economics"},{"issue":"8","key":"e_1_2_11_54_1","doi-asserted-by":"crossref","first-page":"1333","DOI":"10.1002\/fut.22221","article-title":"How Trading in Commodity Futures Option Markets Impacts Commodity Futures Prices","volume":"41","author":"Luo X.","year":"2021","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_55_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.eneco.2020.104832","article-title":"The Macroeconomic Impact of Oil Earnings Uncertainty: New Evidence From Analyst Forecasts","volume":"90","author":"Ma X.","year":"2020","journal-title":"Energy Economics"},{"key":"e_1_2_11_56_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.eneco.2021.105377","article-title":"The Effect of Temperature Anomaly and Macroeconomic Fundamentals on Agricultural Commodity Futures Returns","volume":"100","author":"Makkonen A.","year":"2021","journal-title":"Energy Economics"},{"key":"e_1_2_11_57_1","doi-asserted-by":"crossref","first-page":"137","DOI":"10.1016\/j.jfineco.2016.01.032","article-title":"News Implied Volatility and Disaster Concerns","volume":"123","author":"Manela A.","year":"2017","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_11_58_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.eneco.2021.105123","article-title":"Investigating the Effect of Climate Uncertainty on Global Commodity Markets","volume":"96","author":"Nam K.","year":"2021","journal-title":"Energy Economics"},{"key":"e_1_2_11_59_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.eneco.2019.104660","article-title":"U.S. Equity and Commodity Futures Markets: Hedging or Financialization","volume":"86","author":"Nguyen D. K.","year":"2020","journal-title":"Energy Economics"},{"key":"e_1_2_11_60_1","doi-asserted-by":"crossref","first-page":"468","DOI":"10.1016\/j.jfineco.2019.06.006","article-title":"An Inconvenient Cost: The Effects of Climate Change on Municipal Bonds","volume":"135","author":"Painter M.","year":"2020","journal-title":"Journal of Financial Economics"},{"issue":"5","key":"e_1_2_11_61_1","doi-asserted-by":"crossref","first-page":"2143","DOI":"10.1111\/jofi.12061","article-title":"Risk Management and Firm Value: Evidence From Weather Derivatives","volume":"68","author":"P\u00e9rez\u2010gonz\u00e1lez F.","year":"2013","journal-title":"Journal of Finance"},{"key":"e_1_2_11_62_1","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1146\/annurev-resource-110519-040938","article-title":"Stranded Assets in the Transition to a Carbon\u2010Free Economy","volume":"12","author":"Van der Ploeg F.","year":"2020","journal-title":"Annual Review of Resource Economics"},{"issue":"4","key":"e_1_2_11_63_1","first-page":"13","article-title":"A Mean\/Variance Analysis of Tracking Error","volume":"18","author":"Roll R.","year":"1992","journal-title":"Journal of Portfolio Management"},{"issue":"1","key":"e_1_2_11_64_1","doi-asserted-by":"crossref","first-page":"85","DOI":"10.1016\/S0378-4266(98)00076-4","article-title":"A Linear Model for Tracking Error Minimization","volume":"23","author":"Rudolf M.","year":"1999","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_11_65_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.irfa.2023.102490","article-title":"Investor Climate Sentiment and Financial Markets","volume":"86","author":"Santi C.","year":"2023","journal-title":"International Review of Financial Analysis"},{"issue":"5","key":"e_1_2_11_66_1","doi-asserted-by":"crossref","first-page":"1263","DOI":"10.2307\/2329860","article-title":"A Linear Programming Approximation for the General Portfolio Analysis Problem","volume":"6","author":"Sharpe W. F.","year":"1971","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_11_67_1","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1016\/j.intfin.2014.11.001","article-title":"Asymmetric Volatility Response to News Sentiment in Gold Futures","volume":"34","author":"Smales L. A.","year":"2015","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"issue":"2","key":"e_1_2_11_68_1","doi-asserted-by":"crossref","first-page":"487","DOI":"10.1016\/j.jfineco.2021.08.004","article-title":"What Do You Think About Climate Finance?","volume":"142","author":"Stroebel J.","year":"2021","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_11_69_1","doi-asserted-by":"crossref","first-page":"98","DOI":"10.1016\/j.iref.2022.05.003","article-title":"Uncover the Response of the U.S Grain Commodity Market on El Ni\u00f1o\u2013Southern Oscillation","volume":"81","author":"Su Y.","year":"2022","journal-title":"International Review of Economics & Finance"},{"issue":"12","key":"e_1_2_11_70_1","doi-asserted-by":"crossref","first-page":"1613","DOI":"10.1002\/fut.22047","article-title":"Hedging Performance of Multiscale Hedge Ratios","volume":"39","author":"Sultan J.","year":"2019","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_71_1","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1016\/j.jempfin.2015.03.014","article-title":"Financial Weather Derivatives for Corn Production in Northern China: A Comparison of Pricing Methods","volume":"32","author":"Sun B.","year":"2015","journal-title":"Journal of Empirical Finance"},{"issue":"3","key":"e_1_2_11_72_1","doi-asserted-by":"crossref","DOI":"10.1080\/1331677X.2023.2186913","article-title":"Global Agricultural Commodity Market Responses to Extreme Weather","volume":"36","author":"Sun T. T.","year":"2023","journal-title":"Economic Research\u2010Ekonomska Istra\u017eivanja"},{"key":"e_1_2_11_73_1","doi-asserted-by":"crossref","first-page":"185","DOI":"10.1016\/j.gfj.2006.04.006","article-title":"Modelling and Forecasting Temperature\u2010Based Weather Derivatives","volume":"18","author":"Svec J.","year":"2007","journal-title":"Global Finance Journal"},{"key":"e_1_2_11_74_1","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1016\/j.ijforecast.2005.05.004","article-title":"Density Forecasting for Weather Derivative Pricing","volume":"22","author":"Taylor J. W.","year":"2006","journal-title":"International Journal of Forecasting"},{"issue":"1","key":"e_1_2_11_75_1","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1111\/j.2517-6161.1996.tb02080.x","article-title":"Regression Shrinkage and Selection via the Lasso","volume":"58","author":"Tibshirani R.","year":"1996","journal-title":"Journal of the Royal Statistical Society Series B: Statistical Methodology"},{"issue":"11","key":"e_1_2_11_76_1","doi-asserted-by":"crossref","first-page":"1711","DOI":"10.1002\/fut.22099","article-title":"Intermediary Asset Pricing in Commodity Futures Returns","volume":"40","author":"Yin L.","year":"2020","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_11_77_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.eneco.2022.106060","article-title":"Green Energy Transition and Sustainable Development of Energy Firms: An Assessment of Renewable Energy Policy","volume":"111","author":"Zhang D.","year":"2022","journal-title":"Energy Economics"},{"key":"e_1_2_11_78_1","doi-asserted-by":"crossref","first-page":"128","DOI":"10.1016\/j.qref.2015.02.008","article-title":"The Linkage Between Aggregate Investor Sentiment and Metal Futures Returns: A Nonlinear Approach","volume":"58","author":"Zheng Y.","year":"2015","journal-title":"Quarterly Review of Economics and Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70005","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T04:20:56Z","timestamp":1754886056000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70005"}},"issued":{"date-parts":[[2025,6,22]]},"references-count":77,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2025,9]]}},"alternative-id":["10.1002\/fut.70005"],"URL":"https:\/\/doi.org\/10.1002\/fut.70005","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,6,22]]},"assertion":[{"value":"2024-02-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-06","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-22","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,9,25]],"date-time":"2025-09-25T18:18:06Z","timestamp":1758824286100},"reference-count":33,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1735,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2011,2]]},"DOI":"10.1002\/fut.20461","type":"journal-article","created":{"date-parts":[[2010,4,1]],"date-time":"2010-04-01T14:55:09Z","timestamp":1270133709000},"page":"103-125","source":"Crossref","is-referenced-by-count":14,"title":["Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options"],"prefix":"10.1002","volume":"31","author":[{"given":"Alexander","family":"Van Haastrecht","sequence":"first","affiliation":[]},{"given":"Antoon","family":"Pelsser","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,12,1]]},"reference":[{"key":"10.1002\/fut.20461-BIB1|cit1","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1142\/S0219024908004804","article-title":"Foreign exchange options under stochastic volatility and stochastic interest rates","volume":"11","author":"Ahlip","year":"2008","journal-title":"International Journal of Theoretical and Applied Finance"},{"key":"10.1002\/fut.20461-BIB2|cit2","doi-asserted-by":"crossref","first-page":"209","DOI":"10.1142\/S0219024909005166","article-title":"Forward start options under stochastic volatility and stochastic interest rates","volume":"12","author":"Ahlip","year":"2009","journal-title":"International Journal of Theoretical and Applied Finance"},{"key":"10.1002\/fut.20461-BIB3|cit3","first-page":"163","article-title":"Volatile volatilities","volume":"15","author":"Andersen","year":"2002","journal-title":"Risk"},{"key":"10.1002\/fut.20461-BIB4|cit4","unstructured":"Andreasen , J. 2006 Closed form pricing of fx options under stochastic rates and volatility"},{"key":"10.1002\/fut.20461-BIB5|cit5","unstructured":"Andreasen , J. 2007 A lego approach to hybrid modeling: The baest"},{"key":"10.1002\/fut.20461-BIB6|cit6","unstructured":"Antonov , A. Arneguy , M. Audet , N. 2008 http:\/\/ssrn.com\/abstract=1106223"},{"key":"10.1002\/fut.20461-BIB7|cit7","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1016\/S0304-4076(99)00023-8","article-title":"Pricing and hedging long-term options","volume":"94","author":"Bakshi","year":"2000","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20461-BIB8|cit8","unstructured":"Baur , D. G. 2009 http:\/\/ssrn.com\/abstract=978249"},{"key":"10.1002\/fut.20461-BIB9|cit9","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","article-title":"The pricing of options and corporate liabilities","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1002\/fut.20461-BIB10|cit10","volume-title":"Interest rate models-theory and practice","author":"Brigo","year":"2006"},{"key":"10.1002\/fut.20461-BIB11|cit11","doi-asserted-by":"crossref","first-page":"61","DOI":"10.21314\/JCF.1999.043","article-title":"Option valuation using the fast fourier transform","volume":"2","author":"Carr","year":"1999","journal-title":"Journal of Computational Finance"},{"key":"10.1002\/fut.20461-BIB12|cit12","doi-asserted-by":"crossref","first-page":"37","DOI":"10.21314\/JOR.2000.035","article-title":"Computation of value-at-risk for nonlinear portfolios","volume":"3","author":"Feuerverger","year":"2000","journal-title":"Journal of Risk"},{"key":"10.1002\/fut.20461-BIB13|cit13","doi-asserted-by":"crossref","first-page":"443","DOI":"10.2307\/3215299","article-title":"Changes of numeraire, changes of probability measures and pricing of options","volume":"32","author":"Geman","year":"1996","journal-title":"Journal of Applied Probability"},{"key":"10.1002\/fut.20461-BIB14|cit14","doi-asserted-by":"crossref","DOI":"10.1007\/978-0-387-21617-1","volume-title":"Monte Carlo Methods in Financial Engineering","author":"Glasserman","year":"2003"},{"key":"10.1002\/fut.20461-BIB15|cit15","doi-asserted-by":"crossref","first-page":"488","DOI":"10.1002\/fut.20311","article-title":"A generalization of Rubinstein's \u201cpay now, choose later\u201d","volume":"28","author":"Guo","year":"2008","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/fut.20461-BIB16|cit16","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","article-title":"A closed-form solution for options with stochastic volatility with applications to bond and currency options","volume":"6","author":"Heston","year":"1993","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20461-BIB17|cit17","unstructured":"Hong , G. 2004 http:\/\/www-cfr.jbs.cam.ac.uk\/archive\/PRESENTATIONS\/seminars\/2004\/hong.pdf"},{"key":"10.1002\/fut.20461-BIB18|cit18","doi-asserted-by":"crossref","first-page":"235","DOI":"10.2307\/2331288","article-title":"One factor interest rate models and the valuation of interest rate derivative securities","volume":"28","author":"Hull","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20461-BIB19|cit19","doi-asserted-by":"crossref","first-page":"19","DOI":"10.3905\/jod.2001.319160","article-title":"Pricing equity swaps in a stochastic interest rate economy","volume":"8","author":"Kijima","year":"2001","journal-title":"Journal of Derivatives"},{"key":"10.1002\/fut.20461-BIB20|cit20","unstructured":"Kilin , F. 2006 http:\/\/mpra.ub.uni-muenchen.de\/2975\/1\/MPRA_paper_2975.pdf"},{"key":"10.1002\/fut.20461-BIB21|cit21","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1007\/s00780-004-0146-3","article-title":"On the pricing of forward starting options in Heston's model on stochastic volatility","volume":"9","author":"Kruse","year":"2005","journal-title":"Finance and Stochastics"},{"key":"10.1002\/fut.20461-BIB22|cit22","unstructured":"Lewis , A. 2001 http:\/\/ssrn.com\/abstract=282110"},{"key":"10.1002\/fut.20461-BIB23|cit23","unstructured":"Lord , R. Kahl , J. 2007 http:\/\/ssrn.com\/abstract=1105998"},{"key":"10.1002\/fut.20461-BIB24|cit24","article-title":"Optimal fourier inversion in semi-analytical option pricing","volume":"10","author":"Lord","year":"2008","journal-title":"Journal of Computational Finance"},{"key":"10.1002\/fut.20461-BIB25|cit25","doi-asserted-by":"crossref","unstructured":"Lucic , V. 2003 Forward-start options in stochastic volatility models","DOI":"10.1002\/wilm.42820030518"},{"key":"10.1002\/fut.20461-BIB26|cit26","unstructured":"Nunes , J. P. V. Alcaria , T. R. V. 2009 http:\/\/ssrn.com\/abstract=1329370"},{"key":"10.1002\/fut.20461-BIB27|cit27","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4471-3888-4","volume-title":"Efficient Methods For Valuing Interest Rate Derivatives","author":"Pelsser","year":"2000"},{"key":"10.1002\/fut.20461-BIB28|cit28","unstructured":"Piterbarg , V. 2005 http:\/\/ssrn.com\/abstract=685084"},{"key":"10.1002\/fut.20461-BIB29|cit29","volume-title":"Numerical recipes in C: The art of scientific computing","author":"Press","year":"1992"},{"key":"10.1002\/fut.20461-BIB30|cit30","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-662-06400-9","volume-title":"Continuous Martingales and Brownian Motion","author":"Revuz","year":"1999"},{"key":"10.1002\/fut.20461-BIB31|cit31","first-page":"13","article-title":"Pay now, choose later","volume":"4","author":"Rubinstein","year":"1991","journal-title":"Risk"},{"key":"10.1002\/fut.20461-BIB32|cit32","doi-asserted-by":"crossref","first-page":"23","DOI":"10.1023\/A:1009803506170","article-title":"Stochastic volatility with an Ornstein-Uhlenbeck process: An extension","volume":"4","author":"Sch\u00f6bel","year":"1999","journal-title":"European Finance Review"},{"issue":"3","key":"10.1002\/fut.20461-BIB33|cit33","first-page":"45","article-title":"Pricing long-dated insurance contracts with stochastic volatility and stochastic interest rates","author":"van Haastrecht","year":"2009","journal-title":"Insurance: Mathematics and Economics"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20461","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20461","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:27:18Z","timestamp":1625164038000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20461"}},"issued":{"date-parts":[[2010,12,1]]},"references-count":33,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2011,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20461","ISSN":["0270-7314"],"issn-type":[{"value":"0270-7314","type":"print"}],"published":{"date-parts":[[2010,12,1]]}},{"indexed":{"date-parts":[[2025,8,6]],"date-time":"2025-08-06T13:02:28Z","timestamp":1754485348594},"reference-count":22,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5990,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,4]]},"DOI":"10.1002\/fut.3990100205","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:46:35Z","timestamp":1183643195000},"page":"137-152","source":"Crossref","is-referenced-by-count":12,"title":["Testing rationality in futures markets"],"prefix":"10.1002","volume":"10","author":[{"given":"Christopher K.","family":"Ma","sequence":"first","affiliation":[]},{"given":"William H.","family":"Dare","sequence":"additional","affiliation":[]},{"given":"Darla R.","family":"Donaldson","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Time Series Analysis Forecasting and Control","author":"Box G.","year":"1976"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Brown K. HarlowW. andTinic S.(1988): \u201cRisk Aversion Uncertain Information and Market Efficiency \u201d Journal of Financial Economics forthcoming.","DOI":"10.1016\/0304-405X(88)90075-X"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90042-X"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/296425"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb05004.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","first-page":"557","DOI":"10.1111\/j.1540-6261.1987.tb04569.x","article-title":"Further Evidence of Investor Overreaction and Stock Market Seasonal\u2010ity","volume":"42","author":"DeBondt W. E.","year":"1987","journal-title":"Journal of Finance"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"DeBondt W. E. andMakhija A.(1988): \u201cThrowing Good Money After Bad?: Nuclear Power Plant Investment Decisions and the Relevance of Sunk Costs \u201d Journal of Economic Behavior and Organization forthcoming.","DOI":"10.1016\/0167-2681(88)90044-3"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"DeLong J. Shleifer A. Summers L. andWaldman R.(1987): \u201cThe Economic Consequences of Noise Traders \u201d Working paper Boston University and NBER.","DOI":"10.3386\/w2395"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/260506"},{"key":"e_1_2_1_11_1","volume-title":"Does the Market Overreact? Additional Evidence","author":"Dyl E.","year":"1987"},{"key":"e_1_2_1_12_1","volume-title":"Research in Finance","author":"Fabozzi F.","year":"1988"},{"key":"e_1_2_1_13_1","volume-title":"Permanent and Temporary Components of Stock Prices","author":"Fama E.","year":"1986"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03898.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02617.x"},{"key":"e_1_2_1_17_1","volume-title":"Reaction to the Overreaction Hypothesis","author":"Jones S.","year":"1987"},{"key":"e_1_2_1_18_1","volume-title":"Judgement Under Uncertainty: Heuristics and Biases","author":"Kahneman D.","year":"1981"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090406"},{"key":"e_1_2_1_20_1","volume-title":"Is Trading Self\u2010Generated?: The Case of NYSE\u2010ASE Listed Stocks","author":"Makhija A.","year":"1988"},{"key":"e_1_2_1_21_1","first-page":"421","article-title":"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?","volume":"71","author":"Shiller R.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1984.408954"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04519.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100205","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100205","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:21:14Z","timestamp":1697991674000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100205"}},"issued":{"date-parts":[[1990,4]]},"references-count":22,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1990,4]]}},"alternative-id":["10.1002\/fut.3990100205"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100205","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,4]]}},{"indexed":{"date-parts":[[2025,8,7]],"date-time":"2025-08-07T08:53:44Z","timestamp":1754556824636},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6786,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,2]]},"DOI":"10.1002\/(sici)1096-9934(199702)17:1<117::aid-fut6>3.0.co;2-o","type":"journal-article","created":{"date-parts":[[2004,10,23]],"date-time":"2004-10-23T00:42:15Z","timestamp":1098492135000},"page":"117-128","source":"Crossref","is-referenced-by-count":4,"title":["The rolling spot futures contract: An error correction model analysis"],"prefix":"10.1002","volume":"17","author":[{"given":"Asim","family":"Ghosh","sequence":"first","affiliation":[]},{"given":"Claire G.","family":"Gilmore","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199702)17:1%3C117::AID-FUT6%3E3.0.CO;2-O","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199702)17:1%3C117::AID-FUT6%3E3.0.CO;2-O","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:44:57Z","timestamp":1625132697000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199702)17:1<117::AID-FUT6>3.0.CO;2-O"}},"issued":{"date-parts":[[1997,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1997,2]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199702)17:1<117::aid-fut6>3.0.co;2-o","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,2]]}},{"indexed":{"date-parts":[[2025,11,5]],"date-time":"2025-11-05T20:32:45Z","timestamp":1762374765044},"reference-count":21,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2003,7,21]],"date-time":"2003-07-21T00:00:00Z","timestamp":1058745600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,9]]},"abstract":"Abstract<\/jats:title>Toft and Xuan (1998) use simulation evidence to demonstrate that the static hedging method of Derman\net al. (1995) performs inadequately when volatility is stochastic. Particularly, the greater the\n\u201cvolatility of volatility,\u201d the poorer the static hedge. This article presents an alternative static\nhedging methodology, denoted the generalized static hedge, that appears to perform more reliably. Specifically,\nthe value, delta, and vega of the static hedges closely approximate those values of the barrier option being\nhedged. Further, simulation evidence indicates that when volatility of volatility is large, the standard\ndeviation of simulated cash flows from the generalized static hedge position is less than the standard deviation\nof simulated cash flows from previously defined static hedge positions. \u00a9 2003 Wiley Periodicals, Inc. Jrl\nFut Mark 23:859\u2013890, 2003<\/jats:p>","DOI":"10.1002\/fut.10089","type":"journal-article","created":{"date-parts":[[2003,7,22]],"date-time":"2003-07-22T10:12:01Z","timestamp":1058868721000},"page":"859-890","source":"Crossref","is-referenced-by-count":35,"title":["An examination of the effectiveness of static hedging in the presence of stochastic volatility"],"prefix":"10.1002","volume":"23","author":[{"given":"Jason","family":"Fink","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2003,7,21]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","first-page":"2003","DOI":"10.1111\/j.1540-6261.1997.tb02749.x","article-title":"Empirical performance of alternative option pricing models","author":"Bakshi G.","year":"1997","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90005-8"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331019"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830213"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00048"},{"key":"e_1_2_1_9_1","first-page":"63","article-title":"Quicker on the curves","author":"Clewlow L.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_1_10_1","first-page":"139","article-title":"Forever hedged","volume":"7","author":"Derman E.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407927"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1142\/9789812792914"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_16_1","volume-title":"Options, futures, and other derivatives","author":"Hull J.","year":"2003"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00047-8"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330793"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00039"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.727"},{"key":"e_1_2_1_22_1","first-page":"147","article-title":"How Well can barrier options be hedged by a static portfolio of standard options","volume":"7","author":"Toft K. B.","year":"1998","journal-title":"Journal of Financial Engineering"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10089","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10089","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T15:02:38Z","timestamp":1700233358000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10089"}},"issued":{"date-parts":[[2003,7,21]]},"references-count":21,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2003,9]]}},"alternative-id":["10.1002\/fut.10089"],"URL":"https:\/\/doi.org\/10.1002\/fut.10089","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,7,21]]}},{"indexed":{"date-parts":[[2025,11,6]],"date-time":"2025-11-06T06:04:14Z","timestamp":1762409054405},"reference-count":44,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2014,9,26]],"date-time":"2014-09-26T00:00:00Z","timestamp":1411689600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,4]]},"abstract":"Abstract<\/jats:title>What determines exporters\u2019 exchange rate hedging decisions and do exporters attempt to \u201ctime the market?\u201d We use a unique longitudinal dataset on firm exports to find the determinants of exporters\u2019 currency hedging choices. Determinants include financial fragility, prior hedging experience, and natural hedge opportunities. We also find that firms alter their hedging ratios when the currency has recently trended in one direction. This behavior is ubiquitous for all but large firms and for all times other than when the exchange rate is near its extreme historical values. These results are consistent with most firms exhibiting (sub\u2010optimal) selective hedging behavior. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:321\u2013338, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21692","type":"journal-article","created":{"date-parts":[[2014,9,26]],"date-time":"2014-09-26T15:44:49Z","timestamp":1411746289000},"page":"321-338","source":"Crossref","is-referenced-by-count":6,"title":["Over the Hedge: Do Exporters Practice Selective Hedging?"],"prefix":"10.1002","volume":"35","author":[{"given":"Richard","family":"Fabling","sequence":"first","affiliation":[{"name":"Richard Fabling and Arthur Grimes are at Motu Economic and Public Policy Research Wellington New Zealand"}]},{"given":"Arthur","family":"Grimes","sequence":"additional","affiliation":[{"name":"Richard Fabling and Arthur Grimes are at Motu Economic and Public Policy Research Wellington New Zealand"},{"name":"Arthur Grimes is at the University of Auckland Auckland New Zealand"}]}],"member":"311","published-online":{"date-parts":[[2014,9,26]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00050-4"},{"key":"e_1_2_9_3_1","author":"Bank for International Settlements","year":"2007","journal-title":"Triennial Central Bank Survey: Foreign Exchange and Derivatives Market Activity in 2007"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2012.07.004"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331409"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-4932.2004.00182.x"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00221"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-646X.00049"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(93)90008-Y"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665595"},{"key":"e_1_2_9_11_1","volume-title":"Why do firms hedge? An asymmetric information model","author":"Breeden D. T.","year":"1999"},{"key":"e_1_2_9_12_1","first-page":"21","article-title":"Can hedging insulate firms from exchange rate risk?","volume":"63","author":"Brookes A.","year":"2000","journal-title":"Reserve Bank of New Zealand Bulletin"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/508004"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/1059-0560(95)90044-6"},{"key":"e_1_2_9_15_1","volume-title":"Econometric Theory and Methods","author":"Davidson R.","year":"2004"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00126"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1993.tb00232.x"},{"key":"e_1_2_9_18_1","first-page":"689","article-title":"Long swings in the dollar: Are they in the data and do markets know it?","volume":"80","author":"Engel C.","year":"1990","journal-title":"American Economic Review"},{"key":"e_1_2_9_19_1","unstructured":"Fabling R.(2009).A rough guide to New Zealand's Longitudinal Business Database. Global COE Hi\u2010Stat Discussion paper No. 103 Institute of Economic Research Hitotsubashi University."},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2010.01.001"},{"key":"e_1_2_9_21_1","doi-asserted-by":"crossref","unstructured":"Fabling R. &Grimes A.(2014).Over the hedge: Do exporters practice selective hedging?Working paper 14\u201001 Motu Economic and Public Policy Research.","DOI":"10.29310\/wp.2014.01"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1435-5957.2011.00380.x"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/twec.12198"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00751.x"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05123.x"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb01112.x"},{"key":"e_1_2_9_27_1","volume-title":"Finanzwirtschaftliches Risikomanagement deutscher Industrie\u2010 und Handels\u2010unternehmen","author":"Glaum M.","year":"2000"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.2002.tb00454.x"},{"key":"e_1_2_9_29_1","doi-asserted-by":"crossref","unstructured":"Goldberg L. S. &Tille C.(2009).Micro macro and strategic forces in international trade invoicing. Working paper 15470 National Bureau of Economic Research.","DOI":"10.3386\/w15470"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00443"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00202"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676199"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0306-686X.2005.00594.x"},{"key":"e_1_2_9_34_1","unstructured":"Meredith J.(2006).Selective hedging: A test of two commodities. Paper presented to 2006 Financial Management Association conference Salt Lake City."},{"key":"e_1_2_9_35_1","first-page":"261","article-title":"The cost of capital, corporation finance and the theory of investment","volume":"48","author":"Modigliani F.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04709.x"},{"key":"e_1_2_9_37_1","doi-asserted-by":"crossref","unstructured":"Nozaki M.(2010).Do currency fundamentals matter for currency speculators?IMF Working paper 10\/39 International Monetary Fund.","DOI":"10.5089\/9781451962864.001"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126758"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(98)00009-9"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.05.011"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"},{"key":"e_1_2_9_42_1","volume-title":"Overseas Merchandise Trade: December 2012","author":"Statistics New Zealand","year":"2013"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1996.tb00295.x"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04064.x"},{"key":"e_1_2_9_45_1","first-page":"431","article-title":"New concepts concerning futures markets and prices","volume":"52","author":"Working H.","year":"1962","journal-title":"The American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21692","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21692","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T07:34:17Z","timestamp":1696577657000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21692"}},"issued":{"date-parts":[[2014,9,26]]},"references-count":44,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2015,4]]}},"alternative-id":["10.1002\/fut.21692"],"URL":"https:\/\/doi.org\/10.1002\/fut.21692","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,9,26]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T17:00:51Z","timestamp":1771002051726,"version":"3.50.1"},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6240,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,8]]},"DOI":"10.1002\/(sici)1096-9934(199808)18:5<519::aid-fut2>3.0.co;2-u","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"519-540","source":"Crossref","is-referenced-by-count":58,"title":["Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market"],"prefix":"10.1002","volume":"18","author":[{"given":"Abhay","family":"Abhyankar","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199808)18:5%3C519::AID-FUT2%3E3.0.CO;2-U","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199808)18:5%3C519::AID-FUT2%3E3.0.CO;2-U","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:27:55Z","timestamp":1625131675000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199808)18:5<519::AID-FUT2>3.0.CO;2-U"}},"issued":{"date-parts":[[1998,8]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1998,8]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199808)18:5<519::aid-fut2>3.0.co;2-u","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,8]]}},{"indexed":{"date-parts":[[2026,2,10]],"date-time":"2026-02-10T18:41:28Z","timestamp":1770748888169,"version":"3.50.0"},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6727,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,4]]},"DOI":"10.1002\/(sici)1096-9934(199704)17:2<191::aid-fut3>3.0.co;2-e","type":"journal-article","created":{"date-parts":[[2004,10,23]],"date-time":"2004-10-23T00:44:23Z","timestamp":1098492263000},"page":"191-214","source":"Crossref","is-referenced-by-count":4,"title":["Risk premia in the ruble\/dollar futures market"],"prefix":"10.1002","volume":"17","author":[{"given":"Anatoly","family":"Peresetsky","sequence":"first","affiliation":[]},{"given":"Frans","family":"de Roon","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199704)17:2%3C191::AID-FUT3%3E3.0.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199704)17:2%3C191::AID-FUT3%3E3.0.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:18:43Z","timestamp":1625134723000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199704)17:2<191::AID-FUT3>3.0.CO;2-E"}},"issued":{"date-parts":[[1997,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1997,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199704)17:2<191::aid-fut3>3.0.co;2-e","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,4]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T22:01:33Z","timestamp":1770501693187,"version":"3.49.0"},"reference-count":22,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3530,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2006,9]]},"DOI":"10.1002\/fut.20216","type":"journal-article","created":{"date-parts":[[2006,7,18]],"date-time":"2006-07-18T20:49:06Z","timestamp":1153255746000},"page":"843-867","source":"Crossref","is-referenced-by-count":28,"title":["Option bid-ask spread and scalping risk: Evidence from a covered warrants market"],"prefix":"10.1002","volume":"26","author":[{"given":"Giovanni","family":"Petrella","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006]]},"reference":[{"key":"10.1002\/fut.20216-BIB1","doi-asserted-by":"crossref","first-page":"933","DOI":"10.1111\/j.1540-6261.2004.00653.x","volume":"59","author":"Battalio","year":"2004","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB2","author":"Cho","year":"1999","unstructured":"& (1999). Modeling the impacts of market activity on bid-ask spreads in the option market (NBER Working Paper #7331). Cambridge, MA: National Bureau for Economic Research."},{"key":"10.1002\/fut.20216-BIB3","doi-asserted-by":"crossref","first-page":"2437","DOI":"10.1046\/j.1540-6261.2003.00611.x","volume":"58","author":"de Fontnouvelle","year":"2003","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB4","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H","volume":"16","author":"Fleming","year":"1996","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20216-BIB5","doi-asserted-by":"crossref","first-page":"381","DOI":"10.2307\/2331420","volume":"28","author":"George","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20216-BIB6","doi-asserted-by":"crossref","first-page":"1293","DOI":"10.1111\/j.1540-6261.1987.tb04367.x","volume":"42","author":"Glosten","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB7","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1016\/0304-405X(88)90034-7","volume":"21","author":"Glosten","year":"1988","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20216-BIB8","doi-asserted-by":"crossref","first-page":"179","DOI":"10.1093\/rfs\/7.1.179","volume":"7","author":"Huang","year":"1994","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20216-BIB9","doi-asserted-by":"crossref","first-page":"995","DOI":"10.1093\/rfs\/10.4.995","volume":"10","author":"Huang","year":"1997","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20216-BIB10","doi-asserted-by":"crossref","first-page":"765","DOI":"10.1111\/j.1540-6261.1992.tb04409.x","volume":"47","author":"Jameson","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB11","doi-asserted-by":"crossref","first-page":"631","DOI":"10.1093\/rfs\/7.4.631","volume":"7","author":"Jones","year":"1994","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20216-BIB12","author":"Kaul","year":"2004","unstructured":", & (2004). Informed trading and option spreads. Unpublished manuscript, University of Florida, Gainesville."},{"key":"10.1002\/fut.20216-BIB13","doi-asserted-by":"crossref","first-page":"1035","DOI":"10.1093\/rfs\/10.4.1035","volume":"10","author":"Madhavan","year":"1997","journal-title":"Review of Financial Studies"},{"key":"10.1002\/fut.20216-BIB14","doi-asserted-by":"crossref","first-page":"931","DOI":"10.1111\/1540-6261.00447","volume":"57","author":"Mayhew","year":"2002","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB15","doi-asserted-by":"crossref","first-page":"511","DOI":"10.1111\/j.1540-6261.1987.tb04566.x","volume":"42","author":"Neal","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB16","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1016\/0304-405X(94)90034-5","volume":"35","author":"Petersen","year":"1994","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20216-BIB17","doi-asserted-by":"crossref","first-page":"937","DOI":"10.1111\/j.1540-6261.1984.tb03886.x","volume":"39","author":"Silber","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB18","first-page":"485","volume-title":"Financial options: From theory to practice","author":"Silber","year":"1990","unstructured":"(1990). Marketmaking in options: Principles and implications. In , & (Eds.), Financial options: From theory to practice (pp. 485\u2013515). Homewood, IL: Business One Irwin."},{"key":"10.1002\/fut.20216-BIB19","doi-asserted-by":"crossref","first-page":"1133","DOI":"10.1111\/j.1540-6261.1978.tb02053.x","volume":"33","author":"Stoll","year":"1978","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB20","doi-asserted-by":"crossref","first-page":"1157","DOI":"10.1111\/j.1540-6261.1990.tb02431.x","volume":"45","author":"Vijh","year":"1990","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20216-BIB21","first-page":"5","volume":"7","author":"Working","year":"1967","journal-title":"Food Research Institute Studies"},{"key":"10.1002\/fut.20216-BIB22","first-page":"181","volume-title":"Selected writings of Holbrook Working","author":"Working","year":"1977","unstructured":"(1977). Price effects of scalping and day trading. In (Ed.), Selected writings of Holbrook Working (pp. 181\u2013194). Chicago, IL: Chicago Board of Trade."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20216","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20216","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:32:19Z","timestamp":1625164339000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20216"}},"issued":{"date-parts":[[2006]]},"references-count":22,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2006,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20216","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006]]}},{"indexed":{"date-parts":[[2026,2,9]],"date-time":"2026-02-09T03:37:46Z","timestamp":1770608266847,"version":"3.49.0"},"reference-count":13,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7390,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,6]]},"DOI":"10.1002\/fut.3990060206","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:36:00Z","timestamp":1183613760000},"page":"231-248","source":"Crossref","is-referenced-by-count":34,"title":["The quality option in the treasury bond futures market: An empirical assessment"],"prefix":"10.1002","volume":"6","author":[{"given":"Alex","family":"Kane","sequence":"first","affiliation":[]},{"given":"Alan J.","family":"Marcus","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v40.n2.16"},{"key":"e_1_2_1_3_1","volume-title":"I Corporate Capital Structures in the United States","author":"Bodie Z.","year":"1984"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03556.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/296201"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90004-7"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050112"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040107"},{"key":"e_1_2_1_9_1","article-title":"Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Future Market","volume":"40","author":"Kane A.","year":"1986","journal-title":"Journal of Finance"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03611.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90020-4"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/295329"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1975.tb01852.x"},{"key":"e_1_2_1_14_1","unstructured":"Yardeni E. E.\u201cManaging Interest Rate Risk with Bond Futures \u201d Center for the Study of Futures Markets (Columbia Business School) Working Paper #CSFM\u201010 1981."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060206","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060206","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:01:13Z","timestamp":1697914873000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060206"}},"issued":{"date-parts":[[1986,6]]},"references-count":13,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1986,6]]}},"alternative-id":["10.1002\/fut.3990060206"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060206","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,6]]}},{"indexed":{"date-parts":[[2025,7,30]],"date-time":"2025-07-30T15:25:13Z","timestamp":1753889113319},"reference-count":4,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4591,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,2]]},"DOI":"10.1002\/fut.3990140104","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:36:31Z","timestamp":1183682191000},"page":"25-36","source":"Crossref","is-referenced-by-count":8,"title":["Prediction of future currency exchange rates from current currency futures prices: The case of GM and JY"],"prefix":"10.1002","volume":"14","author":[{"given":"George Y.","family":"Jabbour","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"issue":"3","key":"e_1_2_1_2_1","first-page":"42","article-title":"Forecasting Effectiveness of Foreign Currency Futures","volume":"16","author":"Hill J.","year":"1981","journal-title":"Business Economics"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jibs.8490662"},{"key":"e_1_2_1_4_1","volume-title":"Financial Futures: Fundamentals, Strategies, and Applications","author":"Schwarz E. W.","year":"1986"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060110"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140104","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140104","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T11:13:54Z","timestamp":1698232434000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140104"}},"issued":{"date-parts":[[1994,2]]},"references-count":4,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1994,2]]}},"alternative-id":["10.1002\/fut.3990140104"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140104","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,2]]}},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T15:49:43Z","timestamp":1759938583915},"reference-count":9,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2014,11,26]],"date-time":"2014-11-26T00:00:00Z","timestamp":1416960000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,12]]},"abstract":"Abstract<\/jats:title>Since its announcement made on September 6, 2011, the Swiss National Bank (SNB) has been pursuing the goal of a minimum EUR\/CHF exchange rate of 1.20, promising to intervene on currency markets to prevent the exchange rate from falling below this level. We use a compound option pricing approach to estimate the latent exchange rate that would prevail in the absence of the SNB's interventions, together with the market's confidence in the SNB's commitment to this policy. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:1103\u20131116, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21704","type":"journal-article","created":{"date-parts":[[2014,11,26]],"date-time":"2014-11-26T22:19:35Z","timestamp":1417040375000},"page":"1103-1116","source":"Crossref","is-referenced-by-count":24,"title":["Where Would the EUR\/CHF Exchange Rate be Without the SNB's Minimum Exchange Rate Policy?"],"prefix":"10.1002","volume":"35","author":[{"given":"Michael","family":"Hanke","sequence":"first","affiliation":[{"name":"Michael Hanke is at the Institute for Financial Services University of Liechtenstein Vaduz Liechtenstein"}]},{"given":"Rolf","family":"Poulsen","sequence":"additional","affiliation":[{"name":"Rolf Poulsen is at the Department of Mathematical Sciences University of Copenhagen Copenhagen Denmark"}]},{"given":"Alex","family":"Weissensteiner","sequence":"additional","affiliation":[{"name":"Alex Weissensteiner is at the Department of Management Engineering Technical University of Denmark Lyngby Denmark"},{"name":"School of Economics and Management Free University of Bolzano Bolzano Italy"}]}],"member":"311","published-online":{"date-parts":[[2014,11,26]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(97)00054-5"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00029-4"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(83)80001-1"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90022-9"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21612"},{"key":"e_1_2_8_7_1","doi-asserted-by":"crossref","unstructured":"Hertrich M. &Zimmermann H.(2014). How credible is the euro\/Swiss franc floor? A financial market perspective SSRN Working paper no. 2290997.","DOI":"10.2139\/ssrn.2290997"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2008.08.015"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(96)00032-0"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20299"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21704","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21704","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T02:45:44Z","timestamp":1696560344000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21704"}},"issued":{"date-parts":[[2014,11,26]]},"references-count":9,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2015,12]]}},"alternative-id":["10.1002\/fut.21704"],"URL":"https:\/\/doi.org\/10.1002\/fut.21704","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,11,26]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:34:00Z","timestamp":1760524440567,"version":"3.37.3"},"reference-count":61,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2022,12,15]],"date-time":"2022-12-15T00:00:00Z","timestamp":1671062400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["11801433","11971372","72101199"],"award-info":[{"award-number":["11801433","11971372","72101199"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,3]]},"abstract":"Abstract<\/jats:title>In this paper, we investigate whether the option features in convertible bonds lead to price discovery. On the basis of minute\u2010level data from January 2019 to December 2021, we find that the convertible bond market contributes to the price discovery of the stock market by using the thermal optimal path method, and that the option features in convertible bonds are an important factor affecting the price discovery ability. Regression analysis shows that the effect of option features remains significant after controlling for a range of variables, such as the size of the convertible bond, the premium rate, information shock, and volatility. In addition, we further explore the impact of the difference in trading regimes between the convertible bond market and the equity market on price discovery.<\/jats:p>","DOI":"10.1002\/fut.22391","type":"journal-article","created":{"date-parts":[[2022,12,15]],"date-time":"2022-12-15T08:22:49Z","timestamp":1671092569000},"page":"384-403","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Option features and price discovery in convertible bonds"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1043-8052","authenticated-orcid":false,"given":"Liwei","family":"Jin","sequence":"first","affiliation":[{"name":"School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1466-5268","authenticated-orcid":false,"given":"Xianghui","family":"Yuan","sequence":"additional","affiliation":[{"name":"School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7029-4900","authenticated-orcid":false,"given":"Li","family":"Peiran","sequence":"additional","affiliation":[{"name":"School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9291-603X","authenticated-orcid":false,"given":"Hailun","family":"Xu","sequence":"additional","affiliation":[{"name":"School of Economics and Finance Xi'an Jiaotong University Xi'an Shaanxi China"}]},{"given":"Feng","family":"Lian","sequence":"additional","affiliation":[{"name":"School of Electronic and Information Engineering Xi'an Jiaotong University Xi'an Shaanxi China"}]}],"member":"311","published-online":{"date-parts":[[2022,12,15]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21970"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00256-4"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.06.008"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.435"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/02102412.2016.1144441"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/joes.12016"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2013.11.002"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-020-00371-3"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.686421"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01313.x"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.03.009"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.10.004"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10058-021-00276-1"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.06.013"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22101"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1140\/epjb\/e2014-50108-3"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2015.10.028"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2006.02.035"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2016.11.114"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2019.1598368"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199604)16:2<147::AID-FUT2>3.0.CO;2-K"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103208"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22335"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21938"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10127"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfac001"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asieco.2021.101370"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1940"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20356"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1676388"},{"key":"e_1_2_9_37_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1155\/2014\/301282","article-title":"Valuing convertible bonds based on LSRQM method","volume":"2014","author":"Liu J.","year":"2014","journal-title":"Discrete Dynamics in Nature and Society"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22359"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhw028"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1241424"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2356"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2019.100524"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2015.1085641"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1602711"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2012.11.058"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.08.117"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106172"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1827"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20112"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500383763"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2231"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199912)19:8<911::AID-FUT4>3.0.CO;2-Q"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1264616"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22216"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2017.05.001"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.matcom.2018.04.005"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2021.125999"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102015"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1914"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.05.001"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmacro.2005.10.015"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22391","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22391","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22391","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T23:57:39Z","timestamp":1692489459000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22391"}},"issued":{"date-parts":[[2022,12,15]]},"references-count":61,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2023,3]]}},"alternative-id":["10.1002\/fut.22391"],"URL":"https:\/\/doi.org\/10.1002\/fut.22391","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,12,15]]},"assertion":[{"value":"2022-07-18","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-11-29","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-12-15","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:32:42Z","timestamp":1760524362365,"version":"3.37.3"},"reference-count":22,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2022,5,16]],"date-time":"2022-05-16T00:00:00Z","timestamp":1652659200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71903112"],"award-info":[{"award-number":["71903112"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,11]]},"abstract":"Abstract<\/jats:title>Analyst recommendations convey valuable market\u2010wide information which implies analyst rating should generate reliable predictability for future market returns. This paper examines the predictive regressions which forecast the S&P 500 index futures return and volatility with lagged text\u2010based analyst rating index (TAR\u00a0index). Empirical evidence shows that the TAR index generates superior in\u2010sample predictability. This substantial predictability remains after controlling the business cycles, macroeconomic factors, and economic conditions. Also, the TAR index outperforms the prevailing mean out\u2010of\u2010sample and generates significant economic performance. Notably, the TAR index also delivers consistent predictive gains on the volatility of index futures returns.<\/jats:p>","DOI":"10.1002\/fut.22341","type":"journal-article","created":{"date-parts":[[2022,5,16]],"date-time":"2022-05-16T09:28:56Z","timestamp":1652693336000},"page":"2084-2100","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Analyst rating matters for index futures"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-4168-9222","authenticated-orcid":false,"given":"Liyan","family":"Han","sequence":"first","affiliation":[{"name":"School of Economics and Management Beihang University Beijing China"},{"name":"Yanqi Lake Beijing Institute of Mathematical Sciences and Applications Beijing China"}]},{"given":"Xinbei","family":"Wei","sequence":"additional","affiliation":[{"name":"School of Economics Shandong University Jinan China"}]},{"given":"Sen","family":"Yan","sequence":"additional","affiliation":[{"name":"Center for Southeast Asian Studies Xiamen University Xiamen China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1509-4674","authenticated-orcid":false,"given":"Qunzi","family":"Zhang","sequence":"additional","affiliation":[{"name":"School of Economics Shandong University Jinan China"}]}],"member":"311","published-online":{"date-parts":[[2022,5,16]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00336"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1506\/car.26.2.1"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102502"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2298"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00071-9"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.09.009"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1907042"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-629X.2012.00509.x"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2009.00337.x"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22112"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101835"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v74.n2.4"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470500459782"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp063"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2018.03.002"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2016.05.010"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05205.x"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22256"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22341","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22341","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22341","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T15:06:23Z","timestamp":1692630383000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22341"}},"issued":{"date-parts":[[2022,5,16]]},"references-count":22,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2022,11]]}},"alternative-id":["10.1002\/fut.22341"],"URL":"https:\/\/doi.org\/10.1002\/fut.22341","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,5,16]]},"assertion":[{"value":"2022-03-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-04-25","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-05-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,19]],"date-time":"2025-11-19T11:24:28Z","timestamp":1763551468885},"reference-count":10,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2001,1]]},"DOI":"10.1002\/1096-9934(200101)21:1<1::aid-fut1>3.0.co;2-4","type":"journal-article","created":{"date-parts":[[2004,10,28]],"date-time":"2004-10-28T08:51:27Z","timestamp":1098953487000},"page":"1-17","source":"Crossref","is-referenced-by-count":15,"title":["Liquidity supply and volatility: futures market evidence"],"prefix":"10.1002","volume":"21","author":[{"given":"Peter R.","family":"Locke","sequence":"first","affiliation":[]},{"given":"Asani","family":"Sarkar","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"BIB1","author":"Domowitz","year":"1993","unstructured":"(1993). Financial market automation and the investment services directive. Institute for Policy Research WP-93-31."},{"key":"BIB2","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1111\/j.1540-6261.1988.tb04594.x","volume":"43","author":"Grossman","year":"1988","journal-title":"Journal of Finance"},{"key":"BIB3","author":"Handa","year":"1995","unstructured":"& (1995). Limit order trading. Working Paper, New York University."},{"key":"BIB4","author":"Kumar","year":"1994","unstructured":"& (1994). Limit and market orders with optimizing traders. Carnegie Mellon University, Working Paper."},{"key":"BIB5","doi-asserted-by":"crossref","first-page":"409","DOI":"10.1002\/fut.3990130407","volume":"13","author":"Kuserk","year":"1993","journal-title":"Journal of Futures Markets"},{"key":"BIB6","doi-asserted-by":"crossref","first-page":"229","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<229::AID-FUT5>3.0.CO;2-L","volume":"17","author":"Locke","year":"1997","journal-title":"Journal of Futures Markets"},{"key":"BIB7","doi-asserted-by":"crossref","first-page":"953","DOI":"10.1093\/rfs\/9.3.953","volume":"9","author":"Manaster","year":"1996","journal-title":"Review of Financial Studies"},{"key":"BIB8","volume":"4","author":"Sarkar","year":"1998","journal-title":"Current Issues in Economics and Finance"},{"key":"BIB9","doi-asserted-by":"crossref","first-page":"937","DOI":"10.1111\/j.1540-6261.1984.tb03886.x","volume":"39","author":"Silber","year":"1984","journal-title":"Journal of Finance"},{"key":"BIB10","first-page":"49","volume-title":"Futures Markets: Regulatory Issues","author":"Smidt","year":"1985","unstructured":"(1985). Trading floor practices on futures and securities exchanges: Economics, regulation and policy issues. In (Ed.), Futures Markets: Regulatory Issues (pp. 49-142). Washington, D.C.: American Enterprise Institute for Public Policy Research."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200101)21:1%3C1::AID-FUT1%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200101)21:1%3C1::AID-FUT1%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:24:27Z","timestamp":1625135067000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200101)21:1<1::AID-FUT1>3.0.CO;2-4"}},"issued":{"date-parts":[[2000]]},"references-count":10,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2001,1]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200101)21:1<1::aid-fut1>3.0.co;2-4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2025,11,22]],"date-time":"2025-11-22T10:54:58Z","timestamp":1763808898334},"reference-count":33,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2009,8,7]],"date-time":"2009-08-07T00:00:00Z","timestamp":1249603200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,5]]},"abstract":"Abstract<\/jats:title>This study proposes an N<\/jats:italic> \u2010state Markov\u2010switching general autoregressive conditionally heteroskedastic (MS\u2010GARCH) option model and develops a new lattice algorithm to price derivatives under this framework. The MS\u2010GARCH option model allows volatility dynamics switching between different GARCH processes with a hidden Markov chain, thus exhibiting high flexibility in capturing the dynamics of financial variables. To measure the pricing performance of the MS\u2010GARCH lattice algorithm, we investigate the convergence of European option prices produced on the new lattice to their true values as conducted by the simulation. These results are very satisfactory. The empirical evidence also suggests that the MS\u2010GARCH model performs well in fitting the data in\u2010sample and one\u2010week\u2010ahead out\u2010of\u2010sample prediction. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:444\u2013464, 2010<\/jats:p>","DOI":"10.1002\/fut.20422","type":"journal-article","created":{"date-parts":[[2009,8,8]],"date-time":"2009-08-08T21:21:05Z","timestamp":1249766465000},"page":"444-464","source":"Crossref","is-referenced-by-count":12,"title":["Option pricing under Markov\u2010switching GARCH processes"],"prefix":"10.1002","volume":"30","author":[{"given":"Chao\u2010Chun","family":"Chen","sequence":"first","affiliation":[]},{"given":"Ming\u2010Yang","family":"Hung","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,8,7]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00022-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2000.049"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938608800096"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/2\/303"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392070"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024906003846"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(94)90062-0"},{"key":"e_1_2_1_13_1","first-page":"689","volume":"80","author":"Engel C.","year":"1990","journal-title":"Long swings in the dollar: Are they in the data and do markets know it? American Economic Review"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh020"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90047-4"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90067-1"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(94)00821-H"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-006-9001-3"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1007\/s001810100100"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000505"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500040157"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2000.10524851"},{"key":"e_1_2_1_28_1","doi-asserted-by":"crossref","unstructured":"Marcucci J.(2005).Forecasting stock market volatility with regime\u2010switching GARCH models. Studies in Nonlinear Dynamics and Econometrics 9 Article 6.","DOI":"10.2202\/1558-3708.1145"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90101-X"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00045-8"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00109"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90094-9"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-006-7033-2"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(94)90039-6"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20422","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20422","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:44:25Z","timestamp":1700653465000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20422"}},"issued":{"date-parts":[[2009,8,7]]},"references-count":33,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2010,5]]}},"alternative-id":["10.1002\/fut.20422"],"URL":"https:\/\/doi.org\/10.1002\/fut.20422","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,8,7]]}},{"indexed":{"date-parts":[[2025,11,25]],"date-time":"2025-11-25T05:04:47Z","timestamp":1764047087435,"version":"3.37.3"},"reference-count":34,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2022,4,5]],"date-time":"2022-04-05T00:00:00Z","timestamp":1649116800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,6]]},"abstract":"Abstract<\/jats:title>The paper uses a vector error correction model\u2013multivariate generalized autoregressive conditional heteroskedasticity approach to examine the interrelationship between onshore and offshore nondeliverable forward (NDF) markets for the Indian Rupee. The empirical results suggest a stable and bidirectional long\u2010run relationship between onshore and offshore markets. The subperiod analysis implies that there are unidirectional mean spillovers from NDF markets to onshore spot, forward, and futures markets during the post\u2010taper tantrum period. Regarding \u201cvolatility spillover,\u201d\u00a0the analysis indicates a unidirectional volatility spillover from spot and forward segments to NDF market in normal circumstances, which turns bidirectional during times of depreciation pressure on the rupee.<\/jats:p>","DOI":"10.1002\/fut.22324","type":"journal-article","created":{"date-parts":[[2022,4,5]],"date-time":"2022-04-05T14:09:39Z","timestamp":1649167779000},"page":"1167-1185","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Does offshore NDF market influence onshore forex market? Evidence from India"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9605-9415","authenticated-orcid":false,"given":"Harendra","family":"Behera","sequence":"first","affiliation":[{"name":"Department of Economic and Policy Research Reserve Bank of India Mumbai India"}]},{"given":"Rajiv","family":"Ranjan","sequence":"additional","affiliation":[{"name":"Monetary Policy Department Reserve Bank of India Mumbai India"}]},{"given":"Sajjid","family":"Chinoy","sequence":"additional","affiliation":[{"name":"Emerging Markets Asia, Economic and Policy Research, J. P. Morgan Chase Bank Mumbai India"}]}],"member":"311","published-online":{"date-parts":[[2022,4,5]]},"reference":[{"volume-title":"Triennial Central Bank Survey of Foreign Exchange and Over\u2010the\u2010counter (OTC) Derivatives Markets in 2019","year":"2019","author":"Bank for International Settlements","key":"e_1_2_10_2_1"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/17520843.2010.509918"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1504\/IJBD.2017.084922"},{"key":"e_1_2_10_5_1","unstructured":"Bruno B. &Shin H. S.(2018).Currency depreciation and emerging market corporate distress[BIS Working Papers No 753]."},{"issue":"4","key":"e_1_2_10_6_1","doi-asserted-by":"crossref","first-page":"323","DOI":"10.21098\/bemp.v14i4.411","article-title":"Offshore and onshore IDR market: An evidence on information spillover","volume":"14","author":"Cadarajat Y.","year":"2012","journal-title":"Bulletin of Monetary Economics and Banking"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.185"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01714-X"},{"key":"e_1_2_10_9_1","doi-asserted-by":"crossref","unstructured":"Coffey N. Hrung W. B. &Sarkar A.(2009).Capital constraints counterparty risk and deviations from covered interest rate parity(Federal Reserve Bank of New York Staff Report No. 393).","DOI":"10.2139\/ssrn.1473377"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chieco.2008.05.003"},{"key":"e_1_2_10_11_1","unstructured":"Darbha G.(2012).A tale of one asset and two markets\u2014Analysis of dynamic interactions between on\u2010and off shore markets. url: macrofinance.nipfp.org.in\/PDF\/13-11sl_Darbha_NDFNimrana. pdf."},{"key":"e_1_2_10_12_1","first-page":"53","article-title":"Forward currency markets in Asia: Lessons from the Australian experience","author":"Debelle G.","year":"2006","journal-title":"BIS Quarterly Review"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21575"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2015.07.002"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chieco.2004.03.004"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_10_18_1","unstructured":"Goyal R. Jain R. &Tewari S.(2013).Non deliverable forward and onshore Indian Rupee market: A study on inter\u2010linkages[Reserve Bank of India Working Paper Series No. 11]."},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2012.09.002"},{"issue":"2","key":"e_1_2_10_20_1","first-page":"245","article-title":"Non\u2010deliverable forwards market for Indian Rupee: An empirical study","volume":"8","author":"Guru A.","year":"2009","journal-title":"Indian Journal of Economics and Business"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.29145\/2018\/jqm\/020101"},{"key":"e_1_2_10_23_1","first-page":"81","article-title":"The markets for non\u2010deliverable forwards in Asian currencies","volume":"377","author":"Ma G.","year":"2004","journal-title":"BIS Quarterly Review"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.06.017"},{"key":"e_1_2_10_25_1","first-page":"19","article-title":"Non\u2010deliverable forwards: Impact of currency internationalisation and derivatives reform","volume":"39","author":"McCauley R. N.","year":"2016","journal-title":"BIS Quarterly Review"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2018.03.006"},{"key":"e_1_2_10_27_1","unstructured":"Misra S. &Behera H.(2006).Non deliverable foreign exchange forward market: An overview(Reserve Bank of India Occasional Papers 27 Winter 25\u201355)."},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(01)00012-9"},{"key":"e_1_2_10_29_1","article-title":"Offshore markets drive trading of emerging market currencies","author":"Patel N.","year":"2019","journal-title":"BIS Quarterly Review"},{"key":"e_1_2_10_30_1","unstructured":"Reserve Bank of India. (2013).Annual report 2012\u201313 August 53\u201354."},{"key":"e_1_2_10_31_1","unstructured":"Reserve Bank of India. (2019).Report of the task force on offshore rupee markets."},{"issue":"4","key":"e_1_2_10_32_1","first-page":"115","article-title":"An empirical analysis of the interrelation between spot market & non\u2010deliverable forward market of USD\/INR in the pre\u2010 and post\u2010currency futures era","volume":"5","author":"Saravanan A.","year":"2017","journal-title":"Elk Asia Pacific Journal of Finance and Risk Management"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/1331677X.2019.1636697"},{"volume-title":"Information flows among exchange rate markets: What do we learn from\u00a0non\u2010deliverable forward markets in Asia?","year":"2007","author":"Wang K.","key":"e_1_2_10_34_1"},{"key":"e_1_2_10_35_1","article-title":"FX and OTC derivatives markets through the lens of the Triennial Survey","author":"Wooldridge P.","year":"2019","journal-title":"BIS Quarterly Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22324","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22324","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22324","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T09:58:23Z","timestamp":1692957503000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22324"}},"issued":{"date-parts":[[2022,4,5]]},"references-count":34,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2022,6]]}},"alternative-id":["10.1002\/fut.22324"],"URL":"https:\/\/doi.org\/10.1002\/fut.22324","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,4,5]]},"assertion":[{"value":"2021-03-22","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-03-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-04-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,28]],"date-time":"2025-11-28T04:48:26Z","timestamp":1764305306679},"reference-count":24,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2014,2,19]],"date-time":"2014-02-19T00:00:00Z","timestamp":1392768000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,3]]},"abstract":"We develop an approximation technique for pricing finite\u2010maturity timer options under Heston\u2010like stochastic volatility models. By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain analytic expressions for timer option prices under zero correlation. For nonzero correlation, we use a simple linear combination approximation which matches the asymptotic correlation behavior. Numerical analysis using the Heston model shows that the method is fairly accurate, especially when the volatility of variance is small or the maximum maturity is large. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:245\u2013273, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21659","type":"journal-article","created":{"date-parts":[[2014,2,20]],"date-time":"2014-02-20T14:26:54Z","timestamp":1392906414000},"page":"245-273","source":"Crossref","is-referenced-by-count":13,"title":["Analytic Approximation of Finite\u2010Maturity Timer Option Prices"],"prefix":"10.1002","volume":"35","author":[{"given":"Minqiang","family":"Li","sequence":"first","affiliation":[{"name":"Minqiang Li and Fabio Mercurio are collocated at Derivatives Research Bloomberg LP, New York City, New York"}]},{"given":"Fabio","family":"Mercurio","sequence":"additional","affiliation":[{"name":"Minqiang Li and Fabio Mercurio are collocated at Derivatives Research Bloomberg LP, New York City, New York"}]}],"member":"311","published-online":{"date-parts":[[2014,2,19]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.721"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2011.228"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.41.4.722"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-009-0110-3"},{"key":"e_1_2_6_6_1","author":"Folland G. B.","year":"1999","journal-title":"Real analysis: Modern techniques and their applications"},{"key":"e_1_2_6_7_1","author":"Hawkins D.","year":"2008","journal-title":"Product overview: Timer options. Lehman brothers equity derivatives note"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_6_10_1","unstructured":"Lee R.(2012).Timer options for risk\u2010controlled variance exposure. Global Derivatives USA 2012 conference presentation."},{"key":"e_1_2_6_11_1","author":"Lewis A. L.","year":"2000","journal-title":"Option valuation under stochastic volatility"},{"key":"e_1_2_6_12_1","author":"Li C. X.","year":"2010","journal-title":"Managing volatility risk"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12041"},{"key":"e_1_2_6_14_1","author":"Li M.","year":"2013","journal-title":"Derivatives pricing on integrated diffusion processes: A general perturbation approach"},{"key":"e_1_2_6_15_1","author":"Li M.","year":"2013","journal-title":"Closed\u2010form approximation of timer option prices under general stochastic volatility models"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.83.056112"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1142\/4694"},{"key":"e_1_2_6_18_1","doi-asserted-by":"crossref","unstructured":"Nayfeh A. H.(2000).Perturbation methods. Wiley\u2010Interscience.","DOI":"10.1002\/9783527617609"},{"key":"e_1_2_6_19_1","author":"Neuberger A.","year":"1990","journal-title":"Option pricing: A non\u2010stochastic approach"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00038"},{"key":"e_1_2_6_21_1","unstructured":"Royden H.(1988).Real analysis. Pearson."},{"key":"e_1_2_6_22_1","unstructured":"Saunders D.(2010).Pricing timer options under fast mean\u2010reverting stochastic volatility. Working paper University of Waterloo Waterloo Ontario Canada."},{"key":"e_1_2_6_23_1","first-page":"6","article-title":"SG CIB\n launches timer options","volume":"20","author":"Sawyer N.","year":"2007","journal-title":"Risk"},{"key":"e_1_2_6_24_1","article-title":"Equity\n derivative house of the year: Soci\u00e9t\u00e9 G\u00e9n\u00e9rale","volume":"21","author":"Sawyer N.","year":"2008","journal-title":"Risk"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331181"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21659","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21659","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T08:01:35Z","timestamp":1696579295000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21659"}},"issued":{"date-parts":[[2014,2,19]]},"references-count":24,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2015,3]]}},"alternative-id":["10.1002\/fut.21659"],"URL":"https:\/\/doi.org\/10.1002\/fut.21659","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,2,19]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:16:17Z","timestamp":1762521377557},"reference-count":35,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T00:00:00Z","timestamp":1287360000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2011,8]]},"abstract":"Abstract<\/jats:title>In this study, a three\u2010factor model of crude oil prices is estimated, which incorporates a time\u2010varying market price of risk. The model is able to accurately capture the term structure of futures prices with evidence suggesting that risk premiums in the crude oil market are time\u2010varying. Using the cross\u2010section of futures prices, we estimate a time\u2010series of the market price of risk in the crude oil market implied by the model. We find that the risk premiums in the crude oil market are driven by the same risk factors as equity and bond markets. \u00a9 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:779\u2013807, 2011<\/jats:p>","DOI":"10.1002\/fut.20493","type":"journal-article","created":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T17:17:20Z","timestamp":1287422240000},"page":"779-807","source":"Crossref","is-referenced-by-count":17,"title":["Time\u2010varying market price of risk in the crude oil futures market"],"prefix":"10.1002","volume":"31","author":[{"given":"Ramaprasad","family":"Bhar","sequence":"first","affiliation":[]},{"given":"Damien","family":"Lee","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2010,10,18]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2006.06.006"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04727.x"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199610)16:7<735::AID-FUT1>3.0.CO;2-P"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90017-R"},{"key":"e_1_2_9_6_1","first-page":"50","article-title":"The supply of storage","volume":"47","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2007.03.001"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.09.008"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20198"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/262046"},{"key":"e_1_2_9_14_1","doi-asserted-by":"crossref","first-page":"93","DOI":"10.5547\/ISSN0195-6574-EJ-Vol13-No2-5","article-title":"Risk premiums and efficiency in the market for crude oil futures","volume":"13","author":"Deaves R.","year":"1992","journal-title":"Energy Journal"},{"key":"e_1_2_9_15_1","doi-asserted-by":"crossref","unstructured":"Dempster M. A. H. Medova E. &Tang K.(2008). Long and short term jumps in commodity futures prices (working paper). Available at SSRN:http:\/\/ssrn.com\/abstract=1107966.","DOI":"10.2139\/ssrn.1107966"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00426"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90095-0"},{"key":"e_1_2_9_19_1","volume-title":"Commodities and commodity derivatives: Modeling and pricing for agriculturals, metals and energy","author":"Geman H.","year":"2005"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_9_22_1","volume-title":"Forecasting, structural time series models and the Kalman filter","author":"Harvey A. C.","year":"1989"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90070-X"},{"key":"e_1_2_9_25_1","volume-title":"The applied theory of money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2007.09.005"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0140-9883(94)90003-5"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(02)00062-2"},{"key":"e_1_2_9_31_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.46.7.893.12034"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10017"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2007.05.004"},{"key":"e_1_2_9_36_1","first-page":"1254","article-title":"The theory of price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20493","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20493","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,31]],"date-time":"2024-03-31T13:32:54Z","timestamp":1711891974000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20493"}},"issued":{"date-parts":[[2010,10,18]]},"references-count":35,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2011,8]]}},"alternative-id":["10.1002\/fut.20493"],"URL":"https:\/\/doi.org\/10.1002\/fut.20493","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,10,18]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:12:32Z","timestamp":1762521152014},"reference-count":13,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6111,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,12]]},"DOI":"10.1002\/fut.3990090610","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:48:11Z","timestamp":1183639691000},"page":"573-581","source":"Crossref","is-referenced-by-count":12,"title":["A supply of storage theory with asymmetric information"],"prefix":"10.1002","volume":"9","author":[{"given":"Nabil T.","family":"Khoury","sequence":"first","affiliation":[]},{"given":"Jean\u2010Marc","family":"Martel","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"50","article-title":"The Supply of Storage","volume":"48","author":"Brennan M.","year":"1958","journal-title":"The American Economic Review"},{"key":"e_1_2_1_3_1","first-page":"1","article-title":"Speculation and Hedging","volume":"7","author":"Cootner P. H.","year":"1934","journal-title":"Food Research Institute Studies"},{"issue":"4","key":"e_1_2_1_4_1","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1037\/0033-295X.92.4.433","article-title":"Ambiguity and Uncertainty in Probabilistic Inference","volume":"92","author":"Einforn H. J.","year":"1985","journal-title":"Psychological Review"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03887.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2490965"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Kaldor N.(1939 October): \u201cSpeculation and Economic Stability \u201dReview of Economic Studies 1\u201327.","DOI":"10.2307\/2967593"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050407"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1936-4490.1986.tb00414.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/259427"},{"key":"e_1_2_1_12_1","first-page":"479","volume-title":"Investments","author":"Sharpe W. F.","year":"1981"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_14_1","first-page":"1254","article-title":"The Theory of Price of Storage","volume":"39","author":"Working H.","year":"1949","journal-title":"The American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090610","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090610","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T13:12:35Z","timestamp":1697980355000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090610"}},"issued":{"date-parts":[[1989,12]]},"references-count":13,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1989,12]]}},"alternative-id":["10.1002\/fut.3990090610"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090610","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,12]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:12:46Z","timestamp":1762521166780},"reference-count":31,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6903,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,10]]},"DOI":"10.1002\/fut.3990070505","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:46:21Z","timestamp":1183625181000},"page":"501-518","source":"Crossref","is-referenced-by-count":24,"title":["Oil prices and energy futures"],"prefix":"10.1002","volume":"7","author":[{"given":"K. C.","family":"Chen","sequence":"first","affiliation":[]},{"given":"R. Stephen","family":"Sears","sequence":"additional","affiliation":[]},{"given":"Dah\u2010Nein","family":"Tzang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02180.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060210"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010310"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_7_1","volume-title":"Energy Futures: Trading Opportunities for the 1980s","year":"1984"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030305"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020204"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030406"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030108"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1986.tb00433.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020104"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1984.tb00360.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030402"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb04865.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010312"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060108"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664875"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020404"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020203"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050106"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060107"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030408"},{"key":"e_1_2_1_29_1","volume-title":"Financial Futures: Fundamentals, Strategies and Applications","author":"Schwartz E.","year":"1986"},{"key":"e_1_2_1_30_1","first-page":"1012","article-title":"The Simultaneous Determination of Spot and Futures Prices","volume":"51","author":"Stein J.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_31_1","first-page":"314","article-title":"Futures Trading and Hedging","volume":"48","author":"Working H.","year":"1953","journal-title":"American Economic Review"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/1233368"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070505","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070505","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:39:47Z","timestamp":1697920787000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070505"}},"issued":{"date-parts":[[1987,10]]},"references-count":31,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1987,10]]}},"alternative-id":["10.1002\/fut.3990070505"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070505","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,10]]}},{"indexed":{"date-parts":[[2025,10,19]],"date-time":"2025-10-19T21:03:48Z","timestamp":1760907828215},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6666,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,6]]},"DOI":"10.1002\/(sici)1096-9934(199706)17:4<369::aid-fut1>3.0.co;2-f","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:24:55Z","timestamp":1031700295000},"page":"369-384","source":"Crossref","is-referenced-by-count":22,"title":["International currency relationship information revealed by cross-option prices"],"prefix":"10.1002","volume":"17","author":[{"given":"Andrew F.","family":"Siegel","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199706)17:4%3C369::AID-FUT1%3E3.0.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199706)17:4%3C369::AID-FUT1%3E3.0.CO;2-F","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:48:41Z","timestamp":1625132921000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199706)17:4<369::AID-FUT1>3.0.CO;2-F"}},"issued":{"date-parts":[[1997,6]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1997,6]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199706)17:4<369::aid-fut1>3.0.co;2-f","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,6]]}},{"indexed":{"date-parts":[[2025,10,31]],"date-time":"2025-10-31T14:22:14Z","timestamp":1761920534915,"version":"3.37.3"},"reference-count":59,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2018,10,31]],"date-time":"2018-10-31T00:00:00Z","timestamp":1540944000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100010418","name":"Institute for Information & communications Technology Promotion","doi-asserted-by":"crossref","award":["2017-0-01779"],"award-info":[{"award-number":["2017-0-01779"]}],"id":[{"id":"10.13039\/501100010418","id-type":"DOI","asserted-by":"crossref"}]},{"name":"Ministry of Science and ICT (MSIT), Korea"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,2]]},"abstract":"Abstract<\/jats:title>For option pricing models and heavy\u2010tailed distributions, this study proposes a continuous\u2010time stochastic volatility model based on an arithmetic Brownian motion: a one\u2010parameter extension of the normal stochastic alpha\u2010beta\u2010rho (SABR) model. Using two generalized Bougerol's identities in the literature, the study shows that our model has a closed\u2010form Monte Carlo simulation scheme and that the transition probability for one special case follows Johnson's distribution\u2014a popular heavy\u2010tailed distribution originally proposed without stochastic process. It is argued that the distribution serves as an analytically superior alternative to the normal SABR model because the two distributions are empirically similar.<\/jats:p>","DOI":"10.1002\/fut.21967","type":"journal-article","created":{"date-parts":[[2018,11,1]],"date-time":"2018-11-01T06:33:11Z","timestamp":1541053991000},"page":"186-204","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":17,"title":["Hyperbolic normal stochastic volatility model"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6837-4856","authenticated-orcid":false,"given":"Jaehyuk","family":"Choi","sequence":"first","affiliation":[{"name":"Peking University HSBC Business School Shenzhen China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6521-5411","authenticated-orcid":false,"given":"Chenru","family":"Liu","sequence":"additional","affiliation":[{"name":"Department of Management Science and Engineering Stanford University Stanford California"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0114-9347","authenticated-orcid":false,"given":"Byoung Ki","family":"Seo","sequence":"additional","affiliation":[{"name":"School of Business Administration, Ulsan National Institute of Science and Technology Ulsan South Korea"}]}],"member":"311","published-online":{"date-parts":[[2018,10,31]]},"reference":[{"key":"e_1_2_8_1_2_1","unstructured":"Alili L. &Gruet J. C.(1997).An explanation of a generalized Bougerolas identity in terms of hyperbolic Brownian motion. In M. Yor (Ed.) Exponential functionals and principal values related to Brownian Motion. A collection of research papers(pp.15\u201033). Madrid: Biblioteca dela Revista Matematica Iberoamericana."},{"key":"e_1_2_8_1_3_1","unstructured":"Alili L. Dufresne D. &Yor M.(1997).Sur l\u00e1identit\u00e9 de Bougerol pour les fonctionnelles exponentielles du mouvement brownien avec drift. In M. Yor (Ed.) Exponential functionals and principal values related to Brownian Motion. A collection of research papers(pp.3\u201014). Madrid: Biblioteca dela Revista Matematica Iberoamericana."},{"issue":"8","key":"e_1_2_8_1_4_1","first-page":"58","article-title":"SABR spreads its wings","volume":"2013","author":"Antonov A.","year":"2013","journal-title":"Risk"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"crossref","unstructured":"Antonov A. Konikov M. &Spector M.(2015).Mixing SABR models for negative rates. Retrieved fromhttps:\/\/ssrn.com\/abstract=2653682","DOI":"10.2139\/ssrn.2653682"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.24033\/asens.476"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/296443"},{"issue":"6","key":"e_1_2_8_1_8_1","first-page":"76","article-title":"SABR goes normal","volume":"2013","author":"Balland P.","year":"2013","journal-title":"Risk"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-007-0089-8"},{"key":"e_1_2_8_1_10_1","first-page":"pp. 123","volume-title":"Handbooks in operations research and management science: Simulation","author":"Biller B.","year":"2006"},{"issue":"4","key":"e_1_2_8_1_11_1","first-page":"369","article-title":"Exemples de th\u00e9ore`mes locaux sur les groupes r\u00e9solubles","volume":"19","author":"Bougerol P.","year":"1983","journal-title":"Annales de laInstitut Henri Poincar\u00e9, B: Probability and Statistics"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177706645"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/jfir.12129"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2017.1617"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024912500161"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.06.009"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2014.942231"},{"key":"e_1_2_8_1_18_1","doi-asserted-by":"publisher","DOI":"10.2977\/prims\/1195190722"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/3318481"},{"key":"e_1_2_8_1_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/294743"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.1112\/S0024609398004780"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2007.163"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/135048699334500"},{"issue":"9","key":"e_1_2_8_1_24_1","first-page":"84","article-title":"Managing smile risk","volume":"2002","author":"Hagan P. S.","year":"2002","journal-title":"Wilmott Magazine"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"crossref","unstructured":"Henry\u2010Labord\u00e9re P.(2005).A general asymptotic implied volatility for stochastic volatility models. Retrieved fromhttps:\/\/ssrn.com\/abstract=698601","DOI":"10.2139\/ssrn.698601"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.1201\/9781420087000"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_8_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2332539"},{"key":"e_1_2_8_1_30_1","unstructured":"Jones D. L.(2014).Johnson curve toolbox for MATLAB: Analysis of nonnormal data using the Johnson family of distributions. College of Marine Science University of South Florida St. Petersburg Florida."},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"publisher","DOI":"10.1137\/100791890"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2011.646523"},{"issue":"9","key":"e_1_2_8_1_33_1","first-page":"54","article-title":"Inflation is normal","volume":"2008","author":"Kenyon C.","year":"2008","journal-title":"Risk"},{"issue":"1","key":"e_1_2_8_1_34_1","first-page":"147","article-title":"Models of stock returns: A comparison","volume":"39","author":"Kon S. J.","year":"1984","journal-title":"The Journal of Finance"},{"key":"e_1_2_8_1_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/wilm.10235"},{"issue":"3","key":"e_1_2_8_1_36_1","first-page":"51","article-title":"Finite difference techniques for arbitrage free SABR","volume":"20","author":"LeFloc\u2019h F.","year":"2017","journal-title":"Journal of Computational Finance"},{"key":"e_1_2_8_1_37_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2017.1301676"},{"key":"e_1_2_8_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.amc.2016.08.030"},{"key":"e_1_2_8_1_39_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2004.319932"},{"volume-title":"Option valuation under stochastic volatility","year":"2000","author":"Lewis A. L.","key":"e_1_2_8_1_40_1"},{"key":"e_1_2_8_1_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12105"},{"key":"e_1_2_8_1_42_1","doi-asserted-by":"publisher","DOI":"10.1137\/1006063"},{"key":"e_1_2_8_1_43_1","doi-asserted-by":"publisher","DOI":"10.1214\/154957805100000159"},{"key":"e_1_2_8_1_44_1","doi-asserted-by":"publisher","DOI":"10.1214\/154957805100000168"},{"key":"e_1_2_8_1_45_1","doi-asserted-by":"publisher","DOI":"10.4310\/jdg\/1214429509"},{"key":"e_1_2_8_1_46_1","doi-asserted-by":"publisher","DOI":"10.2307\/2348703"},{"key":"e_1_2_8_1_47_1","unstructured":"Ob\u0142\u00f3j J.(2007).Fine\u2010tune your smile: Correction to Hagan et al https:\/\/arxiv.org\/pdf\/0708.0998"},{"issue":"1","key":"e_1_2_8_1_48_1","first-page":"106","article-title":"SABR symmetry","volume":"2014","author":"Park H.","year":"2014","journal-title":"Risk"},{"key":"e_1_2_8_1_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199808)18:5<487::AID-FUT1>3.0.CO;2-Z"},{"key":"e_1_2_8_1_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2007.00326.x"},{"key":"e_1_2_8_1_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02414.x"},{"key":"e_1_2_8_1_52_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024904002475"},{"key":"e_1_2_8_1_53_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2011.19.1.007"},{"key":"e_1_2_8_1_54_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.727"},{"key":"e_1_2_8_1_55_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.44.12.1650"},{"key":"e_1_2_8_1_56_1","doi-asserted-by":"publisher","DOI":"10.1080\/00949650108812126"},{"key":"e_1_2_8_1_57_1","doi-asserted-by":"publisher","DOI":"10.1214\/12-PS195"},{"issue":"2","key":"e_1_2_8_1_58_1","first-page":"111","article-title":"Estimation of dynamic VaR using JSU and PIV distributions","volume":"18","author":"Venkataraman S. V.","year":"2016","journal-title":"Risk Management"},{"key":"e_1_2_8_1_59_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/67.3.725"},{"key":"e_1_2_8_1_60_1","unstructured":"2012 Springer Science & Business Media M. Yor Exponential functionals of Brownian motion and related processes"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21967","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21967","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.21967","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21967","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T03:26:55Z","timestamp":1694230015000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21967"}},"issued":{"date-parts":[[2018,10,31]]},"references-count":59,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2019,2]]}},"alternative-id":["10.1002\/fut.21967"],"URL":"https:\/\/doi.org\/10.1002\/fut.21967","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,10,31]]},"assertion":[{"value":"2018-09-07","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-09-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-10-31","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:16:08Z","timestamp":1761016568763},"reference-count":13,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2007,6,19]],"date-time":"2007-06-19T00:00:00Z","timestamp":1182211200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,8]]},"abstract":"Abstract<\/jats:title>Canonical valuation is a nonparametric method for valuing derivatives proposed by M. Stutzer (1996). Although the properties of canonical estimates of option price and hedge ratio have been studied in simulation settings, applications of the methodology to traded derivative data are rare. This study explores the practical usefulness of canonical valuation using a large sample of index options. The basic unconstrained canonical estimator fails to outperform the traditional Black\u2013Scholes model; however, a constrained canonical estimator that incorporates a small amount of conditioning information produces dramatic reductions in mean pricing errors. Similarly, the canonical approach generates hedge ratios that result in superior hedging effectiveness compared to Black\u2013Scholes\u2010based deltas. The results encourage further exploration and application of the canonical approach to pricing and hedging derivatives. \u00a9 2007 Wiley Periodicals, Inc. Jnl Fut Mark 27: 771\u2013790, 2007<\/jats:p>","DOI":"10.1002\/fut.20268","type":"journal-article","created":{"date-parts":[[2007,6,19]],"date-time":"2007-06-19T14:46:51Z","timestamp":1182264411000},"page":"771-790","source":"Crossref","is-referenced-by-count":22,"title":["Canonical valuation and hedging of index options"],"prefix":"10.1002","volume":"27","author":[{"given":"Philip","family":"Gray","sequence":"first","affiliation":[]},{"given":"Shane","family":"Edwards","sequence":"additional","affiliation":[]},{"given":"Egon","family":"Kalotay","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,6,19]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"637","article-title":"Nonparametric estimation of state\u2010price densities implicit in financial asset prices","volume":"81","author":"A\u00eft\u2010Sahalia Y.","year":"1998","journal-title":"Journal of Finance"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2004.09.002"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_7_1","unstructured":"Edwards S.(2003).Canonical valuation of SPI futures options. Unpublished Honors Thesis Macquarie University Sydney Australia."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1244041"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20140"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1111\/j.1540-6261.1994.tb00081.x","article-title":"A nonparametric approach to pricing and hedging derivative securities via learning networks","volume":"49","author":"Hutchinson J.","year":"1994","journal-title":"Journal of Finance"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05219.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05220.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1999.319245"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20268","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20268","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T21:24:03Z","timestamp":1699997043000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20268"}},"issued":{"date-parts":[[2007,6,19]]},"references-count":13,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2007,8]]}},"alternative-id":["10.1002\/fut.20268"],"URL":"https:\/\/doi.org\/10.1002\/fut.20268","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,6,19]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:16:14Z","timestamp":1761016574140},"reference-count":10,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8394,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,9]]},"DOI":"10.1002\/fut.3990030305","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:59:29Z","timestamp":1183589969000},"page":"295-305","source":"Crossref","is-referenced-by-count":61,"title":["Stability and the hedging performance of foreign currency futures"],"prefix":"10.1002","volume":"3","author":[{"given":"Theoharry","family":"Grammatikos","sequence":"first","affiliation":[]},{"given":"Anthony","family":"Saunders","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330927"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010107"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330525"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_7_1","volume-title":"Basic Econometrics","author":"Gujarati D.","year":"1978"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2284029"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010408"},{"key":"e_1_2_1_10_1","unstructured":"Hill J. andSchneeweis T. \u201cThe Hedging Effectiveness of Foreign Currency Futures \u201dJournal of Financial Research forthcoming."},{"key":"e_1_2_1_11_1","volume-title":"Principles of Econometrics","author":"Theil H.","year":"1971"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030305","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030305","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T00:49:14Z","timestamp":1697762954000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030305"}},"issued":{"date-parts":[[1983,9]]},"references-count":10,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1983,9]]}},"alternative-id":["10.1002\/fut.3990030305"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030305","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,9]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:25:38Z","timestamp":1761017138155},"reference-count":39,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2016,2,4]],"date-time":"2016-02-04T00:00:00Z","timestamp":1454544000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,11]]},"abstract":"First, to separate different market conditions, this study focuses on how VIX spot (VIX<\/jats:italic>), VIX futures (VXF<\/jats:italic>), and their basis (VIX<\/jats:italic>\u2009\u2212\u2009VXF<\/jats:italic>) perform different roles in asset pricing. Secondly, this study decomposes the VIX index into two parts: volatility calculated from out\u2010of\u2010the\u2010money call options and volatility calculated from out\u2010of\u2010the\u2010money put options. The analysis shows that out\u2010of\u2010the\u2010money put options capture more useful information in predicting future stock returns. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1029\u20131056, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21772","type":"journal-article","created":{"date-parts":[[2016,2,4]],"date-time":"2016-02-04T07:00:43Z","timestamp":1454569243000},"page":"1029-1056","source":"Crossref","is-referenced-by-count":17,"title":["Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures"],"prefix":"10.1002","volume":"36","author":[{"given":"Xi","family":"Fu","sequence":"first","affiliation":[{"name":"Xi Fu (Lecturer) is at the Department of Economics, Finance and Accounting University of Liverpool Management School, University of Liverpool Liverpool, United Kingdom"}]},{"given":"Matteo","family":"Sandri","sequence":"additional","affiliation":[{"name":"Matteo Sandri, and Mark B. Shackleton (Professor) are at the Department of Accounting and Finance Lancaster University Management School, Lancaster University Lancaster, United Kingdom"}]},{"given":"Mark B.","family":"Shackleton","sequence":"additional","affiliation":[{"name":"Matteo Sandri, and Mark B. Shackleton (Professor) are at the Department of Accounting and Finance Lancaster University Management School, Lancaster University Lancaster, United Kingdom"}]}],"member":"311","published-online":{"date-parts":[[2016,2,4]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj035"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20242"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90017-4"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00068-9"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.033"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp008"},{"key":"e_1_2_7_11_1","first-page":"487","article-title":"Intertemporal asset pricing without consumption data","volume":"83","author":"Campbell J. Y.","year":"1993","journal-title":"American Economic Review"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/262026"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2007.01.001"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.07.002"},{"key":"e_1_2_7_16_1","doi-asserted-by":"crossref","unstructured":"Chen J.(2003). Intertemporal CAPM and the cross\u2010section of stock returns. Paper presented at the 29th Annual Meeting of European Finance Association Berlin Germany.","DOI":"10.2139\/ssrn.301918"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20457"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1997.tb00426.x"},{"key":"e_1_2_7_20_1","unstructured":"Farago A. &T\u00e9dongap R.(2015). Downside risks and the cross\u2010section of asset returns. Working paper."},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21550"},{"key":"e_1_2_7_23_1","unstructured":"Jackwerth J. C. &Vilkov G.(2015). Asymmetric volatility risk: Evidence from option markets. Available at SSRN:http:\/\/ssrn.com\/abstract=2325380."},{"key":"e_1_2_7_24_1","first-page":"43","article-title":"An investigation of the lead\u2013lag relationship between the VIX index and the VIX futures on the S&P500","volume":"1","author":"Karagiannis S.","year":"2014","journal-title":"International Journal of Science, Innovation and New Technology"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01961.x"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20291"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924119"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20415"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913811"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.12.002"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1910098"},{"key":"e_1_2_7_32_1","first-page":"43","article-title":"The skew pattern of implied volatility in the DAX index options market","volume":"8","author":"Muzzioli S","year":"2011","journal-title":"Frontiers in Finance and Economics"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v61.n1.2683"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb03509.x"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02376.x"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1988.tb00772.x"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1964.tb02865.x"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20506"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.09.015"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21772","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21772","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T10:32:47Z","timestamp":1696588367000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21772"}},"issued":{"date-parts":[[2016,2,4]]},"references-count":39,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2016,11]]}},"alternative-id":["10.1002\/fut.21772"],"URL":"https:\/\/doi.org\/10.1002\/fut.21772","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,2,4]]}},{"indexed":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T03:05:29Z","timestamp":1767236729716},"reference-count":25,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T00:00:00Z","timestamp":1247529600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,9]]},"abstract":"Abstract<\/jats:title>We use an implicit alternating direction numerical procedure to estimate the value of a fixed\u2010rate mortgage (FRM) with embedded default and prepayment options. The value of FRMs depends on interest rates, the house value, and mortgage maturity. Our numerical results suggest that the joint option value of prepayment and default is considerably high, even at loan origination. We extend the model to include prepayment penalties in FRM valuation. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:840\u2013861, 2009<\/jats:p>","DOI":"10.1002\/fut.20388","type":"journal-article","created":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T15:56:58Z","timestamp":1247587018000},"page":"840-861","source":"Crossref","is-referenced-by-count":17,"title":["The value of mortgage prepayment and default options"],"prefix":"10.1002","volume":"29","author":[{"given":"Yong","family":"Chen","sequence":"first","affiliation":[]},{"given":"Michael","family":"Connolly","sequence":"additional","affiliation":[]},{"given":"Wenjin","family":"Tang","sequence":"additional","affiliation":[]},{"given":"Tie","family":"Su","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,14]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"35","article-title":"Numerical solution of a two state variable contingent claims mortgage valuation model","volume":"3","author":"Azevedo\u2010Pereira J.","year":"2000","journal-title":"Portuguese Review of Financial Markets"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2005.02.001"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03364.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911241"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0305004100023197"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00110"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6229.2005.00135.x"},{"key":"e_1_2_1_10_1","volume-title":"Options, futures & other derivatives","author":"Hull J. C.","year":"2000"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.aml.2004.06.010"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00047211"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024904002785"},{"key":"e_1_2_1_14_1","unstructured":"Kariya T. Pliska S. R. &Ushiyama F.(2002). A 3\u2010factor valuation model for mortgage backed securities (MBS) (working paper). Kyoto Institute of Economic Research."},{"key":"e_1_2_1_15_1","first-page":"217","article-title":"An overview of the optional\u2010theoretic pricing of mortgages","volume":"6","author":"Kau J. B.","year":"1995","journal-title":"Journal of Housing Research"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992718"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296619"},{"key":"e_1_2_1_18_1","unstructured":"Kau J. B. Keenan D. C. &Smurov A. A.(2004). Reduced\u2010form mortgage valuation (May 7 2004). Available at SSRN:http:\/\/ssrn.com\/abstract=553601."},{"issue":"1","key":"e_1_2_1_19_1","first-page":"9","article-title":"Home loans: A nightmare grows darker","volume":"3","author":"Morgenson G.","year":"2007","journal-title":"New York Times"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6229.00037"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb05062.x"},{"key":"e_1_2_1_22_1","unstructured":"SIAM. (1999). Lapack users' guide (3rd ed.). Philadelphia PA: SIAM.http:\/\/www.netlib.org\/lapack."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.3.677"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb05061.x"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"e_1_2_1_26_1","volume-title":"Derivatives: The theory and practice of financial engineering","author":"Wilmott P.","year":"1998"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20388","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20388","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T02:48:38Z","timestamp":1699930118000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20388"}},"issued":{"date-parts":[[2009,7,14]]},"references-count":25,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2009,9]]}},"alternative-id":["10.1002\/fut.20388"],"URL":"https:\/\/doi.org\/10.1002\/fut.20388","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,14]]}},{"indexed":{"date-parts":[[2026,2,19]],"date-time":"2026-02-19T05:34:01Z","timestamp":1771479241927,"version":"3.50.1"},"reference-count":44,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2024,3,11]],"date-time":"2024-03-11T00:00:00Z","timestamp":1710115200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,6]]},"abstract":"Abstract<\/jats:title>The Secured Overnight Funding Rate (SOFR) has become the risk\u2010free rate benchmark in US dollars, thus term structure models should reflect key features exhibited by SOFR and forward rates implied by SOFR futures. We construct a multifactor, stochastic volatility term structure model which incorporates these features. Calibrating to options on SOFR futures, we achieve a reasonable fit to the market across maturities and strikes in a single model. This also provides novel insights into SOFR term rate behavior (and implied volatilities) within their accrual periods, and a model mechanism by which interest rate mean reversion arises from monetary policy.<\/jats:p>","DOI":"10.1002\/fut.22499","type":"journal-article","created":{"date-parts":[[2024,3,11]],"date-time":"2024-03-11T09:42:10Z","timestamp":1710150130000},"page":"936-985","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["SOFR term structure dynamics\u2014Discontinuous short rates and stochastic volatility forward rates"],"prefix":"10.1002","volume":"44","author":[{"given":"Alan","family":"Brace","sequence":"first","affiliation":[{"name":"Director FMMA\u2014Financial Mathematics, Modelling and Analysis Sydney Australia"}]},{"given":"Karol","family":"Gellert","sequence":"additional","affiliation":[{"name":"School of Mathematical and Physical Sciences University of Technology Sydney Ultimo New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8898-6879","authenticated-orcid":false,"given":"Erik","family":"Schl\u00f6gl","sequence":"additional","affiliation":[{"name":"School of Mathematical and Physical Sciences University of Technology Sydney Ultimo New South Wales Australia"},{"name":"African Institute of Financial Markets and Risk Management (AIFMRM) University of Cape Town Cape Town South Africa"},{"name":"Faculty of Science, Department of Statistics University of Johannesburg Johannesburg South Africa"}]}],"member":"311","published-online":{"date-parts":[[2024,3,11]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2020.103861"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2022.106669"},{"key":"e_1_2_12_4_1","doi-asserted-by":"crossref","unstructured":"Backwell A. Macrina A. Schl\u00f6gl E. &Skovmand D.(2023a).Lost in the libor transition. Technical report. SSRN working paper.https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4575993","DOI":"10.2139\/ssrn.4575993"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.3934\/fmf.2023009"},{"key":"e_1_2_12_6_1","unstructured":"Berndt A. Duffie D. &Zhu Y.(2020).Spike modelling for interest rate derivatives with an application to SOFR caplets. Technical report.https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3700446"},{"issue":"6","key":"e_1_2_12_7_1","first-page":"465","article-title":"Quantitative easing: Entrance and exit strategies","volume":"92","author":"Blinder A. S.","year":"2010","journal-title":"Federal Reserve Bank of St. Louis Review"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00028"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1994.tb00060.x"},{"key":"e_1_2_12_10_1","unstructured":"Chicago Mercantile Exchange. (2019\u20132023).CME futures and options on futures.https:\/\/www.barchart.com"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_12_13_1","unstructured":"Federal Open Market Committee. (2000\u20132020).Minutes of the federal open market committee."},{"key":"e_1_2_12_14_1","unstructured":"Federal Reserve Bank of New York. (1959\u20132024a).Effective fed funds rate.https:\/\/www.newyorkfed.org\/markets\/reference-rates\/effr"},{"key":"e_1_2_12_15_1","unstructured":"Federal Reserve Bank of New York(2018\u20132024b).Secured overnight financing rate.https:\/\/www.newyorkfed.org\/markets\/reference-rates\/sofr"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-020-00416-5"},{"key":"e_1_2_12_17_1","doi-asserted-by":"crossref","unstructured":"Gellert K. &Schl\u00f6gl E.(2021).Short rate dynamics: A fed funds and SOFR perspective. Technical report. SSRN working paper.https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3763589","DOI":"10.2139\/ssrn.3763589"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680903170809"},{"key":"e_1_2_12_19_1","first-page":"249","article-title":"Managing smile risk","volume":"1","author":"Hagan P. S.","year":"2002","journal-title":"The Best of Wilmott"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"e_1_2_12_21_1","doi-asserted-by":"crossref","unstructured":"Heitfield E. &Park Y.\u2010H.(2019).Inferring term rates from SOFR futures prices. Technical report.https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3352598","DOI":"10.17016\/FEDS.2019.014"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"issue":"7","key":"e_1_2_12_23_1","first-page":"1","article-title":"Trends in federal funds rate volatility, Federal Reserve Bank of New York","volume":"11","author":"Hilton S.","year":"2005","journal-title":"Current Issues in Economics and Finance"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"e_1_2_12_25_1","doi-asserted-by":"crossref","unstructured":"Jermann U. J.(2019).Is SOFR better than LIBOR?Technical report. SSRN working paper.https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3361942","DOI":"10.2139\/ssrn.3361942"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1254814"},{"issue":"6","key":"e_1_2_12_27_1","first-page":"3387","article-title":"Affine processes beyond stochastic continuity","volume":"29","author":"Keller\u2010Ressel M.","year":"2018","journal-title":"Annals of Applied Probability"},{"key":"e_1_2_12_28_1","doi-asserted-by":"crossref","unstructured":"Kim D. H. &Wright J. H.(2014).Jumps in bond yields at known times. National Bureau of Economic Research No. w20711.https:\/\/doi.org\/10.3386\/w20711","DOI":"10.3386\/w20711"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.04.017"},{"key":"e_1_2_12_30_1","unstructured":"Klingler S. &Syrstad O.(2023).Does SOFR\u2010linked debt cost borrowers more than LIBOR\u2010linked debt?Technical Report. SSRN working paper.https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4150729"},{"key":"e_1_2_12_31_1","doi-asserted-by":"crossref","unstructured":"Lyashenko A. &Mercurio F.(2019).Looking forward to backward\u2010looking rates: A modeling framework for term rates replacing LIBOR. Technical report.https:\/\/ssrn.com\/abstract=3330240","DOI":"10.2139\/ssrn.3330240"},{"key":"e_1_2_12_32_1","doi-asserted-by":"crossref","unstructured":"Mercurio F.(2018).A simple multi\u2010curve model for pricing SOFR futures and other derivatives. Technical report.https:\/\/ssrn.com\/abstract=3225872","DOI":"10.2139\/ssrn.3225872"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03823.x"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050025"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1086\/296409"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1086\/427466"},{"key":"e_1_2_12_38_1","unstructured":"Piterbarg V.(2015).A stochastic volatility forward Libor model with a term structure of volatility smiles.https:\/\/ssrn.com\/abstract=359001"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00101.x"},{"key":"e_1_2_12_40_1","doi-asserted-by":"crossref","unstructured":"Schl\u00f6gl E. Skov J. B. &Skovmand D.(2023).Term structure modeling of SOFR: Evaluating the importance of scheduled jumps. Technical report.https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4431839","DOI":"10.2139\/ssrn.4431839"},{"key":"e_1_2_12_41_1","first-page":"29","article-title":"Beyond LIBOR: A primer on the new reference rates","author":"Schrimpf A.","year":"2019","journal-title":"BIS Quarterly Review"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22246"},{"key":"e_1_2_12_43_1","unstructured":"St. Louis Fed. (1984\u20132020). Excess reserves of depository institutions.https:\/\/fred.stlouisfed.org\/series\/EXCSRESNS"},{"key":"e_1_2_12_44_1","unstructured":"The Alternative Reference Rates Committee. (2018). Second report."},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22499","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,4,30]],"date-time":"2024-04-30T07:26:59Z","timestamp":1714462019000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22499"}},"issued":{"date-parts":[[2024,3,11]]},"references-count":44,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2024,6]]}},"alternative-id":["10.1002\/fut.22499"],"URL":"https:\/\/doi.org\/10.1002\/fut.22499","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,3,11]]},"assertion":[{"value":"2023-10-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-02-20","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-03-11","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T21:37:50Z","timestamp":1771623470812,"version":"3.50.1"},"reference-count":24,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,9]]},"DOI":"10.1002\/fut.20169","type":"journal-article","created":{"date-parts":[[2005,7,5]],"date-time":"2005-07-05T22:16:39Z","timestamp":1120601799000},"page":"873-892","source":"Crossref","is-referenced-by-count":38,"title":["A comparative study of alternative extreme-value volatility estimators"],"prefix":"10.1002","volume":"25","author":[{"given":"Turan G.","family":"Bali","sequence":"first","affiliation":[]},{"given":"David","family":"Weinbaum","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"key":"10.1002\/fut.20169-BIB1","doi-asserted-by":"crossref","first-page":"885","DOI":"10.2307\/2527343","volume":"39","author":"Andersen","year":"1998","journal-title":"International Economic Review"},{"key":"10.1002\/fut.20169-BIB2","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1016\/S0304-405X(01)00055-1","volume":"61","author":"Andersen","year":"2001","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20169-BIB3","doi-asserted-by":"crossref","first-page":"42","DOI":"10.1198\/016214501750332965","volume":"96","author":"Andersen","year":"2001","journal-title":"Journal of the American Statistical Association"},{"key":"10.1002\/fut.20169-BIB4","author":"Andersen","year":"inp","journal-title":"Econometrica"},{"key":"10.1002\/fut.20169-BIB5","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1198\/073500102288618504","volume":"20","author":"Andreou","year":"2002","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1002\/fut.20169-BIB6","doi-asserted-by":"crossref","first-page":"83","DOI":"10.1086\/344669","volume":"76","author":"Bali","year":"2003","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20169-BIB7","doi-asserted-by":"crossref","first-page":"455","DOI":"10.1016\/S0927-5398(02)00070-1","volume":"10","author":"Bali","year":"2003","journal-title":"Journal of Empirical Finance"},{"key":"10.1002\/fut.20169-BIB8","doi-asserted-by":"crossref","first-page":"97","DOI":"10.1086\/296226","volume":"57","author":"Ball","year":"1984","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20169-BIB9","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1111\/1467-9868.00336","volume":"64","author":"Barndorff-Nielsen","year":"2002","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"10.1002\/fut.20169-BIB10","doi-asserted-by":"crossref","first-page":"97","DOI":"10.1086\/296188","volume":"56","author":"Beckers","year":"1983","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20169-BIB11","doi-asserted-by":"crossref","first-page":"333","DOI":"10.1016\/S0304-405X(01)00047-2","volume":"60","author":"Brown","year":"2001","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20169-BIB12","doi-asserted-by":"crossref","first-page":"451","DOI":"10.1111\/j.1540-6261.1988.tb03949.x","volume":"43","author":"Cho","year":"1988","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20169-BIB13","doi-asserted-by":"crossref","first-page":"54","DOI":"10.1214\/ss\/1177013815","volume":"1","author":"Efron","year":"1986","journal-title":"Statistical Science"},{"key":"10.1002\/fut.20169-BIB14","author":"Engle","year":"inp","journal-title":"Journal of Financial Markets"},{"key":"10.1002\/fut.20169-BIB15","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1086\/296072","volume":"53","author":"Garman","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20169-BIB16","doi-asserted-by":"crossref","first-page":"295","DOI":"10.1086\/296570","volume":"65","author":"Kunitomo","year":"1992","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20169-BIB17","doi-asserted-by":"crossref","first-page":"87","DOI":"10.1111\/j.1540-6261.1995.tb05168.x","volume":"50","author":"Lo","year":"1995","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20169-BIB18","doi-asserted-by":"crossref","first-page":"359","DOI":"10.1016\/0304-405X(86)90026-7","volume":"15","author":"Marsh","year":"1986","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20169-BIB19","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/0304-405X(76)90022-2","volume":"3","author":"Merton","year":"1976","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20169-BIB20","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1086\/296071","volume":"53","author":"Parkinson","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20169-BIB21","doi-asserted-by":"crossref","first-page":"504","DOI":"10.1214\/aoap\/1177005835","volume":"1","author":"Rogers","year":"1991","journal-title":"Annals of Applied Probability"},{"key":"10.1002\/fut.20169-BIB22","doi-asserted-by":"crossref","first-page":"241","DOI":"10.1080\/758526905","volume":"4","author":"Rogers","year":"1994","journal-title":"Applied Financial Economics"},{"key":"10.1002\/fut.20169-BIB23","doi-asserted-by":"crossref","first-page":"417","DOI":"10.1086\/296544","volume":"64","author":"Wiggins","year":"1991","journal-title":"Journal of Business"},{"key":"10.1002\/fut.20169-BIB24","doi-asserted-by":"crossref","first-page":"477","DOI":"10.1086\/209650","volume":"73","author":"Yang","year":"2000","journal-title":"Journal of Business"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20169","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20169","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T19:02:38Z","timestamp":1625166158000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20169"}},"issued":{"date-parts":[[2005]]},"references-count":24,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2005,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20169","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2026,3,4]],"date-time":"2026-03-04T10:31:32Z","timestamp":1772620292102,"version":"3.50.1"},"reference-count":61,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2023,9,27]],"date-time":"2023-09-27T00:00:00Z","timestamp":1695772800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,1]]},"abstract":"Abstract<\/jats:title>Brazil's significant commodity production is internationally recognized, yet the absence of a mature futures market exposes it to price risks and international shocks. This study explores the dynamic connectedness between commodity futures and the Brazilian cash markets, using a time\u2010varying parameter vector autoregressive model. We also assess COVID\u201019's impact on this connectedness. We find a significant influence of oil prices on Brazilian ethanol prices, and particularly emphasize the Heating Oil spillover effect on ethanol in the post\u2010COVID\u201019 era. We also note the ascension of Brazilian soybean spot markets' international significance since 2017, amplifying their role in global grain price discovery. Finally, by computing hedge ratios and effectiveness between commodity futures contracts and Brazilian spot prices, our study reveals soybean cash price as the most effective hedge. These insights deepen comprehension of connectedness within Brazilian commodity markets, thereby guiding investors and policymakers in strategic energy policy decisions.<\/jats:p>","DOI":"10.1002\/fut.22463","type":"journal-article","created":{"date-parts":[[2023,9,27]],"date-time":"2023-09-27T09:54:53Z","timestamp":1695808493000},"page":"27-56","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre\u2010 and post\u2010COVID\u201019"],"prefix":"10.1002","volume":"44","author":[{"given":"Rafael Baptista","family":"Palazzi","sequence":"first","affiliation":[{"name":"Department of Finance FGV\u2010EAESP Sao Paulo School of Business Administration S\u00e3o Paulo SP Brazil"}]},{"given":"Ata","family":"Assaf","sequence":"additional","affiliation":[{"name":"Department of Business Administration, University of Balamand Faculty of Business and Management Tripoli Lebanon"},{"name":"Department of Economics and Finance Cyprus International Institute of Management (CIIM) Nicosia Cyprus"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5463-6333","authenticated-orcid":false,"given":"Marcelo Cabus","family":"Klotzle","sequence":"additional","affiliation":[{"name":"IAG Business School, Department of Finance Pontifical Catholic University of Rio de Janeiro (PUC\u2010Rio) Rio de Janeiro Brazil"}]}],"member":"311","published-online":{"date-parts":[[2023,9,27]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"ANFAVEA. (2020).Brazilian automotive industry yearbook.Brazilian Automotive Industry Association\u2013ANFAVEA.http:\/\/www.anfavea.com.br\/anuario2020\/anuario.pdf"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.01.023"},{"key":"e_1_2_9_4_1","unstructured":"Antonakakis N. &Gabauer D.(2017).Refined measures of dynamic connectedness based on TVP\u2010VAR(MPRA Paper 78282).University Library of Munich."},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2015.01.016"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12521"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102556"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/agec.12693"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/03031853.2019.1694046"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2007.01013.x"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2008.01136.x"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.foodpol.2013.11.001"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.worlddev.2017.03.008"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2018.11.002"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101646"},{"key":"e_1_2_9_16_1","unstructured":"CEPEA (Center for Advanced Studies on Applied Economics). (2022).Price Index.https:\/\/www.cepea.esalq.usp.br"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2013.799748"},{"key":"e_1_2_9_18_1","unstructured":"Christofoletti M. A. M. Silva R. M. D. &Mattos F.(2012).The increasing participation of China in the world soybean market and its impact on price linkages in futures markets."},{"key":"e_1_2_9_19_1","unstructured":"Companhia Nacional de Abastecimento (CONAB). (2021).Informa\u00e7\u00f5es Agropecu\u00e1rias.https:\/\/www.conab.gov.br\/info-agro"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1590\/0101-416146418cchb"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2019.100111"},{"key":"e_1_2_9_22_1","doi-asserted-by":"crossref","unstructured":"Diebold F. X. Liu L. &Yilmaz K.(2017).Commodity connectedness(CFS Working Paper No. 575).https:\/\/ssrn.com\/abstract=3038826or","DOI":"10.2139\/ssrn.3038826"},{"key":"e_1_2_9_22_2","doi-asserted-by":"crossref","unstructured":"http:\/\/doi.org\/10.2139\/ssrn.3038826","DOI":"10.2139\/ssrn.3038826"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.2008.02208.x"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/gcbb.12495"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2327150"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171846"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(02)00060-9"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jafr.2020.100029"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2010.09.023"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.07.007"},{"issue":"2","key":"e_1_2_9_33_1","first-page":"1","article-title":"The Brazilian soybean complex. Choices: The Magazine of Food, Farm, and Resource","volume":"21","author":"Goldsmith P. D.","year":"2006","journal-title":"Issues\/National Council of State Boards of Nursing"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102363"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2021.100222"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.euroecorev.2014.07.002"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21794"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104711"},{"key":"e_1_2_9_40_1","unstructured":"Mattos F. &Garcia P.(2004 April 19).Price discovery in thinly traded markets: Cash and futures relationships in Brazilian agricultural futures markets.https:\/\/doi.org\/10.22004\/ag.econ.19019"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1080\/03066150.2014.992016"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1590\/141598481813"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102572"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.3390\/su13179899"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2011.03.001"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.11.009"},{"key":"e_1_2_9_47_1","volume-title":"Fostering economic resilience in a world of open and integrated markets","author":"OECD","year":"2021"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100257"},{"key":"e_1_2_9_49_1","doi-asserted-by":"crossref","unstructured":"Palazzi R. B. Assaf A. &Klotzle M. C.(2023).Dynamic Connectedness between Energy Markets and the Brazilian Cash Market:An Empirical Analysis Pre\u2010 and Post\u2010COVID\u201019\u201d Mendeley Data V1 [Dataset].https:\/\/doi.org\/10.17632\/d7fy9rsr5f.1","DOI":"10.1002\/fut.22463"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2005.00353.x"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.07.027"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.3390\/ijfs5020011"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2013.05.014"},{"key":"e_1_2_9_54_1","unstructured":"RFA. (2020).Renewable fuels association.http:\/\/www.ethanolrfa.org\/pages\/statistics"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.04.003"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1093\/erae\/jbq046"},{"issue":"2","key":"e_1_2_9_57_1","first-page":"247","article-title":"Volatility spillovers in U.S. crude oil, ethanol, and corn futures markets","volume":"37","author":"Trujillo\u2010Barrera A.","year":"2012","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_9_58_1","unstructured":"UNICA. (2020).Unica. Sugarcane Industry Association.http:\/\/unicadata.com.br\/"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2018.08.012"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-021-00227-3"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.08.003"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22463","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,10,29]],"date-time":"2024-10-29T07:40:54Z","timestamp":1730187654000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22463"}},"issued":{"date-parts":[[2023,9,27]]},"references-count":61,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2024,1]]}},"alternative-id":["10.1002\/fut.22463"],"URL":"https:\/\/doi.org\/10.1002\/fut.22463","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,9,27]]},"assertion":[{"value":"2023-05-20","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-09-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-09-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,1]],"date-time":"2026-02-01T12:23:43Z","timestamp":1769948623035,"version":"3.49.0"},"reference-count":16,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2011,6,21]],"date-time":"2011-06-21T00:00:00Z","timestamp":1308614400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,7]]},"abstract":"Abstract<\/jats:title>This study investigates the impact of introducing a pure pro\u2010rata algorithm on the liquidity of the market for Euribor futures contracts on NYSE LIFFE. Results indicate that the Euribor market experiences deterioration in liquidity: (1) both best and total depth fall and (2) quoted spreads widen after the structural change. Results also reveal that the Euribor market becomes more active after the event; both trading volume and trade frequency increase substantially after the event. Finally, after the transition, liquidity demanders are more likely to submit smaller market orders. The reduction in depth and increase in quoted spreads suggest that liquidity demanders incur higher trade execution costs after the transition. In contrast, the transition is beneficial for the exchange since trading volume is higher under the new regime. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:660\u2013682, 2012<\/jats:p>","DOI":"10.1002\/fut.20536","type":"journal-article","created":{"date-parts":[[2011,6,21]],"date-time":"2011-06-21T14:04:35Z","timestamp":1308665075000},"page":"660-682","source":"Crossref","is-referenced-by-count":8,"title":["The impact of a pro\u2010rata algorithm on liquidity: Evidence from the NYSE LIFFE"],"prefix":"10.1002","volume":"32","author":[{"given":"Andrew","family":"Lepone","sequence":"first","affiliation":[{"name":"Discipline of Finance Business School University of Sydney New South Wales 2006 Australia"}]},{"given":"Jin Young","family":"Yang","sequence":"additional","affiliation":[{"name":"Discipline of Finance Business School University of Sydney New South Wales 2006 Australia"}]}],"member":"311","published-online":{"date-parts":[[2011,6,21]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-629X.2008.00279.x"},{"key":"e_1_2_12_3_1","first-page":"20","article-title":"Option market liquidity: Commonality and other characteristics","volume":"13","author":"Cao M.","year":"2010","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00057-4"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260966"},{"key":"e_1_2_12_6_1","volume-title":"Pro\u2010rata matching and the order book dynamics of fixed income futures (working paper)","author":"Field J.","year":"2007"},{"key":"e_1_2_12_7_1","volume-title":"Pro\u2010rata matching and one\u2010tick futures markets (working paper)","author":"Field J.","year":"2008"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20290"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10013"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20184"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00061-6"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05228.x"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00134-4"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.01.003"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00259"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200011)20:10<943::AID-FUT4>3.0.CO;2-8"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20536","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20536","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T03:54:11Z","timestamp":1698638051000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20536"}},"issued":{"date-parts":[[2011,6,21]]},"references-count":16,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2012,7]]}},"alternative-id":["10.1002\/fut.20536"],"URL":"https:\/\/doi.org\/10.1002\/fut.20536","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,6,21]]}},{"indexed":{"date-parts":[[2026,1,18]],"date-time":"2026-01-18T22:38:45Z","timestamp":1768775925106,"version":"3.49.0"},"reference-count":79,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2024,7,11]],"date-time":"2024-07-11T00:00:00Z","timestamp":1720656000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,9]]},"abstract":"ABSTRACT<\/jats:title>We propose a model\u2010guided option\u2010implied ambiguity measure to capture uncertainty regarding the return distribution of a risky asset underlying a set of options, and investigate its predictive power on the asset return. A representative investor's ambiguous beliefs or prior distributions on the underlying asset returns are extracted from the market prices of options, the expected volatility of which is then defined as the option\u2010implied ambiguity and is calculated in line with Brenner and Izhakian. Simulated paths of the calibrated models are utilized to compute all pertinent probability characteristics from a forward\u2010looking perspective. The empirical results with SSE 50 ETF options indicate that the proposed option\u2010implied ambiguity has strong predictive power for future returns of SSE 50 ETF. Out\u2010of\u2010sample tests also verify the significant predictive ability of the option\u2010implied ambiguity to the equity returns.<\/jats:p>","DOI":"10.1002\/fut.22530","type":"journal-article","created":{"date-parts":[[2024,7,11]],"date-time":"2024-07-11T08:55:49Z","timestamp":1720688149000},"page":"1556-1577","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Option\u2010Implied Ambiguity and Equity Return Predictability"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9211-0340","authenticated-orcid":false,"given":"Yanchu","family":"Liu","sequence":"first","affiliation":[{"name":"Lingnan College Sun Yat\u2010sen University Guangzhou China"}]},{"given":"Chen","family":"Liu","sequence":"additional","affiliation":[{"name":"Lingnan College Sun Yat\u2010sen University Guangzhou China"}]},{"given":"Yiyao","family":"Chen","sequence":"additional","affiliation":[{"name":"School of Finance Central University of Economics and Finance Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8985-7147","authenticated-orcid":false,"given":"Xianming","family":"Sun","sequence":"additional","affiliation":[{"name":"School of Finance Zhongnan University of Economics and Law Wuhan China"},{"name":"Innovation and Talent Base for Digital Technology and Finance Zhongnan University of Economics and Law Wuhan China"}]}],"member":"311","published-online":{"date-parts":[[2024,7,11]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21787"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21970"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00016-0"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22304"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_12_7_1","doi-asserted-by":"crossref","unstructured":"Andersen L.2007. \u201cEfficient Simulation of the Heston Stochastic Volatility Model\u201d (Working Paper).https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=946405.","DOI":"10.2139\/ssrn.946405"},{"key":"e_1_2_12_8_1","unstructured":"Andreou P. A.Kagkadis P.Maio andD.Philip.2014. \u201cStock Market Ambiguity and the Equity Premium\u201d (Working Paper).https:\/\/citeseerx.ist.psu.edu\/document?repid=rep1&type=pdf&doi=61e286f83d9a510b43332a44b79377122a829d3a."},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl021"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1755-053X.2010.01120.x"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024901000882"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.07.007"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01241.x"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90045-6"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.3.195"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2019.100531"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.11.010"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22093"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2021.104290"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2022.100790"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00337"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22294"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109020000551"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01795.x"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12068"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-015-2079-y"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn100"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884324"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht018"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-120209-133940"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00193"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2016.04.009"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1137\/080718061"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-014-9097-9"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110217-022944"},{"key":"e_1_2_12_44_1","doi-asserted-by":"crossref","unstructured":"Friedman C. W.Cao Y.Huang andY.Zhang.2012. \u201cEngineering More Effective Weighted Monte Carlo Option Pricing Models\u201d (Working Paper).https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2193807.","DOI":"10.2139\/ssrn.2193807"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-011-9069-2"},{"key":"e_1_2_12_46_1","unstructured":"Hansen P. R. andA.Timmermann.2012. \u201cChoice of Sample Split in Out\u2010Of\u2010Sample Forecast Evaluation\u201d (Working Paper).https:\/\/cadmus.eui.eu\/handle\/1814\/21454."},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhab093"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01693.x"},{"key":"e_1_2_12_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jet.2020.105001"},{"key":"e_1_2_12_51_1","doi-asserted-by":"crossref","unstructured":"Izhakian Y. andZ.Izhakian.2020. \u201cA Continuous\u2010Time Forward\u2010Looking Implied Ambiguity Index\u201d (Working Paper).https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3536819.","DOI":"10.2139\/ssrn.3536819"},{"key":"e_1_2_12_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22116"},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2024.01.033"},{"key":"e_1_2_12_55_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21921"},{"key":"e_1_2_12_56_1","volume-title":"Risk, Uncertainty and Profit","author":"Knight F. H.","year":"1921"},{"key":"e_1_2_12_57_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht039"},{"key":"e_1_2_12_58_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04673.x"},{"key":"e_1_2_12_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2019.01.001"},{"key":"e_1_2_12_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2021.104275"},{"key":"e_1_2_12_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2020.103896"},{"key":"e_1_2_12_62_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22298"},{"key":"e_1_2_12_63_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22480"},{"key":"e_1_2_12_64_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbx009"},{"key":"e_1_2_12_65_1","doi-asserted-by":"publisher","DOI":"10.2307\/2526578"},{"key":"e_1_2_12_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_12_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2004.05.004"},{"key":"e_1_2_12_68_1","doi-asserted-by":"publisher","DOI":"10.1002\/wilm.42820040216"},{"key":"e_1_2_12_69_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22464"},{"key":"e_1_2_12_70_1","doi-asserted-by":"crossref","unstructured":"So R. H. T.Driouchi andL.Trigeorgis.2016. \u201cOption Market Ambiguity Excess Returns and the Equity Premium\u201d (Working Paper).https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2663317.","DOI":"10.2139\/ssrn.2663317"},{"key":"e_1_2_12_71_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2015.2379"},{"key":"e_1_2_12_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2015.09.004"},{"key":"e_1_2_12_73_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2018.1483824"},{"key":"e_1_2_12_74_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22506"},{"issue":"4","key":"e_1_2_12_75_1","first-page":"1455","article-title":"A Comprehensive Look at the Empirical Performance of Equity Premium Prediction","volume":"21","author":"Welch I.","year":"2008","journal-title":"Social Science Electronic Publishing"},{"key":"e_1_2_12_76_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-50866"},{"key":"e_1_2_12_77_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2022.07.009"},{"key":"e_1_2_12_78_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"},{"key":"e_1_2_12_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.011"},{"key":"e_1_2_12_80_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22078"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22530","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,7]],"date-time":"2024-08-07T12:25:52Z","timestamp":1723033552000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22530"}},"issued":{"date-parts":[[2024,7,11]]},"references-count":79,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2024,9]]}},"alternative-id":["10.1002\/fut.22530"],"URL":"https:\/\/doi.org\/10.1002\/fut.22530","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,7,11]]},"assertion":[{"value":"2023-10-17","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-06-01","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-11","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T22:29:37Z","timestamp":1773268177338,"version":"3.50.1"},"reference-count":22,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2007,9,12]],"date-time":"2007-09-12T00:00:00Z","timestamp":1189555200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,11]]},"abstract":"Abstract<\/jats:title>This study examines one\u2010day forward premiums at the hourly level on the New York independent systems operator wholesale electricity market for the period 2001\u20132005. Examining two representative zones, the authors show that premiums vary by hour of day, day of week, and month. We report differences in the level and volatility of the premium across zones. We measure the impact of opening the market to outsiders through the introduction of virtual bidding. Results indicate that virtual bidding is associated with lower premiums in off\u2010peak or near\u2010off\u2010peak hours; it is associated with higher premiums during peak hours. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1107\u20131125, 2007<\/jats:p>","DOI":"10.1002\/fut.20278","type":"journal-article","created":{"date-parts":[[2007,9,12]],"date-time":"2007-09-12T17:16:30Z","timestamp":1189617390000},"page":"1107-1125","source":"Crossref","is-referenced-by-count":19,"title":["One\u2010day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data"],"prefix":"10.1002","volume":"27","author":[{"given":"Lester","family":"Hadsell","sequence":"first","affiliation":[]},{"given":"Hany A.","family":"Shawky","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,9,12]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00463"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Borenstein S. Bushnell J. Knittel C. &Wolfram C.(2001).Trading inefficiencies in California's electricity markets (Working Paper #8620)Cambridge MA: National Bureau of Economic Research.","DOI":"10.3386\/w8620"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330769"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol25-No4-2"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol27-No2-9"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_1_11_1","volume-title":"A treatise on money","author":"Keynes J.M.","year":"1930"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/44.1-2.187"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00682.x"},{"key":"e_1_2_1_14_1","volume-title":"Impact mitigation for emergency events: Their effects on day\u2010ahead and real\u2010time market locational based marginal pricing at the New York ISO","author":"Nakano S.","year":"2005"},{"key":"e_1_2_1_14_2","unstructured":"Accessed August 2 2006 fromwww.iaee.org\/en\/conferences\/denver\u2010proceedings\u2010papers.aspx"},{"key":"e_1_2_1_15_1","unstructured":"NYISO. (2001).NYISO Newsletter 2(4) 3."},{"key":"e_1_2_1_16_1","volume-title":"Energy modeling and the management of uncertainty","author":"Pirrong C.","year":"1999"},{"key":"e_1_2_1_17_1","unstructured":"Potomac Economics Ltd.(2004).2003 State of the market report; New York ISO."},{"key":"e_1_2_1_17_2","unstructured":"Accessed May 20 2006 fromwww.nyiso.com"},{"key":"e_1_2_1_18_1","unstructured":"Saravia C.(2003).Speculative trading and market performance: The effect of arbitrageurs on efficiency and market power in the New York electricity market. (Working Paper #121). Center for the Study of Energy Markets (CSEM)."},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10093"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20278","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20278","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T17:57:35Z","timestamp":1700071055000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20278"}},"issued":{"date-parts":[[2007,9,12]]},"references-count":22,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2007,11]]}},"alternative-id":["10.1002\/fut.20278"],"URL":"https:\/\/doi.org\/10.1002\/fut.20278","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,9,12]]}},{"indexed":{"date-parts":[[2026,3,13]],"date-time":"2026-03-13T13:23:34Z","timestamp":1773408214713,"version":"3.50.1"},"reference-count":29,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2008,7,30]],"date-time":"2008-07-30T00:00:00Z","timestamp":1217376000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,9]]},"abstract":"Abstract<\/jats:title>This study examines the cross\u2010market efficiency of the Indian options and futures market using model\u2010free tests. The put\u2013call\u2013futures and put\u2013call\u2013index parity conditions are tested for European style Nifty Index options. Thirty\u2010five\u2010month time\u2010stamped transactions data are used to identify mispricing. Frequent violations of both forms of put\u2013call parity are observed. The restriction on short sales largely accounts for the put\u2013call\u2013index parity violations. There are numerous put\u2013call\u2013futures arbitrage profit opportunities even after accounting for transaction costs, which vanish quickly. Put options are overpriced more often than call options. The mispricing shows specific patterns with respect to time of the day, moneyness, volatility, and days to expiry. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:889\u2013910, 2008<\/jats:p>","DOI":"10.1002\/fut.20325","type":"journal-article","created":{"date-parts":[[2008,7,31]],"date-time":"2008-07-31T06:46:44Z","timestamp":1217486804000},"page":"889-910","source":"Crossref","is-referenced-by-count":14,"title":["Cross\u2010market efficiency in the Indian derivatives market: A test of put\u2013call parity"],"prefix":"10.1002","volume":"28","author":[{"family":"Vipul","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,7,30]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1998.408003"},{"key":"e_1_2_1_3_1","unstructured":"Ackert L. F. &Tian Y. S.(1999).Efficiency in index options markets and trading in stock baskets(Working Paper 99\u20135). Atlanta US: Federal Reserve Bank of Atlanta."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00145-X"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2001.319163"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/1057-5219(95)90014-4"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1177\/031289629201700102"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2004.10.016"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100500461710"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","DOI":"10.2139\/ssrn.283695","volume-title":"Efficiency tests of the French Index (CAC 40) options market","author":"Capelle\u2010Blancard G.","year":"2001"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0391-5026.2004.00133.x"},{"key":"e_1_2_1_12_1","unstructured":"Chesney M. Gibson R. &Louberge H.(1994).Arbitrage trading and index option pricing at SOFFEX: An empirical study using daily and intradaily data. Cahiers du Department d'Economique Faculte des Sciences Economiques Universite de Geneve."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2206"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04998.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331405"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140807"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<797::AID-FUT4>3.0.CO;2-I"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407990"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2001.tb00005.x"},{"key":"e_1_2_1_20_1","first-page":"259","article-title":"Tests of the put\u2013call parity relation using options on futures on the S& P 500 Index","volume":"9","author":"Garay U.","year":"2003","journal-title":"Derivatives Use, Trading and Regulation"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331275"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb00061.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130806"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219091502000869"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1057-5219(99)00024-1"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.008"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1198\/000313001300339950"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1177\/0256090920050403"},{"key":"e_1_2_1_30_1","unstructured":"Vipul(2006).Option pricing efficiency in Indian market: Arbitrage through box spread(Working Paper No. 2006\u201011). Lucknow India: Indian Institute of Management."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20325","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20325","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T23:14:49Z","timestamp":1700003689000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20325"}},"issued":{"date-parts":[[2008,7,30]]},"references-count":29,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2008,9]]}},"alternative-id":["10.1002\/fut.20325"],"URL":"https:\/\/doi.org\/10.1002\/fut.20325","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,7,30]]}},{"indexed":{"date-parts":[[2026,3,8]],"date-time":"2026-03-08T16:18:24Z","timestamp":1772986704790,"version":"3.50.1"},"reference-count":66,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2025,11,20]],"date-time":"2025-11-20T00:00:00Z","timestamp":1763596800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2025,11,20]],"date-time":"2025-11-20T00:00:00Z","timestamp":1763596800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,2]]},"abstract":"ABSTRACT<\/jats:title>\n We investigate the impact of heterogeneous investor attention on carbon prices. Although previous research has demonstrated the influence of investor attention on asset prices, how investors attribute attention toward the carbon\u2010market, emission, and environment issues, and their consequences on carbon prices remain unknown. Leveraging data from the European Union (EU) and Chinese (Guangdong and Hubei pilots) carbon markets, our regression results reveal that investor attention toward the carbon\u2010market and environment issues negatively affects carbon prices in the EU Emissions Trading System, whereas attention toward the carbon\u2010market and emission issues exhibits positive impacts in the Guangdong pilot. Interestingly, these effects are reversed in the subsequent month, implying a lasting effect of investor attention. Additional analyses suggest that the different reactions in the EU and China can be attributed to investor types and green assets diversity. Finally, we demonstrate the economic usefulness of heterogeneous investor attention in improving carbon trading investors' trading strategies.<\/jats:p>","DOI":"10.1002\/fut.70062","type":"journal-article","created":{"date-parts":[[2025,11,21]],"date-time":"2025-11-21T07:51:58Z","timestamp":1763711518000},"page":"463-486","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Investor Attention and Carbon Prices: Evidence From European Union and China"],"prefix":"10.1002","volume":"46","author":[{"given":"Jing","family":"Ye","sequence":"first","affiliation":[{"name":"School of Economics Southwest University of Political Science and Law Chongqing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1257-678X","authenticated-orcid":false,"given":"Na","family":"Wu","sequence":"additional","affiliation":[{"name":"School of Accountancy Jiangxi University of Finance and Economics Nanchang China"}]}],"member":"311","published-online":{"date-parts":[[2025,11,20]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.09.009"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm079"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2016.03.015"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2022.105796"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109021000090"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2020.10.001"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2010.06.016"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz086"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01679.x"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2015.06.026"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.002"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ecolecon.2020.106836"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz072"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01493.x"},{"key":"e_1_2_13_18_1","doi-asserted-by":"crossref","unstructured":"Fink C. andT.Johann.2014. \u201cMay I Have Your Attention Please: The Market Microstructure of Investor Attention.\u201d Working Paper No. 2139313.https:\/\/doi.org\/10.2139\/ssrn.2139313.","DOI":"10.2139\/ssrn.2139313"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22443"},{"key":"e_1_2_13_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-4932.2011.00748.x"},{"issue":"3","key":"e_1_2_13_21_1","first-page":"393","article-title":"On the Impossibility of Informationally Efficient Markets","volume":"70","author":"Grossman S. J.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_13_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg039"},{"key":"e_1_2_13_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2014.03.026"},{"key":"e_1_2_13_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.07.020"},{"key":"e_1_2_13_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.04.018"},{"key":"e_1_2_13_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2020.120378"},{"key":"e_1_2_13_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2003.10.002"},{"key":"e_1_2_13_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2010.11.001"},{"key":"e_1_2_13_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.scitotenv.2020.138350"},{"key":"e_1_2_13_30_1","volume-title":"Attention and Effort","author":"Kahneman D.","year":"1973"},{"key":"e_1_2_13_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.011"},{"key":"e_1_2_13_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2014.06.024"},{"key":"e_1_2_13_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2016.03.004"},{"key":"e_1_2_13_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10551-015-2608-2"},{"key":"e_1_2_13_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2015.01.004"},{"key":"e_1_2_13_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2015.04.005"},{"key":"e_1_2_13_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104494"},{"issue":"2","key":"e_1_2_13_38_1","first-page":"279","article-title":"Multi\u2010Scale Combined Forecast of Carbon Price Based on Manifold Learning of Unstructured Data","volume":"34","author":"Liu J.","year":"2019","journal-title":"Control and Decision"},{"key":"e_1_2_13_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101444"},{"key":"e_1_2_13_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.esd.2020.01.008"},{"key":"e_1_2_13_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2020.122885"},{"key":"e_1_2_13_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp081"},{"key":"e_1_2_13_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2020.122717"},{"key":"e_1_2_13_44_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_13_45_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11356-022-24186-z"},{"key":"e_1_2_13_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.12.011"},{"key":"e_1_2_13_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.05.003"},{"key":"e_1_2_13_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.335"},{"key":"e_1_2_13_49_1","doi-asserted-by":"publisher","DOI":"10.1038\/s41558-022-01560-w"},{"key":"e_1_2_13_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2009.01.002"},{"key":"e_1_2_13_51_1","doi-asserted-by":"publisher","DOI":"10.1080\/15427560.2019.1629587"},{"key":"e_1_2_13_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2019.04.010"},{"key":"e_1_2_13_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2016.12.116"},{"key":"e_1_2_13_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.12.010"},{"key":"e_1_2_13_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2016.05.010"},{"key":"e_1_2_13_56_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_13_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2019.101376"},{"key":"e_1_2_13_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2017.07.131"},{"key":"e_1_2_13_59_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2015.1046339"},{"key":"e_1_2_13_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2016.12.009"},{"key":"e_1_2_13_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2016.03.006"},{"key":"e_1_2_13_62_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11356-022-19713-x"},{"key":"e_1_2_13_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104901"},{"key":"e_1_2_13_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rser.2017.05.034"},{"key":"e_1_2_13_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103140"},{"key":"e_1_2_13_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.12.030"},{"key":"e_1_2_13_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104601"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70062","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70062","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70062","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,3,8]],"date-time":"2026-03-08T10:40:44Z","timestamp":1772966444000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70062"}},"issued":{"date-parts":[[2025,11,20]]},"references-count":66,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2026,2]]}},"alternative-id":["10.1002\/fut.70062"],"URL":"https:\/\/doi.org\/10.1002\/fut.70062","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,11,20]]},"assertion":[{"value":"2024-07-02","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-10-27","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-11-20","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T09:23:57Z","timestamp":1773221037945,"version":"3.50.1"},"reference-count":53,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T00:00:00Z","timestamp":1766966400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T00:00:00Z","timestamp":1766966400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2026,4]]},"abstract":"ABSTRACT<\/jats:title>\n We examine whether overnight reversals extend beyond spot and option returns to option\u2010implied higher moments and associated\u00a0put\u2010call spreads. Implied moments and their put\u2010call spreads exhibit significant overnight reversals that are largely independent, with limited spillovers across variables. Reversals in underlying returns and implied volatility are asymmetric, unlike higher moments and put\u2010call spreads. When examined separately, moments implied by calls and by puts both reverse, interacting to generate reversals in put\u2010call spreads for all three moments. These findings highlight that overnight reversals in options markets are multidimensional, reflecting contract\u2010level differences across strikes and option types.<\/jats:p>","DOI":"10.1002\/fut.70072","type":"journal-article","created":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T09:24:22Z","timestamp":1767000262000},"page":"698-718","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Overnight Reversals of Implied Higher Moments and Their Put\u2010Call Spreads"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3156-7806","authenticated-orcid":false,"given":"Geul","family":"Lee","sequence":"first","affiliation":[{"name":"Department of Business Administration Pusan National University Busan Korea"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0059-4887","authenticated-orcid":false,"given":"Doojin","family":"Ryu","sequence":"additional","affiliation":[{"name":"Department of Economics Sungkyunkwan University Seoul Korea"}]}],"member":"311","published-online":{"date-parts":[[2025,12,29]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20369"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.09.019"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01060.x"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22536"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.07.020"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.3.539"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2019.100531"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2025.104109"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106060"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21994"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2020.12.005"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2025.105133"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaf020"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/82.3.561"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102228"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103779"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000404"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2015.1058913"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.06.006"},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2023.4916"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.026"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/10293523.2024.2448054"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2022.104313"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3203"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2025.103392"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176347265"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2024.102222"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.bir.2024.01.009"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbef.2025.101059"},{"key":"e_1_2_12_34_1","doi-asserted-by":"crossref","unstructured":"Lee G. andD.Ryu.2026. \"State\u2010Dependent Relationship Between Cryptocurrency Returns and Credit Spreads.\"European Financial Management.https:\/\/doi.org\/10.1111\/eufm.70010.","DOI":"10.1111\/eufm.70010"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2024.106490"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2025.1.226"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbae037"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2021.04.003"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.03.011"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.12.006"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2025.107446"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1994.10476870"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20533"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21637"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21618"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22158"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22594"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22417"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22552"},{"key":"e_1_2_12_50_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22186"},{"key":"e_1_2_12_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22380"},{"key":"e_1_2_12_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21826"},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22479"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601173444"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70072","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70072","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70072","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T11:50:55Z","timestamp":1773143455000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70072"}},"issued":{"date-parts":[[2025,12,29]]},"references-count":53,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2026,4]]}},"alternative-id":["10.1002\/fut.70072"],"URL":"https:\/\/doi.org\/10.1002\/fut.70072","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,12,29]]},"assertion":[{"value":"2025-08-27","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-11-28","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-12-29","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,8]],"date-time":"2026-03-08T05:27:51Z","timestamp":1772947671270,"version":"3.50.1"},"reference-count":19,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2007,2,13]],"date-time":"2007-02-13T00:00:00Z","timestamp":1171324800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,4]]},"abstract":"Abstract<\/jats:title>This study investigates the pricing of electricity futures at the European Energy Exchange (EEX) over the period 2002 through 2004. To calculate theoretical contract values, the reduced\u2010form models of J. J. Lucia and E. S. Schwartz (2002) are used, and a thorough empirical analysis by means of an out\u2010of\u2010sample test is conducted for both one\u2010 and two\u2010factor models, incorporating a constant non\u2010zero price of risk. Although the models are proven to capture all basic spot market characteristics and provide an accurate in\u2010the\u2010sample fit to observed futures prices, the forecasting performance is subject to biases. For instance, it was found that the relative mispricing depends on both the spot price level and the remaining time\u2010to\u2010maturity of the futures contracts. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:387\u2013410, 2007<\/jats:p>","DOI":"10.1002\/fut.20246","type":"journal-article","created":{"date-parts":[[2007,2,13]],"date-time":"2007-02-13T16:44:37Z","timestamp":1171385077000},"page":"387-410","source":"Crossref","is-referenced-by-count":36,"title":["The pricing of electricity futures: Evidence from the European energy exchange"],"prefix":"10.1002","volume":"27","author":[{"given":"Sascha","family":"Wilkens","sequence":"first","affiliation":[]},{"given":"Jens","family":"Wimschulte","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,2,13]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Barndorff\u2010Nielsen O. E. &Shephard N.(2004).Econometrics of testing for jumps in financial economics using bipower variation(working paper). Aarhus: University of Aarhus.","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00463"},{"key":"e_1_2_1_4_1","unstructured":"B\u00fchler W. &M\u00fcller\u2010Merbach J.(2004).Dynamic equilibrium valuation of electricity futures(working paper). Mannheim: University of Mannheim."},{"key":"e_1_2_1_5_1","unstructured":"B\u00fchler W. &M\u00fcller\u2010Merbach J.(2005).Empirical testing of electricity futures pricing models(working paper). Mannheim: University of Mannheim."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/4\/1\/010"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840210138365"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20198"},{"key":"e_1_2_1_9_1","unstructured":"Deng S.(2000 January). Pricing electricity derivatives under alternative stochastic spot price models. Paper presented at the 33rd Hawaii International Conference on System Sciences Wailea Maui HI."},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Escribano A. Pena J. I. &Villaplana P.(2002).Modeling electricity prices: International evidence(working paper). Madrid: Universidad Carlos III de Madrid.","DOI":"10.2139\/ssrn.299360"},{"key":"e_1_2_1_11_1","volume-title":"EEX spot market concept, August","author":"European Energy Exchange (EEX)","year":"2005"},{"key":"e_1_2_1_12_1","volume-title":"EEX derivatives market concept, October","author":"European Energy Exchange","year":"2005"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(03)00039-2"},{"key":"e_1_2_1_14_1","unstructured":"Huisman R. &Huurman C.(2003).Fat tails in power prices(working paper). Rotterdam: Erasmus Research Institute of Management (ERIM) Rotterdam School of Management."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00682.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1013846631785"},{"key":"e_1_2_1_17_1","volume-title":"Energy risk: Valuing and managing energy derivatives","author":"Pilipovic D.","year":"1997"},{"key":"e_1_2_1_18_1","unstructured":"Routledge B. R. Seppi D. J. &Spatt C. S.(2001).The spark spread. An equilibrium model of cross\u2010commodity price relationships in electricity (working paper). Pittsburgh: Carnegie Mellon University."},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Sayers C. &Shields D.(2001).Electricity prices and cost factors. Productivity Commission Staff Research Paper AusInfo.","DOI":"10.2139\/ssrn.281733"},{"key":"e_1_2_1_20_1","first-page":"28","volume-title":"Managing energy risk: A nontechnical guide to markets and trading","author":"Winslow D.","year":"2001"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20246","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20246","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T20:59:32Z","timestamp":1699995572000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20246"}},"issued":{"date-parts":[[2007,2,13]]},"references-count":19,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2007,4]]}},"alternative-id":["10.1002\/fut.20246"],"URL":"https:\/\/doi.org\/10.1002\/fut.20246","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,2,13]]}},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T00:31:19Z","timestamp":1773016279261,"version":"3.50.1"},"reference-count":53,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2022,5,26]],"date-time":"2022-05-26T00:00:00Z","timestamp":1653523200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72001180"],"award-info":[{"award-number":["72001180"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72071162"],"award-info":[{"award-number":["72071162"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100013139","name":"Humanities and Social Science Fund of Ministry of Education of China","doi-asserted-by":"publisher","award":["17YJC790119"],"award-info":[{"award-number":["17YJC790119"]}],"id":[{"id":"10.13039\/501100013139","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,8]]},"abstract":"Abstract<\/jats:title>This paper proposes to study volatility index (VIX) futures pricing by directly modeling the logarithmic VIX while incorporating observable dynamic jumps of the VIX, which are derived based on VIX high\u2010frequency data. The impacts of several different interday and intraday jump tests for VIX futures prices are investigated. We obtain the analytical expression by deducing the forward iteration relations of the lagged logarithm VIX, as well as the conditional variance and jump intensity, and use the maximum likelihood method to estimate the parameters under the risk\u2010neutral measure. The empirical results prove the superiority of our newly proposed model (especially the model based on the LM jump test), which indicates that considering the heteroscedasticity effect of conditional variance, introducing VIX high\u2010frequency data information and separating realized jump variation from the realized variance are very important to obtain much more accurate VIX futures pricing.<\/jats:p>","DOI":"10.1002\/fut.22344","type":"journal-article","created":{"date-parts":[[2022,5,27]],"date-time":"2022-05-27T05:41:03Z","timestamp":1653630063000},"page":"1518-1548","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Directly pricing VIX futures with observable dynamic jumps based on high\u2010frequency VIX"],"prefix":"10.1002","volume":"42","author":[{"given":"Gongyue","family":"Jiang","sequence":"first","affiliation":[{"name":"School of Mathematics Southwest Jiaotong University Chengdu Sichuan Province China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5313-8044","authenticated-orcid":false,"given":"Gaoxiu","family":"Qiao","sequence":"additional","affiliation":[{"name":"School of Mathematics Southwest Jiaotong University Chengdu Sichuan Province China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6539-0965","authenticated-orcid":false,"given":"Feng","family":"Ma","sequence":"additional","affiliation":[{"name":"School of Economics and Management Southwest Jiaotong University Chengdu Sichuan Province China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1896-5228","authenticated-orcid":false,"given":"Lu","family":"Wang","sequence":"additional","affiliation":[{"name":"School of Mathematics Southwest Jiaotong University Chengdu Sichuan Province China"}]}],"member":"311","published-online":{"date-parts":[[2022,5,26]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1105"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.029"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n4.61"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407870"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2008.702503"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2017.09.001"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.616865"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000428"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.08.002"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-53683-9.00010-4"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.08.015"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.07.008"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009814324980"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21762"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00034-8"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2019.1.089"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbs026"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.04.009"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.06.006"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.01.008"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.03.035"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm056"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20291"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2020.1805505"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.036"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"issue":"1","key":"e_1_2_10_35_1","first-page":"1","article-title":"Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model","volume":"39","author":"Pan Z. Y.","year":"2019","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21759"},{"key":"e_1_2_10_38_1","doi-asserted-by":"crossref","unstructured":"Qiao G. X. Jiang G. Y. &Yang J. Y.(2022).VIX term structure forecasting: New evidence based on the realized semi\u2010variances.International Review of Financial Analysis.https:\/\/doi.org\/10.1016\/j.irfa.2022.102199","DOI":"10.1016\/j.irfa.2022.102199"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.04.003"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2020.101186"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-04790-3_15"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.09.010"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105845"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2021.2016592"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21820"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2020.1.096"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21925"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2019.1.075"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22183"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1159318"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20448"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20512"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024907004123"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22344","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22344","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22344","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T11:09:20Z","timestamp":1692875360000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22344"}},"issued":{"date-parts":[[2022,5,26]]},"references-count":53,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2022,8]]}},"alternative-id":["10.1002\/fut.22344"],"URL":"https:\/\/doi.org\/10.1002\/fut.22344","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,5,26]]},"assertion":[{"value":"2021-12-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-05-06","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-05-26","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T13:45:57Z","timestamp":1773150357002,"version":"3.50.1"},"reference-count":25,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4014,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,9]]},"DOI":"10.1002\/fut.3990150603","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T06:48:34Z","timestamp":1183704514000},"page":"617-635","source":"Crossref","is-referenced-by-count":33,"title":["Mean\u2010Gini hedging in futures markets"],"prefix":"10.1002","volume":"15","author":[{"given":"Haim","family":"Shalit","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2232798"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(83)90076-9"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040206"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331328"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100106"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912156"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/58.2.341"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1401917"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913827"},{"key":"e_1_2_1_12_1","volume-title":"The Theory and Practice of Econometrics","author":"Judge G. G.","year":"1985"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240514"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120206"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130603"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130607"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060309"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/28.3-4.428"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/260849"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2347973"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610928708829359"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04917.x"},{"key":"e_1_2_1_23_1","first-page":"15","article-title":"Evaluating the Mean\u2010Gini Approach to Portfolio Selection","volume":"1","author":"Shalit H.","year":"1989","journal-title":"International Journal of Finance"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/52.3-4.591"},{"key":"e_1_2_1_25_1","first-page":"178","article-title":"Stochastic Dominance, Mean\u2010Variance, and Gini's Mean Difference","volume":"72","author":"Yitzhaki S.","year":"1982","journal-title":"American Economic Review"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2648789"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150603","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150603","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:26:58Z","timestamp":1698287218000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150603"}},"issued":{"date-parts":[[1995,9]]},"references-count":25,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1995,9]]}},"alternative-id":["10.1002\/fut.3990150603"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150603","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,9]]}},{"indexed":{"date-parts":[[2026,3,5]],"date-time":"2026-03-05T22:34:29Z","timestamp":1772750069567,"version":"3.50.1"},"reference-count":13,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5687,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,2]]},"DOI":"10.1002\/fut.3990110110","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T16:18:24Z","timestamp":1183652304000},"page":"95-111","source":"Crossref","is-referenced-by-count":5,"title":["Index futures, program trading, and the covariability of the major market index stocks"],"prefix":"10.1002","volume":"11","author":[{"given":"John D.","family":"Martin","sequence":"first","affiliation":[]},{"suffix":"Jr.","given":"A. J.","family":"Senchack","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Brady Nicholas M.(1988): \u201cReport of the Presidential Task Force on Market Mechanisms \u201d Washington D. C."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n4.18"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Harris Lawrence(1988): \u201cS&P 500 Cash Stock Price Volatilities \u201d unpublished manuscript University of Southern California.","DOI":"10.2307\/2328637"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04550.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n4.29"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00985.x"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n3.61"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/295444"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.16"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110110","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110110","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:40:46Z","timestamp":1698014446000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110110"}},"issued":{"date-parts":[[1991,2]]},"references-count":13,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1991,2]]}},"alternative-id":["10.1002\/fut.3990110110"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110110","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,2]]}},{"indexed":{"date-parts":[[2026,3,16]],"date-time":"2026-03-16T15:26:03Z","timestamp":1773674763206,"version":"3.50.1"},"reference-count":12,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7031,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,6]]},"DOI":"10.1002\/(sici)1096-9934(199606)16:4<459::aid-fut6>3.0.co;2-h","type":"journal-article","created":{"date-parts":[[2004,10,21]],"date-time":"2004-10-21T01:57:37Z","timestamp":1098323857000},"page":"459-474","source":"Crossref","is-referenced-by-count":13,"title":["Derivatives usage and interest rate risk of large banking firms"],"prefix":"10.1002","volume":"16","author":[{"given":"Latha","family":"Shanker","sequence":"first","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB1","author":"Dwyer","year":"1995","unstructured":"and (1995, March 13): \u201cThe Lesson from Barings' Straits,\u201d Business Week, Issue 3415, pp. 30\u201332."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB2","doi-asserted-by":"crossref","first-page":"1141","DOI":"10.1111\/j.1540-6261.1984.tb03898.x","volume":"39","author":"Flannery","year":"1984","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB3","doi-asserted-by":"crossref","first-page":"123","DOI":"10.2307\/2330682","volume":"20","author":"Giliberto","year":"1985","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB4","volume-title":"Econometric Analysis","author":"Greene","year":"1990","unstructured":"(1990): Econometric Analysis. New York: Macmillan."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB5","author":"Kerr","year":"1995","unstructured":"(1995, March 3): \u201cRegaining Investors' Confidence,\u201d Euroweek, Issue 392, p. 44."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB6","doi-asserted-by":"crossref","first-page":"47","DOI":"10.1002\/fut.3990040106","volume":"4","author":"Kolb","year":"1984","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB7","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.3990100102","volume":"10","author":"Koppenhaver","year":"1990","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB8","first-page":"17","volume":"22","author":"Richardson","year":"1993","journal-title":"Futures"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB9","volume-title":"Financial Institutions Management: A Modern Perspective","author":"Saunders","year":"1994","unstructured":"(1994): Financial Institutions Management: A Modern Perspective, Burr Ridge, IL: Richard R. Irwin."},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB10","first-page":"44","volume":"82","author":"Segerstrom","year":"1990","journal-title":"ABA Banking Journal"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB11","first-page":"66","volume":"158","author":"Silverman","year":"1995","journal-title":"Far Eastern Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H-BIB12","doi-asserted-by":"crossref","first-page":"283","DOI":"10.1002\/fut.3990030304","volume":"3","author":"Veit","year":"1983","journal-title":"The Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199606)16:4%3C459::AID-FUT6%3E3.0.CO;2-H","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199606)16:4%3C459::AID-FUT6%3E3.0.CO;2-H","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:45:20Z","timestamp":1625132720000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199606)16:4<459::AID-FUT6>3.0.CO;2-H"}},"issued":{"date-parts":[[1996,6]]},"references-count":12,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1996,6]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199606)16:4<459::aid-fut6>3.0.co;2-h","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,6]]}},{"indexed":{"date-parts":[[2026,3,17]],"date-time":"2026-03-17T00:55:14Z","timestamp":1773708914152,"version":"3.50.1"},"reference-count":81,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2021,3,13]],"date-time":"2021-03-13T00:00:00Z","timestamp":1615593600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,6]]},"abstract":"Abstract<\/jats:title>This paper investigates whether commodity\u2010related equities (commodity stocks) should be included in investors' portfolios. In light of the recent financialization of commodity futures markets, it examines the diversification benefits derived from investing in commodity stocks and compares them with those derived from commodity futures. The empirical evidence indicates that over the prefinancialization period, commodity futures provide superior diversification benefits whereas over the postfinancialization period, commodity stock investing is more profitable. Further analysis on the relationship between commodity futures and stock markets reveals that the investor can use price\u2010based signals from futures markets to achieve high commodity stock returns.<\/jats:p>","DOI":"10.1002\/fut.22197","type":"journal-article","created":{"date-parts":[[2021,3,13]],"date-time":"2021-03-13T20:42:25Z","timestamp":1615668145000},"page":"811-874","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["New evidence on commodity stocks"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8644-1629","authenticated-orcid":false,"given":"Charoula","family":"Daskalaki","sequence":"first","affiliation":[{"name":"Department of Economics, Faculty of Social Sciences University of Crete, Gallos University Campus Rethymnon Crete Greece"}]}],"member":"311","published-online":{"date-parts":[[2021,3,13]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.1999.318904"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jam.2250042"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v49.n3.20"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1999.319753"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2013.854821"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.05.003"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.4.637"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0148-6195(96)00037-9"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/1058-3300(95)90002-0"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.9.3.12"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2005.12.003"},{"issue":"1","key":"e_1_2_10_16_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"The American Economic Review"},{"key":"e_1_2_10_17_1","doi-asserted-by":"crossref","unstructured":"B\u00fcy\u00fck\u015fahin B. Haigh M. S. Harris J. H. Overdahl J. A. &Robe M. A.(2008).Fundamentals trader activity and derivative pricing. CTCT Working Paper.https:\/\/doi.org\/10.2139\/ssrn.966692","DOI":"10.2139\/ssrn.966692"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.004"},{"issue":"3","key":"e_1_2_10_19_1","first-page":"1842","article-title":"Holding a commodity futures index fund in a globally diversified portfolio: A placebo effect?","volume":"30","author":"Cao B.","year":"2010","journal-title":"Economics Bulletin"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1982.52"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_10_22_1","doi-asserted-by":"crossref","unstructured":"Cheng I. H. &Xiong W.(2013).The financialization of commodity markets(No. w19642). NBER Working Paper.\u00a0National Bureau of Economic Research.","DOI":"10.3386\/w19642"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v46.n4.76"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.3905\/joi.2010.19.3.010"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2005.500356"},{"key":"e_1_2_10_26_1","unstructured":"Dai R.(2009).Commodities in dynamic asset allocation: Implications of mean reverting commodity prices. Working paper. Tilburg University."},{"key":"e_1_2_10_27_1","volume-title":"Intermediate financial theory","author":"Danthine J.","year":"2014"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.034"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2011.02.022"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2017.07.004"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm075"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603107.2013.839858"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1080\/096031098333212"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.34.3.2"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/1243042"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2001.318997"},{"key":"e_1_2_10_40_1","doi-asserted-by":"crossref","unstructured":"Giamouridis D. Sakkas A. &Tessaromatis N.(2014).The role of commodities in strategic asset allocation. Working paper. Athens University of Economics and Business.","DOI":"10.2139\/ssrn.2478131"},{"key":"e_1_2_10_41_1","volume-title":"Speculative influences on commodity futures prices 2006\u20132008","author":"Gilbert C. L.","year":"2010"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1057\/jdhf.2011.16"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.003"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1059-0560(03)00011-X"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu091"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.173"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330814"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppq032"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n2.53"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(200005)20:5<489::AID-FUT5>3.0.CO;2-A"},{"key":"e_1_2_10_53_1","doi-asserted-by":"crossref","unstructured":"Kat H. M. &Oomen R. C.(2006).What every investor should know about commodities part II: Multivariate return analysis(Vol. 33). Working Paper. Alternative Investment Research Centre.","DOI":"10.2139\/ssrn.908609"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_10_55_1","volume-title":"Speculative markets","author":"Khoury S. J.","year":"1984"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1110.1346"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199602)16:1<55::AID-FUT3>3.0.CO;2-G"},{"key":"e_1_2_10_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2005.07.001"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2014.920471"},{"key":"e_1_2_10_60_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1952.tb01525.x"},{"key":"e_1_2_10_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2017.06.011"},{"key":"e_1_2_10_62_1","doi-asserted-by":"publisher","DOI":"10.1080\/00220388.2011.649261"},{"key":"e_1_2_10_63_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1977.408606"},{"key":"e_1_2_10_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2015.07.005"},{"key":"e_1_2_10_65_1","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jam.2250084"},{"key":"e_1_2_10_66_1","doi-asserted-by":"publisher","DOI":"10.1111\/abac.12023"},{"key":"e_1_2_10_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(00)00062-5"},{"issue":"12","key":"e_1_2_10_68_1","first-page":"201","article-title":"Gold: Protection from calamity but a clunky investment otherwise","volume":"17","author":"Rock A.","year":"1988","journal-title":"Money"},{"key":"e_1_2_10_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(00)00072-4"},{"key":"e_1_2_10_70_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol29-No1-5"},{"key":"e_1_2_10_71_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1982.408850"},{"key":"e_1_2_10_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2012.11.007"},{"key":"e_1_2_10_73_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.39.5.578"},{"key":"e_1_2_10_74_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_10_75_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1991.409343"},{"key":"e_1_2_10_76_1","doi-asserted-by":"publisher","DOI":"10.3905\/joi.3.3.59"},{"key":"e_1_2_10_77_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"issue":"1","key":"e_1_2_10_78_1","first-page":"7","article-title":"Commodity index investing and commodity futures prices","volume":"20","author":"Stoll H. R.","year":"2010","journal-title":"Journal of Applied Finance"},{"key":"e_1_2_10_79_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_10_80_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00042"},{"issue":"6","key":"e_1_2_10_81_1","first-page":"1254","article-title":"The theory of price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"The American Economic Review"},{"key":"e_1_2_10_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.012"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22197","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22197","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22197","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T19:04:03Z","timestamp":1693595043000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22197"}},"issued":{"date-parts":[[2021,3,13]]},"references-count":81,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2021,6]]}},"alternative-id":["10.1002\/fut.22197"],"URL":"https:\/\/doi.org\/10.1002\/fut.22197","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,3,13]]},"assertion":[{"value":"2019-05-17","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-01-28","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-03-13","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,20]],"date-time":"2026-03-20T11:45:39Z","timestamp":1774007139360,"version":"3.50.1"},"reference-count":45,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2021,9,17]],"date-time":"2021-09-17T00:00:00Z","timestamp":1631836800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,1]]},"abstract":"Abstract<\/jats:title>We use sequential energy inventory announcements to shed new light on the informational efficiency of financial markets. Our findings provide clear evidence of inefficiency in crude oil futures and stock markets. This inefficiency can be exploited by sophisticated traders. We examine the effect of market liquidity on the efficient incorporation of information in this setting. We also construct a predictor that can predict inventory surprises and preannouncement returns in\u2010sample and out\u2010of\u2010sample. Finally, we develop a combination forecast that can be used as a proxy for market expectations of oil inventory announcements.<\/jats:p>","DOI":"10.1002\/fut.22264","type":"journal-article","created":{"date-parts":[[2021,9,17]],"date-time":"2021-09-17T19:53:51Z","timestamp":1631908431000},"page":"172-188","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Market inefficiencies surrounding energy announcements"],"prefix":"10.1002","volume":"42","author":[{"given":"Sultan","family":"Alturki","sequence":"first","affiliation":[{"name":"Department of Finance King Saud University Riyadh Kingdom of Saudi Arabia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4375-3550","authenticated-orcid":false,"given":"Alexander","family":"Kurov","sequence":"additional","affiliation":[{"name":"Department of Finance, John Chambers College of Business and Economics West Virginia University Morgantown West Virginia USA"}]}],"member":"311","published-online":{"date-parts":[[2021,9,17]]},"reference":[{"key":"e_1_2_7_2_1","unstructured":"Actual values and median forecasts of the DOE U.S. crude oil inventory changes; 2011\u20132019; not publicly available; data can be obtained from a Bloomberg terminal on payment of a subscription fee;https:\/\/bba.bloomberg.net\/.[dataset]"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_7_4_1","doi-asserted-by":"crossref","unstructured":"Anatolyev S. Seleznev S. &Selezneva V.(2018).Formation of market beliefs in the oil market\u00a0(Working Paper).","DOI":"10.2139\/ssrn.3205044"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.02.002"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2014.949342"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu032"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.05.015"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12222"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.02.012"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.03.005"},{"key":"e_1_2_7_12_1","unstructured":"Daily data for U.S. oil companies; 2011\u20132019; not publicly available; data can be obtained from the Center for Research in Security Prices (CRSP) database on payment of a subscription fee;http:\/\/www.crsp.org\/.[dataset]"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfx035"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2011.09.004"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.06.002"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00660.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.18637\/jss.v017.i01"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21926"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21633"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.003"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q"},{"key":"e_1_2_7_23_1","unstructured":"Intraday data for nearby WTI crude oil futures and the NYSE ARCA Oil and Gas Index; 2011\u20132019; not publicly available; data can be obtained from Genesis Financial Technologies on payment of a data service fee;https:\/\/www.tradenavigator.com\/.[dataset]"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1177\/1094428104266510"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2009.00568.x"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.12.001"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000625"},{"key":"e_1_2_7_28_1","volume-title":"Introduction to bivariate and multivariate analysis","author":"Lindeman R. H.","year":"1980"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr075"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.020"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.06.006"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp063"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfw071"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226092126.003.0009"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.40.2.orou"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2005.09.004"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.22237\/jmasm\/1209614580"},{"key":"e_1_2_7_38_1","unstructured":"U.S. crude oil inventory changes reported by the American Petroleum Institute; 2011\u20132019;https:\/\/www.investing.com\/.[dataset]"},{"key":"e_1_2_7_39_1","unstructured":"U.S. crude oil inventory levels; 2011\u20132019; U.S. Energy Information Administration;https:\/\/www.eia.gov\/petroleum\/data.php.[dataset]"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.08.001"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2020.03.004"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.12.010"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2016.08.011"},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176350366"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22264","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22264","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22264","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T12:03:29Z","timestamp":1693224209000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22264"}},"issued":{"date-parts":[[2021,9,17]]},"references-count":45,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2022,1]]}},"alternative-id":["10.1002\/fut.22264"],"URL":"https:\/\/doi.org\/10.1002\/fut.22264","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,9,17]]},"assertion":[{"value":"2020-12-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-06","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-09-17","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,4,1]],"date-time":"2026-04-01T07:35:06Z","timestamp":1775028906727,"version":"3.50.1"},"reference-count":23,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2002,9,24]],"date-time":"2002-09-24T00:00:00Z","timestamp":1032825600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,11]]},"abstract":"Abstract<\/jats:title>This article presents a family of term structure models that can be applied to value contingent claims in\nmulticommodity and seasonal markets. We apply the framework to the futures contracts on crude and heating oils\ntrading on NYMEX. We show how to deal with the problem of having to value products depending on the\n\u201cwhole\u201d market, such as spread options on contracts on a single commodity maturing at different\ntimes (time\u2010spreads) or spread options on the added value of the products derived from the raw\ncommodity (crack spreads). Also, we show how to build term structure models for a commodity that\nexperiences seasonality, such as heating oil. \u00a9 2002 Wiley Periodicals, Inc. Jrl Fut Mark\n22:1019\u20131035, 2002<\/jats:p>","DOI":"10.1002\/fut.10046","type":"journal-article","created":{"date-parts":[[2002,10,9]],"date-time":"2002-10-09T04:11:41Z","timestamp":1034136701000},"page":"1019-1035","source":"Crossref","is-referenced-by-count":24,"title":["Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market"],"prefix":"10.1002","volume":"22","author":[{"given":"Carlos","family":"Tolmasky","sequence":"first","affiliation":[]},{"given":"Dmitry","family":"Hindanov","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,9,24]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407896"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0218216501001396"},{"issue":"5","key":"e_1_2_1_5_1","first-page":"68","article-title":"Spread the load","volume":"8","author":"German M.","year":"1995","journal-title":"Risk"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070207"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199808)18:5<581::AID-FUT5>3.0.CO;2-1"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331009"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90007-1"},{"key":"e_1_2_1_14_1","volume-title":"Multivariate analysis","author":"Kshirsagar A. M.","year":"1972"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1991.692347"},{"key":"e_1_2_1_16_1","first-page":"117","article-title":"The value of an option to exchange one asset for another","volume":"33","author":"Magrabe W.","year":"1987","journal-title":"Journal of Finance"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1998.408005"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110307"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070509"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407928"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199808)18:5<487::AID-FUT1>3.0.CO;2-Z"},{"key":"e_1_2_1_22_1","unstructured":"Reismann H.(1992).Movements of the term structure of commodity futures and pricing of commodity claims(Working Paper). Haifa Israel: Faculty of I.E. and Management Technion\u2010Israel Institute of Technology."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140206"},{"key":"e_1_2_1_24_1","volume-title":"Energy futures and options: Spread options in energy markets","author":"Wilcox D.","year":"1990"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10046","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10046","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T14:27:16Z","timestamp":1700231236000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10046"}},"issued":{"date-parts":[[2002,9,24]]},"references-count":23,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2002,11]]}},"alternative-id":["10.1002\/fut.10046"],"URL":"https:\/\/doi.org\/10.1002\/fut.10046","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,9,24]]}},{"indexed":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T20:09:51Z","timestamp":1775160591727,"version":"3.50.1"},"reference-count":31,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2018,12,14]],"date-time":"2018-12-14T00:00:00Z","timestamp":1544745600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,4]]},"abstract":"Abstract<\/jats:title>China is a leading participant in the world cotton market. China\u2019s distinctive regulatory structure and procedures and business environment provide an opportunity to explore some unique market dynamics. This study investigates the interrelationship among the spot, futures, and forward cotton markets in China over a period of a major policy change: A temporary State reserve program for cotton that was established in 2011 and ended in 2014. This government intervention significantly distorted the way farmers, manufacturers, and speculators interacted and was not sustainable. Overall, our results support futures market\u2019s dominant role in the price discovery process.<\/jats:p>","DOI":"10.1002\/fut.21981","type":"journal-article","created":{"date-parts":[[2018,12,14]],"date-time":"2018-12-14T12:38:43Z","timestamp":1544791123000},"page":"522-534","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":18,"title":["The trilogy of China cotton markets: The lead\u2013lag relationship among spot, forward, and futures markets"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6694-2023","authenticated-orcid":false,"given":"Mert","family":"Demir","sequence":"first","affiliation":[{"name":"Weissman Center for International Business, Baruch College, City University of New York New York New York"}]},{"given":"Terrence F.","family":"Martell","sequence":"additional","affiliation":[{"name":"Weissman Center for International Business, Baruch College, City University of New York New York New York"}]},{"given":"Jun","family":"Wang","sequence":"additional","affiliation":[{"name":"Center for Futures and Financial Derivatives Research, China Agriculture University Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2018,12,14]]},"reference":[{"key":"e_1_2_7_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2015.02.008"},{"key":"e_1_2_7_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.03.006"},{"key":"e_1_2_7_1_4_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609990648"},{"key":"e_1_2_7_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asieco.2017.12.003"},{"issue":"1","key":"e_1_2_7_1_6_1","first-page":"170","article-title":"Investigation of price discovery and efficiency for cash and futures cotton prices","volume":"9","author":"Brorsen B. W.","year":"1984","journal-title":"Western Journal of Agricultural Economics"},{"key":"e_1_2_7_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2013.01.026"},{"key":"e_1_2_7_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.03.006"},{"key":"e_1_2_7_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01714-X"},{"key":"e_1_2_7_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2684359"},{"key":"e_1_2_7_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1979.10482531"},{"key":"e_1_2_7_1_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939608800362"},{"key":"e_1_2_7_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_7_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0140-9883(96)00020-5"},{"key":"e_1_2_7_1_15_1","volume-title":"China\u2019s integration with global agricultural markets","author":"Gale F.","year":"2017"},{"key":"e_1_2_7_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1574-0862.2010.00456.x"},{"key":"e_1_2_7_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_7_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x"},{"key":"e_1_2_7_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(03)00046-X"},{"key":"e_1_2_7_1_20_1","volume-title":"Examining the dynamic relationship between spot and future prices of agricultural commodities (No. 988)","author":"Hernandez M.","year":"2010"},{"key":"e_1_2_7_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.08.002"},{"key":"e_1_2_7_1_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S026646661000023X"},{"key":"e_1_2_7_1_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_7_1_24_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060129"},{"key":"e_1_2_7_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2012.08.002"},{"key":"e_1_2_7_1_26_1","volume-title":"Cotton policy in China","author":"MacDonald S.","year":"2015"},{"key":"e_1_2_7_1_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.335"},{"key":"e_1_2_7_1_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241453"},{"key":"e_1_2_7_1_29_1","unstructured":"Royston P. (1991). sg3.5: Comment on sg3.4 and an improved D\u2019Agostino test.Stata Technical Bulletin3: 19. Reprinted inStata Technical Bulletin Reprints1:110\u2013112."},{"key":"e_1_2_7_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199904)19:2<175::AID-FUT3>3.0.CO;2-H"},{"key":"e_1_2_7_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01616-8"},{"key":"e_1_2_7_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21905"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21981","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21981","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.21981","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21981","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T20:36:21Z","timestamp":1694723781000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21981"}},"issued":{"date-parts":[[2018,12,14]]},"references-count":31,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2019,4]]}},"alternative-id":["10.1002\/fut.21981"],"URL":"https:\/\/doi.org\/10.1002\/fut.21981","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,12,14]]},"assertion":[{"value":"2018-08-16","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-10-27","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-12-14","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T04:20:16Z","timestamp":1775103616355,"version":"3.50.1"},"reference-count":38,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2023,2,20]],"date-time":"2023-02-20T00:00:00Z","timestamp":1676851200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,5]]},"abstract":"Abstract<\/jats:title>We investigate the valuation of exchange options when the market is affected by changing economic conditions as well as liquidity risks. The volatility and expected returns of both stocks are assumed to be controlled by a continuous\u2010time Markov chain to reflect the effects of varying economic conditions, and a liquidity discounting factor is employed to capture the impact of market liquidity on stock prices. Once the model has been established, we construct a risk\u2010neutral measure with the use of regime\u2010switching Esscher transform, and the characteristic function is then derived in an analytical form, so that a closed\u2010form formula for exchange options can be presented. We further analyze the effects of the two considered factors on exchange option prices numerically.<\/jats:p>","DOI":"10.1002\/fut.22403","type":"journal-article","created":{"date-parts":[[2023,2,20]],"date-time":"2023-02-20T11:38:52Z","timestamp":1676893132000},"page":"662-676","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":35,"title":["Analytically pricing exchange options with stochastic liquidity and regime switching"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1429-5463","authenticated-orcid":false,"given":"Xin\u2010Jiang","family":"He","sequence":"first","affiliation":[{"name":"School of Economics Zhejiang University of Technology Hangzhou China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1692-8711","authenticated-orcid":false,"given":"Sha","family":"Lin","sequence":"additional","affiliation":[{"name":"School of Finance Zhejiang Gongshang University Hangzhou China"}]}],"member":"311","published-online":{"date-parts":[[2023,2,20]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.003"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-009-9043-4"},{"key":"e_1_2_7_4_1","doi-asserted-by":"crossref","unstructured":"Bernard C. &Cui Z.(2010).A note on exchange options under stochastic interest rates.Available at SSRN:https:\/\/ssrn.com\/abstract=1626020","DOI":"10.2139\/ssrn.1626020"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2005.01.003"},{"key":"e_1_2_7_6_1","doi-asserted-by":"crossref","unstructured":"Brunetti C. &Caldarera A.(2004).Asset prices and asset correlations in illiquid markets.Available at SSRN:https:\/\/ssrn.com\/abstract=625184","DOI":"10.2139\/ssrn.625184"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2019.1655785"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1109\/AICI.2010.24"},{"key":"e_1_2_7_9_1","doi-asserted-by":"crossref","unstructured":"Corcuera J. M. Guillaume F. Madan D. B. &Schoutens W.(2010).Implied liquidity\u2010towards stochastic liquidity modeling and liquidity trading.Available at SSRN:https:\/\/ssrn.com\/abstract=1761253","DOI":"10.2139\/ssrn.1761253"},{"key":"e_1_2_7_10_1","volume-title":"Hidden Markov models: Estimation and control","author":"Elliott R. J.","year":"2008"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-005-0013-z"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2012.676208"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.002"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90093-9"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/imaman\/dpab013"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s13160-022-00538-7"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2022.118742"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmaa.2017.10.072"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.11.014"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.05.069"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2018.10.002"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2023.119592"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2004.11.004"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.001"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1214\/17-AAP1367"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00797.x"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1142\/S021902491350043X"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024910006157"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb03397.x"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.3934\/jimo.2019103"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0269964820000698"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2022.1.147"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00124"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2016.06.009"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2018.05.007"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.orl.2011.02.010"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22008"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22403","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22403","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22403","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T00:04:08Z","timestamp":1692576248000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22403"}},"issued":{"date-parts":[[2023,2,20]]},"references-count":38,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2023,5]]}},"alternative-id":["10.1002\/fut.22403"],"URL":"https:\/\/doi.org\/10.1002\/fut.22403","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,2,20]]},"assertion":[{"value":"2022-11-19","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-01-20","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-02-20","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,4,3]],"date-time":"2026-04-03T06:31:35Z","timestamp":1775197895172,"version":"3.50.1"},"reference-count":18,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2019,1,29]],"date-time":"2019-01-29T00:00:00Z","timestamp":1548720000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71871066"],"award-info":[{"award-number":["71871066"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,11]]},"abstract":"Abstract<\/jats:title>We examine the market quality of China's steel rebar futures, along with three other important industrial metal futures. Steel rebar futures are the most active metal futures contracts in China. Our analyses show that while steel rebar and copper futures are comparable in terms of informational efficiency, they are more informationally efficient than iron ore and aluminum futures, with low bid\u2013ask spread, volatility persistence, pricing error variance, and probability of informed trading. We find a bidirectional connection between iron ore and steel rebar futures. Furthermore, we show that these metal futures are weakly related to the Chinese stock market.<\/jats:p>","DOI":"10.1002\/fut.22001","type":"journal-article","created":{"date-parts":[[2019,1,29]],"date-time":"2019-01-29T11:37:21Z","timestamp":1548761841000},"page":"1383-1393","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":17,"title":["Market quality and the connectedness of steel rebar and other industrial metal futures in China"],"prefix":"10.1002","volume":"39","author":[{"given":"Ivan","family":"Indriawan","sequence":"first","affiliation":[{"name":"Auckland University of Technology Auckland New Zealand"}]},{"given":"Qingfu","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Economics, Fudan University Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2230-1261","authenticated-orcid":false,"given":"Yiuman","family":"Tse","sequence":"additional","affiliation":[{"name":"University of Missouri \u2010 St. Louis Missouri"}]}],"member":"311","published-online":{"date-parts":[[2019,1,29]]},"reference":[{"key":"e_1_2_8_1_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2018.1441521"},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg030"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.43.11.1564"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830213"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.01.004"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00005-4"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04074.x"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_8_1_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.1.191"},{"key":"e_1_2_8_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00013-1"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01753-4"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2018.1444554"},{"key":"e_1_2_8_1_16_1","volume-title":"Steel futures forge ahead","author":"Morrison J.","year":"2011"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_8_1_18_1","unstructured":"Sanderson H.(2015). Commodities explained: Metals trading in China.Financial Times. Retrieved fromhttps:\/\/www.ft.com\/content\/7553f022\u2010d6fd\u201011e4\u201093cb\u201000144feab7de"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10117"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22001","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22001","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22001","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22001","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T05:47:35Z","timestamp":1694324855000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22001"}},"issued":{"date-parts":[[2019,1,29]]},"references-count":18,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2019,11]]}},"alternative-id":["10.1002\/fut.22001"],"URL":"https:\/\/doi.org\/10.1002\/fut.22001","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,1,29]]},"assertion":[{"value":"2019-01-19","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-01-20","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-01-29","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T16:56:15Z","timestamp":1649091375601},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":7092,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,4]]},"DOI":"10.1002\/(sici)1096-9934(199604)16:2<241::aid-fut9>3.0.co;2-k","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T21:44:44Z","timestamp":1031694284000},"page":"241-245","source":"Crossref","is-referenced-by-count":0,"title":["Options bibliography"],"prefix":"10.1002","volume":"16","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199604)16:2%3C241::AID-FUT9%3E3.0.CO;2-K","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199604)16:2%3C241::AID-FUT9%3E3.0.CO;2-K","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:00:58Z","timestamp":1625133658000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199604)16:2<241::AID-FUT9>3.0.CO;2-K"}},"issued":{"date-parts":[[1996,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1996,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199604)16:2<241::aid-fut9>3.0.co;2-k","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,4]]}},{"indexed":{"date-parts":[[2022,4,2]],"date-time":"2022-04-02T01:14:57Z","timestamp":1648862097805},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6362,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,4]]},"DOI":"10.1002\/(sici)1096-9934(199804)18:2<225::aid-fut6>3.0.co;2-e","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"225-242","source":"Crossref","is-referenced-by-count":0,"title":["Options trading when the underlying market is not transparent"],"prefix":"10.1002","volume":"18","author":[{"given":"John","family":"Board","sequence":"first","affiliation":[]},{"given":"Charles","family":"Sutcliffe","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199804)18:2%3C225::AID-FUT6%3E3.0.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199804)18:2%3C225::AID-FUT6%3E3.0.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:37:17Z","timestamp":1625132237000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199804)18:2<225::AID-FUT6>3.0.CO;2-E"}},"issued":{"date-parts":[[1998,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1998,4]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199804)18:2<225::aid-fut6>3.0.co;2-e","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,4]]}},{"indexed":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:14:34Z","timestamp":1697775274398},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8578,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,3]]},"DOI":"10.1002\/fut.3990030109","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:48:11Z","timestamp":1183585691000},"page":"101-102","source":"Crossref","is-referenced-by-count":0,"title":["Legal Notes"],"prefix":"10.1002","volume":"3","author":[{"given":"Ronald J.","family":"Horowitz","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030109","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030109","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T23:57:20Z","timestamp":1697759840000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030109"}},"issued":{"date-parts":[[1983,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1983,3]]}},"alternative-id":["10.1002\/fut.3990030109"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030109","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,3]]}},{"indexed":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:14:43Z","timestamp":1697775283701},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8394,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,9]]},"DOI":"10.1002\/fut.3990030302","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T22:59:29Z","timestamp":1183589969000},"page":"235-258","source":"Crossref","is-referenced-by-count":0,"title":["The impact of the Futures Trading Act of 1982 upon commodity regulation"],"prefix":"10.1002","volume":"3","author":[{"given":"Jeffrey S.","family":"Rosen","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030302","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030302","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T00:48:53Z","timestamp":1697762933000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030302"}},"issued":{"date-parts":[[1983,9]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1983,9]]}},"alternative-id":["10.1002\/fut.3990030302"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030302","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,9]]}},{"indexed":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T20:42:57Z","timestamp":1694119377335},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2020,7,9]],"date-time":"2020-07-09T00:00:00Z","timestamp":1594252800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,8]]},"DOI":"10.1002\/fut.22151","type":"journal-article","created":{"date-parts":[[2020,7,9]],"date-time":"2020-07-09T14:34:22Z","timestamp":1594305262000},"page":"1211-1211","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"40","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2020,7,9]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22151","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22151","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22151","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22151","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T05:44:03Z","timestamp":1693979043000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22151"}},"issued":{"date-parts":[[2020,7,9]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2020,8]]}},"alternative-id":["10.1002\/fut.22151"],"URL":"https:\/\/doi.org\/10.1002\/fut.22151","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,7,9]]},"assertion":[{"value":"2020-07-09","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T15:33:48Z","timestamp":1700321628922},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6209,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,9]]},"DOI":"10.1002\/(sici)1096-9934(199809)18:6<723::aid-fut5>3.0.co;2-s","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"723-742","source":"Crossref","is-referenced-by-count":4,"title":["Design, pricing, and returns of short-term hog marketing window contracts"],"prefix":"10.1002","volume":"18","author":[{"given":"James","family":"Unterschultz","sequence":"first","affiliation":[]},{"given":"Frank","family":"Novak","sequence":"additional","affiliation":[]},{"given":"Donald","family":"Bresee","sequence":"additional","affiliation":[]},{"given":"Stephen","family":"Koontz","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199809)18:6%3C723::AID-FUT5%3E3.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199809)18:6%3C723::AID-FUT5%3E3.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:58:55Z","timestamp":1625133535000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199809)18:6<723::AID-FUT5>3.0.CO;2-S"}},"issued":{"date-parts":[[1998,9]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1998,9]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199809)18:6<723::aid-fut5>3.0.co;2-s","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,9]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:34:33Z","timestamp":1699835673930},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":9369,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,3]]},"DOI":"10.1002\/fut.3990010105","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:17:30Z","timestamp":1183576650000},"page":"33-57","source":"Crossref","is-referenced-by-count":2,"title":["The integration of the cash and futures markets for treasury securities"],"prefix":"10.1002","volume":"1","author":[{"given":"Frank J.","family":"Jones","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010105","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010105","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:38:32Z","timestamp":1699785512000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010105"}},"issued":{"date-parts":[[1981,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1981,3]]}},"alternative-id":["10.1002\/fut.3990010105"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010105","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,3]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:34:59Z","timestamp":1699835699598},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8668,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,12]]},"DOI":"10.1002\/fut.3990020409","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:50:40Z","timestamp":1183585840000},"page":"409-414","source":"Crossref","is-referenced-by-count":0,"title":["A note on net and double gains, or losses, in spreading operations"],"prefix":"10.1002","volume":"2","author":[{"given":"P.","family":"Laborde","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020409","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020409","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:27:07Z","timestamp":1699802827000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020409"}},"issued":{"date-parts":[[1982,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1982,12]]}},"alternative-id":["10.1002\/fut.3990020409"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020409","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,12]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:34:35Z","timestamp":1699835675976},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":9094,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,12]]},"DOI":"10.1002\/fut.3990010407","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T20:17:07Z","timestamp":1183580227000},"page":"657-658","source":"Crossref","is-referenced-by-count":1,"title":["Proposed amendment of section 4d(2) of the commodity exchange act: Concerning investment of customer funds"],"prefix":"10.1002","volume":"1","author":[{"given":"Leslie A.","family":"Blau","sequence":"first","affiliation":[]},{"given":"James S.","family":"Barber","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010407","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010407","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:38:46Z","timestamp":1699785526000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010407"}},"issued":{"date-parts":[[1981,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1981,12]]}},"alternative-id":["10.1002\/fut.3990010407"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010407","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,12]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T11:17:55Z","timestamp":1700306275524},"reference-count":25,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,2]]},"DOI":"10.1002\/fut.3990100103","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:23:26Z","timestamp":1183641806000},"page":"13-27","source":"Crossref","is-referenced-by-count":6,"title":["Information content of volatilities implied by option premiums in grain futures markets"],"prefix":"10.1002","volume":"10","author":[{"given":"William W.","family":"Wilson","sequence":"first","affiliation":[]},{"given":"Hung\u2010Gay","family":"Fung","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020102"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Ball C. andTorous W.(1986): \u201cFutures Options and the Volatility of Futures Prices\u201d Journal of Finance 857\u2013870.","DOI":"10.1111\/j.1540-6261.1986.tb04553.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(81)90032-7"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90030-2"},{"key":"e_1_2_1_8_1","volume-title":"Foundations of Finance","author":"Fama E.","year":"1976"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239876"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Glassman D.(1987 ): June \u201cThe Efficiency of Foreign Exchange Futures Markets in Turbulent and Non\u2010Turbulent Periods\u201d Journal of Futures Markets 245\u2013267.","DOI":"10.1002\/fut.3990070303"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241304"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050405"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1986.tb01105.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070108"},{"key":"e_1_2_1_15_1","unstructured":"Kolb R. W.andGay G. D.(1985): \u201cInterest Rate and Stock Index Futures and Options: Characteristics Valuation and Portfolio Strategies \u201d Financial Analysts Research Foundation Monograph Series."},{"issue":"1","key":"e_1_2_1_16_1","doi-asserted-by":"crossref","first-page":"369","DOI":"10.1111\/j.1540-6261.1976.tb01892.x","article-title":"Standard Deviations of Stock Price Ratios Implied in Option Prices","volume":"26","author":"Latane H.","year":"1976","journal-title":"Journal of Finance"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Merton R. C.(1973): \u201cTheory of Rational Option Pricing \u201d Bell Journal of Economics 141\u2013183.","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060309"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050206"},{"key":"e_1_2_1_20_1","unstructured":"Patell J. andWolfson M.(1982): \u201cAnticipated Information Releases Reflected in Call Option Prices \u201d Journal of Accounting and Economics 111\u2013132."},{"key":"e_1_2_1_21_1","first-page":"1","article-title":"Valuing American Options on Commodity Futures Contracts","volume":"37","author":"Plato G.","year":"1985","journal-title":"Agricultural Economics Research"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb02385.x"},{"key":"e_1_2_1_23_1","first-page":"41","article-title":"Proof That Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080105"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020408"},{"key":"e_1_2_1_26_1","volume-title":"Statistical Theory and Econometrics,\u201d Handbook of Econometrics","author":"Zellner A.","year":"1983"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100103","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100103","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:44:16Z","timestamp":1697993056000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100103"}},"issued":{"date-parts":[[1990,2]]},"references-count":25,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1990,2]]}},"alternative-id":["10.1002\/fut.3990100103"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100103","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,2]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:54Z","timestamp":1699834134562},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8668,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1982,12]]},"DOI":"10.1002\/fut.3990020411","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:50:40Z","timestamp":1183585840000},"page":"419-420","source":"Crossref","is-referenced-by-count":0,"title":["Legal notes"],"prefix":"10.1002","volume":"2","author":[{"given":"Ronald J.","family":"Horowitz","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990020411","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990020411","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T15:27:06Z","timestamp":1699802826000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990020411"}},"issued":{"date-parts":[[1982,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1982,12]]}},"alternative-id":["10.1002\/fut.3990020411"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990020411","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1982,12]]}},{"indexed":{"date-parts":[[2023,11,20]],"date-time":"2023-11-20T00:06:50Z","timestamp":1700438810259},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5175,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,7]]},"DOI":"10.1002\/fut.v21:7","type":"journal-issue","created":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T19:07:04Z","timestamp":1700420824000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"21","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v21:7","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T19:07:04Z","timestamp":1700420824000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/21\/7"}},"issued":{"date-parts":[[2001,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2001,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v21:7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,7]]}},{"indexed":{"date-parts":[[2022,3,31]],"date-time":"2022-03-31T10:12:07Z","timestamp":1648721527826},"reference-count":0,"publisher":"Wiley","issue":"7","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,10]]},"DOI":"10.1002\/(sici)1096-9934(199810)18:7<>1.0.co;2-k","type":"journal-issue","created":{"date-parts":[[2021,12,17]],"date-time":"2021-12-17T23:54:22Z","timestamp":1639785262000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"18","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2021,12,17]],"date-time":"2021-12-17T23:54:22Z","timestamp":1639785262000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/18\/7"}},"issued":{"date-parts":[[1998,10]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1998,10]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199810)18:7<>1.0.co;2-k","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,10]]}},{"indexed":{"date-parts":[[2024,8,28]],"date-time":"2024-08-28T00:33:58Z","timestamp":1724805238385},"reference-count":29,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2008,1,8]],"date-time":"2008-01-08T00:00:00Z","timestamp":1199750400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,3]]},"abstract":"Abstract<\/jats:title>This paper explores the effect of extreme events or big jumps downwards and upwards on the jump\u2010diffusion option pricing model of Merton (1976). It starts by obtaining a special case of the jump\u2010diffusion model where there is a positive probability of a big jump downwards. Then, it obtains a new limiting case where there is an asymptotically big jump upwards. The paper extends these models to allow both types of jumps. In some cases these formulas nest Samuelson's (1965) formulas. This simple analysis leads to several closed\u2010form solutions for calls and puts, which are able to generate smiles, and skews with similar shapes to those observed in the marketplace. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:213\u2013230, 2008<\/jats:p>","DOI":"10.1002\/fut.20298","type":"journal-article","created":{"date-parts":[[2008,1,8]],"date-time":"2008-01-08T16:16:39Z","timestamp":1199808999000},"page":"213-230","source":"Crossref","is-referenced-by-count":11,"title":["Closed\u2010form option pricing formulas with extreme events"],"prefix":"10.1002","volume":"28","author":[{"given":"Ant\u00f3nio","family":"C\u00e2mara","sequence":"first","affiliation":[]},{"given":"Steven L.","family":"Heston","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,2,19]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04822.x"},{"key":"e_1_2_1_5_1","unstructured":"Bates D.(1988).Pricing options under jump\u2010diffusion processes. Working paper University of Pennsylvania."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330710"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00544"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00009-9"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/500686"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00667.x"},{"key":"e_1_2_1_17_1","volume-title":"Options, futures, and other derivatives","author":"Hull J.","year":"2003"},{"key":"e_1_2_1_18_1","volume-title":"Theory of financial decision making","author":"Ingersoll J.","year":"1987"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1111\/j.1540-6261.1996.tb05219.x","article-title":"Recovering probability distributions from option prices","volume":"51","author":"Jackwerth J.","year":"1996","journal-title":"Journal of Finance"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.48.8.1086.166"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi011"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009703431535"},{"key":"e_1_2_1_23_1","first-page":"177","article-title":"The value of an option to exchange one asset for another","volume":"33","author":"Margrabe W.","year":"1978","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_24_1","volume-title":"Derivatives markets","author":"McDonald R.","year":"2003"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.493"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_1_30_1","first-page":"13","article-title":"Rational Theory of Warrant Pricing","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20298","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20298","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T14:30:11Z","timestamp":1699972211000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20298"}},"issued":{"date-parts":[[2008,2,19]]},"references-count":29,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2008,3]]}},"alternative-id":["10.1002\/fut.20298"],"URL":"https:\/\/doi.org\/10.1002\/fut.20298","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,2,19]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T09:18:27Z","timestamp":1696670307916},"reference-count":0,"publisher":"Wiley","issue":"9","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,9]]},"DOI":"10.1002\/fut.v36.9","type":"journal-issue","created":{"date-parts":[[2016,7,27]],"date-time":"2016-07-27T05:40:21Z","timestamp":1469598021000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"36","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:27:07Z","timestamp":1696573627000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/36\/9"}},"issued":{"date-parts":[[2016,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2016,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v36.9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,9]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T07:15:32Z","timestamp":1696662932795},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":304,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,11]]},"DOI":"10.1002\/fut.v34.11","type":"journal-issue","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T16:43:24Z","timestamp":1696610604000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"34","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v34.11","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v34.11","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T16:43:24Z","timestamp":1696610604000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/34\/11"}},"issued":{"date-parts":[[2014,11]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2014,11]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v34.11","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,11]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T06:18:34Z","timestamp":1696659514715},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":730,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,9]]},"DOI":"10.1002\/fut.v33.9","type":"journal-issue","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:01:15Z","timestamp":1696597275000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"33","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v33.9","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T13:01:15Z","timestamp":1696597275000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/33\/9"}},"issued":{"date-parts":[[2013,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2013,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v33.9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,9]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T08:42:28Z","timestamp":1696668148067},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2016,3,7]],"date-time":"2016-03-07T00:00:00Z","timestamp":1457308800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,4]]},"DOI":"10.1002\/fut.21744","type":"journal-article","created":{"date-parts":[[2016,3,7]],"date-time":"2016-03-07T21:13:20Z","timestamp":1457385200000},"page":"315-315","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 36, Number 4, April 2016"],"prefix":"10.1002","volume":"36","member":"311","published-online":{"date-parts":[[2016,3,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21744","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21744","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:49:25Z","timestamp":1696574965000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21744"}},"issued":{"date-parts":[[2016,3,7]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2016,4]]}},"alternative-id":["10.1002\/fut.21744"],"URL":"https:\/\/doi.org\/10.1002\/fut.21744","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,3,7]]}},{"indexed":{"date-parts":[[2024,1,17]],"date-time":"2024-01-17T16:08:54Z","timestamp":1705507734131},"reference-count":0,"publisher":"Wiley","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,1]]},"DOI":"10.1002\/fut.v44.1","type":"journal-issue","created":{"date-parts":[[2023,12,19]],"date-time":"2023-12-19T12:46:13Z","timestamp":1702989973000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"44","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2024,1,3]],"date-time":"2024-01-03T13:55:54Z","timestamp":1704290154000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/44\/1"}},"issued":{"date-parts":[[2024,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2024,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v44.1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,1]]}},{"indexed":{"date-parts":[[2024,6,12]],"date-time":"2024-06-12T06:36:51Z","timestamp":1718174211024},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8578,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,3]]},"DOI":"10.1002\/fut.3990030108","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T21:48:11Z","timestamp":1183585691000},"page":"75-100","source":"Crossref","is-referenced-by-count":10,"title":["A fundamental overview of the energy futures market"],"prefix":"10.1002","volume":"3","author":[{"given":"David J.","family":"Hirschfeld","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030108","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030108","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T23:57:25Z","timestamp":1697759845000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030108"}},"issued":{"date-parts":[[1983,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1983,3]]}},"alternative-id":["10.1002\/fut.3990030108"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030108","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,3]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T18:10:43Z","timestamp":1696702243270},"reference-count":0,"publisher":"Wiley","issue":"12","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,12]]},"DOI":"10.1002\/fut.v33.12","type":"journal-issue","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T04:09:33Z","timestamp":1696565373000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"33","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T04:09:34Z","timestamp":1696565374000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/33\/12"}},"issued":{"date-parts":[[2013,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2013,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v33.12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,12]]}},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T00:12:27Z","timestamp":1700093547290},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":2618,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,7]]},"DOI":"10.1002\/fut.v28:7","type":"journal-issue","created":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:11:02Z","timestamp":1700057462000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"28","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v28:7","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v28:7","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:11:02Z","timestamp":1700057462000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/28\/7"}},"issued":{"date-parts":[[2008,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2008,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v28:7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,7]]}},{"indexed":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T12:46:01Z","timestamp":1700657161127},"reference-count":18,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2009,7,27]],"date-time":"2009-07-27T00:00:00Z","timestamp":1248652800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,4]]},"abstract":"Abstract<\/jats:title>This study investigates the impact of reducing the contract size threshold for off\u2010market trading on transaction costs in an options market. This study provides evidence that market makers compete more aggressively for small\u2010to\u2010medium trades and quote mid\u2010size depths more often after the regime change. Results also indicate that small\u2010to\u2010medium trades incur lower transaction costs; however, large trades that are executed on the central limit order book do not benefit from the structural transition. Given recent frictions imposed by regulators on equity markets, these results suggest that options markets provide an effective means for investors to replicate short\u2010selling in underlying securities. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:361\u2013377, 2010<\/jats:p>","DOI":"10.1002\/fut.20428","type":"journal-article","created":{"date-parts":[[2009,7,27]],"date-time":"2009-07-27T14:36:48Z","timestamp":1248705408000},"page":"361-377","source":"Crossref","is-referenced-by-count":1,"title":["The impact of off\u2010market trading on liquidity: Evidence from the Australian options market"],"prefix":"10.1002","volume":"30","author":[{"given":"Andrew","family":"Lepone","sequence":"first","affiliation":[]},{"given":"Jin Young","family":"Yang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,27]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Aspris A. Frino A. &Lepone A.(2006).Competitive dealer markets: Myth or reality? (Working paper).University of Sydney."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20316"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00653.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.005"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1111"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00611.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90029-8"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90006-4"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03858.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90020-9"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.1.175"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00447"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01352.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00387"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb02053.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00259"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20428","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20428","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:52:57Z","timestamp":1700653977000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20428"}},"issued":{"date-parts":[[2009,7,27]]},"references-count":18,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2010,4]]}},"alternative-id":["10.1002\/fut.20428"],"URL":"https:\/\/doi.org\/10.1002\/fut.20428","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,27]]}},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T00:44:50Z","timestamp":1700095490832},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,2]]},"DOI":"10.1002\/fut.v26:2","type":"journal-issue","created":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:35:36Z","timestamp":1700058936000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"26","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:35:37Z","timestamp":1700058937000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/26\/2"}},"issued":{"date-parts":[[2006,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2006,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v26:2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,2]]}},{"indexed":{"date-parts":[[2024,5,31]],"date-time":"2024-05-31T21:11:28Z","timestamp":1717189888884},"reference-count":16,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,9,15]],"date-time":"2006-09-15T00:00:00Z","timestamp":1158278400000},"content-version":"vor","delay-in-days":5158,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,8]]},"DOI":"10.1002\/fut.3990120406","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:18:59Z","timestamp":1183663139000},"page":"447-457","source":"Crossref","is-referenced-by-count":5,"title":["A note on constructing spot price indices to approximate futures prices"],"prefix":"10.1002","volume":"12","author":[{"given":"John","family":"Cita","sequence":"first","affiliation":[]},{"given":"Donald","family":"Lien","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,15]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040304"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664976"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080502"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02406.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330825"},{"key":"e_1_2_1_7_1","first-page":"291","article-title":"T\u2010Bond Futures Prices: Cheapest to Deliver Versus the Index","volume":"3","author":"Castelino M.","year":"1988","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_1_9_1","volume-title":"Hedging with Financial Futures for Institutional Investors","author":"Figelewski S.","year":"1985"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb03924.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080109"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(86)90077-7"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080604"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110504"},{"key":"e_1_2_1_15_1","unstructured":"Paul A. Kahl K. andTomek W.(1981):Performance of Futures Markets: The Case of Potatoes USDA Tech. Bull. No. 1636 (Washington DC)."},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90011-3"},{"key":"e_1_2_1_17_1","volume-title":"The Handbook of Fixed Income Securities","author":"Toevs A.","year":"1987"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120406","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120406","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120406","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,28]],"date-time":"2023-09-28T02:54:56Z","timestamp":1695869696000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120406"}},"issued":{"date-parts":[[1992,8]]},"references-count":16,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1992,8]]}},"alternative-id":["10.1002\/fut.3990120406"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120406","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,8]]}},{"indexed":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T18:41:58Z","timestamp":1698259318495},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4471,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,6]]},"DOI":"10.1002\/fut.3990140402","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:41:41Z","timestamp":1183682501000},"source":"Crossref","is-referenced-by-count":0,"title":["Editorial comment and invitation for articles"],"prefix":"10.1002","volume":"14","member":"311","published-online":{"date-parts":[[2006,8,28]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140402","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140402","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T14:36:09Z","timestamp":1698158169000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140402"}},"issued":{"date-parts":[[1994,6]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1994,6]]}},"alternative-id":["10.1002\/fut.3990140402"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140402","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,6]]}},{"indexed":{"date-parts":[[2024,4,9]],"date-time":"2024-04-09T00:36:08Z","timestamp":1712622968424},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2024,4,8]],"date-time":"2024-04-08T00:00:00Z","timestamp":1712534400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,5]]},"DOI":"10.1002\/fut.22431","type":"journal-article","created":{"date-parts":[[2024,4,8]],"date-time":"2024-04-08T11:36:05Z","timestamp":1712576165000},"page":"697-697","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 44, Number 5, May 2024"],"prefix":"10.1002","volume":"44","member":"311","published-online":{"date-parts":[[2024,4,8]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22431","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,4,8]],"date-time":"2024-04-08T11:36:20Z","timestamp":1712576180000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22431"}},"issued":{"date-parts":[[2024,4,8]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2024,5]]}},"alternative-id":["10.1002\/fut.22431"],"URL":"https:\/\/doi.org\/10.1002\/fut.22431","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,4,8]]},"assertion":[{"value":"2024-04-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T13:15:05Z","timestamp":1693314905810},"reference-count":0,"publisher":"Wiley","issue":"12","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,12]]},"DOI":"10.1002\/fut.v41.12","type":"journal-issue","created":{"date-parts":[[2021,11,9]],"date-time":"2021-11-09T18:59:50Z","timestamp":1636484390000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"41","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T06:49:36Z","timestamp":1693205376000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/41\/12"}},"issued":{"date-parts":[[2021,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2021,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v41.12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,12]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T23:00:19Z","timestamp":1709247619065},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5325,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2001,2]]},"DOI":"10.1002\/1096-9934(200102)21:2<127::aid-fut2>3.3.co;2-2","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:58:24Z","timestamp":1031702304000},"page":"127-144","source":"Crossref","is-referenced-by-count":2,"title":["Time variation in the correlation structure of exchange rates: high\u2010frequency analyses"],"prefix":"10.1002","volume":"21","author":[{"given":"Jayaram","family":"Muthuswamy","sequence":"first","affiliation":[]},{"given":"Sudipto","family":"Sarkar","sequence":"additional","affiliation":[]},{"given":"Aaron","family":"Low","sequence":"additional","affiliation":[]},{"given":"Eric","family":"Terry","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200102)21:2%3C127::AID-FUT2%3E3.3.CO;2-2","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T16:49:35Z","timestamp":1507654175000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/1096-9934%28200102%2921%3A2%3C127%3A%3AAID-FUT2%3E3.3.CO%3B2-2"}},"issued":{"date-parts":[[2001,2]]},"references-count":0,"journal-issue":{"issue":"2"},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200102)21:2<127::aid-fut2>3.3.co;2-2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,2]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T06:10:10Z","timestamp":1697868610183},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7145,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,2]]},"DOI":"10.1002\/fut.3990070112","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:52:38Z","timestamp":1183614758000},"page":"111-113","source":"Crossref","is-referenced-by-count":0,"title":["Futures bibliography"],"prefix":"10.1002","volume":"7","author":[{"given":"Robert T.","family":"Daigler","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070112","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070112","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T01:09:06Z","timestamp":1697850546000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070112"}},"issued":{"date-parts":[[1987,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1987,2]]}},"alternative-id":["10.1002\/fut.3990070112"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070112","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,2]]}},{"indexed":{"date-parts":[[2023,9,15]],"date-time":"2023-09-15T15:40:26Z","timestamp":1694792426359},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2017,7,3]],"date-time":"2017-07-03T00:00:00Z","timestamp":1499040000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,8]]},"DOI":"10.1002\/fut.21852","type":"journal-article","created":{"date-parts":[[2017,7,3]],"date-time":"2017-07-03T08:10:36Z","timestamp":1499069436000},"page":"743-743","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"37","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2017,7,3]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21852","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21852","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T07:53:03Z","timestamp":1694677983000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21852"}},"issued":{"date-parts":[[2017,7,3]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2017,8]]}},"alternative-id":["10.1002\/fut.21852"],"URL":"https:\/\/doi.org\/10.1002\/fut.21852","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,7,3]]}},{"indexed":{"date-parts":[[2023,9,15]],"date-time":"2023-09-15T06:10:54Z","timestamp":1694758254128},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2017,3,2]],"date-time":"2017-03-02T00:00:00Z","timestamp":1488412800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,4]]},"DOI":"10.1002\/fut.21835","type":"journal-article","created":{"date-parts":[[2017,3,2]],"date-time":"2017-03-02T07:25:35Z","timestamp":1488439535000},"page":"315-315","source":"Crossref","is-referenced-by-count":0,"title":["Editor's Note"],"prefix":"10.1002","volume":"37","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2017,3,2]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21835","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21835","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T07:54:32Z","timestamp":1694678072000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21835"}},"issued":{"date-parts":[[2017,3,2]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2017,4]]}},"alternative-id":["10.1002\/fut.21835"],"URL":"https:\/\/doi.org\/10.1002\/fut.21835","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,3,2]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T12:04:26Z","timestamp":1698062666352},"reference-count":17,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7937,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,12]]},"DOI":"10.1002\/fut.3990040403","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T04:08:05Z","timestamp":1183608485000},"page":"465-478","source":"Crossref","is-referenced-by-count":16,"title":["Can chartists outperform the market? market efficiency tests for \u201ctechnical analysis\u201d"],"prefix":"10.1002","volume":"4","author":[{"given":"Salih N.","family":"Neftci","sequence":"first","affiliation":[]},{"given":"Andrew J.","family":"Policano","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Alexander S.(1961): \u201cPrice Movements in Speculative Markets; Trends or Random Walks \u201dIndustrial Management Review."},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Cargill T. andRausser G.(1975): \u201cTemporal Price Behavior in Commodity Markets \u201dJournal of Finance.","DOI":"10.2307\/2326722"},{"key":"e_1_2_1_4_1","volume-title":"Technical Analysis of Stock Trends","author":"Edwards R.","year":"1948"},{"key":"e_1_2_1_5_1","unstructured":"Gilbert G. C.(1982): \u201cSome Problems in Testing the Efficient Markets Hypothesis on Foreign Exchange and Commodity Market Data \u201d unpublished."},{"key":"e_1_2_1_6_1","volume-title":"Forecasting Economic Times Series","author":"Granger C. E. J.","year":"1977"},{"key":"e_1_2_1_7_1","unstructured":"Granger C. E. J. Newbold P. andLabys W. C.(1970):Speculation Hedging and Commodity Price Forecasts."},{"key":"e_1_2_1_8_1","unstructured":"Houthakker H.(1961): \u201cSystematic and Random Elements in Short Term Price Movements \u201dAmerican Economic Review."},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020306"},{"key":"e_1_2_1_10_1","unstructured":"Land R. W. andRasche R. H.(1978 December): \u201cA Comparison of Yields on Futures Contracts in the International Money Market \u201dFederal Reserve Bank of St. Louis Review."},{"key":"e_1_2_1_11_1","unstructured":"Neftci S. N.(1984): \u201cSome Econometric Problems in Using Daily Data from Futures Markets \u201d Manuscript in preparation."},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Rendleman R. J. andCarabine M.(1979): \u201cThe Efficiency of the Treasury Bills Futures Market \u201dJournal of Finance.","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_13_1","unstructured":"Smidt S.(1965): \u201cA Test of the Serial Independence of Price Changes in Soybean Futures \u201dFood Research Institute Studies."},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Stevenson R. andBear R.(1970): \u201cCommodity Futures: Trends or Random Walk \u201dJournal of Finance.","DOI":"10.1111\/j.1540-6261.1970.tb00414.x"},{"key":"e_1_2_1_15_1","volume-title":"Optimal Stopping Rules","author":"Shiryayev N.","year":"1977"},{"key":"e_1_2_1_16_1","volume-title":"Statistics of Random Processes, I and II","author":"Shiryayev N.","year":"1979"},{"key":"e_1_2_1_17_1","volume-title":"The Commodity Futures Game","author":"Teweles R. J.","year":"1974"},{"key":"e_1_2_1_18_1","unstructured":"Working H.(1958 May): \u201cA Theory of Anticipatory Prices \u201dAmerican Economic Review."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040403","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040403","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T06:07:42Z","timestamp":1697782062000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040403"}},"issued":{"date-parts":[[1984,12]]},"references-count":17,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1984,12]]}},"alternative-id":["10.1002\/fut.3990040403"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040403","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,12]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T12:11:26Z","timestamp":1697976686552},"reference-count":6,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7755,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,6]]},"DOI":"10.1002\/fut.3990050203","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:26:22Z","timestamp":1183613182000},"page":"173-182","source":"Crossref","is-referenced-by-count":6,"title":["An empirical test of a duration\u2010based hedge: The case of corporate bonds"],"prefix":"10.1002","volume":"5","author":[{"given":"William J.","family":"Landes","sequence":"first","affiliation":[]},{"given":"John D.","family":"Stoffels","sequence":"additional","affiliation":[]},{"given":"James A.","family":"Seifert","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330472"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1981.408806"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330468"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00057.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330507"},{"key":"e_1_2_1_7_1","unstructured":"Macaulay F. R.(1938):Some Theoretical Problems Suggested by The Movements of Interest Rates Bond Yields and Stock Prices in the U.S. Since 1856. National Bureau of Economic Research New York."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050203","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050203","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T12:40:09Z","timestamp":1697892009000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050203"}},"issued":{"date-parts":[[1985,6]]},"references-count":6,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1985,6]]}},"alternative-id":["10.1002\/fut.3990050203"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050203","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,6]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T21:10:52Z","timestamp":1698009052659},"reference-count":0,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6903,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,10]]},"DOI":"10.1002\/fut.3990070501","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:46:21Z","timestamp":1183625181000},"source":"Crossref","is-referenced-by-count":0,"title":["Masthead"],"prefix":"10.1002","volume":"7","member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070501","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070501","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T20:40:07Z","timestamp":1697920807000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070501"}},"issued":{"date-parts":[[1987,10]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1987,10]]}},"alternative-id":["10.1002\/fut.3990070501"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070501","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,10]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T17:31:49Z","timestamp":1697995909347},"reference-count":17,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":7633,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,12]]},"DOI":"10.1002\/fut.3990050408","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:33:45Z","timestamp":1183613625000},"page":"607-620","source":"Crossref","is-referenced-by-count":13,"title":["An Efficiency Analysis of the T\u2010Bond Futures Market"],"prefix":"10.1002","volume":"5","author":[{"given":"Robert C.","family":"Klemkosky","sequence":"first","affiliation":[]},{"given":"Dennis J.","family":"Lasser","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Taxes, Treasury Bills, and Treasury Bill Futures","author":"Arak M.","year":"1980"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1978.tb01069.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935783"},{"key":"e_1_2_1_5_1","unstructured":"Chicago Board of Trade. (1979\u20131982):Interest Rate Futures Statistical Annual."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1978.tb01068.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020106"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_9_1","volume-title":"Interest Rates Futures: Concepts and Issues","author":"Gay G.","year":"1982"},{"key":"e_1_2_1_10_1","unstructured":"Gay G. andManaster S.(1984 October): \u201cImplicit Delivery Options and Optimal Strategies for Financial Futures Contracts \u201d presented at Financial Management Association meetings."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020302"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1980.tb00478.x"},{"key":"e_1_2_1_13_1","unstructured":"Poole W.(1978 Spring): \u201cUsing T\u2010Bill Futures to Gauge Interest Rate Expectations \u201dFederal Reserve Bank of San Francisco Economic Review 7\u201315."},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb03443.x"},{"key":"e_1_2_1_15_1","first-page":"287","article-title":"The Relationship Between Futures and Cash Prices for U.S. Treasury Bonds","volume":"2","author":"Resnick B.","year":"1983","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_16_1","first-page":"88","article-title":"The Relationship between Futures Prices for U.S. T\u2010Bonds","volume":"3","author":"Resnick B.","year":"1984","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1979.78"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1980.tb00048.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050408","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050408","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:09:57Z","timestamp":1697774997000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050408"}},"issued":{"date-parts":[[1985,12]]},"references-count":17,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1985,12]]}},"alternative-id":["10.1002\/fut.3990050408"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050408","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,12]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T06:10:24Z","timestamp":1697955024400},"reference-count":18,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,12,27]],"date-time":"2006-12-27T00:00:00Z","timestamp":1167177600000},"content-version":"vor","delay-in-days":6783,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1988,6]]},"DOI":"10.1002\/fut.3990080308","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T09:53:00Z","timestamp":1183629180000},"page":"353-363","source":"Crossref","is-referenced-by-count":4,"title":["A risk premium under uncertain inflation: The inflation futures evidence"],"prefix":"10.1002","volume":"8","author":[{"given":"Chen\u2010Chin","family":"Chu","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,12,27]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/296337"},{"key":"e_1_2_1_3_1","volume-title":"Time Series Analysis: Forecasting and Control","author":"Box G. E. P.","year":"1976"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1975.tb01823.x"},{"key":"e_1_2_1_5_1","unstructured":"Chu C.(1984): \u201cAlternative Methods for Determining the Expected Market Risk Premium: Theory and Evidence\u201d Unpublished Ph. D. dissertation The University of Illinois at Urbana\u2010Champaign."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01074.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2327988"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90014-9"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/260339"},{"key":"e_1_2_1_11_1","volume-title":"The Theory of Interest","author":"Fisher I.","year":"1930"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb03214.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02495.x"},{"key":"e_1_2_1_14_1","first-page":"3","volume-title":"Business Review","author":"Horrigan Brian R.","year":"1987"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/261289"},{"key":"e_1_2_1_16_1","first-page":"255","article-title":"Real Interest Rates and CPI\u2010W Futures","volume":"1","author":"Petzel Todd E.","year":"1986","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90003-9"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb03531.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00657.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990080308","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990080308","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T07:42:33Z","timestamp":1697874153000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990080308"}},"issued":{"date-parts":[[1988,6]]},"references-count":18,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1988,6]]}},"alternative-id":["10.1002\/fut.3990080308"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990080308","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1988,6]]}},{"indexed":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T05:53:26Z","timestamp":1698213206170},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8005,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,10]]},"DOI":"10.1002\/fut.v13:7","type":"journal-issue","created":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T18:31:44Z","timestamp":1698172304000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"13","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v13:7","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v13:7","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T18:31:44Z","timestamp":1698172304000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/13\/7"}},"issued":{"date-parts":[[1993,10]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1993,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v13:7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,10]]}},{"indexed":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T15:21:57Z","timestamp":1698247317882},"reference-count":10,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5990,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,4]]},"DOI":"10.1002\/fut.3990100211","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T13:46:35Z","timestamp":1183643195000},"page":"201-204","source":"Crossref","is-referenced-by-count":3,"title":["A note on hedging performance and portfolio effects"],"prefix":"10.1002","volume":"10","author":[{"given":"Da\u2010Hsiang Donald","family":"Lien","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_3_1","unstructured":"Black D(1986): \u201cSuccess and Failure of Futures Contracts: Theory and Empirical Evidence \u201d NYU Business School Monograph Series in Finance and Economics."},{"key":"e_1_2_1_4_1","volume-title":"Econometrics","author":"Dhrymes P. M.","year":"1980"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070606"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090208"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080605"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080307"},{"key":"e_1_2_1_11_1","volume-title":"The Economics of Futures Markets","author":"Stein J. L.","year":"1986"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100211","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100211","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:20:53Z","timestamp":1697991653000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100211"}},"issued":{"date-parts":[[1990,4]]},"references-count":10,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1990,4]]}},"alternative-id":["10.1002\/fut.3990100211"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100211","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,4]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:44:56Z","timestamp":1709243096154},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5936,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,6]]},"DOI":"10.1002\/(sici)1096-9934(199906)19:4<433::aid-fut3>3.3.co;2-1","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:46:13Z","timestamp":1030297573000},"page":"433-455","source":"Crossref","is-referenced-by-count":1,"title":["Margin requirements and futures activity: Evidence from the soybean and corn markets"],"prefix":"10.1002","volume":"19","author":[{"given":"Bahram","family":"Adrangi","sequence":"first","affiliation":[]},{"given":"Arjun","family":"Chatrath","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199906)19:4%3C433::AID-FUT3%3E3.3.CO;2-1","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T16:16:09Z","timestamp":1507652169000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199906%2919%3A4%3C433%3A%3AAID-FUT3%3E3.3.CO%3B2-1"}},"issued":{"date-parts":[[1999,6]]},"references-count":0,"journal-issue":{"issue":"4"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199906)19:4<433::aid-fut3>3.3.co;2-1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,6]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:29Z","timestamp":1740104549247,"version":"3.37.3"},"reference-count":35,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2021,12,28]],"date-time":"2021-12-28T00:00:00Z","timestamp":1640649600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/100007439","name":"Jan Wallanders och Tom Hedelius Stiftelse samt Tore Browaldhs Stiftelse","doi-asserted-by":"publisher","award":["P19\u20100114"],"award-info":[{"award-number":["P19\u20100114"]}],"id":[{"id":"10.13039\/100007439","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,9]]},"abstract":"Abstract<\/jats:title>Prior research has examined whether Twitter information predicts stock returns and volatility. We study the causality between Twitter information, stock\u2010realized volatility, and option\u2010implied volatility using a panel vector autoregressive model. Using panel data on S&P\/ASX 200 stocks, we reveal a bidirectional causality between realized volatility and Twitter activity and divergence of opinion. We also find strong evidence of causality from implied idiosyncratic volatility to Twitter activity, sentiment, and divergence of opinion. Our results highlight the role of the options market in predicting Twitter information and monitoring social media flows to prevent the spread of fake news.<\/jats:p>","DOI":"10.1002\/fut.22303","type":"journal-article","created":{"date-parts":[[2021,12,29]],"date-time":"2021-12-29T06:19:16Z","timestamp":1640758756000},"page":"1755-1771","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Are option traders more informed than Twitter users? A PVAR analysis"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5290-2925","authenticated-orcid":false,"given":"Alex","family":"Frino","sequence":"first","affiliation":[{"name":"School of Business University of Wollongong Northfields Ave Wollongong New South Wales Australia"}]},{"given":"Caihong","family":"Xu","sequence":"additional","affiliation":[{"name":"Stockholm Business School Stockholm University Stockholm Sweden"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9880-7731","authenticated-orcid":false,"given":"Z. Ivy","family":"Zhou","sequence":"additional","affiliation":[{"name":"School of Business University of Wollongong Northfields Ave Wollongong New South Wales Australia"}]}],"member":"311","published-online":{"date-parts":[[2021,12,28]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02614.x"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00662.x"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01642-D"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-51865"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(81)90032-7"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04513.x"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr-10211"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu001"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90030-2"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_8_13_1","unstructured":"[dataset]Frino A. Xu C. &Zhou Z. I.(March 07 2016\u2013February 28 2020).Social media stock and option data on S&P\/ASX 200 stocks. Bloomberg.https:\/\/www.bloomberg.com\/professional\/product\/data-license\/"},{"key":"e_1_2_8_14_1","unstructured":"[dataset]Frino A. Xu C. &Zhou Z. I.(March 07 2016\u2013February 28 2020).S&P\/ASX 200 stock index and VIX data. Bloomberg.https:\/\/www.bloomberg.com\/professional\/product\/data-license\/"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20327"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2012.02.014"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/15427560.2020.1772261"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6281.00049"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/rax020"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109019000127"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1515\/9780691218632"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jebo.2020.03.002"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01892.x"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00098-7"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2005.11.007"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03597.x"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.019"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2006.00224.x"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.07.002"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/jbfa.12086"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21620"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22303","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22303","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22303","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T01:34:39Z","timestamp":1692840879000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22303"}},"issued":{"date-parts":[[2021,12,28]]},"references-count":35,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2022,9]]}},"alternative-id":["10.1002\/fut.22303"],"URL":"https:\/\/doi.org\/10.1002\/fut.22303","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,12,28]]},"assertion":[{"value":"2021-11-29","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-12-11","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-12-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:49Z","timestamp":1740104569673,"version":"3.37.3"},"reference-count":24,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2019,6,3]],"date-time":"2019-06-03T00:00:00Z","timestamp":1559520000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,8]]},"abstract":"Abstract<\/jats:title>Block trading, which was sparse before the reduction of the minimum permissible block size threshold in October 2012, currently accounts for about 30% of the trading volume in WTI crude oil options. Block orders share similar characteristics to those routed at the pit, but they have lower information content and face higher execution costs, due to high search costs. However, our results show that such block orders would have been costlier to execute at the pit, which suggests that some pit order flow may have migrated to the upstairs market, contributing to the eventual demise of energy options pits.<\/jats:p>","DOI":"10.1002\/fut.22014","type":"journal-article","created":{"date-parts":[[2019,6,4]],"date-time":"2019-06-04T08:24:08Z","timestamp":1559636648000},"page":"985-1007","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Block trades in options markets"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0820-1080","authenticated-orcid":false,"given":"Eleni","family":"Gousgounis","sequence":"first","affiliation":[{"name":"Department of Economics and Finance, Kania School of Management University of Scranton Scranton PA"},{"name":"Office of the Chief Economist U.S. Commodity Futures Trading Commission Washington, DC"}]},{"given":"Sayee","family":"Srinivasan","sequence":"additional","affiliation":[{"name":"Office of the Chief Economist U.S. Commodity Futures Trading Commission Washington, DC"}]}],"member":"311","published-online":{"date-parts":[[2019,6,3]]},"reference":[{"key":"e_1_2_10_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2006.00140.x"},{"key":"e_1_2_10_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00064-2"},{"key":"e_1_2_10_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.005"},{"volume-title":"Encyclopedia of quantitative finance","year":"2010","author":"Bessembinder H.","key":"e_1_2_10_1_5_1"},{"key":"e_1_2_10_1_6_1","unstructured":"Bullock N.(2017 August 2). Chicago open\u2010outcry trading floor launch wins approval.Financial Times. Retrieved fromhttps:\/\/www.ft.com\/content\/fc1ebbca\u201077cb\u201011e7\u201090c0\u201090a9d1bc9691"},{"key":"e_1_2_10_1_7_1","unstructured":"CME Group. (2012 September 27).Certification rule submission 12\u2010292R. Retrieved fromhttp:\/\/www.cmegroup.com\/market\u2010regulation\/files\/12\u2010301_FINAL.pdf"},{"key":"e_1_2_10_1_8_1","unstructured":"CME Group. (2013 November 8).Market regulation advisory notice rule 526. Retrieved fromhttps:\/\/www.cmegroup.com\/rulebook\/files\/cme\u2010cbot\u2010ra1313\u20103\u2010block\u2010trades.pdf"},{"key":"e_1_2_10_1_9_1","unstructured":"CME Group. (2014a June 27).Market regulation advisory notice RA1311\u20105RR.Retrieved fromhttp:\/\/www.cmegroup.com\/rulebook\/files\/ra1311\u20105rr\u2010rule538.pdf"},{"key":"e_1_2_10_1_10_1","unstructured":"CME Group. (2014b April 2).Market regulation advisory notice rule 536.D. Retrieved fromhttp:\/\/www.cmegroup.com\/rulebook\/files\/cme\u2010group\u2010ra1401\u20105.pdf"},{"key":"e_1_2_10_1_11_1","first-page":"1","article-title":"EFRPs and block trades: Where did they come from and where are they going","volume":"34","author":"Dunsky L.","year":"2014","journal-title":"The Journal on the Law of Investment and Risk Management Products"},{"key":"e_1_2_10_1_12_1","unstructured":"Fong K. Madhavan A.&SwanP.(2004).Upstairs downstairs: Does the upstairs market hurt the downstairs?(Working paper).https:\/\/www.researchgate.net\/publication\/228692104_Upstairs_downstairs_Does_the_upstai"},{"key":"e_1_2_10_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02450.x"},{"key":"e_1_2_10_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/296583"},{"key":"e_1_2_10_1_15_1","unstructured":"Hranaiova J. Haigh M.S.&Overdahl J.(2004).Block trades in futures and options markets(Working paper)."},{"key":"e_1_2_10_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.1"},{"key":"e_1_2_10_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00985.x"},{"key":"e_1_2_10_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912003"},{"key":"e_1_2_10_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_10_1_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.1.175"},{"key":"e_1_2_10_1_21_1","unstructured":"Philips M.(2013 January 24). Traders take their swaps trades to futures exchanges.Bloomberg Business. Retrieved fromhttp:\/\/www.bloomberg.com\/news\/articles\/2013\u201001\u201024\/traders\u2010take\u2010their\u2010swaps\u2010deals\u2010to\u2010futures\u2010exchanges"},{"key":"e_1_2_10_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.06.003"},{"key":"e_1_2_10_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05081.x"},{"key":"e_1_2_10_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00387"},{"key":"e_1_2_10_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00066-6"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22014","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22014","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22014","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22014","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T16:10:48Z","timestamp":1694275848000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22014"}},"issued":{"date-parts":[[2019,6,3]]},"references-count":24,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2019,8]]}},"alternative-id":["10.1002\/fut.22014"],"URL":"https:\/\/doi.org\/10.1002\/fut.22014","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,6,3]]},"assertion":[{"value":"2019-04-04","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-04-04","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-06-03","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:21:55Z","timestamp":1740104515937,"version":"3.37.3"},"reference-count":23,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2023,8,7]],"date-time":"2023-08-07T00:00:00Z","timestamp":1691366400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72271249"],"award-info":[{"award-number":["72271249"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,12]]},"abstract":"Abstract<\/jats:title>This study proposes a new approach to derive the characteristic function of a general stochastic volatility model by sequentially utilizing the It\u00f4\u2013Taylor expansions. In particular, our method applies to non\u2010affine stochastic volatility models with jumps, for which the corresponding characteristic functions do not have closed\u2010form expressions. Numerically inverting these characteristic functions can yield accurate probability density functions of stochastic volatility models to serve for various pricing and hedging purposes in quantitative finance. The proposed sequential<\/jats:italic> It\u00f4\u2013Taylor expansion allows us to handle derivatives with medium to long maturities. Numerical experiments illustrate the accuracy and effectiveness of our approach.<\/jats:p>","DOI":"10.1002\/fut.22455","type":"journal-article","created":{"date-parts":[[2023,8,7]],"date-time":"2023-08-07T08:55:00Z","timestamp":1691398500000},"page":"1750-1769","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Sequential It\u00f4\u2013Taylor expansions and characteristic functions of stochastic volatility models"],"prefix":"10.1002","volume":"43","author":[{"given":"Kailin","family":"Ding","sequence":"first","affiliation":[{"name":"Lingnan College Sun Yat\u2010sen University Guangzhou China"},{"name":"Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9429-7121","authenticated-orcid":false,"given":"Zhenyu","family":"Cui","sequence":"additional","affiliation":[{"name":"School of Business Stevens Institute of Technology Hoboken New Jersey USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9211-0340","authenticated-orcid":false,"given":"Yanchu","family":"Liu","sequence":"additional","affiliation":[{"name":"Lingnan College Sun Yat\u2010sen University Guangzhou China"}]}],"member":"311","published-online":{"date-parts":[[2023,8,7]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00274"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1214\/009053607000000622"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.006"},{"key":"e_1_2_7_5_1","doi-asserted-by":"crossref","unstructured":"Attari M.(2004).Option pricing using Fourier transforms: A numerically efficient simplification(pp.1\u20137). Available at SSRN:https:\/\/doi.org\/10.2139\/ssrn.520042","DOI":"10.2139\/ssrn.520042"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2013.868631"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1999.043"},{"key":"e_1_2_7_9_1","unstructured":"Cherubini U. Lunga G. D. Mulinacci S. &Rossi P. (2010).Fourier transform methods in finance.John Wiley & Sons."},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1137\/16M1106572"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2020.1.127"},{"key":"e_1_2_7_12_1","unstructured":"Cui Z. &Xu Y.(2021).Estimation and pricing for L\u00e9vy\u2010type models in finance\u2014An eigenfunction approach to Fourier inversion[Working Paper]."},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2021.2013520"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2015.11.010"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1137\/080718061"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/3215299"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00506.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12124"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_7_20_1","unstructured":"Heston S. L.(1997).A simple new formula for options with stochastic volatility(Technical Report). Washington University of St. Louis."},{"key":"e_1_2_7_21_1","unstructured":"Platen E.(1997).A non\u2010linear stochastic volatility model(Financial Mathematics Research Report No. FMRR 005\u201097). Center for Financial Mathematics Australian National University Canberra."},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.3934\/dcdss.2020052"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2021.104083"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.01.003"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22455","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,3]],"date-time":"2023-11-03T09:41:31Z","timestamp":1699004491000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22455"}},"issued":{"date-parts":[[2023,8,7]]},"references-count":23,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2023,12]]}},"alternative-id":["10.1002\/fut.22455"],"URL":"https:\/\/doi.org\/10.1002\/fut.22455","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2023,8,7]]},"assertion":[{"value":"2022-10-17","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-07-25","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-08-07","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:12Z","timestamp":1740104532591,"version":"3.37.3"},"reference-count":33,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2024,1,15]],"date-time":"2024-01-15T00:00:00Z","timestamp":1705276800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,4]]},"abstract":"Abstract<\/jats:title>Price discovery studies of a single asset traded in multiple markets have traditionally focused on assessing the relative price discovery contribution of each market. However, in this paper, we demonstrate that the overall price discovery across all markets can undergo changes even when the relative price discovery of each market remains constant. We propose that this overall change in price discovery can be effectively captured by the fractional parameter in the fractionally cointegrated vector autoregressive (FCVAR) model. In contrast, the widely used cointegrated vector autoregressive (CVAR) model fails to account for this dynamic in overall price discovery. Through a combination of simulation exercises and empirical applications, we show that the FCVAR approach outperforms the CVAR model not only in evaluating the relative price discovery contributions but also, more importantly, in providing a comprehensive measurement of overall price discovery.<\/jats:p>","DOI":"10.1002\/fut.22484","type":"journal-article","created":{"date-parts":[[2024,1,15]],"date-time":"2024-01-15T10:28:22Z","timestamp":1705314502000},"page":"605-618","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Price discovery and long\u2010memory property: Simulation and empirical evidence from the bitcoin market"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9354-9104","authenticated-orcid":false,"given":"Ke","family":"Xu","sequence":"first","affiliation":[{"name":"Department of Economics University of Victoria Victoria British Columbia Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4957-027X","authenticated-orcid":false,"given":"Yu\u2010Lun","family":"Chen","sequence":"additional","affiliation":[{"name":"Department of Finance Chung Yuan Christian University Taoyuan Jhongli Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4086-1134","authenticated-orcid":false,"given":"Bo","family":"Liu","sequence":"additional","affiliation":[{"name":"Department of Economics University of Victoria Victoria British Columbia Canada"}]},{"given":"Jian","family":"Chen","sequence":"additional","affiliation":[{"name":"Department of Electrical and Computer Engineering Queen's University Kingston Ontario Canada"}]}],"member":"311","published-online":{"date-parts":[[2024,1,15]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05161.x"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2015.02.010"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.02.001"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20319"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22192"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2021.106124"},{"key":"e_1_2_9_8_1","unstructured":"CME Group. (2023).What are bitcoin futures?"},{"key":"e_1_2_9_9_1","unstructured":"Data Citation.https:\/\/www.barchart.com\/"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21866"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21693"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.11.005"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2019.101116"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00029-0"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10122"},{"key":"e_1_2_9_18_1","unstructured":"Investopedia. (2022).What went wrong with FTX.https:\/\/www.investopedia.com\/what-went-wrong-with-ftx-6828447"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/jtsa.12074"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080274"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA9299"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466615000110"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/jtsa.12438"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.10.031"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2007.04.090"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1057\/eej.2008.32"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00569"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.004"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2215"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2014.10.007"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22216"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1140\/epjb\/e2009-00392-y"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2021.101628"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22484","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,4,22]],"date-time":"2024-04-22T06:51:09Z","timestamp":1713768669000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22484"}},"issued":{"date-parts":[[2024,1,15]]},"references-count":33,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2024,4]]}},"alternative-id":["10.1002\/fut.22484"],"URL":"https:\/\/doi.org\/10.1002\/fut.22484","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2024,1,15]]},"assertion":[{"value":"2023-08-11","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-12-26","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-01-15","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,4,25]],"date-time":"2025-04-25T08:05:16Z","timestamp":1745568316640},"reference-count":22,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2006,10,18]],"date-time":"2006-10-18T00:00:00Z","timestamp":1161129600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,12]]},"abstract":"Abstract<\/jats:title>This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at the three best bid and ask prices is examined. Evidence was found consistent with a change in trading behavior coinciding with the increase in pre\u2010trade transparency. Consistent with predictions of a theoretical model based on execution risk, a statistically significant decline in depth was found at the best quotes. There is little evidence of an increase in bid\u2010ask spreads. Further, the proportion of market orders exceeding depth at the best quotes increases in a transparent limit order book, reflecting a reduction in execution risk. The study concludes that in a transparent market, limit order traders charge market order traders a higher premium for execution certainty by withdrawing depth from the best quotes, but not by increasing bid\u2010ask spreads. \u00a9 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1147\u20131167, 2006<\/jats:p>","DOI":"10.1002\/fut.20236","type":"journal-article","created":{"date-parts":[[2006,10,18]],"date-time":"2006-10-18T20:16:48Z","timestamp":1161202608000},"page":"1147-1167","source":"Crossref","is-referenced-by-count":19,"title":["Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange"],"prefix":"10.1002","volume":"26","author":[{"given":"Luke","family":"Bortoli","sequence":"first","affiliation":[]},{"given":"Alex","family":"Frino","sequence":"additional","affiliation":[]},{"given":"Elvis","family":"Jarnecic","sequence":"additional","affiliation":[]},{"given":"David","family":"Johnstone","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,18]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20106"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2004.04.001"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/430860"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04705.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.1.5"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-5957.00338"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00746.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1023\/B:FINA.0000029658.53325.c8"},{"key":"e_1_2_1_10_1","volume-title":"Trade publication rules of the London Stock Exchange, report to the Chancellor of the Exchequer by the Director General of Fair Trading","author":"Carsberg B.","year":"1994"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.1.37"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05225.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296330"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.1.149"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04403.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2005.05.001"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","first-page":"756","DOI":"10.1111\/j.1540-6261.1992.tb04408.x","article-title":"An intraday analysis in bid\/ask spreads for NYSE stocks","volume":"47","author":"McInish T.","year":"1992","journal-title":"Journal of Finance"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02695.x"},{"key":"e_1_2_1_20_1","unstructured":"Revision of Market Information. (2004 July 27).TSE News. Retrieved from"},{"key":"e_1_2_1_20_2","unstructured":"http:\/\/www.tse.or.jp\/english\/news\/2004\/200407\/040727_b.html"},{"key":"e_1_2_1_21_1","volume-title":"Market 2000: An examination of current equity market developments, division of market regulation","author":"U.S. Securities and Exchange Commission","year":"1994"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120303"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20236","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20236","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T04:41:19Z","timestamp":1694580079000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20236"}},"issued":{"date-parts":[[2006,10,18]]},"references-count":22,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2006,12]]}},"alternative-id":["10.1002\/fut.20236"],"URL":"https:\/\/doi.org\/10.1002\/fut.20236","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,10,18]]}},{"indexed":{"date-parts":[[2025,4,8]],"date-time":"2025-04-08T04:27:02Z","timestamp":1744086422716,"version":"3.40.3"},"reference-count":25,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2025,2,18]],"date-time":"2025-02-18T00:00:00Z","timestamp":1739836800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,5]]},"abstract":"ABSTRACT<\/jats:title>In this article, we consider basket spread options with default risk in a pricing model, where GARCH\u2010jump processes are employed to describe the dynamics of all the underlying assets, and default risk is incorporated in a reduced form model. After successfully deriving the approximate pricing formula, we utilize the average cumulative default rates provided by Moody's spanning from 1970 to 2015 to estimate the parameters in the default intensity. Finally, we illustrate the impact of jump risk and default risk on basket spread options after checking the accuracy and efficiency of the approximate prices via Monte Carlo simulation methods.<\/jats:p>","DOI":"10.1002\/fut.22574","type":"journal-article","created":{"date-parts":[[2025,2,18]],"date-time":"2025-02-18T10:21:17Z","timestamp":1739874077000},"page":"441-454","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Pricing Basket Spread Options With Default Risk Under GARCH\u2010Jump Models"],"prefix":"10.1002","volume":"45","author":[{"given":"Dingding","family":"Dong","sequence":"first","affiliation":[{"name":"School of Business and Management Jilin University Changchun China"}]},{"ORCID":"https:\/\/orcid.org\/0009-0007-9489-9393","authenticated-orcid":false,"given":"Xianda","family":"Qian","sequence":"additional","affiliation":[{"name":"School of International Trade and Economics University of International Business and Economics Beijing China"}]},{"given":"Xingchun","family":"Wang","sequence":"additional","affiliation":[{"name":"School of International Trade and Economics University of International Business and Economics Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2025,2,18]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz043"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2011.617775"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.686420"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1137\/S0036144503424798"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2005.159"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/338705"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1999.043"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.017"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.12.003"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-022-09192-0"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0269964821000292"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2014.949289"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2022.2129404"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2020.101269"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296519"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.11.009"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2012.741693"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0269964816000292"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.cam.2021.113412"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2021.101596"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10614-023-10527-8"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(94)90039-6"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22574","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,4,7]],"date-time":"2025-04-07T23:52:58Z","timestamp":1744069978000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22574"}},"issued":{"date-parts":[[2025,2,18]]},"references-count":25,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2025,5]]}},"alternative-id":["10.1002\/fut.22574"],"URL":"https:\/\/doi.org\/10.1002\/fut.22574","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,2,18]]},"assertion":[{"value":"2024-04-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-02-06","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-02-18","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,5,13]],"date-time":"2025-05-13T15:05:39Z","timestamp":1747148739018,"version":"3.40.5"},"reference-count":43,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2022,4,27]],"date-time":"2022-04-27T00:00:00Z","timestamp":1651017600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71871066","71973063"],"award-info":[{"award-number":["71871066","71973063"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,11]]},"abstract":"Abstract<\/jats:title>This paper constructs a China petroleum market volatility (CPMV)\u00a0tracker based on Chinese newspapers from March 2018 to July 2021 for the first time. Then, we use the Generalized AutoRegressive Conditional Heteroskedasticity mixed\u2010data sampling (GARCH\u2010MIDAS) model to explore the explanatory ability of the CPMV tracker, and the results show that compared with other volatility trackers, the CPMV tracker has a superior ability to explain the volatility of Shanghai crude oil futures (SC). Further, we conduct a more detailed analysis of the\u00a0CPMV tracker, and find that the\u00a0CPMV tracker can reflect the information and market sentiment of SC, and needs to be taken into consideration when explaining SC volatility.<\/jats:p>","DOI":"10.1002\/fut.22333","type":"journal-article","created":{"date-parts":[[2022,4,27]],"date-time":"2022-04-27T10:56:08Z","timestamp":1651056968000},"page":"2022-2040","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Petroleum market volatility tracker in China"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4973-7156","authenticated-orcid":false,"given":"Huabin","family":"Bian","sequence":"first","affiliation":[{"name":"School of Economics Fudan University Shanghai China"}]},{"given":"Renhai","family":"Hua","sequence":"additional","affiliation":[{"name":"School of Finance Nanjing University of Finance and Economics Nanjing China"}]},{"given":"Qingfu","family":"Liu","sequence":"additional","affiliation":[{"name":"Institute for Financial Studies Fudan University Shanghai China"},{"name":"Yanqi Lake Beijing Institute of Mathematical Sciences and Applications Beijing China"}]},{"given":"Ping","family":"Zhang","sequence":"additional","affiliation":[{"name":"School of Journalism Fudan University Shanghai China"}]}],"member":"311","published-online":{"date-parts":[[2022,4,27]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2013.04.004"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.05.007"},{"key":"e_1_2_11_4_1","unstructured":"Arbatli E. C. Davis S. J. Ito A. &Miake N.(2019).Policy uncertainty in Japan\u00a0[NBER Working Paper No. 23411]."},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100701857922"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_11_7_1","doi-asserted-by":"crossref","unstructured":"Baker S. R. Bloom N. Davis S. J. &Kost K.(2019).Policy news and equity market volatility\u00a0[NBER Working Paper No. 25720].http:\/\/www.nber.org\/papers\/w25720","DOI":"10.3386\/w25720"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/raaa008"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-016-1150-0"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfn025"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2015.04.023"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2044"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.12.003"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000001782"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2742"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2404"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.03.009"},{"key":"e_1_2_11_19_1","unstructured":"Davis S. J. Liu D. &Sheng X. S.(2019).Economic policy uncertainty in China since 1949: The view from mainland newspapers\u00a0[Working Paper]."},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00300"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1898"},{"key":"e_1_2_11_22_1","doi-asserted-by":"crossref","unstructured":"Ghirelli C. Gil M. P\u00e9rez J. J. &Urtasun A.(2019).Measuring economic and economic policy uncertainty and their macroeconomic effects: The case of Spain\u00a0[Working Paper 1905].\u00a0Bank of Spain.","DOI":"10.2139\/ssrn.3346991"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110217-022808"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chieco.2019.101367"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1177\/107769909807500208"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20131193"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101514"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/1540496X.2014.998564"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104548"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.008"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0106.12283"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2014.01.019"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2478"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101496"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0305741010000238"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.3390\/math9121411"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.79.056109"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2021.121168"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.03.010"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.09.016"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105180"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105149"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.3389\/fenvs.2021.636903"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00831.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22333","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22333","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22333","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T15:06:26Z","timestamp":1692630386000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22333"}},"issued":{"date-parts":[[2022,4,27]]},"references-count":43,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2022,11]]}},"alternative-id":["10.1002\/fut.22333"],"URL":"https:\/\/doi.org\/10.1002\/fut.22333","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,4,27]]},"assertion":[{"value":"2022-03-27","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-04-05","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-04-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2024,1,11]],"date-time":"2024-01-11T00:17:28Z","timestamp":1704932248793},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2023,4,29]],"date-time":"2023-04-29T00:00:00Z","timestamp":1682726400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,6]]},"DOI":"10.1002\/fut.22351","type":"journal-article","created":{"date-parts":[[2023,4,30]],"date-time":"2023-04-30T06:30:25Z","timestamp":1682836225000},"page":"703-703","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 43, Number 6, June 2023"],"prefix":"10.1002","volume":"43","member":"311","published-online":{"date-parts":[[2023,4,29]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22351","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,10]],"date-time":"2024-01-10T11:25:42Z","timestamp":1704885942000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22351"}},"issued":{"date-parts":[[2023,4,29]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2023,6]]}},"alternative-id":["10.1002\/fut.22351"],"URL":"https:\/\/doi.org\/10.1002\/fut.22351","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,4,29]]},"assertion":[{"value":"2023-04-29","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T02:56:29Z","timestamp":1698288989093},"reference-count":7,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6842,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,12]]},"DOI":"10.1002\/fut.3990070606","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:47:54Z","timestamp":1183625274000},"page":"663-674","source":"Crossref","is-referenced-by-count":11,"title":["Measuring hedging effectiveness in a traditional one\u2010periodic portfolio framework"],"prefix":"10.1002","volume":"7","author":[{"given":"\u00d8ystein","family":"Gjerde","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060307"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060210"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240514"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070606","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070606","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T17:26:52Z","timestamp":1697909212000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070606"}},"issued":{"date-parts":[[1987,12]]},"references-count":7,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1987,12]]}},"alternative-id":["10.1002\/fut.3990070606"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070606","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,12]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:40:33Z","timestamp":1697917233051},"reference-count":4,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8120,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,6]]},"DOI":"10.1002\/fut.3990040211","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T03:26:40Z","timestamp":1183606000000},"page":"225-228","source":"Crossref","is-referenced-by-count":2,"title":["Removing bias in duration based hedging models: A note"],"prefix":"10.1002","volume":"4","author":[{"given":"Gerald D.","family":"Gay","sequence":"first","affiliation":[]},{"given":"Robert W.","family":"Kolb","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Gay G. andKolb R.(1983): \u201cThe Management of Interest Rate Risk \u201dThe Journal of Portfolio Management(Winter):65\u201370.","DOI":"10.3905\/jpm.1983.408910"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Kolb R. andChiang R.(1981): \u201cImproving Hedging Performance Using Interest Rate Futures \u201dFinancial Management(Autumn):72\u201379.","DOI":"10.2307\/3665221"},{"key":"e_1_2_1_4_1","series-title":"Publication No. 765","volume-title":"Treasury Bond and Note Futures Conversion Tables","year":"1980"},{"key":"e_1_2_1_5_1","unstructured":"\u201cUnderstanding the Delivery Process in Financial Futures\u201d (1980): Chicago Board of Trade Chicago 1980."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040211","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040211","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:51:55Z","timestamp":1697802715000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040211"}},"issued":{"date-parts":[[1984,6]]},"references-count":4,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1984,6]]}},"alternative-id":["10.1002\/fut.3990040211"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040211","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,6]]}},{"indexed":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T16:02:57Z","timestamp":1698076977847},"reference-count":36,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7207,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,12]]},"DOI":"10.1002\/fut.3990060410","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:45:01Z","timestamp":1183614301000},"page":"645-657","source":"Crossref","is-referenced-by-count":3,"title":["The joint effect of housing start and inflation announcements on GNMA futures prices"],"prefix":"10.1002","volume":"6","author":[{"given":"Anand K.","family":"Bhattacharya","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665254"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04942.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01899.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040104"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1983.tb00453.x"},{"key":"e_1_2_1_8_1","first-page":"469","article-title":"Short\u2010Term Interest Rates as Predictors of Inflation: Comment","volume":"67","author":"Carlson J. A.","year":"1977","journal-title":"American Economic Review"},{"key":"e_1_2_1_9_1","first-page":"133","article-title":"The Reaction of the Chicago Board of Trade GNMA Futures Contract to the Announcement of Inflation Rates: A Study of Market Efficiency","volume":"4","author":"Chance D.","year":"1984","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050309"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(81)90034-3"},{"key":"e_1_2_1_12_1","first-page":"1","article-title":"Grain Exports, Futures Markets and Pricing Efficiency","volume":"2","author":"Conklin N. C.","year":"1982","journal-title":"Review of Research in Futures Markets"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296183"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_1_16_1","first-page":"269","article-title":"Short\u2010Term Interest Rates as Predictors of Inflation","volume":"65","author":"Fama E. F.","year":"1975","journal-title":"American Economic Review"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90014-9"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00461.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050209"},{"key":"e_1_2_1_20_1","unstructured":"Lee C. F. andKoppenhaver G.(1985): \u201cAlternative Instruments for Hedging Inflation Risk in the Banking Industry \u201d Paper presented at the Financial Management Association Meeting."},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1239434"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240221"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01900.x"},{"key":"e_1_2_1_24_1","first-page":"478","article-title":"On Testing the Hypothesis that the Real Rate of Interest is Constant","volume":"67","author":"Nelson C. R.","year":"1977","journal-title":"American Economic Review"},{"key":"e_1_2_1_25_1","volume-title":"Applied Linear Statistical Methods","author":"Neter J.","year":"1974"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2648877"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02303.x"},{"key":"e_1_2_1_28_1","unstructured":"Petzel T. E.(1985): \u201cConsumer Price Index Futures as an Instrument for Hedging Inflation Uncertainty \u201d Paper presented at the Financial Management Association Meeting."},{"key":"e_1_2_1_29_1","volume-title":"Inside the Financial Futures Markets","author":"Powers M.","year":"1984"},{"key":"e_1_2_1_30_1","first-page":"49","article-title":"Unanticipated Money and Interest Rates","volume":"74","author":"Roley V. V.","year":"1984","journal-title":"American Economic Review"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010216"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb03531.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1985.tb00174.x"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330952"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03901.x"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04996.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060410","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060410","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T18:49:53Z","timestamp":1697914193000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060410"}},"issued":{"date-parts":[[1986,12]]},"references-count":36,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1986,12]]}},"alternative-id":["10.1002\/fut.3990060410"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060410","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,12]]}},{"indexed":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T07:17:33Z","timestamp":1694330253981},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,2]]},"DOI":"10.1002\/fut.v39.2","type":"journal-issue","created":{"date-parts":[[2019,1,9]],"date-time":"2019-01-09T08:03:40Z","timestamp":1547021020000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"39","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,9,9]],"date-time":"2023-09-09T03:26:45Z","timestamp":1694230005000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/39\/2"}},"issued":{"date-parts":[[2019,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2019,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v39.2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,2]]}},{"indexed":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T05:32:03Z","timestamp":1700631123591},"reference-count":12,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2012,3,15]],"date-time":"2012-03-15T00:00:00Z","timestamp":1331769600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,1]]},"abstract":"In this paper, we present some new results on when extra risk strictly increases an option's value. We give a necessary and sufficient condition for a mean\u2010preserving spread to strictly increase an option's value. We also give a necessary and sufficient condition for a risk change to strictly increase the values of options with strike prices in an open interval while preserving the values of all other options. These two results significantly improve the results given by Rasmusen (2007) (When does extra risk strictly increase an option's value? Review of Financial Studies, 20, 1647\u20131667). \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:44\u201354, 2013<\/jats:p>","DOI":"10.1002\/fut.21556","type":"journal-article","created":{"date-parts":[[2012,3,15]],"date-time":"2012-03-15T21:53:07Z","timestamp":1331848387000},"page":"44-54","source":"Crossref","is-referenced-by-count":2,"title":["Some New Results on When Extra Risk Strictly Increases an Option's Value"],"prefix":"10.1002","volume":"33","author":[{"given":"James","family":"Huang","sequence":"first","affiliation":[{"name":"James Huang is with the Department of Accounting and Finance, Lancaster University, Lancaster, Lancashire, United Kingdom"}]},{"given":"Deyuan","family":"Zhang","sequence":"additional","affiliation":[{"name":"Deyuan Zhang is with the School of International Business Administration, Shanghai University of Finance and Economics, Shanghai, China"}]}],"member":"311","published-online":{"date-parts":[[2012,3,15]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"crossref","unstructured":"Bliss R. R.(2000).The pitfalls in inferring risk from financial market data. Available at Federal Reserve Bank of Chicago WP 2000\u201024:http:\/\/ideas.repec.org\/p\/fip\/fedhwp\/wp-00-24.html.","DOI":"10.2139\/ssrn.254581"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4068(03)00044-2"},{"key":"e_1_2_6_4_1","volume-title":"Financial theory and corporate policy","author":"Copeland T.","year":"1988"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(93)90152-3"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009834122099"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1006\/jeth.1995.1052"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03776.x"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90007-2"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1007719626543"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm028"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(70)90038-4"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21556","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21556","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T09:49:42Z","timestamp":1698659382000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21556"}},"issued":{"date-parts":[[2012,3,15]]},"references-count":12,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2013,1]]}},"alternative-id":["10.1002\/fut.21556"],"URL":"https:\/\/doi.org\/10.1002\/fut.21556","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,3,15]]}},{"indexed":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:11:07Z","timestamp":1697915467550},"reference-count":5,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8120,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,6]]},"DOI":"10.1002\/fut.3990040210","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T03:26:40Z","timestamp":1183606000000},"page":"213-224","source":"Crossref","is-referenced-by-count":0,"title":["The mexican peso and the chicago international money market: A case. Study in foreign currency futures"],"prefix":"10.1002","volume":"4","author":[{"given":"Joseph E.","family":"Finnerty","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"International Monetary Market Yearbooks","year":"1979"},{"key":"e_1_2_1_3_1","unstructured":"Journal of Commerce and Commercial various issues1979\u20131982."},{"key":"e_1_2_1_4_1","volume-title":"Foreign Exchange Futures: A Guide to International Currency\u2010Trading","author":"Loosigian A. M.","year":"1981"},{"key":"e_1_2_1_5_1","unstructured":"Stuart A.(1982): \u201cOpportunity Knocks in Troubled Mexico \u201dFortune August 23."},{"key":"e_1_2_1_6_1","unstructured":"Wall Street Journal various issues1979\u20131982."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040210","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040210","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T11:51:11Z","timestamp":1697802671000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040210"}},"issued":{"date-parts":[[1984,6]]},"references-count":5,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1984,6]]}},"alternative-id":["10.1002\/fut.3990040210"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040210","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,6]]}},{"indexed":{"date-parts":[[2026,1,9]],"date-time":"2026-01-09T21:50:02Z","timestamp":1767995402865,"version":"3.49.0"},"reference-count":63,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2023,11,8]],"date-time":"2023-11-08T00:00:00Z","timestamp":1699401600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,2]]},"abstract":"Abstract<\/jats:title>We use prevailing machine learning models to investigate the predictability of futures returns in 22 commodities with commodity\u2010specific and macroeconomic factors as predictors. Out\u2010of\u2010sample prediction errors for the majority of futures contracts are lowered compared with those obtained by the baseline models of AR(1) and forecast combinations. Using Shapley values to explain feature importance, we identify dominant predictors for each commodity. A long\u2013short portfolio strategy based on monthly light gradient\u2010boosting machine predictions outperforms the benchmark linear models in terms of annual return, Sharpe ratio, and max drawdown.<\/jats:p>","DOI":"10.1002\/fut.22471","type":"journal-article","created":{"date-parts":[[2023,11,8]],"date-time":"2023-11-08T12:12:36Z","timestamp":1699445556000},"page":"302-322","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":15,"title":["Predictability of commodity futures returns with machine learning models"],"prefix":"10.1002","volume":"44","author":[{"given":"Shirui","family":"Wang","sequence":"first","affiliation":[{"name":"Independent Researcher Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8601-3114","authenticated-orcid":false,"given":"Tianyang","family":"Zhang","sequence":"additional","affiliation":[{"name":"Wenlan School of Business Zhongnan University of Economics and Law Wuhan Hubei China"}]}],"member":"311","published-online":{"date-parts":[[2023,11,8]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.06.011"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_11_4_1","doi-asserted-by":"crossref","unstructured":"Anzuini A. Lombardi M. J. &Pagano P.(2012).The impact of monetary policy shocks on commodity prices\u00a0[Bank of Italy Temi di Discussione Working Paper (851)].","DOI":"10.2139\/ssrn.2030797"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.03.016"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.031"},{"key":"e_1_2_11_8_1","doi-asserted-by":"crossref","unstructured":"Bhardwaj G. Gorton G. &Rouwenhorst G.(2015).Facts and fantasies about commodity futures ten years later\u00a0(Technical Report). National Bureau of Economic Research.","DOI":"10.3386\/w21243"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1010933404324"},{"key":"e_1_2_11_11_1","doi-asserted-by":"crossref","unstructured":"Buyuksahin B. &Robe M. A.(2011).Does' paper oil'matter? Energy markets' financialization and equity\u2010commodity co\u2010movements. Available at SSRN:https:\/\/ssrn.com\/abstract=1855264","DOI":"10.2139\/ssrn.1855264"},{"key":"e_1_2_11_11_2","doi-asserted-by":"crossref","unstructured":"http:\/\/doi.org\/10.2139\/ssrn.1855264","DOI":"10.2139\/ssrn.1855264"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.10.022"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.3905\/JAI.2010.12.3.061"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.034"},{"key":"e_1_2_11_16_1","unstructured":"[dataset] Bloomberg futures prices Data repository.https:\/\/www.bloomberg.com"},{"key":"e_1_2_11_17_1","unstructured":"[dataset] Commitments of Traders (COT) Reports Disaggregated Commitments of Traders (DCOT) reports The Commodity Futures Trading Commission Data repository.https:\/\/www.cftc.gov\/MarketReports\/CommitmentsofTraders\/index.htm"},{"key":"e_1_2_11_18_1","unstructured":"[dataset] Macroeconomic data Data repository.https:\/\/research.stlouisfed.org\/econ\/mccracken\/fred-databases\/"},{"key":"e_1_2_11_18_2","unstructured":"https:\/\/www.ivo-welch.info\/professional\/goyal-welch\/"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm075"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21897"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.06.015"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2003.319925"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz123"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.009"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2017.07.045"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa009"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-020-03515-w"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1007\/s13563-017-0130-y"},{"key":"e_1_2_11_31_1","doi-asserted-by":"crossref","unstructured":"Han Y. &Kong L.(2020).The serial dependence of the commodity futures returns: A machine learning approach. Available at SSRN:https:\/\/ssrn.com\/abstract=3536046","DOI":"10.2139\/ssrn.3536046"},{"key":"e_1_2_11_31_2","doi-asserted-by":"crossref","unstructured":"http:\/\/doi.org\/10.2139\/ssrn.3536046","DOI":"10.2139\/ssrn.3536046"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-84858-7"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2019.04.077"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.005"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102494"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22122"},{"key":"e_1_2_11_37_1","unstructured":"Ke G. Meng Q. Finley T. Wang T. Chen W. Ma W. Ye Q. &Liu T.\u2010Y.(2017).LightGBM: A highly efficient gradient boosting decision tree. InAdvances in neural information processing systems(pp.3146\u20133154)."},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.05.001"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.017"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0893-6080(05)80131-5"},{"key":"e_1_2_11_41_1","unstructured":"Levin E. J. Montagnoli A. &Wright R.(2006).Short\u2010run and long\u2010run determinants of the price of gold. World Gold Council."},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22285"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2020.12.018"},{"key":"e_1_2_11_44_1","volume-title":"Advances in neural information processing systems","author":"Lundberg S. M.","year":"2017"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1086655"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1109\/TPAMI.2005.159"},{"key":"e_1_2_11_48_1","doi-asserted-by":"crossref","unstructured":"Rad H. Low R. K. Y. Miffre J. &Faff R. W.(2021).The commodity risk premium and neural networks. Available at SSRN:https:\/\/ssrn.com\/abstract=3816170","DOI":"10.2139\/ssrn.3816170"},{"key":"e_1_2_11_48_2","doi-asserted-by":"crossref","unstructured":"http:\/\/doi.org\/10.2139\/ssrn.3816170","DOI":"10.2139\/ssrn.3816170"},{"key":"e_1_2_11_49_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp063"},{"key":"e_1_2_11_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12041"},{"key":"e_1_2_11_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"key":"e_1_2_11_52_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_11_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2517-6161.1996.tb02080.x"},{"key":"e_1_2_11_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.09.001"},{"key":"e_1_2_11_55_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_11_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.012"},{"key":"e_1_2_11_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2023.106214"},{"key":"e_1_2_11_58_1","doi-asserted-by":"crossref","unstructured":"Zhang T.(2019).Trading activity in commodity futures and options markets. Available at SSRN:https:\/\/ssrn.com\/abstract=3542967","DOI":"10.2139\/ssrn.3542967"},{"key":"e_1_2_11_58_2","doi-asserted-by":"crossref","unstructured":"http:\/\/doi.org\/10.2139\/ssrn.3542967","DOI":"10.2139\/ssrn.3542967"},{"key":"e_1_2_11_59_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22282"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22471","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,18]],"date-time":"2024-01-18T12:31:07Z","timestamp":1705581067000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22471"}},"issued":{"date-parts":[[2023,11,8]]},"references-count":63,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2024,2]]}},"alternative-id":["10.1002\/fut.22471"],"URL":"https:\/\/doi.org\/10.1002\/fut.22471","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,11,8]]},"assertion":[{"value":"2022-11-26","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-10-19","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-11-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,9,10]],"date-time":"2025-09-10T22:17:06Z","timestamp":1757542626161,"version":"3.37.3"},"reference-count":27,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2021,5,20]],"date-time":"2021-05-20T00:00:00Z","timestamp":1621468800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,10]]},"abstract":"Abstract<\/jats:title>Option Shock was a notable 2010 manipulation in Korean stock and derivatives markets. Motivated by Option Shock, we examine the effectiveness of the conditional random\u2010end (RE) trading mechanism during the opening or closing call auction on the Korea Exchange. We find the conditional RE trading mechanism promotes price stabilization, but with some reservations, and improves price discovery and efficiency at the open, but causes overshooting at the close. We also find it somewhat effective in filtering out spoofing orders, but failed to stabilize the market in the extreme case of Option Shock, which motivated a change to an unconditional RE trading mechanism.<\/jats:p>","DOI":"10.1002\/fut.22223","type":"journal-article","created":{"date-parts":[[2021,5,20]],"date-time":"2021-05-20T18:15:50Z","timestamp":1621534550000},"page":"1545-1568","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Effectiveness of the conditional random\u2010end trading mechanism on the Korea Exchange: Normal trade and Option Shock"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4920-7016","authenticated-orcid":false,"given":"Kyong S.","family":"Eom","sequence":"first","affiliation":[{"name":"Department of Economics, Center for Risk Management Research University of California at Berkeley Berkeley California USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6212-8187","authenticated-orcid":false,"given":"Kyung Y.","family":"Kwon","sequence":"additional","affiliation":[{"name":"Department of Accounting and Finance University of Strathclyde Glasgow UK"}]},{"given":"Jong\u2010Ho","family":"Park","sequence":"additional","affiliation":[{"name":"Department of Business Administration Sunchon National University Sunchon South Korea"}]}],"member":"311","published-online":{"date-parts":[[2021,5,20]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2010.01262.x"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/250095"},{"key":"e_1_2_11_4_1","doi-asserted-by":"crossref","unstructured":"Brugler J. Linton O. Noss J. &Pedace L.(2018).The cross\u2010sectional spillovers of single stock circuit breakers(Working paper). Bank of England.","DOI":"10.2139\/ssrn.3297499"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22081"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mulfin.2005.06.002"},{"key":"e_1_2_11_7_1","unstructured":"Deutsche B\u00f6rse Group. (2014).Xetra\u00ae release 15.0 market model equities."},{"key":"e_1_2_11_8_1","unstructured":"Eom K. S. Kang H. C. &Lee Y. J.(2008).An alternative to the price\u2010limit system on the Korea Exchange(Research report). Korea Capital Market Institute. (in Korean)."},{"key":"e_1_2_11_9_1","unstructured":"Eom K. S. Kwon K. Y. La S. C. &Park J.\u2010H.(2018).The role of dynamic and static volatility interruption: Evidence from the Korean stock markets(Working paper). University of California at Berkeley."},{"issue":"4","key":"e_1_2_11_10_1","first-page":"561","article-title":"The random\u2010end trading mechanism on the KRX: Characteristics, price stabilization, and the relation to spoofing orders","volume":"28","author":"Eom K. S.","year":"2015","journal-title":"Asian Review of Financial Research"},{"key":"e_1_2_11_11_1","unstructured":"Guillaumie C. Loiacono G. Winkler C. &Kern S.(2020).Market impacts of circuit breakers: Evidence from EU trading venues(Working paper). European Securities Markets Authority."},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21603"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2012.04.004"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.12.011"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2004.04.002"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20391"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2011.03.002"},{"key":"e_1_2_11_18_1","unstructured":"Kuk J. Liu W.\u2010M. &Pham P. K.(2016).Strategic order submission and cancellation in pre\u2010opening periods: The case of IPO firms(Working paper). Australian National University."},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.2.274"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22105"},{"key":"e_1_2_11_21_1","unstructured":"London Stock Exchange. (2020).MIT201\u2014Guide to the trading system."},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04403.x"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/2696407"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00073-4"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.1709"},{"key":"e_1_2_11_26_1","unstructured":"The Korea Exchange TAQ data.Stock (2009\u20132010 2011\u20132012 2015) KOSPI 200 Index (2006\u20132015); Publicly available for purchase athttps:\/\/data.krx.co.kr\/contents\/MDC\/DATA\/datasale\/index.cmd?viewNm=MDCDATA001. [Data citation]."},{"key":"e_1_2_11_27_1","unstructured":"World Federation of Exchanges. (2015).http:\/\/www.world-exchanges.org\/statistics\/annual"},{"key":"e_1_2_11_28_1","doi-asserted-by":"crossref","unstructured":"Zimmermann K.(2013).Price discovery in European volatility interruptions(Working paper). Goethe University Frankfurt.","DOI":"10.2139\/ssrn.2365772"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22223","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22223","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22223","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T03:48:06Z","timestamp":1693280886000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22223"}},"issued":{"date-parts":[[2021,5,20]]},"references-count":27,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2021,10]]}},"alternative-id":["10.1002\/fut.22223"],"URL":"https:\/\/doi.org\/10.1002\/fut.22223","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,5,20]]},"assertion":[{"value":"2020-08-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-04","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-20","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,9,10]],"date-time":"2025-09-10T22:23:38Z","timestamp":1757543018788,"version":"3.37.3"},"reference-count":47,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2019,12,4]],"date-time":"2019-12-04T00:00:00Z","timestamp":1575417600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","award":["105\u20102410\u2010H\u2010033\u2010002"],"award-info":[{"award-number":["105\u20102410\u2010H\u2010033\u2010002"]}],"id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71772156","71973018"],"award-info":[{"award-number":["71772156","71973018"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,3]]},"abstract":"Abstract<\/jats:title>This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the last trading phase, which reduces the bid\u2013ask spread (BAS) in that period. We find an increase in the BAS and volatility during the last trading phase, due to diminishing investor patience. Market volatility and the closing pricing errors relate positively to the trading activities of foreign institutional investors. Overall, the introduction of the CCT worsens the market quality before the closing.<\/jats:p>","DOI":"10.1002\/fut.22081","type":"journal-article","created":{"date-parts":[[2019,12,4]],"date-time":"2019-12-04T13:18:15Z","timestamp":1575465495000},"page":"308-328","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["A rare move: The effects of switching from a closing call auction to a continuous trading"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3126-563X","authenticated-orcid":false,"given":"Ya\u2010Kai","family":"Chang","sequence":"first","affiliation":[{"name":"Department of Finance, College of Business Chung Yuan Christian University Taoyuan City Taiwan"}]},{"given":"Robin K.","family":"Chou","sequence":"additional","affiliation":[{"name":"Department of Finance National Chengchi University Taipei City Taiwan"},{"name":"Risk and Insurance Research Center National Chengchi University Taipei City Taiwan"}]},{"given":"J. Jimmy","family":"Yang","sequence":"additional","affiliation":[{"name":"College of Business Oregon State University Corvallis Oregon"}]}],"member":"311","published-online":{"date-parts":[[2019,12,4]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_9_2_1","DOI":"10.1093\/rfs\/1.1.3"},{"doi-asserted-by":"publisher","key":"e_1_2_9_3_1","DOI":"10.1093\/rfs\/4.3.443"},{"doi-asserted-by":"publisher","key":"e_1_2_9_4_1","DOI":"10.1016\/S0304-405X(97)00021-4"},{"doi-asserted-by":"publisher","key":"e_1_2_9_5_1","DOI":"10.1016\/S0304-405X(01)00055-1"},{"doi-asserted-by":"publisher","key":"e_1_2_9_6_1","DOI":"10.1093\/rfs\/hhm079"},{"doi-asserted-by":"publisher","key":"e_1_2_9_7_1","DOI":"10.1016\/S0378-4266(04)00048-2"},{"doi-asserted-by":"publisher","key":"e_1_2_9_8_1","DOI":"10.1111\/j.1540-6261.1995.tb05192.x"},{"doi-asserted-by":"publisher","key":"e_1_2_9_9_1","DOI":"10.1257\/aer.104.5.418"},{"doi-asserted-by":"publisher","key":"e_1_2_9_10_1","DOI":"10.1093\/qje\/qjv027"},{"doi-asserted-by":"publisher","key":"e_1_2_9_11_1","DOI":"10.1016\/j.jbankfin.2007.12.036"},{"doi-asserted-by":"publisher","key":"e_1_2_9_12_1","DOI":"10.1016\/j.jbankfin.2007.12.049"},{"doi-asserted-by":"publisher","key":"e_1_2_9_13_1","DOI":"10.1016\/j.intfin.2009.02.001"},{"doi-asserted-by":"publisher","key":"e_1_2_9_14_1","DOI":"10.1002\/fut.21665"},{"doi-asserted-by":"publisher","key":"e_1_2_9_15_1","DOI":"10.1002\/fut.21975"},{"doi-asserted-by":"publisher","key":"e_1_2_9_16_1","DOI":"10.1016\/j.pacfin.2006.04.002"},{"doi-asserted-by":"publisher","key":"e_1_2_9_17_1","DOI":"10.1016\/j.mulfin.2005.06.002"},{"doi-asserted-by":"publisher","key":"e_1_2_9_18_1","DOI":"10.1016\/S1386-4181(99)00012-9"},{"doi-asserted-by":"publisher","key":"e_1_2_9_19_1","DOI":"10.1093\/rfs\/hhi029"},{"doi-asserted-by":"publisher","key":"e_1_2_9_20_1","DOI":"10.1111\/j.1540-6261.1979.tb02126.x"},{"doi-asserted-by":"publisher","key":"e_1_2_9_21_1","DOI":"10.1016\/0304-405X(85)90044-3"},{"doi-asserted-by":"publisher","key":"e_1_2_9_22_1","DOI":"10.1002\/fut.21603"},{"doi-asserted-by":"publisher","key":"e_1_2_9_23_1","DOI":"10.1016\/j.finmar.2004.04.002"},{"doi-asserted-by":"publisher","key":"e_1_2_9_24_1","DOI":"10.1111\/j.1540-6261.1985.tb04935.x"},{"doi-asserted-by":"publisher","key":"e_1_2_9_25_1","DOI":"10.1016\/j.intfin.2014.11.014"},{"doi-asserted-by":"publisher","key":"e_1_2_9_26_1","DOI":"10.1111\/1540-6261.00431"},{"doi-asserted-by":"publisher","key":"e_1_2_9_27_1","DOI":"10.1016\/j.jfi.2011.03.002"},{"doi-asserted-by":"publisher","key":"e_1_2_9_28_1","DOI":"10.1086\/503651"},{"doi-asserted-by":"publisher","key":"e_1_2_9_29_1","DOI":"10.1111\/j.1540-6261.2008.01316.x"},{"doi-asserted-by":"publisher","key":"e_1_2_9_30_1","DOI":"10.1002\/fut.21963"},{"doi-asserted-by":"publisher","key":"e_1_2_9_31_1","DOI":"10.2307\/1913210"},{"doi-asserted-by":"publisher","key":"e_1_2_9_32_1","DOI":"10.1016\/S0378-4266(99)00132-6"},{"doi-asserted-by":"publisher","key":"e_1_2_9_33_1","DOI":"10.1023\/A:1007965627691"},{"doi-asserted-by":"publisher","key":"e_1_2_9_34_1","DOI":"10.1111\/j.1540-6261.1992.tb04403.x"},{"doi-asserted-by":"publisher","key":"e_1_2_9_35_1","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"doi-asserted-by":"publisher","key":"e_1_2_9_36_1","DOI":"10.2307\/1913393"},{"doi-asserted-by":"publisher","key":"e_1_2_9_37_1","DOI":"10.2307\/2330712"},{"doi-asserted-by":"publisher","key":"e_1_2_9_38_1","DOI":"10.1016\/S1386-4181(00)00022-7"},{"doi-asserted-by":"publisher","key":"e_1_2_9_39_1","DOI":"10.2307\/1913610"},{"doi-asserted-by":"publisher","key":"e_1_2_9_40_1","DOI":"10.1111\/0022-1082.00188"},{"doi-asserted-by":"publisher","key":"e_1_2_9_41_1","DOI":"10.1016\/S0304-405X(03)00073-4"},{"doi-asserted-by":"publisher","key":"e_1_2_9_42_1","DOI":"10.1086\/296071"},{"doi-asserted-by":"publisher","key":"e_1_2_9_43_1","DOI":"10.1093\/rfs\/hhp011"},{"doi-asserted-by":"publisher","key":"e_1_2_9_44_1","DOI":"10.1007\/978-1-4615-1697-2"},{"doi-asserted-by":"publisher","key":"e_1_2_9_45_1","DOI":"10.1257\/jep.4.2.19"},{"key":"e_1_2_9_46_1","first-page":"1","article-title":"More posers as SGX says SingTel Price surge not an error","author":"Sivanithy R.","year":"2000","journal-title":"Business Times, Singapore"},{"doi-asserted-by":"publisher","key":"e_1_2_9_47_1","DOI":"10.1007\/978-1-4615-1697-2_3"},{"doi-asserted-by":"publisher","key":"e_1_2_9_48_1","DOI":"10.1093\/rfs\/4.1.17"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22081","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22081","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22081","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22081","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,8]],"date-time":"2023-09-08T01:54:39Z","timestamp":1694138079000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22081"}},"issued":{"date-parts":[[2019,12,4]]},"references-count":47,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2020,3]]}},"alternative-id":["10.1002\/fut.22081"],"URL":"https:\/\/doi.org\/10.1002\/fut.22081","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,12,4]]},"assertion":[{"value":"2019-01-03","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-11-21","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-12-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:54:18Z","timestamp":1761562458472,"version":"3.37.3"},"reference-count":45,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2019,1,4]],"date-time":"2019-01-04T00:00:00Z","timestamp":1546560000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71671193","71871234","71371022"],"award-info":[{"award-number":["71671193","71871234","71371022"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,11]]},"abstract":"Abstract<\/jats:title>This paper\u00a0examines the relationship between skewness of the futures\u2010spot basis and expected currency spot returns. The empirical results show that the expected spot returns are negatively correlated with the basis skewness. We find that the basis skewness exhibits statistically significant in\u2010sample and out\u2010of\u2010sample forecasting power. Furthermore, the basis skewness beat the random walk (without drift) in economic measures. The impacts of the basis skewness on spot returns barely vary with time and have no structural breaks. We also find that the basis skewness can really improve the predictability of spot returns, even when the futures\u2010spot basis is considered.<\/jats:p>","DOI":"10.1002\/fut.21991","type":"journal-article","created":{"date-parts":[[2019,1,4]],"date-time":"2019-01-04T19:25:31Z","timestamp":1546629931000},"page":"1435-1449","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Can skewness of the futures\u2010spot basis predict currency spot returns?"],"prefix":"10.1002","volume":"39","author":[{"given":"Xue","family":"Jiang","sequence":"first","affiliation":[{"name":"School of Economics and Management, Beihang University Beijing China"}]},{"given":"Liyan","family":"Han","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Beihang University Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0193-6735","authenticated-orcid":false,"given":"Libo","family":"Yin","sequence":"additional","affiliation":[{"name":"School of Finance, Central University of Finance and Economics Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2019,1,4]]},"reference":[{"key":"e_1_2_9_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01419.x"},{"key":"e_1_2_9_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.02.009"},{"key":"e_1_2_9_1_4_1","doi-asserted-by":"crossref","unstructured":"Bai J. Bali T. G. &Wen Q.(2015).Do the distributional characteristics of corporate\u00a0bonds predict their future returns?(Working Paper). Georgetown McDonough School of Business. Retrieved fromhttps:\/\/ssrn.com\/abstract=2548562orhttp:\/\/doi.org\/10.2139\/ssrn.2548562","DOI":"10.2139\/ssrn.2548562"},{"key":"e_1_2_9_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_9_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.659"},{"key":"e_1_2_9_1_7_1","doi-asserted-by":"crossref","unstructured":"Bali T. G. Hu J. &Murray S.(2017).Option implied volatility skewness and kurtosis and the cross\u2010section of expected stock returns(Georgetown McDonough School of Business Research Paper). Available at SSRN:https:\/\/ssrn.com\/abstract=2322945orhttp:\/\/dx.doi.org\/10.2139\/ssrn.2322945","DOI":"10.2139\/ssrn.2322945"},{"key":"e_1_2_9_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.014"},{"key":"e_1_2_9_1_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000410"},{"key":"e_1_2_9_1_10_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.5.2066"},{"key":"e_1_2_9_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_9_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.03.010"},{"key":"e_1_2_9_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.07.002"},{"key":"e_1_2_9_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/infi.12051"},{"key":"e_1_2_9_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00071-9"},{"key":"e_1_2_9_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_9_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01795.x"},{"key":"e_1_2_9_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.01.007"},{"key":"e_1_2_9_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118445785.ch8"},{"key":"e_1_2_9_1_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_9_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.11.002"},{"key":"e_1_2_9_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20201"},{"key":"e_1_2_9_1_23_1","doi-asserted-by":"crossref","unstructured":"The Review of Financial Studies 2007 20 5 Portfolio performance manipulation and manipulation\u2010proof performance measures","DOI":"10.1093\/rfs\/hhm025"},{"key":"e_1_2_9_1_24_1","first-page":"1","article-title":"The predictive performance of the currency futures basis for spot returns","volume":"7688","author":"Han L.","year":"2018","journal-title":"Quantitative Finance"},{"key":"e_1_2_9_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_9_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2005.10.003"},{"key":"e_1_2_9_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb03830.x"},{"issue":"4","key":"e_1_2_9_1_28_1","first-page":"1085","article-title":"Skewness preference and the valuation of risk assets","volume":"31","author":"Kraus A.","year":"1976","journal-title":"The Journal of Finance"},{"key":"e_1_2_9_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2013.10.010"},{"key":"e_1_2_9_1_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rfe.2012.06.004"},{"key":"e_1_2_9_1_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbu007"},{"key":"e_1_2_9_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20225"},{"key":"e_1_2_9_1_33_1","first-page":"497","article-title":"On segmented multivariate regression","volume":"7","author":"Liu J.","year":"1997","journal-title":"Statistica Sinica"},{"key":"e_1_2_9_1_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr068"},{"key":"e_1_2_9_1_35_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.1.89"},{"key":"e_1_2_9_1_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.020"},{"key":"e_1_2_9_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(83)90017-X"},{"key":"e_1_2_9_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.06.009"},{"key":"e_1_2_9_1_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01728.x"},{"key":"e_1_2_9_1_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/hhm011"},{"key":"e_1_2_9_1_41_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.51.4.1063"},{"key":"e_1_2_9_1_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329748"},{"key":"e_1_2_9_1_43_1","doi-asserted-by":"crossref","unstructured":"Siddique A. R. &Harvey C. R.(2000).Time\u2010varying conditional skewness and the market risk premium(Working paper no. 795386). Available at SSRN:https:\/\/ssrn.com\/abstract=795386orhttp:\/\/dx.doi.org\/10.2139\/ssrn.795386","DOI":"10.2139\/ssrn.795386"},{"key":"e_1_2_9_1_44_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"},{"key":"e_1_2_9_1_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.012"},{"key":"e_1_2_9_1_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-7152(88)90118-6"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21991","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21991","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.21991","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21991","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T05:47:46Z","timestamp":1694324866000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21991"}},"issued":{"date-parts":[[2019,1,4]]},"references-count":45,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2019,11]]}},"alternative-id":["10.1002\/fut.21991"],"URL":"https:\/\/doi.org\/10.1002\/fut.21991","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,1,4]]},"assertion":[{"value":"2018-11-30","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-12-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-01-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T10:41:14Z","timestamp":1761561674299},"reference-count":34,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2012,8,16]],"date-time":"2012-08-16T00:00:00Z","timestamp":1345075200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,12]]},"abstract":"This study investigates the pricing efficiency of Hang Seng Index (HSI) derivative warrants in Hong Kong. Different from similar research, the study examines the pricing efficiency of index warrants by comparing their implied volatilities (IV) with realized volatility (RV). Although prior studies find that warrants are more expensive than the corresponding options, they are not necessarily overpriced in the conventional sense\u2014that is, relative to the RV. This approach allows the study to test the pricing efficiency of warrants via a test of their information content. Moreover, unlike studies that focus on data at market close, the study uses a large sample of highly synchronous intraday, firm, bid\u2013ask quote data to avoid possible distortions arising from intraday variations in liquidity and pricing in the instruments. The data also helps eliminate the potential nonsynchronous price problem that may affect the test results. Consistent with the results from previous studies, we find that warrants are often more expensive than options. This result is attributed to the inability of non\u2010issuers to sell short, and the high participation rate of unsophisticated investors in the warrants market. However, regression analysis shows that IVs from ATM and OTM warrants provide unbiased volatility forecasts, and that IVs from ATM options do not subsume the information content of ATM warrants. ATM warrant prices are in line with the RV and are efficiently priced. Simulation results show that writing warrants is more profitable than writing options, and that the overpricing is directly related to the volatility premium.<\/jats:p>","DOI":"10.1002\/fut.21578","type":"journal-article","created":{"date-parts":[[2012,8,16]],"date-time":"2012-08-16T15:39:21Z","timestamp":1345131561000},"page":"1144-1170","source":"Crossref","is-referenced-by-count":5,"title":["Are Derivative Warrants Overpriced?"],"prefix":"10.1002","volume":"32","author":[{"given":"Joseph K. W.","family":"Fung","sequence":"first","affiliation":[{"name":"Joseph K. W. Fung is a Professor of Finance, Department of Finance and Decision Sciences, School of Business, Hong Kong Baptist University, Kowloon Tong, Hong Kong. He is currently serving as a member of Council of Advisors, Institute for Monetary Research, Hong Kong."}]},{"given":"Ted Z. X.","family":"Zeng","sequence":"additional","affiliation":[{"name":"Ted Z. X. Zeng is a proprietary trader in T G Securities Limited and eBroker Systems Limited, Hong Kong."}]}],"member":"311","published-online":{"date-parts":[[2012,8,16]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_7_5_1","first-page":"23","volume-title":"Stock market liquidity: Implication for market microstructure and asset pricing","author":"Brockman P.","year":"2008"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(00)00018-4"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20476"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20134"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00138-2"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1057-5219(00)00044-2"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20152"},{"key":"e_1_2_7_13_1","unstructured":"Chow Y. Li J. &Liu M.(2007).Making Hong Kong's derivative warrants market.Woking paper."},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10107"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2001.319164"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00166-7"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(98)00002-4"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331107"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90015-1"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20259"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00152"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90070-0"},{"issue":"363","key":"e_1_2_7_24_1","first-page":"536","article-title":"Modified t tests and confidence intervals for asymmetrical populations","volume":"73","author":"Johnson N.","year":"1978","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04793.x"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_7_27_1","article-title":"Why are derivative warrants more expensive than options? an empirical study","author":"Li G.","year":"2010","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100402"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04403.x"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10016"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2007.11.002"},{"key":"e_1_2_7_32_1","doi-asserted-by":"crossref","unstructured":"Poteshman A.(2000).Forecasting future volatility from option prices.Woking paper University of Illinois at Urbana\u2010Champaign \u2010 Department of Finance.","DOI":"10.2139\/ssrn.243151"},{"key":"e_1_2_7_33_1","unstructured":"The Securities and Futures Commission (SFC). (2005a).A healthy market for informed investors\u2014A report on the derivative warrants market in Hong Kong.Working paper Hong Kong Securities and Futures Commission."},{"key":"e_1_2_7_34_1","unstructured":"The Securities and Futures Commission (SFC). (2005b).Proportion of derivative warrants expiring in\u2010the\u2010money and out\u2010of\u2010the\u2010money.Working paper Hong Kong Securities and Futures Commission."},{"key":"e_1_2_7_35_1","unstructured":"Yan Y.(2000).Three essays on the semi\u2010parametric pricing of derivative warrants(Ph.D. thesis) Hong Kong University of Science and Technology Hong Kong."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21578","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21578","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T12:49:32Z","timestamp":1698670172000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21578"}},"issued":{"date-parts":[[2012,8,16]]},"references-count":34,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2012,12]]}},"alternative-id":["10.1002\/fut.21578"],"URL":"https:\/\/doi.org\/10.1002\/fut.21578","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,8,16]]}},{"indexed":{"date-parts":[[2025,10,27]],"date-time":"2025-10-27T16:20:51Z","timestamp":1761582051213,"version":"3.37.3"},"reference-count":58,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2021,1,19]],"date-time":"2021-01-19T00:00:00Z","timestamp":1611014400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100002942","name":"Central University of Finance and Economics","doi-asserted-by":"publisher","award":["QYP1901"],"award-info":[{"award-number":["QYP1901"]}],"id":[{"id":"10.13039\/501100002942","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71671193","71871234"],"award-info":[{"award-number":["71671193","71871234"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,5]]},"abstract":"Abstract<\/jats:title>This paper explores the degree and structure of the dependence of commodity futures volatility on intermediary capital risk (ICR) and investigates the economic source of this association. The overall effect of ICR is negative and more significant for the post\u20102008 period, although positive and negative ICR play asymmetric roles. Furthermore, we identify a heterogeneous structure of dependence across the volatility distribution as ICR strengthens toward upper volatility percentiles, whereas financialization in commodities flattens this dynamic trace. Finally, the ability of ICR to convey economic news is the most economically important source of the dependence.<\/jats:p>","DOI":"10.1002\/fut.22185","type":"journal-article","created":{"date-parts":[[2021,1,19]],"date-time":"2021-01-19T21:05:57Z","timestamp":1611090357000},"page":"577-640","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Intermediary capital risk and commodity futures volatility"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0193-6735","authenticated-orcid":false,"given":"Libo","family":"Yin","sequence":"first","affiliation":[{"name":"School of Finance Central University of Finance and Economics Beijing China"}]},{"given":"Jing","family":"Nie","sequence":"additional","affiliation":[{"name":"School of Finance Central University of Finance and Economics Beijing China"}]},{"given":"Liyan","family":"Han","sequence":"additional","affiliation":[{"name":"School of Economics and Management Beihang University Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2021,1,19]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.008"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12189"},{"key":"e_1_2_8_4_1","doi-asserted-by":"crossref","unstructured":"Adrian T. &Shin H. S.Financial intermediaries financial stability and monetary policy\u00a0(FRB of New York Staff Report No. 346) 2008\u00a0(pp.287\u2013334).\u00a0https:\/\/doi.org\/10.2139\/ssrn.1266714.\u00a0https:\/\/ssrn.com\/abstract=1266714","DOI":"10.2139\/ssrn.1266714"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2015.11.005"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21551"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199549498.003.0007"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.10.015"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nby026"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2007.06.006"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109844"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0048(99)10034-X"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/2534702"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.3790\/aeq.59.2.125"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy083"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.2.379"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2233809"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.3.195"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1257\/0002828043052240"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2018.03.005"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht005"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy004"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1152"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000765"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2017.05.006"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbx020"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01217.x"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.07.001"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00044-6"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.08.002"},{"key":"e_1_2_8_35_1","unstructured":"He Z. Kelly B. &Manela A.(2017). Intermediary capital risk factor; 1970Q1\u20132018Q3.http:\/\/apps.olin.wustl.edu\/faculty\/manela\/data.html"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdr036"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.2.732"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110217-022636"},{"key":"e_1_2_8_39_1","unstructured":"Heber G. Lunde A. Shephard N. &Sheppard K.(2009). Oxford\u2010Man Institute's realized library; Oxford\u2010Man Institute University of Oxford; Version 0.3.https:\/\/realized.oxford-man.ox.ac.uk\/"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu091"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.10.008"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912528"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.15.4.143"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214506000000672"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2017.01.027"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90026-7"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.09.002"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00188"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22010"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.03.004"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.6.2265"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1574-0862.2009.00422.x"},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.08.011"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2013.11.007"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10056"},{"key":"e_1_2_8_57_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22018"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22099"},{"key":"e_1_2_8_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.12.027"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22185","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22185","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22185","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T20:02:51Z","timestamp":1693598571000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22185"}},"issued":{"date-parts":[[2021,1,19]]},"references-count":58,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2021,5]]}},"alternative-id":["10.1002\/fut.22185"],"URL":"https:\/\/doi.org\/10.1002\/fut.22185","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,1,19]]},"assertion":[{"value":"2020-11-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-12-15","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-01-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,25]],"date-time":"2025-10-25T18:52:46Z","timestamp":1761418366566},"reference-count":38,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,2,9]],"date-time":"2006-02-09T00:00:00Z","timestamp":1139443200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2006,4]]},"abstract":"Abstract<\/jats:title>Commodity pricing models generally explain the link between commodity prices and stock levels in terms of a stock\u2010out constraint or a convenience yield. Analysis of this link is provided using monthly London Metals Exchange copper, lead, and zinc prices obtained for the period November 1964 to December 2003. A Markov model, fitted to these data, supports the existence of two distinct pricing regimes while the impact of convenience yields is also identified. \u00a9 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:391\u2013415, 2006<\/jats:p>","DOI":"10.1002\/fut.20202","type":"journal-article","created":{"date-parts":[[2006,2,9]],"date-time":"2006-02-09T20:55:08Z","timestamp":1139518508000},"page":"391-415","source":"Crossref","is-referenced-by-count":14,"title":["An empirical analysis of commodity pricing"],"prefix":"10.1002","volume":"26","author":[{"given":"Richard","family":"Heaney","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,2,9]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.90.3.458"},{"key":"e_1_2_1_3_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"The American Economic Review"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/262047"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297923"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950100503"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/262046"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90093-9"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time series analysis","author":"Hamilton J. D.","year":"1994"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199804)18:2<177::AID-FUT4>3.0.CO;2-C"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100508"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_1_18_1","volume-title":"A treatise on money. Volume II: The applied theory of money","author":"Keynes J. M.","year":"1950"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90104-Y"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05187.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/erae\/24.2.267"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199702)17:1<1::AID-FUT1>3.0.CO;2-P"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1008713823410"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/296630"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.335"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2234529"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2555858"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20120"},{"key":"e_1_2_1_29_1","first-page":"1","article-title":"Volatility in natural gas and oil markets","volume":"30","author":"Pindyck R. S.","year":"2004","journal-title":"Journal of Energy and Development"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297674"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036849108841022"},{"key":"e_1_2_1_33_1","first-page":"1012","article-title":"The simultaneous determination of spot and futures prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_1_35_1","first-page":"1226","article-title":"The supply of storage revisited","volume":"56","author":"Weymar F. H.","year":"1966","journal-title":"The American Economic Review"},{"key":"e_1_2_1_36_1","first-page":"1254","article-title":"The theory of the price of storage","volume":"34","author":"Working H.","year":"1949","journal-title":"The American Economic Review"},{"key":"e_1_2_1_37_1","first-page":"1","article-title":"The economics role of commodity storage","volume":"9","author":"Wright B. D.","year":"1982","journal-title":"The Economics Journal"},{"key":"e_1_2_1_38_1","first-page":"1","article-title":"The welfare effects of the introduction of storage","volume":"9","author":"Wright B. D.","year":"1984","journal-title":"Quarterly Journal of Economics"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090102"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20202","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20202","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T13:56:27Z","timestamp":1700056587000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20202"}},"issued":{"date-parts":[[2006,2,9]]},"references-count":38,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2006,4]]}},"alternative-id":["10.1002\/fut.20202"],"URL":"https:\/\/doi.org\/10.1002\/fut.20202","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,2,9]]}},{"indexed":{"date-parts":[[2025,11,26]],"date-time":"2025-11-26T05:09:32Z","timestamp":1764133772348,"version":"3.43.0"},"reference-count":63,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2025,6,11]],"date-time":"2025-06-11T00:00:00Z","timestamp":1749600000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,9]]},"abstract":"ABSTRACT<\/jats:title>This paper analyzes the possibility of speculative traders influencing the prices of commodity futures in the presence of liquidity constraints. We identify phases of price explosiveness following Phillips, Shi, and Yu and use a series of multinomial logistic models to analyze the influence of speculators on the probability of these explosive price episodes. We find that speculators taking short positions tend to increase the likelihood of negative price explosiveness in most commodities, while those with long positions often reduce the chance of positive price explosions. We also find that the probability of negative price explosiveness is more sensitive to the net short positions held by money managers when both market and funding liquidity are constrained.<\/jats:p>","DOI":"10.1002\/fut.22611","type":"journal-article","created":{"date-parts":[[2025,6,12]],"date-time":"2025-06-12T02:14:03Z","timestamp":1749694443000},"page":"1100-1133","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["The Silent Disco\u2014Speculation in Bearish Commodity Markets and the Role of Liquidity"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3050-2779","authenticated-orcid":false,"given":"Chanaka N.","family":"Ganepola","sequence":"first","affiliation":[{"name":"Alliance Manchester Business School The University of Manchester Manchester UK"}]},{"given":"Beyza Mina","family":"Ordu\u2010Akkaya","sequence":"additional","affiliation":[{"name":"Department of Business Administration Social Sciences University of Ankara Ankara Turkey"}]}],"member":"311","published-online":{"date-parts":[[2025,6,11]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1016\/j.qref.2014.06.003","article-title":"Speculative Bubbles in Agricultural Prices","volume":"55","author":"Ad\u00e4mmer P.","year":"2015","journal-title":"Quarterly Review of Economics and Finance"},{"key":"e_1_2_13_3_1","doi-asserted-by":"crossref","first-page":"96","DOI":"10.1016\/j.frl.2017.02.007","article-title":"Do Cointegrated Commodities Bubble Together? The Case of Hog, Corn, and Soybean","volume":"23","author":"Alexakis C.","year":"2017","journal-title":"Finance Research Letters"},{"issue":"1","key":"e_1_2_13_4_1","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S1386-4181(01)00024-6","article-title":"Illiquidity and Stock Returns: Cross\u2010Section and Time\u2010Series Effects","volume":"5","author":"Amihud Y.","year":"2002","journal-title":"Journal of Financial Markets"},{"issue":"7","key":"e_1_2_13_5_1","doi-asserted-by":"crossref","first-page":"2652","DOI":"10.1016\/j.jbankfin.2013.02.031","article-title":"Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure","volume":"37","author":"Basu D.","year":"2013","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_13_6_1","doi-asserted-by":"crossref","first-page":"329","DOI":"10.1016\/j.irfa.2014.07.001","article-title":"The Gold Price in Times of Crisis","volume":"41","author":"Bia\u0142kowski J.","year":"2015","journal-title":"International Review of Financial Analysis"},{"key":"e_1_2_13_7_1","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1016\/j.jempfin.2017.06.002","article-title":"Funding Liquidity, Market Liquidity and TED Spread: A Two\u2010Regime Model","volume":"43","author":"Boudt K.","year":"2017","journal-title":"Journal of Empirical Finance"},{"issue":"1","key":"e_1_2_13_8_1","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1093\/rapstu\/ras017","article-title":"An Analysis of the Amihud Illiquidity Premium","volume":"3","author":"Brennan M.","year":"2013","journal-title":"Review of Asset Pricing Studies"},{"issue":"10","key":"e_1_2_13_9_1","doi-asserted-by":"crossref","first-page":"916","DOI":"10.1002\/fut.21721","article-title":"Booms and Busts in Commodity Markets: Bubbles or Fundamentals?","volume":"35","author":"Brooks C.","year":"2015","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_13_10_1","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1257\/jep.23.1.77","article-title":"Deciphering the Liquidity and Credit Crunch 2007\u20132008","volume":"23","author":"Brunnermeier M. K.","year":"2009","journal-title":"Journal of Economic Perspectives"},{"issue":"6","key":"e_1_2_13_11_1","doi-asserted-by":"crossref","first-page":"2201","DOI":"10.1093\/rfs\/hhn098","article-title":"Market Liquidity and Funding Liquidity","volume":"22","author":"Brunnermeier M. K.","year":"2009","journal-title":"Review of Financial Studies"},{"issue":"1","key":"e_1_2_13_12_1","doi-asserted-by":"crossref","first-page":"195","DOI":"10.1007\/s00181-022-02254-0","article-title":"Price Bubbles of Agricultural Commodities: Evidence From China's Futures Market","volume":"64","author":"Chen Z.","year":"2023","journal-title":"Empirical Economics"},{"issue":"5","key":"e_1_2_13_13_1","doi-asserted-by":"crossref","first-page":"1733","DOI":"10.1093\/rof\/rfu043","article-title":"Convective Risk Flows in Commodity Futures Markets","volume":"19","author":"Cheng I.\u2010H.","year":"2015","journal-title":"Review of Finance"},{"issue":"8","key":"e_1_2_13_14_1","doi-asserted-by":"crossref","first-page":"962","DOI":"10.1002\/fut.22007","article-title":"An Analysis of Illiquidity in Commodity Markets","volume":"39","author":"Cho S.","year":"2019","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_13_15_1","doi-asserted-by":"crossref","first-page":"129","DOI":"10.1016\/j.jfs.2016.01.002","article-title":"The Effects of Margin Changes on Commodity Futures Markets","volume":"22","author":"Daskalaki C.","year":"2016","journal-title":"Journal of Financial Stability"},{"key":"e_1_2_13_16_1","doi-asserted-by":"crossref","first-page":"129","DOI":"10.1016\/j.jimonfin.2013.08.008","article-title":"Bubbles in Food Commodity Markets: Four Decades of Evidence","volume":"42","author":"Etienne X. L.","year":"2014","journal-title":"Journal of International Money and Finance"},{"issue":"1","key":"e_1_2_13_17_1","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1093\/ajae\/aau069","article-title":"Price Explosiveness, Speculation, and Grain Futures Prices","volume":"97","author":"Etienne X. L.","year":"2015","journal-title":"American Journal of Agricultural Economics"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.05.002"},{"issue":"12","key":"e_1_2_13_19_1","doi-asserted-by":"crossref","first-page":"2553","DOI":"10.1016\/j.jbankfin.2008.04.002","article-title":"WTI Crude Oil Futures in Portfolio Diversification: The Time\u2010to\u2010Maturity Effect","volume":"32","author":"Geman H.","year":"2008","journal-title":"Journal of Banking & Finance"},{"issue":"2","key":"e_1_2_13_20_1","doi-asserted-by":"crossref","first-page":"2776","DOI":"10.1002\/ijfe.1933","article-title":"Economic Growth in China and Its Impact on International Commodity Prices","volume":"26","author":"Ghoshray A.","year":"2021","journal-title":"International Journal of Finance & Economics"},{"issue":"2","key":"e_1_2_13_21_1","doi-asserted-by":"crossref","first-page":"398","DOI":"10.1111\/j.1477-9552.2010.00248.x","article-title":"How to Understand High Food Prices","volume":"61","author":"Gilbert C. L.","year":"2010","journal-title":"Journal of Agricultural Economics"},{"volume-title":"United Nations Conference on Trade and Development Geneva, Switzerland","year":"2010","author":"Gilbert C. L.","key":"e_1_2_13_22_1"},{"issue":"2","key":"e_1_2_13_23_1","doi-asserted-by":"crossref","first-page":"47","DOI":"10.2469\/faj.v62.n2.4083","article-title":"Facts and Fantasies About Commodity Futures","volume":"62","author":"Gorton G.","year":"2006","journal-title":"Financial Analysts Journal"},{"issue":"2","key":"e_1_2_13_24_1","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1093\/erae\/jbs017","article-title":"Speculative Bubbles in Agricultural Commodity Markets","volume":"40","author":"Gutierrez L.","year":"2013","journal-title":"European Review of Agricultural Economics"},{"key":"e_1_2_13_25_1","doi-asserted-by":"crossref","first-page":"548","DOI":"10.1016\/j.jempfin.2015.09.002","article-title":"Tests for Explosive Financial Bubbles in the Presence of Non\u2010Stationary Volatility","volume":"38","author":"Harvey D. I.","year":"2016","journal-title":"Journal of Empirical Finance"},{"issue":"2","key":"e_1_2_13_26_1","doi-asserted-by":"crossref","first-page":"732","DOI":"10.1257\/aer.103.2.732","article-title":"Intermediary Asset Pricing","volume":"103","author":"He Z.","year":"2013","journal-title":"American Economic Review"},{"issue":"1","key":"e_1_2_13_27_1","doi-asserted-by":"crossref","first-page":"377","DOI":"10.1111\/jofi.12845","article-title":"A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets","volume":"75","author":"Kang W.","year":"2020","journal-title":"Journal of Finance"},{"key":"e_1_2_13_28_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.resourpol.2020.101936","article-title":"Do Crude Oil Price Bubbles Occur?","volume":"71","author":"Khan K.","year":"2021","journal-title":"Resources Policy"},{"issue":"3","key":"e_1_2_13_29_1","doi-asserted-by":"crossref","first-page":"1053","DOI":"10.1257\/aer.99.3.1053","article-title":"Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market","volume":"99","author":"Kilian L.","year":"2009","journal-title":"American Economic Review"},{"volume-title":"Index of Global Real Economic Activity","year":"2009","author":"Kilian L.","key":"e_1_2_13_30_1"},{"key":"e_1_2_13_31_1","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1016\/j.jimonfin.2013.08.005","article-title":"Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories","volume":"42","author":"Kilian L.","year":"2014","journal-title":"Journal of International Money and Finance"},{"issue":"3","key":"e_1_2_13_32_1","doi-asserted-by":"crossref","first-page":"454","DOI":"10.1002\/jae.2322","article-title":"The Role of Inventories and Speculative Trading in the Global Market for Crude Oil","volume":"29","author":"Kilian L.","year":"2014","journal-title":"Journal of Applied Econometrics"},{"issue":"8","key":"e_1_2_13_33_1","doi-asserted-by":"crossref","first-page":"696","DOI":"10.1002\/fut.21716","article-title":"Does Futures Speculation Destabilize Commodity Markets?","volume":"35","author":"Kim A.","year":"2015","journal-title":"Journal of Futures Markets"},{"issue":"2","key":"e_1_2_13_34_1","first-page":"85","article-title":"The Simple Economics of Commodity Price Speculation","volume":"8","author":"Knittel C. R.","year":"2016","journal-title":"American Economic Journal: Macroeconomics"},{"key":"e_1_2_13_35_1","doi-asserted-by":"crossref","first-page":"195","DOI":"10.1016\/j.eneco.2014.02.015","article-title":"Tail Events: A New Approach to Understanding Extreme Energy Commodity Prices","volume":"43","author":"Koch N.","year":"2014","journal-title":"Energy Economics"},{"issue":"3","key":"e_1_2_13_36_1","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1016\/j.bir.2013.10.008","article-title":"Do Bubbles Occur in the Gold Price? An Investigation of Gold Lease Rates and Markov Switching Models","volume":"13","author":"Lucey B. M.","year":"2013","journal-title":"Borsa Istanbul Review"},{"issue":"1","key":"e_1_2_13_37_1","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1186\/s40854-022-00341-w","article-title":"Can News\u2010Based Economic Sentiment Predict Bubbles in Precious Metal Markets?","volume":"8","author":"Maghyereh A.","year":"2022","journal-title":"Financial Innovation"},{"issue":"1","key":"e_1_2_13_38_1","doi-asserted-by":"crossref","first-page":"22","DOI":"10.1108\/CAER-10-2019-0190","article-title":"Price Bubbles in Agricultural Commodity Markets and Contributing Factors: Evidence for Corn and Soybeans in China","volume":"13","author":"Mao Q.","year":"2020","journal-title":"China Agricultural Economic Review"},{"key":"e_1_2_13_39_1","unstructured":"Masters M. W.2008. \u201cTestimony Before the Committee on Homeland Security and Governmental Affairs.\u201dUS Senate Washington May 20."},{"key":"e_1_2_13_40_1","unstructured":"Nakamoto M. andD.Wighton.2007. \u201cCitigroup Chief Stays Bullish on Buy\u2010Outs.\u201dFinancial Times. Accessed 09\/06\/2024.https:\/\/www.ft.com\/content\/80e2987a-2e50-11dc-821c-0000779fd2ac."},{"key":"e_1_2_13_41_1","doi-asserted-by":"crossref","first-page":"86","DOI":"10.1016\/j.eneco.2018.12.015","article-title":"Asymmetric Reactions of the US Natural Gas Market and Economic Activity","volume":"80","author":"Nguyen B. H.","year":"2019","journal-title":"Energy Economics"},{"key":"e_1_2_13_42_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.eneco.2019.104660","article-title":"Us Equity and Commodity Futures Markets: Hedging or Financialization?","volume":"86","author":"Nguyen D. K.","year":"2020","journal-title":"Energy Economics"},{"key":"e_1_2_13_43_1","doi-asserted-by":"crossref","first-page":"82","DOI":"10.1016\/j.jbankfin.2017.06.001","article-title":"Is Food Financialized? Yes, But Only When Liquidity Is Abundant","volume":"95","author":"Ordu B. M.","year":"2018","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_13_44_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.resourpol.2021.102306","article-title":"Detecting Speculative Bubbles in Metal Prices: Evidence From GSADF Test and Machine Learning Approaches","volume":"74","author":"Ozgur O.","year":"2021","journal-title":"Resources Policy"},{"key":"e_1_2_13_45_1","doi-asserted-by":"crossref","first-page":"56","DOI":"10.1016\/j.iref.2016.11.008","article-title":"Financial Crises and the Nature of Correlation Between Commodity and Stock Markets","volume":"48","author":"\u00d6ztek M. F.","year":"2017","journal-title":"International Review of Economics & Finance"},{"key":"e_1_2_13_46_1","doi-asserted-by":"crossref","first-page":"106","DOI":"10.1016\/j.frl.2017.12.012","article-title":"Sentiment and Asset Price Bubble in the Precious Metals Markets","volume":"26","author":"Pan W.\u2010F.","year":"2018","journal-title":"Finance Research Letters"},{"key":"e_1_2_13_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106259"},{"issue":"5","key":"e_1_2_13_48_1","doi-asserted-by":"crossref","first-page":"1532","DOI":"10.1016\/j.eneco.2011.11.010","article-title":"Cross\u2010Country Differences in the Effects of Oil Shocks","volume":"34","author":"Peersman G.","year":"2012","journal-title":"Energy Economics"},{"key":"e_1_2_13_49_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jinteco.2021.103540","article-title":"The Interplay Between Oil and Food Commodity Prices: Has It Changed Over Time?","volume":"133","author":"Peersman G.","year":"2021","journal-title":"Journal of International Economics"},{"issue":"4","key":"e_1_2_13_50_1","doi-asserted-by":"crossref","first-page":"1043","DOI":"10.1111\/iere.12132","article-title":"Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500","volume":"56","author":"Phillips P. C. B.","year":"2015","journal-title":"International Economic Review"},{"issue":"4","key":"e_1_2_13_51_1","doi-asserted-by":"crossref","first-page":"1079","DOI":"10.1111\/iere.12131","article-title":"Testing for Multiple Bubbles: Limit Theory of Real\u2010Time Detectors","volume":"56","author":"Phillips P. C. B.","year":"2015","journal-title":"International Economic Review"},{"issue":"1","key":"e_1_2_13_52_1","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1111\/j.1468-2354.2010.00625.x","article-title":"Explosive Behahavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?","volume":"52","author":"Phillips P. C. B.","year":"2011","journal-title":"International Economic Review"},{"key":"e_1_2_13_53_1","doi-asserted-by":"crossref","first-page":"110","DOI":"10.1016\/j.qref.2022.12.002","article-title":"Price Bubbles in Commodity Market\u2014A Single Time Series and Panel Data Analysis","volume":"87","author":"Potrykus M.","year":"2023","journal-title":"Quarterly Review of Economics and Finance"},{"key":"e_1_2_13_54_1","doi-asserted-by":"crossref","first-page":"418","DOI":"10.1016\/j.eneco.2017.12.007","article-title":"Identifying Price Bubble Periods in the Energy Sector","volume":"69","author":"Sharma S.","year":"2018","journal-title":"Energy Economics"},{"issue":"1","key":"e_1_2_13_55_1","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1111\/j.1540-6261.1997.tb03807.x","article-title":"The Limits of Arbitrage","volume":"52","author":"Shleifer A.","year":"1997","journal-title":"Journal of Finance"},{"issue":"2","key":"e_1_2_13_56_1","doi-asserted-by":"crossref","first-page":"300","DOI":"10.1287\/mnsc.2013.1756","article-title":"Investor Flows and the 2008 Boom\/Bust in Oil Prices","volume":"60","author":"Singleton K. J.","year":"2014","journal-title":"Management Science"},{"issue":"5","key":"e_1_2_13_57_1","doi-asserted-by":"crossref","first-page":"2063","DOI":"10.1111\/jofi.12261","article-title":"Informational Frictions and Commodity Markets","volume":"70","author":"Sockin M.","year":"2015","journal-title":"Journal of Finance"},{"key":"e_1_2_13_58_1","doi-asserted-by":"crossref","first-page":"340","DOI":"10.1016\/j.resourpol.2017.08.003","article-title":"Do Iron Ore Price Bubbles Occur?","volume":"53","author":"Su C.\u2010W.","year":"2017","journal-title":"Resources Policy"},{"key":"e_1_2_13_59_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.resourpol.2020.101587","article-title":"Testing for Multiple Bubbles in the Copper Price: Periodically Collapsing Behavior","volume":"65","author":"Su C.\u2010W.","year":"2020","journal-title":"Resources Policy"},{"key":"e_1_2_13_60_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.resourpol.2021.102284","article-title":"Analysis of Major Properties of Metal Prices Using New Methods: Structural Breaks, Non\u2010Linearity, Stationarity and Bubbles","volume":"74","author":"Wahab B. A.","year":"2021","journal-title":"Resources Policy"},{"key":"e_1_2_13_61_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.frl.2022.103497","article-title":"Testing for Short Explosive Bubbles: A Case of Brent Oil Futures Price","volume":"52","author":"Wang S.","year":"2023","journal-title":"Finance Research Letters"},{"key":"e_1_2_13_62_1","doi-asserted-by":"crossref","first-page":"495","DOI":"10.1016\/j.eneco.2018.11.001","article-title":"Is Hub\u2010Based Pricing a Better Choice Than Oil Indexation for Natural Gas?, Evidence From a Multiple Bubble Test","volume":"76","author":"Zhang D.","year":"2018","journal-title":"Energy Economics"},{"key":"e_1_2_13_63_1","doi-asserted-by":"crossref","first-page":"226","DOI":"10.1016\/j.econmod.2016.02.016","article-title":"Interpreting the Movement of Oil Prices: Driven by Fundamentals or Bubbles?","volume":"55","author":"Zhang Y.\u2010J.","year":"2016","journal-title":"Economic Modelling"},{"key":"e_1_2_13_64_1","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1016\/j.japwor.2015.03.001","article-title":"Gold Bubbles: When Are They Most Likely to Occur?","volume":"34","author":"Zhao Y.","year":"2015","journal-title":"Japan and the World Economy"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22611","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,11]],"date-time":"2025-08-11T04:20:40Z","timestamp":1754886040000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22611"}},"issued":{"date-parts":[[2025,6,11]]},"references-count":63,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2025,9]]}},"alternative-id":["10.1002\/fut.22611"],"URL":"https:\/\/doi.org\/10.1002\/fut.22611","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,6,11]]},"assertion":[{"value":"2025-02-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-05-24","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-11","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,12,7]],"date-time":"2025-12-07T03:45:28Z","timestamp":1765079128452},"reference-count":40,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2007,9,12]],"date-time":"2007-09-12T00:00:00Z","timestamp":1189555200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,11]]},"abstract":"Abstract<\/jats:title>This study examines derivatives use of foreign exchange, interest rate, and commodities risk by nonfinancial firms across multiple industries, using data from 1995 to 2001. This work considers the interaction of a firm's risk exposures, derivatives use, and real operations simultaneously, and considers how these factors change over time using a consistent database. Hedging with derivatives is only signi.cantly related to commodity risk exposure during most years of the study, and to a more limited degree to interest rate exposure. Further, a strong correlation was found between risk exposures for some years using a new technique, suggesting that univariate modeling is not always appropriate. The implications are that hedging with derivatives is not always important to a firm's rate of return and is linked to other nonfinancial and economic factors. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1053\u20131083, 2007<\/jats:p>","DOI":"10.1002\/fut.20286","type":"journal-article","created":{"date-parts":[[2007,9,12]],"date-time":"2007-09-12T17:16:20Z","timestamp":1189617380000},"page":"1053-1083","source":"Crossref","is-referenced-by-count":13,"title":["A new look at hedging with derivatives: Will firms reduce market risk exposure?"],"prefix":"10.1002","volume":"27","author":[{"given":"Turan G.","family":"Bali","sequence":"first","affiliation":[]},{"given":"Susan R.","family":"Hume","sequence":"additional","affiliation":[]},{"given":"Terrence F.","family":"Martell","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,9,12]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00050-4"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.243"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr.2001.76.1.1"},{"key":"e_1_2_1_5_1","first-page":"1755","article-title":"Firm valuation, earnings expectations, and the exchange rate exposure effect","volume":"44","author":"Bartov E.","year":"1994","journal-title":"Journal of Finance"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(98)00036-6"},{"key":"e_1_2_1_7_1","first-page":"653","article-title":"Estimation and inference in nonlinear structural models","volume":"3","author":"Berndt E.R.","year":"1974","journal-title":"Annals of Economic and Social Measurement"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/1058-3300(95)90002-0"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/3666414"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/3666203"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00049-6"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Carter D.A. Pantzalis C. &Simkins B.J.(2001).Firm wide risk management of foreign exchange exposure by U.S. multinational corporations (working paper). Oklahoma City: Oklahoma State University.","DOI":"10.2139\/ssrn.255891"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00050-2"},{"key":"e_1_2_1_14_1","first-page":"187","article-title":"Hedging, leverage, and primitive risk","volume":"4","author":"Dolde W.","year":"1995","journal-title":"Journal of Financial Engineering"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_16_1","volume-title":"Statement of Financial Accounting Standards No. 119: Disclosure about derivative financial instruments and fair value of financial instruments","author":"Financial Accounting Standards Board.","year":"1994"},{"key":"e_1_2_1_17_1","volume-title":"Statement of Financial Accounting Standards No. 133: Accounting for derivative instruments and hedging activities","author":"Financial Accounting Standards Board","year":"1998"},{"key":"e_1_2_1_18_1","first-page":"1141","article-title":"The effect of interest rate changes on the common stock returns of financial institutions","volume":"39","author":"Flannery M.J.","year":"1984","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/261129"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","first-page":"425","DOI":"10.1111\/j.1540-6261.1993.tb05123.x","article-title":"Risk management: Coordinating investment and financing policies","volume":"48","author":"Froot K.","year":"1993","journal-title":"Journal of Finance"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb01112.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00443"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-4101(98)00032-9"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00179-X"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00202"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676199"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/296510"},{"key":"e_1_2_1_28_1","series-title":"Exchange rates and corporate performance","first-page":"37","author":"Levi M.D.","year":"1994"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331399"},{"key":"e_1_2_1_30_1","first-page":"261","article-title":"The cost of capital, corporate finance and the theory of investment","volume":"32","author":"Modigliani F.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676272"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04709.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2308\/accr.2002.77.1.127"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407920"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330757"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04667.x"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04064.x"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00042"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1177\/0148558X9801300301"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912934"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/2672939"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20286","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20286","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T17:57:44Z","timestamp":1700071064000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20286"}},"issued":{"date-parts":[[2007,9,12]]},"references-count":40,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2007,11]]}},"alternative-id":["10.1002\/fut.20286"],"URL":"https:\/\/doi.org\/10.1002\/fut.20286","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,9,12]]}},{"indexed":{"date-parts":[[2025,12,11]],"date-time":"2025-12-11T07:27:57Z","timestamp":1765438077127},"reference-count":47,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2007,10,9]],"date-time":"2007-10-09T00:00:00Z","timestamp":1191888000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,12]]},"abstract":"Abstract<\/jats:title>This study derives closed\u2010form solutions to the fair value of VIX (volatility index) futures under alternate stochastic variance models with simultaneous jumps both in the asset price and variance processes. Model parameters are estimated using an integrated analysis of integrated volatility and VIX time series from April 21, 2004 to April 18, 2006. The stochastic volatility model with price jumps outperforms for the short\u2010dated futures, whereas additionally including a state\u2010dependent volatility jump can further reduce out\u2010of\u2010sample pricing errors for other futures maturities. Finally, adding volatility jumps enhances hedging performance except for the short\u2010dated futures on a daily\u2010rebalanced basis. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1175\u20131217, 2007<\/jats:p>","DOI":"10.1002\/fut.20291","type":"journal-article","created":{"date-parts":[[2007,10,9]],"date-time":"2007-10-09T20:17:35Z","timestamp":1191961055000},"page":"1175-1217","source":"Crossref","is-referenced-by-count":102,"title":["Pricing VIX futures: Evidence from integrated physical and risk\u2010neutral probability measures"],"prefix":"10.1002","volume":"27","author":[{"given":"Yueh\u2010Neng","family":"Lin","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,10,9]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi016"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00460"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0020-6598.2004.00298.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj022"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Bollerslev T. Gibson M. &Zhou H.(2006).Dynamic estimation of volatility risk premia and investor risk aversion from option\u2010implied and realized volatilities (working paper). Department of Economics Duke University.","DOI":"10.2139\/ssrn.1150068"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00141-5"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.006"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v45.n4.61"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407870"},{"key":"e_1_2_1_18_1","first-page":"92","article-title":"Volatility swaps made simple","volume":"13","author":"Brockhaus O.","year":"2000","journal-title":"Risk"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2006.616865"},{"key":"e_1_2_1_20_1","unstructured":"Chicago Board Options Exchange. (2003).VIX\u2014CBOE Volatility Index."},{"key":"e_1_2_1_20_2","unstructured":"http:\/\/www.cboe.com\/micro\/vix\/vixwhite.pdf."},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00046-5"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00108-8"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.01.011"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_1_26_1","volume-title":"Model free results on volatility derivatives (working paper)","author":"Dupire B.","year":"2006"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600006976"},{"key":"e_1_2_1_31_1","volume-title":"Handbook of Financial Econometrics","author":"Gallant A. R.","year":"2002"},{"key":"e_1_2_1_32_1","unstructured":"Garcia R. Lewis M. A. Pastorello S. &Renault E.(2006).Estimation of objective and risk\u2010neutral distributions based on moments of integrated volatility(working paper). CIRANO and CIREQ HEC Montr\u00e9al Montr\u00e9al Canada."},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(85)90138-1"},{"key":"e_1_2_1_34_1","doi-asserted-by":"crossref","first-page":"863","DOI":"10.1080\/01621459.1988.10478675","article-title":"Efficiency bounds implied by multiperiod conditional moment restrictions","volume":"83","author":"Hansen L. P.","year":"1988","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000071"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392199"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.689"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00200-8"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1993.407868"},{"key":"e_1_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2000.319728"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392098"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024907004123"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20291","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20291","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T17:46:52Z","timestamp":1700070412000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20291"}},"issued":{"date-parts":[[2007,10,9]]},"references-count":47,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2007,12]]}},"alternative-id":["10.1002\/fut.20291"],"URL":"https:\/\/doi.org\/10.1002\/fut.20291","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,10,9]]}},{"indexed":{"date-parts":[[2025,12,23]],"date-time":"2025-12-23T15:36:50Z","timestamp":1766504210592},"reference-count":36,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2012,5,18]],"date-time":"2012-05-18T00:00:00Z","timestamp":1337299200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,7]]},"abstract":"Real estate, like commodities, belongs to the category of alternative investments. Even though the characteristics of real estate are fairly different from those of crude oil or copper, inventory<\/jats:italic> plays a crucial role in both cases. Our goal in this study is to investigate whether the theory of storage, as developed by Kaldor (1939) and Working (1949), then thoroughly analyzed for various commodities, can be extended to real estate. We take advantage of recent Futures data on the main U<\/jats:styled-content>.K<\/jats:styled-content>. commercial property index as well as a proprietary inventory database in order to test in this setting, and for the first time to our knowledge, the validity of the theory of storage for this asset class. The empirical evidence, covering data of the period 2008\u20132010, suggests that its main results can interestingly be extended to commercial real estate. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark<\/jats:p>","DOI":"10.1002\/fut.21559","type":"journal-article","created":{"date-parts":[[2012,5,18]],"date-time":"2012-05-18T15:57:40Z","timestamp":1337356660000},"page":"675-694","source":"Crossref","is-referenced-by-count":9,"title":["Commercial Real\u2010Estate Inventory and Theory of Storage"],"prefix":"10.1002","volume":"33","author":[{"given":"Helyette","family":"Geman","sequence":"first","affiliation":[{"name":"Helyette Geman is with Birkbeck University of London London U.K., & ESCP Europe"}]},{"given":"Radu","family":"Tunaru","sequence":"additional","affiliation":[{"name":"Radu Tunaru is with University of Kent, Business School Canterbury Kent U.K."}]}],"member":"311","published-online":{"date-parts":[[2012,5,18]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1108\/14635789110030949"},{"key":"e_1_2_8_3_1","first-page":"157","volume-title":"Real estate indices and property derivative markets","author":"Benaben B.","year":"2008"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-007-9008-4"},{"key":"e_1_2_8_5_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_8_6_1","first-page":"33","volume-title":"The price of convenience and the valuation of commodity contingent claims","author":"Brennan M. J.","year":"1991"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109686"},{"key":"e_1_2_8_9_1","first-page":"45","article-title":"Prices of single\u2010family homes since 1970: New indexes for four cities","author":"Case K. E.","year":"1987","journal-title":"New England Economic Review"},{"issue":"1","key":"e_1_2_8_10_1","first-page":"125","article-title":"The efficiency of the market for single family homes","volume":"79","author":"Case K. E.","year":"1989","journal-title":"American Economic Review"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1993.409441"},{"key":"e_1_2_8_12_1","first-page":"33","article-title":"Commercial real estate derivatives: The developing U.S. market","author":"Clayton J.","year":"2007","journal-title":"Real Estate Issues"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/262046"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2005.593898"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01099972"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.3.4.431"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2007.698910"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1050.0361"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.01.014"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1990.tb00196.x"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1006\/redy.1998.0046"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6229.00320"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_8_25_1","volume-title":"A treatise on money: The applied theory of money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.4.1165"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6229.2009.00237.x"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1086\/296630"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v53.n3.2082"},{"key":"e_1_2_8_30_1","unstructured":"Ribeiro D. R. &Hodges S. D.(2004).Equilibrium model for commodity prices: Competitive and monopolistic markets (Working paper). Warwick Business School Warwick University Coventry."},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"issue":"2","key":"e_1_2_8_32_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb05061.x"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511571855"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_8_37_1","first-page":"1254","article-title":"The theory of the price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"American Economics Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21559","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21559","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T14:53:51Z","timestamp":1698677631000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21559"}},"issued":{"date-parts":[[2012,5,18]]},"references-count":36,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2013,7]]}},"alternative-id":["10.1002\/fut.21559"],"URL":"https:\/\/doi.org\/10.1002\/fut.21559","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,5,18]]}},{"indexed":{"date-parts":[[2026,1,19]],"date-time":"2026-01-19T06:37:41Z","timestamp":1768804661447,"version":"3.49.0"},"reference-count":58,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,3,16]],"date-time":"2015-03-16T00:00:00Z","timestamp":1426464000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,8]]},"abstract":"This paper examines how increased speculator participation in the commodity futures market affects market outcomes, including trades' price impacts, price volatility, and market quality. Contrary to the popular belief that speculators are responsible for the recent commodity price fluctuation, my analysis finds no evidence that speculators destabilize the commodity spot market. Instead, speculators contribute to lower price volatility, enhanced price efficiency, and better liquidity in the commodity markets. More importantly, I show that speculators either have no effect or stabilize prices during periods of large price movement. My findings suggest speculators have had a significant and in fact positive influence on the commodity market during the recent \u201cfinancialization\u201d period, implying that restricting speculative trading in the futures market is not an efficient way to stabilize the commodity market. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:696\u2013714, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21716","type":"journal-article","created":{"date-parts":[[2015,3,16]],"date-time":"2015-03-16T23:33:31Z","timestamp":1426548811000},"page":"696-714","source":"Crossref","is-referenced-by-count":88,"title":["Does Futures Speculation Destabilize Commodity Markets?"],"prefix":"10.1002","volume":"35","author":[{"given":"Abby","family":"Kim","sequence":"first","affiliation":[{"name":"Abby Kim is at the Division of Economic and Risk Analysis The U.S. Securities and Exchange Commission Washington District of Columbia"}]}],"member":"311","published-online":{"date-parts":[[2015,3,16]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.03.003"},{"key":"e_1_2_8_3_1","doi-asserted-by":"crossref","unstructured":"Aulerich N. M. Irwin S. H. &Garcia P.(2013).Bubbles food prices and speculation: Evidence from the CFTC's daily large trader reporting system. NBER Working paper no. 19065.","DOI":"10.3386\/w19065"},{"key":"e_1_2_8_4_1","unstructured":"Banerjee S. &Jagannathan R.(2013).Destabilizing commodity market speculation. 2013 NBER conference paper."},{"key":"e_1_2_8_5_1","doi-asserted-by":"crossref","unstructured":"Basak S. &Pavlova A.(2013).A model of financialization of commodities. Working paper London Business School.","DOI":"10.2139\/ssrn.2201600"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126742"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04695.x"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331149"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800005150"},{"key":"e_1_2_8_10_1","doi-asserted-by":"crossref","unstructured":"Brunetti C. &Buyuksahin B.(2009).Is speculation destabilizing? Working paper Commodity Futures Trading Commission.","DOI":"10.2139\/ssrn.1393524"},{"key":"e_1_2_8_11_1","unstructured":"Brunetti C. Buyuksahin B. &Harris J. H.(2013).Speculators prices and market volatility. Working paper Bank of Canada."},{"key":"e_1_2_8_12_1","doi-asserted-by":"crossref","unstructured":"Buyuksahin B. Haigh M. S. Harris J. H. Overdahl J. A. &Robe M. A.(2009).Fundamentals trader activity and derivative pricing. Working paper Commodity Futures Trading Commission.","DOI":"10.2139\/ssrn.966692"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol32-No2-7"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830213"},{"key":"e_1_2_8_15_1","unstructured":"CFTC. (2008).Swap dealers and index traders with commission recommendations Staff Report. Commodity Futures Trading Commission."},{"key":"e_1_2_8_16_1","doi-asserted-by":"crossref","unstructured":"Cheng I.\u2010H. &Xiong W.(2013).The financialization of commodity markets. NBER Working paper no. 19642.","DOI":"10.3386\/w19642"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.03.005"},{"key":"e_1_2_8_18_1","doi-asserted-by":"crossref","unstructured":"Cortazar G. Kovacevic I. &Schwartz E. S.(2013).Commodity and asset pricing models: An integration. NBER Working paper paper no. 19167.","DOI":"10.3386\/w19167"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00189"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297923"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb03695.x"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht048"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/338706"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171846"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_8_26_1","doi-asserted-by":"crossref","unstructured":"Fattough B. Kilian L. &Mahadeva L.(2012).The role of speculation in oil markets: What have we learned so far? Working paper University of Michigan.","DOI":"10.5547\/01956574.34.3.2"},{"key":"e_1_2_8_27_1","doi-asserted-by":"crossref","unstructured":"Frankel J. A.(2013).Effects of speculation and interest rates in a \u201ccarry trade\u201d model of commodity prices. NBER Working paper no. 19463.","DOI":"10.3386\/w19463"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.2.199"},{"key":"e_1_2_8_29_1","unstructured":"Gilbert C. L.(2010).Speculative influences on commodity futures prices 2006\u20132008. United Nations Conference on Trade and Development no. 197."},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.06.002"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq044"},{"key":"e_1_2_8_36_1","doi-asserted-by":"crossref","unstructured":"Hamilton J. D. &Wu J. C.(2013).Effects of index\u2010fund investing on commodity futures prices. Working paper Chicago Booth Working paper no. 13\u201373.","DOI":"10.2139\/ssrn.2321280"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.800"},{"key":"e_1_2_8_38_1","article-title":"New evidence on the financialization of commodity futures markets","author":"Henderson B.","year":"2014","journal-title":"Review of Financial Studies"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.005"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800002856"},{"key":"e_1_2_8_41_1","unstructured":"Irwin S. H. &Sanders D. R.(2010).The impact of index and swap funds in commodity futures markets. OECD Food Agriculture and Fisheries Working paper no. 27."},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppq032"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800000481"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.10.008"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330874"},{"key":"e_1_2_8_46_1","doi-asserted-by":"crossref","unstructured":"Knittel C. &Pindyck R. S.(2013).The simple economics of commodity price speculation. NBER Working paper no. 18951.","DOI":"10.3386\/w18951"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.1053"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1542-4774.2012.01080.x"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2322"},{"key":"e_1_2_8_50_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.41"},{"key":"e_1_2_8_51_1","unstructured":"Masters M. W.(2008).Testimony before the committee on Homeland Security and Governmental Affairs United States Senate. May 20 2008."},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn053"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_8_54_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.4.2.19"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_8_57_1","doi-asserted-by":"crossref","unstructured":"Sockin M. &Xiong W.(2013).Informational frictions and commodity markets. NBER Working paper no. 18906.","DOI":"10.3386\/w18906"},{"key":"e_1_2_8_58_1","first-page":"7","article-title":"Commodity index investing and commodity futures prices","volume":"20","author":"Stoll H. R.","year":"2010","journal-title":"Journal of Applied Finance"},{"key":"e_1_2_8_59_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21716","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21716","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:51:31Z","timestamp":1696575091000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21716"}},"issued":{"date-parts":[[2015,3,16]]},"references-count":58,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2015,8]]}},"alternative-id":["10.1002\/fut.21716"],"URL":"https:\/\/doi.org\/10.1002\/fut.21716","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,3,16]]}},{"indexed":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T17:40:26Z","timestamp":1759513226300,"version":"3.37.3"},"reference-count":37,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2021,3,13]],"date-time":"2021-03-13T00:00:00Z","timestamp":1615593600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001602","name":"Science Foundation Ireland","doi-asserted-by":"publisher","award":["18\/SPP\/3459"],"award-info":[{"award-number":["18\/SPP\/3459"]}],"id":[{"id":"10.13039\/501100001602","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,6]]},"abstract":"Abstract<\/jats:title>Prior research in hedge fund and mutual fund management finds a positive relation between portfolio distinctiveness and subsequent performance, suggesting that strategy differentiation is associated with superior skill. We find that commodity trading advisors (CTAs) with returns that correlate more strongly with those of peers feature higher performance and are more highly exposed to a time series momentum factor. Strategy conformity appears to be a signal of managerial skill in CTAs, in contrast to hedge funds and mutual funds. These results indicate that a common trend following strategy drives CTA returns and that CTAs offer investors an opportunity to invest in momentum.<\/jats:p>","DOI":"10.1002\/fut.22199","type":"journal-article","created":{"date-parts":[[2021,3,13]],"date-time":"2021-03-13T20:50:36Z","timestamp":1615668636000},"page":"875-894","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["When it pays to follow the crowd: Strategy conformity and CTA performance"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3558-941X","authenticated-orcid":false,"given":"Nicolas P. B.","family":"Bollen","sequence":"first","affiliation":[{"name":"Department of\u00a0Finance Vanderbilt University Nashville Tennessee USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2399-6184","authenticated-orcid":false,"given":"Mark C.","family":"Hutchinson","sequence":"additional","affiliation":[{"name":"Department of Finance University College Cork Cork Ireland"}]},{"given":"John","family":"O'Brien","sequence":"additional","affiliation":[{"name":"Department of Finance University College Cork Cork Ireland"}]}],"member":"311","published-online":{"date-parts":[[2021,3,13]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01499.x"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs100"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.11.001"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.008"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.005"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.06.008"},{"key":"e_1_2_10_8_1","doi-asserted-by":"crossref","unstructured":"Baltas N. &Kosowski R.\u00a0(2013).Momentum strategies in futures markets and trend\u2010following funds\u00a0(Imperial College working paper) London UK.","DOI":"10.2139\/ssrn.1968996"},{"key":"e_1_2_10_9_1","unstructured":"BarclayHedge. (2020).Managed Futures (CTA) Database. Available from BarclayHedge\u00a0https:\/\/www.barclayhedge.com\/databases\/cta-database"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu040"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000112"},{"key":"e_1_2_10_12_1","doi-asserted-by":"crossref","unstructured":"Bollen N. P. Joenv\u00e4\u00e4r\u00e4 J. &Kauppila M.\u00a0(2020).Hedge fund performance: End of an era?\u00a0(Vanderbilt University Working Paper) Nashville TN.","DOI":"10.1080\/0015198X.2021.1921564"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(96)00898-7"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2003.319877"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00690.x"},{"key":"e_1_2_10_16_1","doi-asserted-by":"crossref","unstructured":"Chen H. Cohen L. &Gurun U.\u00a0(2019).Don't take their word for it: The misclassification of bond mutual funds\u00a0(University\u00a0of Notre Dame Working Paper) Notre Dame IN.","DOI":"10.3386\/w26423"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp057"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.12.002"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1997.409630"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.2.313"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v60.n5.2657"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.015"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm025"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00581"},{"key":"e_1_2_10_25_1","unstructured":"Gorovyy S. Kuzmina O. &Kelley P.\u00a0(2020).Does secrecy signal skill? Characteristics and performance of secretive hedge funds\u00a0(University\u00a0of Melbourne Working Paper) Melbourne AU."},{"key":"e_1_2_10_26_1","unstructured":"Hsieh D.(2020).David A. Hsieh's Hedge Fund Data Library. Available from David Hsieh\u00a0https:\/\/faculty.fuqua.duke.edu\/~dah7\/HFData.htm"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.10.001"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00785.x"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009990482"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21685"},{"key":"e_1_2_10_32_1","unstructured":"National Association of College and University Business Officers. (2018). NACUBO\u2010TIAA study of endowments."},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20252"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr092"},{"key":"e_1_2_10_36_1","unstructured":"Thomson Reuters. (2020).Commodity Futures Data. Available from Thomson Reuters\u00a0https:\/\/eikon.thomsonreuters.com\/index.html"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq105"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1086\/295508"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22199","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22199","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22199","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T19:03:40Z","timestamp":1693595020000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22199"}},"issued":{"date-parts":[[2021,3,13]]},"references-count":37,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2021,6]]}},"alternative-id":["10.1002\/fut.22199"],"URL":"https:\/\/doi.org\/10.1002\/fut.22199","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,3,13]]},"assertion":[{"value":"2020-08-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-02-08","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-03-13","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T15:54:24Z","timestamp":1759938864338},"reference-count":11,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7755,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,6]]},"DOI":"10.1002\/fut.3990050204","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:26:22Z","timestamp":1183613182000},"page":"183-199","source":"Crossref","is-referenced-by-count":83,"title":["Hedging with stock index futures: Theory and application in a new market"],"prefix":"10.1002","volume":"5","author":[{"given":"Stephen","family":"Figlewski","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Anderson R. andDanthine J.(1981): \u201cCross\u2010Hedging \u201dJournal of Political Economy December:1182\u20131196.","DOI":"10.1086\/261028"},{"key":"e_1_2_1_3_1","unstructured":"Chicago Mercantile Exchange. (1982):Inside S&P 500 Stock Index Futures."},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Cornell B. andFrench K.(1983): \u201cTaxes and the Pricing of Stock Index Futures \u201dJournal of Finance June:675\u2013694.","DOI":"10.1111\/j.1540-6261.1983.tb02496.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Ederington L.(1979): \u201cThe Hedging Performance of the New Futures Markets \u201dJournal of Finance March:157\u2013170.","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Figlewski S.(1984a): \u201cHedging Performance and Basis Risk in Stock Index Futures \u201dJournal of Finance July:657\u2013669.","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Figlewski S.(1984b): \u201cExplaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium \u201dFinancial Analysts Journal July\/August:43\u201347.","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Figlewski S. andKon J.(1982): \u201cPortfolio Management with Stock Index Futures \u201dFinancial Analysts Journal January\/February:3\u201311.","DOI":"10.2469\/faj.v38.n1.52"},{"key":"e_1_2_1_9_1","volume-title":"Futures Contracts on Stock Indexes","author":"Hanson N.","year":"1982"},{"key":"e_1_2_1_10_1","volume-title":"The New York Stock Exchange Composite Index Futures Contract: Description and Statistics","author":"Jones F.","year":"1982"},{"key":"e_1_2_1_11_1","unstructured":"Kansas City Board of Trade. (1982):Value Line Composite Average. The Index behind the Futures."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050204","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050204","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T12:40:13Z","timestamp":1697892013000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050204"}},"issued":{"date-parts":[[1985,6]]},"references-count":11,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1985,6]]}},"alternative-id":["10.1002\/fut.3990050204"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050204","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,6]]}},{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T04:17:42Z","timestamp":1759637862717},"reference-count":16,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8303,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,12]]},"DOI":"10.1002\/fut.3990030410","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:16:40Z","timestamp":1183591000000},"page":"451-472","source":"Crossref","is-referenced-by-count":20,"title":["Cash settlement of futures contracts: An economic analysis"],"prefix":"10.1002","volume":"3","author":[{"given":"Kenneth D.","family":"Carbade","sequence":"first","affiliation":[]},{"given":"William L.","family":"Silber","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Futures Trading Seminar","author":"Bakken H.","year":"1966"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","unstructured":"Commodity Futures Trading Commission(1981):Report to the Congress in Response to Section 21 of the Commodity Exchange Act Pub. L. No. 96\u2013276 96th Cong. 2d Sess. Section 7 94 Stat. 542 (June 1 1980)."},{"key":"e_1_2_1_6_1","volume-title":"Securities Markets","author":"Garbade K.","year":"1982"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(77)90004-8"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Garbade K. andSilber W.(1983a): \u201cFutures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts \u201dJournal of Business July.","DOI":"10.1086\/296201"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Garbade K. andSilber W.(1983b): \u201cPrice Movements and Price Discovery in Futures and Cash Markets \u201dReview of Economics and Statistics May.","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_10_1","first-page":"50","article-title":"On the Information Content of Prices","volume":"69","author":"Garbade K.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.9783\/9781512802443"},{"key":"e_1_2_1_12_1","unstructured":"Kilcollin T.\u201cFutures Prices and Deliverable Supply in Financial Futures Markets where Delivery is from a \u2018Market Basket\u2019 of Securities \u201dJournal of Finance(forthcoming)."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00985.x"},{"key":"e_1_2_1_14_1","unstructured":"Paul A. Kahl K. andTomek W.(1981):Performance of Futures Markets: The Case of Potatoes United States Department of Agriculture Economics and Statistics Service Technical Bulletin No. 1936."},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1236940"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/466758"},{"key":"e_1_2_1_17_1","volume-title":"Selected Writings of Holbrook Working","author":"Working H.","year":"1977"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030410","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030410","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T07:41:09Z","timestamp":1697701269000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030410"}},"issued":{"date-parts":[[1983,12]]},"references-count":16,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1983,12]]}},"alternative-id":["10.1002\/fut.3990030410"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030410","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,12]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:32:42Z","timestamp":1760524362357,"version":"3.37.3"},"reference-count":51,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2022,5,16]],"date-time":"2022-05-16T00:00:00Z","timestamp":1652659200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"publisher","award":["20720221025"],"award-info":[{"award-number":["20720221025"]}],"id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71671004"],"award-info":[{"award-number":["71671004"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,8]]},"abstract":"Abstract<\/jats:title>We introduce a new volatility model for option pricing that combines Markov switching with the realized generalized autoregressive conditional heteroskedasticity (GARCH) framework. This leads to a novel pricing kernel with a state\u2010dependent variance risk premium and a pricing formula for European options, which is derived with an analytical approximation method. We apply the Markov\u2010switching Realized GARCH model to Standard and Poor's 500 index options from 1990 to 2019 and find that investors' aversion to volatility\u2010specific risk is time\u2010varying. The proposed framework outperforms competing models and reduces (in\u2010sample and out\u2010of\u2010sample) option\u2010pricing errors by 15% or more.<\/jats:p>","DOI":"10.1002\/fut.22338","type":"journal-article","created":{"date-parts":[[2022,5,16]],"date-time":"2022-05-16T09:42:38Z","timestamp":1652694158000},"page":"1409-1433","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Option pricing with state\u2010dependent pricing kernel"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3065-5978","authenticated-orcid":false,"given":"Chen","family":"Tong","sequence":"first","affiliation":[{"name":"Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics (WISE) Xiamen University Xiamen China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9728-4860","authenticated-orcid":false,"given":"Peter Reinhard","family":"Hansen","sequence":"additional","affiliation":[{"name":"Department of Economics University of North Carolina Chapel Hill North Carolina USA"},{"name":"Department of Finance Copenhagen Business School Frederiksberg Denmark"}]},{"given":"Zhuo","family":"Huang","sequence":"additional","affiliation":[{"name":"National School of Development Peking University Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2022,5,16]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500511215"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00016-0"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.03.009"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6495"},{"key":"e_1_2_10_7_1","unstructured":"Bekaert G. Engstrom E. C. &Xu N. R.(2021).The time variation in risk appetite and uncertainty.Management Science.https:\/\/pubsonline.informs.org\/doi\/abs\/10.1287\/mnsc.2021.4068"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2013.06.003"},{"issue":"3","key":"e_1_2_10_9_1","doi-asserted-by":"crossref","first-page":"309","DOI":"10.1080\/07350015.1994.10524546","article-title":"A Markov model of switching\u2010regime ARCH","volume":"12","author":"Cai J.","year":"1994","journal-title":"Journal of Business & Economic Statistics"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/250059"},{"key":"e_1_2_10_11_1","unstructured":"CBOE DataShop. (2021). SPX Options.https:\/\/datashop.cboe.com\/option-quotes"},{"key":"e_1_2_10_12_1","unstructured":"CBOE VIX. (2021).https:\/\/www.cboe.com\/tradable_products\/vix\/vix_historical_data\/"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm070"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20422"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000428"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht033"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0276"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.017"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.08.015"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1279"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10114"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.1999.033"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/2\/303"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024906003846"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfv062"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90067-1"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1038543"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1234"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466613000121"},{"key":"e_1_2_10_31_1","unstructured":"Hansen P. R. &Tong C.(2021). Option pricing with time\u2010varying volatility risk aversion.https:\/\/arxiv.org\/abs\/2204.06943"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21821"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.2.433"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90007-1"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.11.006"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1007\/s001810100100"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.02.005"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2010.08.003"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913837"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.036"},{"key":"e_1_2_10_43_1","unstructured":"OptionMetrics. (2021). SPX Options.https:\/\/optionmetrics.com"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.11.009"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.09.008"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00128-9"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10690-010-9120-6"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21613"},{"key":"e_1_2_10_49_1","unstructured":"The Oxford\u2010Man Realized Library. (2021). The Realized Kernels of S&P 500 Index.https:\/\/realized.oxford-man.ox.ac.uk\/data\/download"},{"key":"e_1_2_10_50_1","unstructured":"TickData. (2021). High\u2010frequency S&P 500 Futures Prices.https:\/\/www.tickdata.com"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22201"},{"key":"e_1_2_10_52_1","unstructured":"Yahoo Finance. (2021). S&P 500 Index.https:\/\/finance.yahoo.com\/quote\/%5EGSPC\/history"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22338","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22338","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22338","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,9,25]],"date-time":"2024-09-25T00:57:21Z","timestamp":1727225841000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22338"}},"issued":{"date-parts":[[2022,5,16]]},"references-count":51,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2022,8]]}},"alternative-id":["10.1002\/fut.22338"],"URL":"https:\/\/doi.org\/10.1002\/fut.22338","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2022,5,16]]},"assertion":[{"value":"2021-11-29","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-04-19","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-05-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:25:02Z","timestamp":1760523902092,"version":"3.37.3"},"reference-count":37,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2019,11,22]],"date-time":"2019-11-22T00:00:00Z","timestamp":1574380800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,3]]},"abstract":"Abstract<\/jats:title>This paper examines the role of time\u2010varying jump intensities in forming mean\u2010variance portfolios. We find that compared with the no\u2010jump or constant\u2010jump models, the model which incorporates time\u2010varying jump intensities better fits the dynamics of the assets returns, and yields mean\u2010variance portfolios with higher Sharpe ratios. Our research suggests that using a better econometric model that captures non\u2010normal features in the data has benefits for portfolio allocation even for a mean\u2010variance investor.<\/jats:p>","DOI":"10.1002\/fut.22075","type":"journal-article","created":{"date-parts":[[2019,11,22]],"date-time":"2019-11-22T09:15:39Z","timestamp":1574414139000},"page":"460-478","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Incorporating time\u2010varying jump intensities in the mean\u2010variance portfolio decisions"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7925-9178","authenticated-orcid":false,"given":"Chunyang","family":"Zhou","sequence":"first","affiliation":[{"name":"Department of Finance, Antai College of Economics and Management Shanghai Jiao Tong University Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5999-9379","authenticated-orcid":false,"given":"Chongfeng","family":"Wu","sequence":"additional","affiliation":[{"name":"Department of Finance, Antai College of Economics and Management Shanghai Jiao Tong University Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7185-1078","authenticated-orcid":false,"given":"Weidong","family":"Xu","sequence":"additional","affiliation":[{"name":"Department of Finance and Acccounting, School of Management Zhejiang University Zhejiang China"}]}],"member":"311","published-online":{"date-parts":[[2019,11,22]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_8_2_1","DOI":"10.1214\/08-AAP552"},{"doi-asserted-by":"publisher","key":"e_1_2_8_3_1","DOI":"10.1016\/j.jfineco.2015.03.002"},{"doi-asserted-by":"publisher","key":"e_1_2_8_4_1","DOI":"10.1093\/jjfinec\/nbi022"},{"doi-asserted-by":"publisher","key":"e_1_2_8_5_1","DOI":"10.1198\/07350010152596718"},{"doi-asserted-by":"publisher","key":"e_1_2_8_6_1","DOI":"10.1016\/j.econlet.2003.09.023"},{"doi-asserted-by":"publisher","key":"e_1_2_8_7_1","DOI":"10.1198\/073500102288618513"},{"doi-asserted-by":"publisher","key":"e_1_2_8_8_1","DOI":"10.1016\/j.eneco.2010.11.002"},{"doi-asserted-by":"publisher","key":"e_1_2_8_9_1","DOI":"10.3905\/joi.2.3.51"},{"doi-asserted-by":"publisher","key":"e_1_2_8_10_1","DOI":"10.1016\/j.jedc.2010.05.010"},{"doi-asserted-by":"publisher","key":"e_1_2_8_11_1","DOI":"10.1093\/rfs\/hhs104"},{"doi-asserted-by":"publisher","key":"e_1_2_8_12_1","DOI":"10.1111\/j.1540-6261.2004.00717.x"},{"doi-asserted-by":"publisher","key":"e_1_2_8_13_1","DOI":"10.1093\/rfs\/hhm075"},{"doi-asserted-by":"publisher","key":"e_1_2_8_14_1","DOI":"10.1017\/S0022109013000616"},{"doi-asserted-by":"publisher","key":"e_1_2_8_15_1","DOI":"10.1007\/978-1-4899-4541-9"},{"doi-asserted-by":"publisher","key":"e_1_2_8_16_1","DOI":"10.2307\/1912773"},{"doi-asserted-by":"publisher","key":"e_1_2_8_17_1","DOI":"10.1017\/S0266466600009063"},{"doi-asserted-by":"publisher","key":"e_1_2_8_18_1","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"doi-asserted-by":"publisher","key":"e_1_2_8_19_1","DOI":"10.1111\/0022-1082.00327"},{"doi-asserted-by":"publisher","key":"e_1_2_8_20_1","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"doi-asserted-by":"publisher","key":"e_1_2_8_21_1","DOI":"10.1016\/S0304-405X(02)00259-3"},{"doi-asserted-by":"publisher","key":"e_1_2_8_22_1","DOI":"10.1017\/S0022109012000117"},{"doi-asserted-by":"publisher","key":"e_1_2_8_23_1","DOI":"10.1080\/00036840500474249"},{"doi-asserted-by":"publisher","key":"e_1_2_8_24_1","DOI":"10.1093\/rfs\/hhm056"},{"doi-asserted-by":"publisher","key":"e_1_2_8_25_1","DOI":"10.1108\/CFRI-08-2017-0180"},{"doi-asserted-by":"publisher","key":"e_1_2_8_26_1","DOI":"10.1111\/1540-6261.00523"},{"key":"e_1_2_8_27_1","first-page":"67","article-title":"On a measure of lack of fit in time series models","volume":"66","author":"Ljung G.","year":"1978","journal-title":"Biometrika"},{"doi-asserted-by":"publisher","key":"e_1_2_8_28_1","DOI":"10.1111\/j.1540-6261.2004.00648.x"},{"doi-asserted-by":"publisher","key":"e_1_2_8_29_1","DOI":"10.1016\/j.jfineco.2013.07.006"},{"key":"e_1_2_8_30_1","first-page":"77","article-title":"Portfolio selection","volume":"7","author":"Markowitz H.","year":"1952","journal-title":"Journal of Risk"},{"doi-asserted-by":"publisher","key":"e_1_2_8_31_1","DOI":"10.1111\/jofi.12513"},{"doi-asserted-by":"publisher","key":"e_1_2_8_32_1","DOI":"10.1016\/j.jempfin.2015.03.019"},{"doi-asserted-by":"publisher","key":"e_1_2_8_33_1","DOI":"10.1093\/jjfinec\/nbp003"},{"key":"e_1_2_8_34_1","first-page":"263","volume-title":"Exploring the limits of bootstrap","author":"Politis D.","year":"1992"},{"doi-asserted-by":"publisher","key":"e_1_2_8_35_1","DOI":"10.1214\/aoms\/1177729394"},{"doi-asserted-by":"publisher","key":"e_1_2_8_36_1","DOI":"10.1080\/14697688.2012.738934"},{"doi-asserted-by":"publisher","key":"e_1_2_8_37_1","DOI":"10.1016\/j.econmod.2010.11.016"},{"doi-asserted-by":"publisher","key":"e_1_2_8_38_1","DOI":"10.1016\/j.jempfin.2019.01.003"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22075","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22075","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22075","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,8]],"date-time":"2023-09-08T01:54:50Z","timestamp":1694138090000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22075"}},"issued":{"date-parts":[[2019,11,22]]},"references-count":37,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2020,3]]}},"alternative-id":["10.1002\/fut.22075"],"URL":"https:\/\/doi.org\/10.1002\/fut.22075","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2019,11,22]]},"assertion":[{"value":"2019-03-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-11-06","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-11-22","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T09:56:59Z","timestamp":1760522219535},"reference-count":36,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2004,3,8]],"date-time":"2004-03-08T00:00:00Z","timestamp":1078704000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,5]]},"abstract":"Abstract<\/jats:title>On February 1, 2002, the Chicago Board of Trade appointed a designated market maker to enhance liquidity in\nits 10\u2010year interest rate swap futures contract. This market\u2010making program is the first of its\nkind in the open\u2010outcry futures industry. We find that introduction of the market maker has increased\nvolume and reduced transaction costs. The market maker has also enhanced the speed and the efficiency of price\ndiscovery. Overall, the results suggest that the market\u2010making program is successful in improving\nliquidity. \u00a9 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:479\u2013502, 2004<\/jats:p>","DOI":"10.1002\/fut.10117","type":"journal-article","created":{"date-parts":[[2004,3,9]],"date-time":"2004-03-09T08:00:52Z","timestamp":1078819252000},"page":"479-502","source":"Crossref","is-referenced-by-count":17,"title":["Do designated market makers improve liquidity in open\u2010outcry futures markets?"],"prefix":"10.1002","volume":"24","author":[{"given":"Yiuman","family":"Tse","sequence":"first","affiliation":[]},{"given":"Tatyana","family":"Zabotina","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2004,3,8]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Anand A. &Weaver D. G.(2001).The value of the specialist: Empirical evidence from the CBOE. Working paper Zicklin School of Business Baruch College."},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676265"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331149"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Bessembinder H. &Venkataraman K.(2002).Does an electronic stock exchange need an upstairs market?Working paper David Eccles School of Business University of Utah.","DOI":"10.2139\/ssrn.296271"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(98)00003-2"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10029"},{"key":"e_1_2_1_9_1","unstructured":"Bryant H. L. &Haigh M. S.(2002).Bid\u2010ask spreads in commodity futures markets. Working paper Department of Agricultural and Resource Economics University of Maryland."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830213"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676274"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_13_1","unstructured":"Ferguson M. F. &Mann S. C.(1999).The impact of off\u2010exchange customer trades on prices: Evidence from the futures markets. Working Paper Indiana University."},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/209666"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100403"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/296460"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04594.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00054-5"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.1.191"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05121.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00013-1"},{"key":"e_1_2_1_22_1","unstructured":"Klock M. &McCormick D. T.(1998).The impact of market maker competition on NASDAQ spreads. NASD Working Paper 98\u201004."},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.285595"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.3.953"},{"key":"e_1_2_1_25_1","unstructured":"Manaster S. &Mann S.(1999).Sources of market making profits: Man does not live by spread alone. Working paper Pamplin College of Business Virginia Tech University."},{"key":"e_1_2_1_26_1","unstructured":"Mann S. Venkataraman K. &Waisburd A.(2002).Stock liquidity and the value of a designated liquidity provider: Evidence from Euronext Paris. Working paper Southern Methodist University."},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00447"},{"key":"e_1_2_1_28_1","doi-asserted-by":"crossref","unstructured":"Nimalendran M. &Petrella G.(2002).Do \u201cthinly\u2010traded\u201d stocks benefit from specialist interventions?Working paper University of Florida.","DOI":"10.1016\/S0378-4266(03)00103-1"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199608)16:5<519::AID-FUT2>3.0.CO;2-J"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140406"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(99)00073-4"},{"key":"e_1_2_1_33_1","first-page":"110","article-title":"Determinants of liquidity costs in commodity futures markets","volume":"7","author":"Thompson S. R.","year":"1988","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H"},{"key":"e_1_2_1_35_1","unstructured":"Tse Y.(2003).Information transmission between the swap and Treasury note futures markets. Working paper College of Business University of Texas at San Antonio."},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.1802"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<757::AID-FUT2>3.0.CO;2-M"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10117","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10117","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T22:27:23Z","timestamp":1700173643000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10117"}},"issued":{"date-parts":[[2004,3,8]]},"references-count":36,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2004,5]]}},"alternative-id":["10.1002\/fut.10117"],"URL":"https:\/\/doi.org\/10.1002\/fut.10117","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,3,8]]}},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:59:28Z","timestamp":1761818368104,"version":"build-2065373602"},"reference-count":29,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2025,7,29]],"date-time":"2025-07-29T00:00:00Z","timestamp":1753747200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,10]]},"abstract":"ABSTRACT<\/jats:title>\n This paper investigates the information value of U.S. Department of Agriculture (USDA) crop reports in terms of their impact\u00a0on rational agents' expectations of future realized price volatility. While it is well known that uncertainty\u2014proxied by options market implied volatility\u2014is reduced in the wake of USDA reports, this is the first study to examine whether the information contained in USDA reports impacts market agents' ex ante expectations of realized volatility (RV). We use a Hamilton\u2010type approach to reveal how August crop reports refine volatility expectations, and movements in RV in the post report period mirror these expectations. Importantly, in the wake of the USDA report releases, corn options partially reflect updates in volatility expectations. These updates are not instantaneous, highlighting potential short\u2010term pricing misalignments over the first 2\u2009days following the report release.<\/jats:p>","DOI":"10.1002\/fut.70020","type":"journal-article","created":{"date-parts":[[2025,7,30]],"date-time":"2025-07-30T06:13:48Z","timestamp":1753856028000},"page":"1852-1868","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8265-5462","authenticated-orcid":false,"given":"Yao","family":"Yang","sequence":"first","affiliation":[{"name":"Department of Agricultural Economics and Agribusiness The University of Arkansas Fayetteville Arkansas USA"}]},{"given":"Andrew","family":"McKenzie","sequence":"additional","affiliation":[{"name":"Department of Agricultural Economics and Agribusiness The University of Arkansas Fayetteville Arkansas USA"}]}],"member":"311","published-online":{"date-parts":[[2025,7,29]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/ajae\/aay018"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-7161(96)14022-0"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20181219"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2024.100382"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22283"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20110306"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331358"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0416.00009"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-2681(97)00013-9"},{"key":"e_1_2_11_14_1","doi-asserted-by":"crossref","unstructured":"Good D. L. andS. H.Irwin.2006.Understanding USDA Corn and Soybean Production Forecasts: An Overview of Methods Performance and Market Impact Over 1970\u20132005. AgMAS Project Research Report 2006\u201001. Department of Agriculture and Consumer Economics University of Illinois Urbana\u2010Champaign.","DOI":"10.2139\/ssrn.897279"},{"issue":"1","key":"e_1_2_11_15_1","first-page":"157","article-title":"Was the Deflation During the Great Depression Anticipated? Evidence From the Commodity Futures Market","volume":"82","author":"Hamilton J. D.","year":"1992","journal-title":"American Economic Review"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2006.00918.x"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/agr.20174"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppu010"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13120"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/aepp.13409"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8276.2007.01117.x"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140408"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10042"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241769"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/1477-9552.12101"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20527"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1108\/S1477-407020160000011007"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70020","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:56:40Z","timestamp":1761818200000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70020"}},"issued":{"date-parts":[[2025,7,29]]},"references-count":29,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2025,10]]}},"alternative-id":["10.1002\/fut.70020"],"URL":"https:\/\/doi.org\/10.1002\/fut.70020","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7,29]]},"assertion":[{"value":"2025-03-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-14","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-29","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:59:53Z","timestamp":1761818393688,"version":"build-2065373602"},"reference-count":104,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2025,7,20]],"date-time":"2025-07-20T00:00:00Z","timestamp":1752969600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,10]]},"abstract":"ABSTRACT<\/jats:title>\n Despite the growing importance of integrating climate risks into financial decision\u2010making, there has been limited research on how these risks affect stock\u2013commodity correlations and the optimal hedging performance of commodities. Using four novel climate risk measures related to the US climate policy, international summits, global warming, and natural disasters, we explore the impact of climate risks on conditional correlations between commodity futures and equities. Our results reveal that higher transition risks (US climate policy and international summits) are associated with increased correlations, while higher physical risks (natural disasters and global warming) drive correlations lower in most cases. We also find that the interaction of climate risks with macro factors can exert significant influences on the time\u2010varying correlations. During periods of extremely high climate risk, we generally observe higher hedging costs, reduced portfolio allocations to commodities, and lower hedging effectiveness compared to periods of extremely low climate risk.<\/jats:p>","DOI":"10.1002\/fut.70014","type":"journal-article","created":{"date-parts":[[2025,7,21]],"date-time":"2025-07-21T06:39:08Z","timestamp":1753079948000},"page":"1693-1716","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Stock\u2013Commodity Correlations, Optimal Hedging, and Climate Risks"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2543-7914","authenticated-orcid":false,"given":"Sercan","family":"Demiralay","sequence":"first","affiliation":[{"name":"Department of Accounting and Finance Nottingham Trent University Nottingham UK"}]},{"given":"Hatice Gaye","family":"Gencer","sequence":"additional","affiliation":[{"name":"Department of Business Administration Yeditepe University Istanbul Turkey"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6965-5492","authenticated-orcid":false,"given":"Alexander","family":"Brauneis","sequence":"additional","affiliation":[{"name":"Department of Accounting and Finance Nottingham Trent University Nottingham UK"}]}],"member":"311","published-online":{"date-parts":[[2025,7,20]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2021.100868"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.2010.01267.x"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"volume-title":"A Characterization of Measures of Risk","year":"1997","author":"Artzner P.","key":"e_1_2_10_6_1"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104553"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/raaa008"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2018.03.010"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2010.00244.x"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.12.008"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.05.003"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2021.01.006"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21756"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000206"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.004"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20191823"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/joes.12525"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2022.101730"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2022.110312"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.10.022"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101748"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2024.105134"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22398"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105443"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.3905\/JAI.2010.12.3.061"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gfj.2008.12.001"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2010.05.010"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1353\/mcb.2005.0027"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.107163"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101607"},{"volume-title":"Risk of Capital Flight Due to a Better Understanding of Climate Change Risks. K4D Helpdesk Report 727","year":"2024","author":"Cooper R.","key":"e_1_2_10_34_1"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.01.005"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.52.3.740"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106196"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2019.101048"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22544"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2023.106948"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2023.102019"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2019.103736"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2019.08.004"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2022.12.007"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2021.100876"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.euroecorev.2022.104174"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-102620-103311"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2022.106028"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102286"},{"key":"e_1_2_10_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2023.100367"},{"key":"e_1_2_10_54_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1234"},{"key":"e_1_2_10_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2022.101675"},{"key":"e_1_2_10_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2023.122330"},{"key":"e_1_2_10_57_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20321"},{"key":"e_1_2_10_58_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22416"},{"key":"e_1_2_10_59_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_10_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2021.101292"},{"key":"e_1_2_10_61_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_10_62_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_10_63_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz137"},{"key":"e_1_2_10_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102975"},{"key":"e_1_2_10_65_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-023-05672-0"},{"key":"e_1_2_10_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106787"},{"issue":"4","key":"e_1_2_10_67_1","first-page":"160","article-title":"Range\u2010Based Volatility Timing","volume":"50","author":"Lehnert T.","year":"2024","journal-title":"Journal of Portfolio Management"},{"key":"e_1_2_10_68_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00627"},{"key":"e_1_2_10_69_1","doi-asserted-by":"publisher","DOI":"10.1080\/14693062.2012.728790"},{"key":"e_1_2_10_70_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2023.137594"},{"key":"e_1_2_10_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2023.103839"},{"key":"e_1_2_10_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104412"},{"key":"e_1_2_10_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.103014"},{"key":"e_1_2_10_74_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22467"},{"key":"e_1_2_10_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2020.12.001"},{"key":"e_1_2_10_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2024.100423"},{"key":"e_1_2_10_77_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105377"},{"key":"e_1_2_10_78_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2021.101438"},{"key":"e_1_2_10_79_1","doi-asserted-by":"publisher","DOI":"10.1038\/s41558-018-0182-1"},{"key":"e_1_2_10_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2011.06.012"},{"key":"e_1_2_10_81_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2016.1170929"},{"key":"e_1_2_10_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2021.105123"},{"key":"e_1_2_10_83_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.11.009"},{"key":"e_1_2_10_84_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_10_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2024.100407"},{"key":"e_1_2_10_86_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102084"},{"key":"e_1_2_10_87_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177005835"},{"key":"e_1_2_10_88_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2021.100870"},{"key":"e_1_2_10_89_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.02.014"},{"key":"e_1_2_10_90_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.renene.2022.07.159"},{"key":"e_1_2_10_91_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.07.053"},{"key":"e_1_2_10_92_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.107195"},{"key":"e_1_2_10_93_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1756"},{"key":"e_1_2_10_94_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.08.004"},{"key":"e_1_2_10_95_1","doi-asserted-by":"publisher","DOI":"10.1080\/1331677X.2023.2186913"},{"key":"e_1_2_10_96_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22510"},{"key":"e_1_2_10_97_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2023.03.013"},{"key":"e_1_2_10_98_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2028"},{"key":"e_1_2_10_99_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22511"},{"key":"e_1_2_10_100_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102743"},{"key":"e_1_2_10_101_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2548"},{"key":"e_1_2_10_102_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.08.010"},{"key":"e_1_2_10_103_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2025.103983"},{"key":"e_1_2_10_104_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2022.04.017"},{"key":"e_1_2_10_105_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106732"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70014","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:57:18Z","timestamp":1761818238000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70014"}},"issued":{"date-parts":[[2025,7,20]]},"references-count":104,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2025,10]]}},"alternative-id":["10.1002\/fut.70014"],"URL":"https:\/\/doi.org\/10.1002\/fut.70014","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7,20]]},"assertion":[{"value":"2025-03-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-27","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-20","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,31]],"date-time":"2025-10-31T07:41:09Z","timestamp":1761896469825},"reference-count":38,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2017,3,6]],"date-time":"2017-03-06T00:00:00Z","timestamp":1488758400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,11]]},"abstract":"Previous research highlights the importance of two distinct types of informed trading in the options market: trading on the price direction of underlying stocks, and trading on their uncertainty. Surprisingly, however, the studies considering these in a unified framework are scant.This study attempts to fill the gap. We predict that when both directional<\/jats:italic> andvolatility information<\/jats:italic> could motivateoptions trading, the return predictability of options volume hinges onthe shape of the volatility smirk.Consistent with this prediction, we find thatthe negative relationship between options volume and future stock returns is concentrated in stocks exhibiting steep volatility smirks. \u00a9 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:1053\u20131093, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21837","type":"journal-article","created":{"date-parts":[[2017,3,6]],"date-time":"2017-03-06T11:56:54Z","timestamp":1488801414000},"page":"1053-1093","source":"Crossref","is-referenced-by-count":7,"title":["Informed Trading in the Options Market and Stock Return Predictability"],"prefix":"10.1002","volume":"37","author":[{"given":"JoongHo","family":"Han","sequence":"first","affiliation":[{"name":"JoongHo Han and Da\u2010Hea Kim are at the Department of Finance Sungkyunkwan University Seoul Republic of Korea"}]},{"given":"Da\u2010Hea","family":"Kim","sequence":"additional","affiliation":[{"name":"JoongHo Han and Da\u2010Hea Kim are at the Department of Finance Sungkyunkwan University Seoul Republic of Korea"}]},{"given":"Suk\u2010Joon","family":"Byun","sequence":"additional","affiliation":[{"name":"Suk\u2010Joon Byun is at the Department of Finance KAIST College of Business Seoul Republic of Korea"}]}],"member":"311","published-online":{"date-parts":[[2017,3,6]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1997.tb00531.x"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12181"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb02614.x"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.10.007"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.435"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01051.x"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00068-9"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.014"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_10_17_1","volume-title":"Volatility trading in option market: How does it affect where informed traders trade","author":"Capelle\u2010Blancard Gunther","year":"2001"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03808.x"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90042-0"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp005"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.008"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03597.x"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00638.x"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01352.x"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00079.x"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.09.015"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21837","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21837","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T17:17:46Z","timestamp":1696612666000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21837"}},"issued":{"date-parts":[[2017,3,6]]},"references-count":38,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2017,11]]}},"alternative-id":["10.1002\/fut.21837"],"URL":"https:\/\/doi.org\/10.1002\/fut.21837","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2017,3,6]]}},{"indexed":{"date-parts":[[2025,10,31]],"date-time":"2025-10-31T07:47:21Z","timestamp":1761896841387,"version":"3.37.3"},"reference-count":61,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2018,7,8]],"date-time":"2018-07-08T00:00:00Z","timestamp":1531008000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,1]]},"abstract":"This paper presents a new method to estimate Hasbrouck\u2010type market information share in price discovery. The prevailing market information share is calculated on the basis of conditional mean. We propose a conditional quantile regression approach to obtain a new market information share measure, quantile information share, which varies across the combinations of different price quantiles. The method is illustrated with two data sets, one on the spot and futures markets in pricing S&P 500 equity index, and the other on price discovery for a cross\u2010listed stock.<\/jats:p>","DOI":"10.1002\/fut.21940","type":"journal-article","created":{"date-parts":[[2018,7,9]],"date-time":"2018-07-09T03:44:32Z","timestamp":1531107872000},"page":"38-55","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":8,"title":["Quantile information share"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0659-2831","authenticated-orcid":false,"given":"Donald","family":"Lien","sequence":"first","affiliation":[{"name":"Department of Economics and Department of Finance, College of Business University of Texas San Antonio Texas"}]},{"given":"Zijun","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of Economics and Department of Finance, College of Business University of Texas San Antonio Texas"}]}],"member":"311","published-online":{"date-parts":[[2018,7,8]]},"reference":[{"key":"e_1_2_9_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21760"},{"key":"e_1_2_9_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2014.09.030"},{"key":"e_1_2_9_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_9_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2017.02.013"},{"key":"e_1_2_9_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2011.12.002"},{"key":"e_1_2_9_1_7_1","doi-asserted-by":"publisher","DOI":"10.1214\/15-AOS1401"},{"key":"e_1_2_9_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2017.07.003"},{"key":"e_1_2_9_1_9_1","unstructured":"Cecchetti S. G. &Li H. (2008). Measuring the impact of asset price booms using quantile vector autoregressions. Retrieved fromhttp:\/\/people.brandeis.edu\/~cecchett\/WPpdf\/2008_QVAR_HLi.pdf"},{"key":"e_1_2_9_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-3758(01)00277-4"},{"key":"e_1_2_9_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_9_1_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1996.10476954"},{"key":"e_1_2_9_1_13_1","unstructured":"Chavleishvili S. &Manganelli S. (2017).Quantile impulse response functions(Working Paper). European Central Bank."},{"key":"e_1_2_9_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2012.01.001"},{"key":"e_1_2_9_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2016.07.008"},{"key":"e_1_2_9_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.02.013"},{"key":"e_1_2_9_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00056-1"},{"key":"e_1_2_9_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00425"},{"key":"e_1_2_9_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn015"},{"key":"e_1_2_9_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00537"},{"key":"e_1_2_9_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.05.001"},{"key":"e_1_2_9_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12420"},{"key":"e_1_2_9_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_9_1_24_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109013000215"},{"key":"e_1_2_9_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.03.001"},{"key":"e_1_2_9_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00017-9"},{"key":"e_1_2_9_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_9_1_28_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00609.x"},{"key":"e_1_2_9_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00019-2"},{"key":"e_1_2_9_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21779"},{"key":"e_1_2_9_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(97)00058-2"},{"key":"e_1_2_9_1_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp015"},{"key":"e_1_2_9_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2014.12.002"},{"key":"e_1_2_9_1_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_9_1_35_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511754098"},{"key":"e_1_2_9_1_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_9_1_37_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214506000000672"},{"key":"e_1_2_9_1_38_1","doi-asserted-by":"crossref","unstructured":"Lee J.\u2010H. Linton O. &Whang Y.\u2010J. (2017). Quantilograms under strong dependence. Retrieved fromwww.ssrn.com","DOI":"10.2139\/ssrn.2939361"},{"key":"e_1_2_9_1_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00025-3"},{"key":"e_1_2_9_1_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2004.09.002"},{"key":"e_1_2_9_1_41_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2014.892007"},{"key":"e_1_2_9_1_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20356"},{"key":"e_1_2_9_1_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21781"},{"key":"e_1_2_9_1_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2007.01.004"},{"key":"e_1_2_9_1_45_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2016.1156545"},{"key":"e_1_2_9_1_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.10.007"},{"key":"e_1_2_9_1_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2017.03.007"},{"key":"e_1_2_9_1_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2016.10.001"},{"key":"e_1_2_9_1_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2006.01.002"},{"key":"e_1_2_9_1_50_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2323"},{"key":"e_1_2_9_1_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.05.004"},{"key":"e_1_2_9_1_52_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594987"},{"key":"e_1_2_9_1_53_1","first-page":"2465","article-title":"Disaggregating the correlation under bearish and bullish markets: A quantile\u2010quantile approach","volume":"364","author":"Shahzad S.","year":"2016","journal-title":"Economic Bulletin"},{"key":"e_1_2_9_1_54_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"volume-title":"Price discovery share \u2013 An order invariant measure of price discovery with application to exchange\u2010traded funds","year":"2014","author":"Sultan S. G.","key":"e_1_2_9_1_55_1"},{"key":"e_1_2_9_1_56_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2011.601643"},{"key":"e_1_2_9_1_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2017.03.022"},{"key":"e_1_2_9_1_58_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2006.00639.x"},{"volume-title":"A factor analytical approach to price discovery","year":"2015","author":"Westerlund J.","key":"e_1_2_9_1_59_1"},{"key":"e_1_2_9_1_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.004"},{"key":"e_1_2_9_1_61_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.12.005"},{"key":"e_1_2_9_1_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.003"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21940","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21940","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.21940","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21940","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T07:19:29Z","timestamp":1693984769000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21940"}},"issued":{"date-parts":[[2018,7,8]]},"references-count":61,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2019,1]]}},"alternative-id":["10.1002\/fut.21940"],"URL":"https:\/\/doi.org\/10.1002\/fut.21940","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2018,7,8]]},"assertion":[{"value":"2017-09-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-06-01","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-07-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,11,9]],"date-time":"2025-11-09T18:04:57Z","timestamp":1762711497643,"version":"build-2065373602"},"reference-count":46,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2025,9,7]],"date-time":"2025-09-07T00:00:00Z","timestamp":1757203200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,12]]},"abstract":"ABSTRACT<\/jats:title>\n We propose a Markov\u2010switching GARCH framework to describe the VIX series. Unlike previous studies on derivatives pricing, both the conditional mean and conditional variance here are allowed to vary with the market state described by a hidden Markov chain process. This switching framework preserves the good properties, under which we derive the analytical pricing formula for the VIX futures. In addition, to make it feasible in practice, we design a novel analytical algorithm that can efficiently filter out all the unobserved variables in the model. The empirical studies show that adding the Markov\u2010switching terms can significantly improve the fit of the underlying VIX series and the pricing performance of the VIX futures both in\u2010 and out\u2010of\u2010sample. Our research highlights the importance of incorporating regime switches that can be viewed as an additional risk factor into the model framework.<\/jats:p>","DOI":"10.1002\/fut.70041","type":"journal-article","created":{"date-parts":[[2025,9,8]],"date-time":"2025-09-08T05:58:13Z","timestamp":1757311093000},"page":"2262-2281","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Pricing VIX Futures Under a Markov\u2010Switching GARCH Framework"],"prefix":"10.1002","volume":"45","author":[{"given":"Fangsheng","family":"Yin","sequence":"first","affiliation":[{"name":"School of Finance Shandong University of Finance and Economics Jinan China"}]},{"given":"Yiling","family":"You","sequence":"additional","affiliation":[{"name":"China School of Banking and Finance University of International Business and Economics Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3073-5908","authenticated-orcid":false,"given":"Tianyi","family":"Wang","sequence":"additional","affiliation":[{"name":"China School of Banking and Finance University of International Business and Economics Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5115-9837","authenticated-orcid":false,"given":"Mei","family":"Yu","sequence":"additional","affiliation":[{"name":"China School of Banking and Finance University of International Business and Economics Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2025,9,7]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500511215"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01332.x"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.05.004"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2013.01.026"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2014.09.003"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2012.07.003"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.06.001"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1994.10524546"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.034"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2021.1974459"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20422"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103501"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.017"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2017.10.049"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/2\/303"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1997.10524683"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024906003846"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3117"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2023.106237"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(96)00875-6"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/j.ctv14jx6sm"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90067-1"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.04.007"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22344"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90036-1"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1007\/s001810100100"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2017.06.005"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2014.904240"},{"key":"e_1_2_11_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"key":"e_1_2_11_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1015599"},{"key":"e_1_2_11_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2021.05.012"},{"key":"e_1_2_11_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2022.11.007"},{"key":"e_1_2_11_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22338"},{"key":"e_1_2_11_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2221"},{"key":"e_1_2_11_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105845"},{"key":"e_1_2_11_42_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2021.2016592"},{"key":"e_1_2_11_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21820"},{"key":"e_1_2_11_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22183"},{"key":"e_1_2_11_45_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1159318"},{"key":"e_1_2_11_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2021.01.033"},{"key":"e_1_2_11_47_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20512"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70041","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,11,9]],"date-time":"2025-11-09T17:59:03Z","timestamp":1762711143000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70041"}},"issued":{"date-parts":[[2025,9,7]]},"references-count":46,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2025,12]]}},"alternative-id":["10.1002\/fut.70041"],"URL":"https:\/\/doi.org\/10.1002\/fut.70041","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,9,7]]},"assertion":[{"value":"2024-11-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-08-25","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-07","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:16:11Z","timestamp":1761016571803},"reference-count":36,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5687,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1991,2]]},"DOI":"10.1002\/fut.3990110106","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T16:18:24Z","timestamp":1183652304000},"page":"55-68","source":"Crossref","is-referenced-by-count":29,"title":["Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies"],"prefix":"10.1002","volume":"11","author":[{"given":"A. G.","family":"Malliaris","sequence":"first","affiliation":[]},{"given":"Jorge","family":"Urrutia","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297415"},{"key":"e_1_2_1_3_1","volume-title":"Differential Equations, Stability and Chaos in Dynamic Economics","author":"Brock W. A.","year":"1989"},{"key":"e_1_2_1_4_1","volume-title":"WP Series Graduate School of Business","author":"Cechetti Stephen","year":"1986"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/261569"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90029-0"},{"key":"e_1_2_1_7_1","first-page":"63","article-title":"Speculative Dynamics and the Role of Feedback Traders","volume":"80","author":"Cutler D.","year":"1990","journal-title":"American Economic Review: Papers and Proceedings"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010107"},{"key":"e_1_2_1_9_1","first-page":"427","article-title":"Distribution of the Estimators of the Autoregressive Time Series With A Unit Root","volume":"74","author":"Dickey D. A.","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90027-1"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/294743"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/294849"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050204"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_18_1","volume-title":"Essays in Positive Economics","author":"Friedman M.","year":"1953"},{"key":"e_1_2_1_19_1","first-page":"95","article-title":"Intervalling Effects, and the Hedging Performance of Foreign Currency Futures","volume":"5","author":"Grammatikos Theoharry.","year":"1986","journal-title":"Journal of Financial Research"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030305"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080603"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090302"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v40.n6.34"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030406"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050205"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.41"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","unstructured":"McCabe George M. andSolberg Donald P.(1988): \u201cHedging in the Treasury Bill Futures Markets When the Hedged Instrument and the Deliverable Instrument Are Not Matched \u201d Working paper University of Nebraska forthcoming in Journal of Financial Management.","DOI":"10.1002\/fut.3990090606"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665206"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060107"},{"key":"e_1_2_1_33_1","first-page":"237","article-title":"Hedgers' Demand for Futures Contracts: A Theoretical Framework With Applications to the United States Soy\u2010Bean Complex","volume":"11","author":"Rutledge D. J. S.","year":"1972","journal-title":"Food Research Institute Studies"},{"key":"e_1_2_1_34_1","first-page":"1012","article-title":"The Simultaneous Determination of Spot and Futures Prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_35_1","volume-title":"Financial Markets and Incomplete Information","author":"Tirole Jean.","year":"1989"},{"key":"e_1_2_1_36_1","first-page":"314","article-title":"Futures Trading and Hedging","volume":"43","author":"Working H.","year":"1953","journal-title":"American Economic Review"},{"key":"e_1_2_1_37_1","first-page":"431","article-title":"New Concepts Concerning Futures Markets and Prices","volume":"52","author":"Working H.","year":"1962","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110106","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110106","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:41:24Z","timestamp":1698014484000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110106"}},"issued":{"date-parts":[[1991,2]]},"references-count":36,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1991,2]]}},"alternative-id":["10.1002\/fut.3990110106"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110106","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1991,2]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:05:26Z","timestamp":1761015926250},"reference-count":7,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,9]]},"DOI":"10.1002\/1096-9934(200009)20:8<705::aid-fut1>3.0.co;2-k","type":"journal-article","created":{"date-parts":[[2002,9,11]],"date-time":"2002-09-11T01:20:53Z","timestamp":1031707253000},"page":"705-716","source":"Crossref","is-referenced-by-count":34,"title":["Standard and Poor?s depository receipts and the performance of the S&P 500 index futures market"],"prefix":"10.1002","volume":"20","author":[{"given":"Lorne N.","family":"Switzer","sequence":"first","affiliation":[]},{"given":"Paula L.","family":"Varson","sequence":"additional","affiliation":[]},{"given":"Samia","family":"Zghidi","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K-BIB1","doi-asserted-by":"crossref","first-page":"367","DOI":"10.1002\/fut.3990100405","volume":"10","author":"Bhatt","year":"1990","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K-BIB3","doi-asserted-by":"crossref","first-page":"675","DOI":"10.1111\/j.1540-6261.1983.tb02496.x","volume":"38","author":"Cornell","year":"1983","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K-BIB4","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.3990030102","volume":"3","author":"Cornell","year":"1983","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K-BIB5","doi-asserted-by":"crossref","first-page":"129","DOI":"10.2307\/1924704","volume":"66","author":"Elton","year":"1984","journal-title":"Review of Econometrics and Statistics"},{"key":"10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K-BIB6","doi-asserted-by":"crossref","first-page":"43","DOI":"10.2469\/faj.v40.n4.43","volume":"40","author":"Figlewski","year":"1984","journal-title":"Financial Analysts Journal"},{"key":"10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K-BIB7","doi-asserted-by":"crossref","first-page":"137","DOI":"10.1093\/rfs\/1.2.137","volume":"1","author":"MacKinlay","year":"1988","journal-title":"Review of Financial Studies"},{"key":"10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K-BIB9","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1002\/fut.3990150206","volume":"15","author":"Park","year":"1995","journal-title":"Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200009)20:8%3C705::AID-FUT1%3E3.0.CO;2-K","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200009)20:8%3C705::AID-FUT1%3E3.0.CO;2-K","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:10:07Z","timestamp":1625134207000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K"}},"issued":{"date-parts":[[2000]]},"references-count":7,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2000,9]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200009)20:8<705::aid-fut1>3.0.co;2-k","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:24:58Z","timestamp":1761017098951},"reference-count":54,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,1,15]],"date-time":"2015-01-15T00:00:00Z","timestamp":1421280000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,8]]},"abstract":"Abstract<\/jats:title>We investigate the informational role of trading volume and quote changes in VIX options with regard to future movements in the index, based upon a high\u2010frequency framework. Our results reveal that whilst volume imbalances convey no significant predictive information, quote changes in VIX options can significantly predict changes in the index, with this predictive power being more pronounced for VIX calls around monetary policy announcement periods. Our findings imply that when acting on market\u2010wide information, traders in VIX options may prefer to submit limit orders, as opposed to market orders, leading to such information being contained in the quote changes. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:715\u2013737, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21710","type":"journal-article","created":{"date-parts":[[2015,1,16]],"date-time":"2015-01-16T00:08:06Z","timestamp":1421366886000},"page":"715-737","source":"Crossref","is-referenced-by-count":13,"title":["The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options"],"prefix":"10.1002","volume":"35","author":[{"given":"Wei\u2010Che","family":"Tsai","sequence":"first","affiliation":[{"name":"Wei\u2010Che Tsai is at the Department of Finance National Sun Yat\u2010sen University, No. 70, Lienhai Rd. Kaohsiung 80424 Taiwan"}]},{"given":"Ying\u2010Tzu","family":"Chiu","sequence":"additional","affiliation":[{"name":"Ying\u2010Tzu Chiu obtained her master's degree from National Taiwan University"}]},{"given":"Yaw\u2010Huei","family":"Wang","sequence":"additional","affiliation":[{"name":"Yaw\u2010Huei Wang is at the Department of Finance National Taiwan University, No. 1, Sec. 4, Roosevelt Rd. Taipei 106 Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2015,1,15]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20369"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.3.977"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00068-9"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.004"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00661.x"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1049"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05136.x"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.11.001"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.07.015"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2007.07.002"},{"key":"e_1_2_9_17_1","doi-asserted-by":"crossref","unstructured":"Cho Y. &EngleR.F.(1999) Modeling the impacts of market activity on bid\u2010ask spreads in the option market.NBER Working paper.","DOI":"10.3386\/w7331"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.04.010"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20532"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/260966"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20279"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10034"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2325486"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(98)00002-4"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20251"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0416.00019"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03749.x"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb03926.x"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02282.x"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1006\/jfin.1995.1010"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.1.179"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.995"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.008"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/7.4.631"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2007.01.001"},{"key":"e_1_2_9_40_1","unstructured":"Kumar P. &SeppiD.J.(1992) Limit and market orders with optimizing traders. Working paper Carnegie Mellon."},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03597.x"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.09.003"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.08.007"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.05.007"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21637"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05087.x"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2004.06.001"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02407.x"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.09.015"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb02431.x"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21601"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000220"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21710","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21710","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:51:19Z","timestamp":1696575079000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21710"}},"issued":{"date-parts":[[2015,1,15]]},"references-count":54,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2015,8]]}},"alternative-id":["10.1002\/fut.21710"],"URL":"https:\/\/doi.org\/10.1002\/fut.21710","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,1,15]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:25:54Z","timestamp":1761017154667},"reference-count":35,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2016,5,30]],"date-time":"2016-05-30T00:00:00Z","timestamp":1464566400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,2]]},"abstract":"Mean reversion and regime switching are well\u2010known features of commodity prices. Recent empirical research additionally documents the time variation of the mean reversion rate and volatility. This paper considers the option pricing framework for an underlying commodity price with mean reversion rate and volatility change according to a self\u2010exciting regime switching model. We offer empirical evidence for the proposed model and derive analytic pricing formulas for the European and barrier options. Numerical examples demonstrate the application and the ability of the proposed model in capturing volatility smile and regime\u2010switching in the mean reversion rate, simultaneously. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:107\u2013131, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21795","type":"journal-article","created":{"date-parts":[[2016,5,30]],"date-time":"2016-05-30T14:52:44Z","timestamp":1464619964000},"page":"107-131","source":"Crossref","is-referenced-by-count":12,"title":["Option Pricing with Threshold Mean Reversion"],"prefix":"10.1002","volume":"37","author":[{"given":"Zeyu","family":"Chi","sequence":"first","affiliation":[{"name":"Zeyu Chi, Fangyuan Dong, and Hoi Ying Wong are at the Department of Statistics The Chinese University of Hong Kong Shatin, N.T. Hong Kong"}]},{"given":"Fangyuan","family":"Dong","sequence":"additional","affiliation":[{"name":"Zeyu Chi, Fangyuan Dong, and Hoi Ying Wong are at the Department of Statistics The Chinese University of Hong Kong Shatin, N.T. Hong Kong"}]},{"given":"Hoi Ying","family":"Wong","sequence":"additional","affiliation":[{"name":"Zeyu Chi, Fangyuan Dong, and Hoi Ying Wong are at the Department of Statistics The Chinese University of Hong Kong Shatin, N.T. Hong Kong"}]}],"member":"311","published-online":{"date-parts":[[2016,5,30]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-6377(92)90050-D"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11203-011-9064-0"},{"key":"e_1_2_9_4_1","doi-asserted-by":"crossref","unstructured":"Christofordiou A. &Ewald C. O.(2015a). Closed\u2010form option pricing formulas for mean\u2010reverting commodity prices with regime\u2010switching. Available at SSRN:http:\/\/ssrn.com\/abstract=2606168.","DOI":"10.2139\/ssrn.2606168"},{"key":"e_1_2_9_5_1","doi-asserted-by":"crossref","unstructured":"Christoforidou A. &Ewald C. O.(2015b). Analytic formulas for options in the Schwartz 97 multifactor framework with added regime shifts. Available at SSRN:http:\/\/ssrn.com\/abstract=2608530.","DOI":"10.2139\/ssrn.2608530"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.04.011"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2348693"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024906003937"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1145\/321439.321446"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0377-2217(95)00366-5"},{"key":"e_1_2_9_12_1","volume-title":"Applied Econometric Time Series","author":"Enders W.","year":"2004"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1155\/S1024123X99000988"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.024"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00053"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331378"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20223"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10463-010-0318-1"},{"key":"e_1_2_9_20_1","volume-title":"Special functions and their applications","author":"Lebedev N. N.","year":"1972"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00113.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4296-1"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-036X.00031"},{"key":"e_1_2_9_25_1","unstructured":"Stigler M.(2010). Threshold cointegration: Overview and implementation in R: (Revision 4). Paper downloaded from:http:\/\/cran.r\u2010project.org\/web\/packages\/tsDyn\/vignettes\/ThCointOverview.pdf"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2345278"},{"key":"e_1_2_9_27_1","doi-asserted-by":"crossref","unstructured":"Tong H.(1983). Threshold models in non\u2010linear time series analysis. Lecture Notes in Statistics 21. Springer\u2010Verlag New York Inc.","DOI":"10.1007\/978-1-4684-7888-4"},{"key":"e_1_2_9_28_1","doi-asserted-by":"crossref","unstructured":"Tong H.(1990). Non\u2010linear time series: A dynamical system approach. Oxford University Press UK.","DOI":"10.1093\/oso\/9780198522249.001.0001"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2006.05.006"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680701691469"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.09.014"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20306"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2008.05.014"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.cam.2011.06.014"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-12-784391-9.50107-X"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21795","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21795","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21795","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,17]],"date-time":"2024-06-17T06:48:26Z","timestamp":1718606906000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21795"}},"issued":{"date-parts":[[2016,5,30]]},"references-count":35,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2017,2]]}},"alternative-id":["10.1002\/fut.21795"],"URL":"https:\/\/doi.org\/10.1002\/fut.21795","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,5,30]]}},{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:20:28Z","timestamp":1761016828307},"reference-count":24,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T00:00:00Z","timestamp":1247529600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,9]]},"abstract":"Abstract<\/jats:title>The negative volatility risk premium is understood as a result for a hedging demand against market declines. Although this negative volatility risk premium is observed in most index options markets, there are some doubts about its presence in the KOSPI 200 index options market. The majority of KOSPI 200 index option holders do not possess any position in the underlying market; the composition of trading groups of the KOSPI 200 index options significantly differs from that of its underlying index; in this circumstance, the presence of a hedging demand is questionable. This study shows that volatility risk does not require a premium in the KOSPI 200 index options market. Rather, jump fears influence KOSPI 200 options. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:797\u2013825, 2009<\/jats:p>","DOI":"10.1002\/fut.20386","type":"journal-article","created":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T15:56:58Z","timestamp":1247587018000},"page":"797-825","source":"Crossref","is-referenced-by-count":6,"title":["Is volatility risk priced in the KOSPI 200 index options market?"],"prefix":"10.1002","volume":"29","author":[{"given":"Sun\u2010Joong","family":"Yoon","sequence":"first","affiliation":[]},{"given":"Suk Joon","family":"Byun","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,14]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00460"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg002"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1060.0579"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03775.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_1_9_1","unstructured":"Benzoni L.(2002). Pricing options under stochastic volatility: An empirical investigation (working paper)."},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00049-5"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_12_1","article-title":"Can tests based on option hedging errors correctly identify volatility risk premia?","author":"Branger N.","year":"2004","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00046-5"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00566"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_1_17_1","volume-title":"Econometric Analysis","author":"Greene W.","year":"1997"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126743"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05219.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2007.01.001"},{"key":"e_1_2_1_21_1","first-page":"133","article-title":"On the apparent systematic bias of implied volatility in the Black and Scholes model","volume":"2","author":"Kim I.","year":"1994","journal-title":"Advances in Investment Analysis and Portfolio Management"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20175"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90022-2"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680601173444"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20386","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20386","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T02:48:31Z","timestamp":1699930111000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20386"}},"issued":{"date-parts":[[2009,7,14]]},"references-count":24,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2009,9]]}},"alternative-id":["10.1002\/fut.20386"],"URL":"https:\/\/doi.org\/10.1002\/fut.20386","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,14]]}},{"indexed":{"date-parts":[[2025,10,19]],"date-time":"2025-10-19T21:03:39Z","timestamp":1760907819731},"reference-count":34,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5753,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,12]]},"DOI":"10.1002\/(sici)1096-9934(199912)19:8<877::aid-fut2>3.0.co;2-b","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:10:20Z","timestamp":1030302620000},"page":"877-894","source":"Crossref","is-referenced-by-count":9,"title":["Contemporary and long-run correlations: A covariance component model and studies on the S&P 500 cash and futures markets"],"prefix":"10.1002","volume":"19","author":[{"given":"Gary G. J.","family":"Lee","sequence":"first","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB1","doi-asserted-by":"crossref","first-page":"915","DOI":"10.1002\/fut.3990140805","volume":"14","author":"Arshanapalli","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB2","author":"Baba","year":"1989","unstructured":"& (1989). Multivariate simultaneous generalized ARCH. Unpublished paper, University of California at San Diego."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB3","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1002\/jae.3950060202","volume":"6","author":"Baillie","year":"1991","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB4","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB5","doi-asserted-by":"crossref","first-page":"167","DOI":"10.2307\/2951782","volume":"61","author":"Bollerslev","year":"1993","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB6","doi-asserted-by":"crossref","first-page":"623","DOI":"10.2307\/1935825","volume":"70","author":"Cecchetti","year":"1988","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB7","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1093\/rfs\/4.4.657","volume":"4","author":"Chan","year":"1991","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB8","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1093\/rfs\/5.1.123","volume":"5","author":"Chan","year":"1992","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB9","first-page":"121","volume":"9","author":"Cheung","year":"1991","journal-title":"The Review of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB10","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1002\/jae.3950030404","volume":"3","author":"Chou","year":"1988","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB11","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"Engle","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB12","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198296836.001.0001","volume-title":"Cointegration, causality and forecasting: A festschrift in honor of Clive W. J. Granger","author":"Engle","year":"1999","unstructured":"& (1999). A long-run and short-run component model of stock return volatility. In Cointegration, causality and forecasting: A festschrift in honor of Clive W. J. Granger. New York: Oxford University Press."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB13","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(87)90026-2","volume":"19","author":"French","year":"1987","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB14","doi-asserted-by":"crossref","first-page":"743","DOI":"10.1002\/fut.3990130703","volume":"13","author":"Ghosh","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB15","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1111\/j.1540-6261.1989.tb02405.x","volume":"44","author":"Harris","year":"1989","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB16","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1002\/fut.3990070403","volume":"7","author":"Herbst","year":"1987","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB17","doi-asserted-by":"crossref","first-page":"1309","DOI":"10.1111\/j.1540-6261.1987.tb04368.x","volume":"42","author":"Kawaller","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB18","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1016\/0378-4266(90)90055-7","volume":"14","author":"Kawaller","year":"1990","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB19","doi-asserted-by":"crossref","first-page":"851","DOI":"10.1111\/j.1540-6261.1992.tb03997.x","volume":"47","author":"Kleidon","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB20","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1002\/(SICI)1096-9934(199602)16:1<55::AID-FUT3>3.0.CO;2-G","volume":"16","author":"Koutmos","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB21","doi-asserted-by":"crossref","first-page":"535","DOI":"10.2307\/2331164","volume":"28","author":"Kroner","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB22","doi-asserted-by":"crossref","first-page":"927","DOI":"10.1002\/fut.3990140806","volume":"14","author":"Lien","year":"1994","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB23","doi-asserted-by":"crossref","first-page":"39","DOI":"10.1002\/fut.3990110105","volume":"11","author":"Myers","year":"1991","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB24","author":"Nelson","year":"1989","unstructured":"(1989). Modeling stock market volatility changes. 1989 Proceedings of the American Statistical Association, Business and Economic Statistics Section, 93-98."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB25","doi-asserted-by":"crossref","first-page":"347","DOI":"10.2307\/2938260","volume":"59","author":"Nelson","year":"1990","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB26","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1016\/0304-4076(90)90101-X","volume":"45","author":"Pagan","year":"1990","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB27","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1002\/fut.3990150106","volume":"15","author":"Park","year":"1995","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB28","first-page":"1142","volume":"76","author":"Poterba","year":"1986","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB29","volume-title":"Report of the Presidential Task Force on the Market Mechanism","year":"1988","unstructured":"Report of the Presidential Task Force on the Market Mechanism. (1988). Washington, DC: U.S. Government Printing Office."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB30","volume-title":"Report for Market Volatility and Investor Confidence Panel","year":"1990","unstructured":"Report for Market Volatility and Investor Confidence Panel (1990). New York: New York Stock Exchange."},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB31","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1093\/rfs\/3.1.77","volume":"3","author":"Schwert","year":"1990","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB32","doi-asserted-by":"crossref","first-page":"441","DOI":"10.2307\/2331010","volume":"15","author":"Stoll","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB33","doi-asserted-by":"crossref","first-page":"711","DOI":"10.1002\/fut.3990130702","volume":"13","author":"Wahab","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B-BIB34","doi-asserted-by":"crossref","first-page":"457","DOI":"10.1002\/fut.3990140407","volume":"14","author":"Wang","year":"1994","journal-title":"The Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199912)19:8%3C877::AID-FUT2%3E3.0.CO;2-B","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199912)19:8%3C877::AID-FUT2%3E3.0.CO;2-B","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,12,29]],"date-time":"2023-12-29T18:35:34Z","timestamp":1703874934000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199912)19:8<877::AID-FUT2>3.0.CO;2-B"}},"issued":{"date-parts":[[1999,12]]},"references-count":34,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1999,12]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199912)19:8<877::aid-fut2>3.0.co;2-b","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,12]]}},{"indexed":{"date-parts":[[2025,11,1]],"date-time":"2025-11-01T17:04:16Z","timestamp":1762016656457},"reference-count":28,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2001,3,12]],"date-time":"2001-03-12T00:00:00Z","timestamp":984355200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,5]]},"abstract":"Abstract<\/jats:title>This article analyzes the behavior of futures prices when the exchange is regulated by price limits. With a model analogous to exchange\u2010rate target\u2010zone models, we tested for the existence of a nonlinear S\u2010shape relation between observed and theoretical futures prices. This phenomenon reflects the adjustments in traders\u2019 expectations even when limits are not actually hit. The approach is illustrated for five agricultural futures contracts traded at the Chicago Board of Trade. There is some evidence of nonlinearity in quiet periods. In cases of fundamental realignments, that is, volatile periods, this nonlinearity disappears. \u00a9 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:463\u2013488, 2001<\/jats:p>","DOI":"10.1002\/fut.5","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T21:47:48Z","timestamp":1030312068000},"page":"463-488","source":"Crossref","is-referenced-by-count":25,"title":["Limits to linear price behavior: futures prices regulated by limits"],"prefix":"10.1002","volume":"21","author":[{"given":"Anthony D.","family":"Hall","sequence":"first","affiliation":[]},{"given":"Paul","family":"Kofman","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,3,12]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.85732"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199805)18:3<265::AID-FUT2>3.0.CO;2-I"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-4932.1996.tb02607.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(81)90115-9"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/296547"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330697"},{"key":"e_1_2_1_8_1","first-page":"138","article-title":"Tests of unbiasedness in foreign exchange futures markets: The effects of price limits","volume":"9","author":"Kodres L. E.","year":"1988","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296612"},{"key":"e_1_2_1_10_1","first-page":"919","article-title":"The existence of Pareto\u2010superior price limits","volume":"84","author":"Kodres L. E.","year":"1994","journal-title":"American Economic Review"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199801\/02)13:1<31::AID-JAE458>3.0.CO;2-F"},{"key":"e_1_2_1_12_1","first-page":"263","article-title":"Optimizing futures margins with distribution tails","volume":"6","author":"Kofman P.","year":"1994","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(97)00004-1"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199609)16:6<677::AID-FUT4>3.0.CO;2-C"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04425.x"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090406"},{"key":"e_1_2_1_17_1","first-page":"279","article-title":"Commentary: Circuit breakers in the S&P 500 futures market: Their effect on volatility and price discovery in October 1989 (by H. McMillan)","volume":"10","author":"Margulis A. S.","year":"1991","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_18_1","first-page":"248","article-title":"Circuit breakers in the S&P 500 futures market: Their effect on volatility and price discovery in October 1989","volume":"10","author":"McMillan H.","year":"1991","journal-title":"Review of Futures Markets"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05149.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/3867040"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(96)00823-3"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2234523"},{"key":"e_1_2_1_23_1","first-page":"861","article-title":"Orange juice and weather","volume":"74","author":"Roll R.","year":"1984","journal-title":"American Economic Review"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/3440524"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(94)00834-5"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb04427.x"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0148-6195(94)00020-E"},{"key":"e_1_2_1_28_1","unstructured":"Strongin S.(1995 Spring).Commentary: On rules versus discretion in the design of impediments to trade (by A. Subrahmanyam). Research Symposium Proceedings Chicago Board of Trade pp.201\u2013205."},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150105"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.5","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.5","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T11:43:17Z","timestamp":1694605397000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.5"}},"issued":{"date-parts":[[2001,3,12]]},"references-count":28,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2001,5]]}},"alternative-id":["10.1002\/fut.5"],"URL":"https:\/\/doi.org\/10.1002\/fut.5","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,3,12]]}},{"indexed":{"date-parts":[[2025,11,7]],"date-time":"2025-11-07T13:17:18Z","timestamp":1762521438788},"reference-count":43,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2011,9,16]],"date-time":"2011-09-16T00:00:00Z","timestamp":1316131200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,10]]},"abstract":"Abstract<\/jats:title>This study examines the behavior of the competitive firm under output price uncertainty and state\u2010dependent preferences. When there is a futures market for hedging purposes, the firm's optimal production decision is independent of the output price uncertainty and of the state\u2010dependent preferences. If the futures contracts are unbiased, the firm's optimal futures position is an over\u2010hedge or an under\u2010hedge, depending on whether the firm is correlation averse or correlation loving, and on whether the output price is positively or negatively expectation dependent on the state variable. When the firm has access not only to the unbiased futures but also to fairly priced options, sufficient conditions are derived under which the firm's optimal hedge position includes both hedging instruments. This study thus establishes a hedging role of options, which is over and above that of futures, in the case of state\u2010dependent preferences. \u00a9 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:945\u2013963, 2012<\/jats:p>","DOI":"10.1002\/fut.20547","type":"journal-article","created":{"date-parts":[[2011,9,16]],"date-time":"2011-09-16T14:31:33Z","timestamp":1316183493000},"page":"945-963","source":"Crossref","is-referenced-by-count":15,"title":["Production and hedging under state\u2010dependent preferences"],"prefix":"10.1002","volume":"32","author":[{"given":"Kit Pong","family":"Wong","sequence":"first","affiliation":[{"name":"School of Economics and Finance, University of Hong Kong, Hong Kong, People's Republic of China"}]}],"member":"311","published-online":{"date-parts":[[2011,9,16]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(00)00016-4"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20362"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(99)00180-9"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00390-4"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130502"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(93)90103-H"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1059-0560(99)80030-6"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1062-9769(01)00121-1"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.4.1283"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126731"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1006\/jmva.2001.2000"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90124-2"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(72)90044-0"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1060.0606"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/134617"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884543"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.1801"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.7551\/mitpress\/2622.001.0001"},{"key":"e_1_2_9_20_1","first-page":"989","article-title":"Hedging and the competitive firm under price uncertainty","volume":"69","author":"Holthausen D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1539-6975.2010.01377.x"},{"key":"e_1_2_9_22_1","volume-title":"Theory of financial decision making","author":"Ingersoll J. E.","year":"1987"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.4159\/harvard.9780674494008"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912049"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938334"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951719"},{"key":"e_1_2_9_27_1","doi-asserted-by":"crossref","first-page":"834","DOI":"10.1002\/fut.20446","article-title":"How firms should hedge: An extension","volume":"30","author":"Korn O.","year":"2009","journal-title":"The Journal of Futures Markets"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242884"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1879518"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(94)00575-M"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jet.2010.10.011"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0106.2004.00218.x"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10011"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2004.03.003"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527128"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527271"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1086\/259427"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.22.1.12"},{"key":"e_1_2_9_39_1","first-page":"65","article-title":"On the theory of the competitive firm under price uncertainty","volume":"61","author":"Sandmo A.","year":"1971","journal-title":"American Economic Review"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1050.0414"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2354.t01-1-00110"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(02)00287-8"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20217"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00126386"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20547","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20547","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T02:52:06Z","timestamp":1698634326000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20547"}},"issued":{"date-parts":[[2011,9,16]]},"references-count":43,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2012,10]]}},"alternative-id":["10.1002\/fut.20547"],"URL":"https:\/\/doi.org\/10.1002\/fut.20547","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2011,9,16]]}},{"indexed":{"date-parts":[[2026,1,21]],"date-time":"2026-01-21T08:59:47Z","timestamp":1768985987631,"version":"3.49.0"},"reference-count":30,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2009,7,21]],"date-time":"2009-07-21T00:00:00Z","timestamp":1248134400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,2]]},"abstract":"Abstract<\/jats:title>Using one\u2010contract\u2010size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Gonzalo, J., and Granger, C. W. J. (1995<\/jats:ext-link>) and Hasbrouck, J. (1995<\/jats:ext-link>), the results show that small traders contribute about 16.8% to price discovery, a disproportionately high share considering their relatively low trading volume. The results also indicate that the Hang Seng Index futures (HSIF) market still has the largest information share (about 71.0%), whereas the HSI spot market has a 12.2% share. Our results suggest that small traders are not uninformed in the HSIF markets, and play an important role in price discovery. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:156\u2013174, 2010<\/jats:p>","DOI":"10.1002\/fut.20410","type":"journal-article","created":{"date-parts":[[2009,7,21]],"date-time":"2009-07-21T18:13:30Z","timestamp":1248200010000},"page":"156-174","source":"Crossref","is-referenced-by-count":16,"title":["Do small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng Index markets"],"prefix":"10.1002","volume":"30","author":[{"given":"Libin","family":"Tao","sequence":"first","affiliation":[]},{"given":"Frank M.","family":"Song","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,7,21]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20160"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00226"},{"key":"e_1_2_1_5_1","first-page":"289","volume":"61","author":"Chakravarty S.","year":"2001","journal-title":"Stealth\u2010trading: Which traders' trades move stock prices? Journal of Financial Economics"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20118"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00028-9"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296591"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00606.x"},{"key":"e_1_2_1_12_1","first-page":"393","article-title":"On the impossibility of informationally efficient markets","volume":"70","author":"Grossman S.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1006\/jfin.1994.1002"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02405.x"},{"key":"e_1_2_1_15_1","unstructured":"Hasbrouck J.(1992).Using the TORQ database. Working paper New York University."},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00609.x"},{"key":"e_1_2_1_18_1","unstructured":"Hong Kong Exchanges and Clearing Limited. (2004).Derivatives Market Transaction Survey 2003\/04. Research paper HKEx Hong Kong."},{"key":"e_1_2_1_19_1","unstructured":"Hong Kong Exchanges and Clearing Limited. (2005).Derivatives Market Transaction Survey 2004\/05. Research paper HKEx Hong Kong."},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003112"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05089.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-4101(92)90021-S"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(00)00002-1"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00025-3"},{"key":"e_1_2_1_26_1","first-page":"457","volume":"85","author":"Malmendier U.","year":"2007","journal-title":"Are small investors naive about incentives? Journal of Financial Economics"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00188"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.2215"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20112"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.1.17"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20410","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20410","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T11:58:52Z","timestamp":1700654332000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20410"}},"issued":{"date-parts":[[2009,7,21]]},"references-count":30,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2010,2]]}},"alternative-id":["10.1002\/fut.20410"],"URL":"https:\/\/doi.org\/10.1002\/fut.20410","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,7,21]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T21:40:20Z","timestamp":1771018820092,"version":"3.50.1"},"reference-count":48,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2020,12,28]],"date-time":"2020-12-28T00:00:00Z","timestamp":1609113600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,3]]},"abstract":"Abstract<\/jats:title>This study investigates the relationship between stock short\u2010selling restrictions and bearish equity warrants on the Taiwan Stock Exchange to clarify the substitutive role of put warrants for underlying stocks subject to short\u2010sale constraints. We show that put warrant transactions increase when short selling is prohibited in the spot market and the substitutive increase in trading also leads to wider bid\u2013ask spreads and higher implied volatility for put warrants. Moreover, we find that the increased trading activities in put warrants could subsequently affect spot market trading through warrant issuers' required dynamic hedging behaviors.<\/jats:p>","DOI":"10.1002\/fut.22169","type":"journal-article","created":{"date-parts":[[2020,12,28]],"date-time":"2020-12-28T23:19:38Z","timestamp":1609197578000},"page":"325-348","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Do put warrants unwind short\u2010sale restrictions? Further evidence from the Taiwan Stock Exchange"],"prefix":"10.1002","volume":"41","author":[{"given":"Yi\u2010Wei","family":"Chuang","sequence":"first","affiliation":[{"name":"Department of International Business Feng Chia University Taichung Taiwan, ROC"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0066-4822","authenticated-orcid":false,"given":"Wei\u2010Che","family":"Tsai","sequence":"additional","affiliation":[{"name":"Department of Finance National Sun Yat\u2010sen University Kaohsiung Taiwan, ROC"},{"name":"Risk and Insurance Research Center, National Chengchi University Taipei Taiwan, ROC"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0988-2041","authenticated-orcid":false,"given":"Pei\u2010Shih","family":"Weng","sequence":"additional","affiliation":[{"name":"Department of Finance National Sun Yat\u2010sen University Kaohsiung Taiwan, ROC"}]},{"given":"Chi","family":"Yin","sequence":"additional","affiliation":[{"name":"Department of Finance National Sun Yat\u2010sen University Kaohsiung Taiwan, ROC"}]}],"member":"311","published-online":{"date-parts":[[2020,12,28]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.04.004"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01700.x"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01802.x"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(95)00839-7"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-014-9102-3"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-013-0377-5"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01324.x"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2118454"},{"issue":"1","key":"e_1_2_10_11_1","first-page":"29","article-title":"Market quality and market making performance: Evaluating the issuers of warrants in Taiwan stock markets","volume":"24","author":"Chan C.","year":"2014","journal-title":"NTU Management Review"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01270.x"},{"key":"e_1_2_10_13_1","doi-asserted-by":"crossref","unstructured":"Chen Y. W. Chen S. S. &Chou R. K.(2019). Short\u2010sale constraints and options trading: Evidence from Reg SHO.Journal of Financial and Quantitative Analysis 55(5) 1555\u20131579.","DOI":"10.1017\/S002210901900053X"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20238"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.01.027"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01729.x"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676220"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-015-0516-2"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90042-0"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01428.x"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.194060"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm083"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04738.x"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.593"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.2.199"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331420"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb02319.x"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(85)90044-3"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.013"},{"key":"e_1_2_10_32_1","doi-asserted-by":"crossref","unstructured":"Henderson B. &Pearson N.(2010).The price impact of large hedging trades. Discussion Paper George Washington University.","DOI":"10.2139\/ssrn.1536720"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2012.09.005"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.008"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1023\/B:EUFI.0000022128.44728.4c"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21683"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1086\/367683"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109010000670"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-015-9117-4"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.11.008"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfv052"},{"key":"e_1_2_10_42_1","doi-asserted-by":"crossref","unstructured":"Mayhew S. &Mihov V. T.(2005).Short sale constraints overvaluation and the introduction of options. AFA 2005 Philadelphia Meetings Paper.","DOI":"10.2139\/ssrn.544245"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03317.x"},{"key":"e_1_2_10_44_1","unstructured":"Ni S. X. Pearson N. D. Poteshman A. M. &White J. S.(2020). Does option trading have a pervasive impact on underlying stock prices?The Review of Financial Studies 00(0) 1\u201335."},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.08.005"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2003.05.008"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00120-1"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.02.012"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22169","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22169","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22169","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T20:40:55Z","timestamp":1693687255000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22169"}},"issued":{"date-parts":[[2020,12,28]]},"references-count":48,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2021,3]]}},"alternative-id":["10.1002\/fut.22169"],"URL":"https:\/\/doi.org\/10.1002\/fut.22169","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,12,28]]},"assertion":[{"value":"2020-09-29","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-10-04","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-12-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,11]],"date-time":"2026-02-11T20:22:46Z","timestamp":1770841366362,"version":"3.50.1"},"reference-count":41,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2001,9,5]],"date-time":"2001-09-05T00:00:00Z","timestamp":999648000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2001,11]]},"abstract":"Abstract<\/jats:title>This article examines the ability of several models to generate optimal hedge ratios. Statistical models\nemployed include univariate and multivariate generalized autoregressive conditionally heteroscedastic\n(GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged\nportfolios derived using these hedge ratios are compared with those based on market expectations implied by the\nprices of traded options. One\u2010month and three\u2010month hedging horizons are considered for four\ncurrency pairs. Overall, it has been found that an exponentially weighted moving\u2010average model leads to\nlower portfolio variances than any of the GARCH\u2010based, implied or time\u2010invariant approaches.\n\u00a9 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1043\u20131069, 2001<\/jats:p>","DOI":"10.1002\/fut.2104","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:58:07Z","timestamp":1030305487000},"page":"1043-1069","source":"Crossref","is-referenced-by-count":37,"title":["The Cross\u2010Currency Hedging Performance of Implied Versus Statistical Forecasting Models"],"prefix":"10.1002","volume":"21","author":[{"given":"Chris","family":"Brooks","sequence":"first","affiliation":[]},{"given":"James","family":"Chong","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,9,5]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.2.333"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb02180.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_5_1","unstructured":"Bank of International Settlements. (1996).Central bank survey of foreign exchange and derivatives market activity 1995."},{"issue":"3","key":"e_1_2_1_6_1","first-page":"346","article-title":"Estimation of\ntime\u2010varying hedge ratios for corn and soybeans: BGARCH and random coefficient approaches","volume":"59","author":"Bera A. K.","year":"1997","journal-title":"Sankhya"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1925546"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2234929"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1090\/S0025-5718-1965-0198670-6"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","first-page":"368","DOI":"10.1090\/S0025-5718-1967-0224273-2","article-title":"Quasi\u2010Newton methods and their application to function\nminimisation","volume":"21","author":"Broyden C. G.","year":"1967","journal-title":"Mathematics of Commutation"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(98)00031-X"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90073-Z"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(98)00002-4"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/comjnl\/6.2.163"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150703"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036849500000095"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(83)80001-1"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010408"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04793.x"},{"key":"e_1_2_1_31_1","volume-title":"Value at risk: The new benchmark for managing financial risk","author":"Jorion P.","year":"2001"},{"key":"e_1_2_1_32_1","unstructured":"J. P.Morgan\/Reuters(1996).RiskMetrics\u2014Technical Document(4th ed.). New York."},{"key":"e_1_2_1_33_1","first-page":"397","article-title":"Exchange rate volatility and time\nvarying hedge ratios","volume":"2","author":"Kroner K. F.","year":"1991","journal-title":"Pacific\u2010Basin Capital Markets Research"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_1_35_1","first-page":"45","article-title":"Hedging with\ncurrency futures: OLS vs. GARCH","volume":"4","author":"Lin J. W.","year":"1994","journal-title":"Journal of Multinational Financial Management"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1086\/294632"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150106"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.2307\/3867475"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199706)17:4<369::AID-FUT1>3.0.CO;2-F"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(95)00040-2"},{"key":"e_1_2_1_42_1","volume-title":"Quantitative methods in\nfinance","author":"Watscham T. J.","year":"1997"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2104","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2104","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T14:39:12Z","timestamp":1700404752000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2104"}},"issued":{"date-parts":[[2001,9,5]]},"references-count":41,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2001,11]]}},"alternative-id":["10.1002\/fut.2104"],"URL":"https:\/\/doi.org\/10.1002\/fut.2104","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,9,5]]}},{"indexed":{"date-parts":[[2026,2,11]],"date-time":"2026-02-11T20:22:47Z","timestamp":1770841367469,"version":"3.50.1"},"reference-count":11,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7847,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,3]]},"DOI":"10.1002\/fut.3990050104","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:13:44Z","timestamp":1183612424000},"page":"21-28","source":"Crossref","is-referenced-by-count":13,"title":["Simple and multiple cross\u2010hedging of millfeeds"],"prefix":"10.1002","volume":"5","author":[{"given":"Stephen E.","family":"Miller","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_3_1","volume-title":"Futures Trading Seminar\u2014A Commodity Marketing Forum for College Teachers of Economics","author":"Gray R. W.","year":"1966"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1240584"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020204"},{"key":"e_1_2_1_6_1","volume-title":"Economics of Futures Trading for Commercial and Personal Profit","author":"Hieronymus T. A.","year":"1977"},{"key":"e_1_2_1_7_1","first-page":"29","article-title":"Beef Price Hedging Opportunities for Food Service Institutions","volume":"11","author":"Miller S. E.","year":"1980","journal-title":"Journal of Food Distribution Research"},{"issue":"16","key":"e_1_2_1_8_1","first-page":"26","article-title":"Forward Pricing Distillers Dried Grains","volume":"54","author":"Miller S. E.","year":"1982","journal-title":"Feedstuffs"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020404"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020203"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237388"},{"key":"e_1_2_1_12_1","unstructured":"U.S. Department of Agriculture:Wheat Situation various issues."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050104","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050104","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T15:16:40Z","timestamp":1697815000000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050104"}},"issued":{"date-parts":[[1985,3]]},"references-count":11,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1985,3]]}},"alternative-id":["10.1002\/fut.3990050104"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050104","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,3]]}},{"indexed":{"date-parts":[[2026,2,11]],"date-time":"2026-02-11T18:06:11Z","timestamp":1770833171847,"version":"3.50.1"},"reference-count":17,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4106,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1995,6]]},"DOI":"10.1002\/fut.3990150404","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T05:08:55Z","timestamp":1183698535000},"page":"423-455","source":"Crossref","is-referenced-by-count":44,"title":["Index arbitrage as cross\u2010sectional market making"],"prefix":"10.1002","volume":"15","author":[{"given":"Craig W.","family":"Holden","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90020-3"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04513.x"},{"key":"e_1_2_1_4_1","volume-title":"Essays in Financial Economics","author":"Brennan M. J.","year":"1987"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/296491"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb01084.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/260760"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296433"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04594.x"},{"key":"e_1_2_1_10_1","unstructured":"Holden C. W.(1991 September\/October): \u201cIndex Arbitrage and The Media \u201d Financial Analysts Journal pp.8\u20139."},{"key":"e_1_2_1_11_1","volume-title":"The Theory of Financial Decision Making","author":"Ingersoll J.","year":"1987"},{"key":"e_1_2_1_12_1","unstructured":"Kumar P. andSeppi D. J.(1989): \u201cInformation and Index Arbitrage \u201d Working paper #88\u201089\u201090 Graduate School of Industrial Administration Carnegie Mellon University."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_15_1","unstructured":"New York Stock Exchange. (7\/88)\u2013(12\/93). Program Trading Report. New York NY."},{"key":"e_1_2_1_16_1","volume-title":"The Presidential Task Force on Market Mechanisms","year":"1988"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330675"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990150404","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990150404","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T07:06:09Z","timestamp":1698303969000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990150404"}},"issued":{"date-parts":[[1995,6]]},"references-count":17,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1995,6]]}},"alternative-id":["10.1002\/fut.3990150404"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990150404","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1995,6]]}},{"indexed":{"date-parts":[[2026,2,10]],"date-time":"2026-02-10T19:07:43Z","timestamp":1770750463754,"version":"3.50.0"},"reference-count":43,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2022,3,10]],"date-time":"2022-03-10T00:00:00Z","timestamp":1646870400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,6]]},"abstract":"Abstract<\/jats:title>This study investigates whether investor sentiment estimated by overnight returns of industry exchange\u2010traded funds (ETFs) affects Volatility Index\u00a0(VIX) futures and stock index futures returns. Our empirical results indicate that high overnight returns of industry ETFs are associated with sentiment\u2010based trading. The results also show that investor sentiment, as measured by the relative comovements of overnight returns of industry ETFs, Granger\u2010causes VIX futures and stock index futures returns, but not vice versa. Finally, investor sentiment, as measured by the relative comovements, displays statistically and economically significant out\u2010of\u2010sample predictive power for VIX futures and stock index futures returns.<\/jats:p>","DOI":"10.1002\/fut.22321","type":"journal-article","created":{"date-parts":[[2022,3,10]],"date-time":"2022-03-10T08:29:09Z","timestamp":1646900949000},"page":"1114-1134","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Overnight returns of industry exchange\u2010traded funds, investor sentiment, and futures market returns"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4804-7444","authenticated-orcid":false,"given":"Yun\u2010Huan","family":"Lee","sequence":"first","affiliation":[{"name":"Department of Finance Ming Chuan University 250 Zhong Shan N. Rd., Sec. 5 Taipei 111 Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3995-1017","authenticated-orcid":false,"given":"Tzu\u2010Hsiang","family":"Liao","sequence":"additional","affiliation":[{"name":"Department of Finance Ming Chuan University 250 Zhong Shan N. Rd., Sec. 5 Taipei 111 Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2974-2812","authenticated-orcid":false,"given":"Hsiu\u2010Chuan","family":"Lee","sequence":"additional","affiliation":[{"name":"Department of Finance Ming Chuan University 250 Zhong Shan N. Rd., Sec. 5 Taipei 111 Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2022,3,10]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000989"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.09.019"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.03.022"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20439"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000258"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm079"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn035"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.04.003"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109012000270"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2020.07.020"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2016.05.002"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00057-4"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu072"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21762"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/680996"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2003.06.003"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.03.008"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884166"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.09.010"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu080"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.08.004"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.008"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.5"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1365-2486.2003.00666.x"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2014.22.1.007"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01063.x"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2020.100563"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21838"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2017.09.003"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/irfi.12232"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.03.011"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1838"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.89.5.1279"},{"key":"e_1_2_8_39_1","volume-title":"A behavioral approach to asset pricing","author":"Shefrin H.","year":"2008"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.01.009"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.10.003"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.08.005"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm014"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2000.319728"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22321","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22321","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22321","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T09:57:46Z","timestamp":1692957466000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22321"}},"issued":{"date-parts":[[2022,3,10]]},"references-count":43,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2022,6]]}},"alternative-id":["10.1002\/fut.22321"],"URL":"https:\/\/doi.org\/10.1002\/fut.22321","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,3,10]]},"assertion":[{"value":"2021-07-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-02-03","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-03-10","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T15:45:31Z","timestamp":1770479131525,"version":"3.49.0"},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":2465,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,12]]},"DOI":"10.1002\/fut.v28:12","type":"journal-issue","created":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T12:23:15Z","timestamp":1699964595000},"source":"Crossref","is-referenced-by-count":9,"prefix":"10.1002","volume":"28","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v28:12","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v28:12","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T12:23:15Z","timestamp":1699964595000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/28\/12"}},"issued":{"date-parts":[[2008,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2008,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v28:12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,12]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T16:10:27Z","timestamp":1770480627359,"version":"3.49.0"},"reference-count":38,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4288,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,12]]},"DOI":"10.1002\/fut.3990140806","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T02:41:04Z","timestamp":1183689664000},"page":"927-955","source":"Crossref","is-referenced-by-count":51,"title":["Multiperiod hedging in the presence of conditional heteroskedasticity"],"prefix":"10.1002","volume":"14","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[]},{"given":"Xiangdong","family":"Luo","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080302"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/296451"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664976"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110606"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","first-page":"1439","DOI":"10.1080\/01621459.1969.10501069","article-title":"On the Exact Covariance of Products of Random Variables","volume":"64","author":"Bohmstedt G. W.","year":"1969","journal-title":"Journal of American Statistical Association"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120406"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0169-2070(92)90115-P"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120305"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938608800095"},{"key":"e_1_2_1_16_1","unstructured":"Fackler P.(1986):Futures Price Volatility: Modelling Non\u2010Constant Variance.Presented at the annual meeting of American Agricultural Economic Association 1980."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924495"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110508"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110605"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130603"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(93)90024-6"},{"key":"e_1_2_1_23_1","volume-title":"Pacific\u2010Basin Capital Market Research","author":"Kroner K. F.","year":"1991"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(92)90250-3"},{"key":"e_1_2_1_25_1","unstructured":"Lien D.(1993b):A Note on Multiperiod Minimum Risk Hedge Ratios.Mimeo. Department of Economics University of Kansas."},{"key":"e_1_2_1_26_1","unstructured":"Lien D. andLuo X.(1992):Semiparametric Estimation of Optimal Hedge Ratios.Mimeo. Department of Economics University of Kansas."},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130808"},{"key":"e_1_2_1_28_1","unstructured":"Mathews K. H. andFackler P. L.(1991):Hedge Ratios in the Presence of Heteroskedasticity.Presented at the annual meeting of American Agricultural Economic Association 1991."},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242429"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/1242663"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6229.00420"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109704"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120203"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110604"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.2307\/135852"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130105"},{"key":"e_1_2_1_38_1","doi-asserted-by":"crossref","unstructured":"West K. D. Edison H. J. andCho D.(1993):A Utility Based Comparison of Some Models of Exchange Rate Volatility.International Finance Discussion Paper #441. Board of Governors of the Federal Reserve System.","DOI":"10.17016\/IFDP.1993.441"},{"key":"e_1_2_1_39_1","doi-asserted-by":"crossref","unstructured":"Witt H. Schroeder T. andHayenga M.(1987): \u201cComparison of Analytical Approaches for Estimating Hedge Ratios for Agricultural Commodities \u201d7:135\u2013146.","DOI":"10.1002\/fut.3990070204"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140806","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140806","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,24]],"date-time":"2023-10-24T13:59:22Z","timestamp":1698155962000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140806"}},"issued":{"date-parts":[[1994,12]]},"references-count":38,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1994,12]]}},"alternative-id":["10.1002\/fut.3990140806"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140806","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,12]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T14:05:03Z","timestamp":1770473103020,"version":"3.49.0"},"reference-count":16,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2002,11,21]],"date-time":"2002-11-21T00:00:00Z","timestamp":1037836800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,1]]},"abstract":"Abstract<\/jats:title>This article employs an approach that is an extension of the Hull and White (1987<\/jats:ext-link>) model, for pricing European options under the assumption of a mean reverting\nvolatility for the underlying asset. The approach uses a Taylor series expansion method to approximate the price\nof a European call option in a market with no arbitrage opportunities. The transition to a riskneutral economy is\naccomplished by introducing an equivalent martingale measure based on the findings of Romano and Touzi\n(1997<\/jats:ext-link>). Numerical results are obtained and compared with similar studies\n(Lewis, 2000<\/jats:ext-link>). \u00a9 2003 Wiley Periodicals, Inc. Jrl Fut Mark\n23:33\u201347, 2003<\/jats:p>","DOI":"10.1002\/fut.10044","type":"journal-article","created":{"date-parts":[[2002,11,25]],"date-time":"2002-11-25T13:59:48Z","timestamp":1038232788000},"page":"33-47","source":"Crossref","is-referenced-by-count":12,"title":["Stochastic volatility and the mean reverting process"],"prefix":"10.1002","volume":"23","author":[{"given":"Sotirios","family":"Sabanis","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2002,11,21]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00110.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331111"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","first-page":"517","article-title":"Asymptotics of a two\u2010scale stochastic volatility model","author":"Fouque J.","year":"1998","journal-title":"Equations aux derivees partielles et applications in hounour of Jacques\u2010Louis Lions"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","first-page":"361","DOI":"10.3233\/ASY-1997-14404","article-title":"Small noise expansion and importance sampling","volume":"14","author":"Fournie E.","year":"1997","journal-title":"Asymptotic Analysis"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_1_10_1","volume-title":"Option valuation under stochastic volatility","author":"Lewis A.","year":"2000"},{"key":"e_1_2_1_11_1","series-title":"Horwood Series in Mathematics & Applications","volume-title":"Stochastic differential equations and applications","author":"Mao X.","year":"1997"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1996.tb00078.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00038"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04967.x"},{"key":"e_1_2_1_15_1","article-title":"Stochastic volatility","author":"Sabanis S.","journal-title":"International Journal of Theoretical and Applied Finance"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.727"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90009-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.10044","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.10044","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T23:55:47Z","timestamp":1700265347000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.10044"}},"issued":{"date-parts":[[2002,11,21]]},"references-count":16,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2003,1]]}},"alternative-id":["10.1002\/fut.10044"],"URL":"https:\/\/doi.org\/10.1002\/fut.10044","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,11,21]]}},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T21:01:35Z","timestamp":1770498095114,"version":"3.49.0"},"reference-count":10,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,9,18]],"date-time":"2006-09-18T00:00:00Z","timestamp":1158537600000},"content-version":"vor","delay-in-days":7049,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,6]]},"DOI":"10.1002\/fut.3990070308","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T06:04:33Z","timestamp":1183615473000},"page":"327-331","source":"Crossref","is-referenced-by-count":25,"title":["A note: Debunking the myth of the risk\u2010free return"],"prefix":"10.1002","volume":"7","author":[{"given":"Ira G.","family":"Kawaller","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,18]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030102"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03654.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050204"},{"key":"e_1_2_1_6_1","first-page":"65","volume-title":"Stock Index Futures","author":"Hansen N. H.","year":"1984"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040202"},{"key":"e_1_2_1_8_1","first-page":"80","volume-title":"Stock Index Futures","author":"Kipnis G. M.","year":"1984"},{"key":"e_1_2_1_9_1","first-page":"124","volume-title":"Stock Index Futures","author":"Kipnis G. M.","year":"1984"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_11_1","volume-title":"Expiration Day Effects of Index Options and Futures","author":"Stoll H. R.","year":"1986"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070308","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070308","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T17:07:25Z","timestamp":1697994445000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070308"}},"issued":{"date-parts":[[1987,6]]},"references-count":10,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1987,6]]}},"alternative-id":["10.1002\/fut.3990070308"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070308","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,6]]}},{"indexed":{"date-parts":[[2026,2,19]],"date-time":"2026-02-19T06:39:32Z","timestamp":1771483172076,"version":"3.50.1"},"reference-count":37,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T00:00:00Z","timestamp":1692576000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,12]]},"abstract":"Abstract<\/jats:title>This research addresses the estimation of measures of rare disaster concerns from option prices. We propose a new smile construction approach to obtain the required continuum of implied volatilities from discretely sampled observations that are affected by microstructure noise. We extrapolate implied volatilities of far out\u2010of\u2010the\u2010money options by modeling the tails of the risk\u2010neutral return distribution (RND) ensuring that option prices do not admit arbitrage. Our numerical analysis and empirical application show that the RND\u2010based approach consistently outperforms standard techniques. It substantially reduces estimation errors resulting in considerably higher estimates of the rare disaster concern index () when event risk is high.<\/jats:p>","DOI":"10.1002\/fut.22457","type":"journal-article","created":{"date-parts":[[2023,8,22]],"date-time":"2023-08-22T05:33:12Z","timestamp":1692682392000},"page":"1807-1835","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Estimation of rare disaster concerns from option prices\u2014An arbitrage\u2010free RND\u2010based smile construction approach"],"prefix":"10.1002","volume":"43","author":[{"given":"Pascal","family":"Albert","sequence":"first","affiliation":[{"name":"Chair of Banking and Financial Control University of Bamberg Bamberg Germany"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3361-3869","authenticated-orcid":false,"given":"Michael","family":"Herold","sequence":"additional","affiliation":[{"name":"ZF Group Friedrichshafen Germany"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2364-9833","authenticated-orcid":false,"given":"Matthias","family":"Muck","sequence":"additional","affiliation":[{"name":"Chair of Banking and Financial Control University of Bamberg Bamberg Germany"}]}],"member":"311","published-online":{"date-parts":[[2023,8,21]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22020"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-022-09187-x"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22280"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01697.x"},{"key":"e_1_2_10_7_1","doi-asserted-by":"crossref","unstructured":"Bahra B.(1997).Implied risk\u2010neutral probability density functions from option prices: Theory and application\u00a0[Unpublished Working Paper].","DOI":"10.2139\/ssrn.77429"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(03)00035-1"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.121.3.823"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.1.243"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2011.09.001"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00227-8"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.033"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2003.098"},{"key":"e_1_2_10_20_1","first-page":"417","volume-title":"Volatility","author":"Carr P.","year":"1998"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1999.319129"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-009-9039-0"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392401"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.3905\/JOD.2009.16.3.023"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680802595585"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110217-022944"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy027"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2949"},{"key":"e_1_2_10_31_1","volume-title":"Monographs on statistics and applied probability","author":"Green P. J.","year":"1994"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.681813"},{"key":"e_1_2_10_34_1","doi-asserted-by":"crossref","unstructured":"Kapadia N. &Du J.(2012).The tail in the volatility index\u00a0[Unpublished Working Paper].","DOI":"10.2139\/ssrn.1787344"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-022-09189-9"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2978"},{"key":"e_1_2_10_37_1","first-page":"33","article-title":"Bounds of probability","volume":"6","author":"Shimko D.","year":"1993","journal-title":"Risk"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12018"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22457","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,3]],"date-time":"2023-11-03T09:41:47Z","timestamp":1699004507000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22457"}},"issued":{"date-parts":[[2023,8,21]]},"references-count":37,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2023,12]]}},"alternative-id":["10.1002\/fut.22457"],"URL":"https:\/\/doi.org\/10.1002\/fut.22457","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,8,21]]},"assertion":[{"value":"2022-12-31","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-08-01","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-08-21","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,1,31]],"date-time":"2026-01-31T04:26:05Z","timestamp":1769833565528,"version":"3.49.0"},"reference-count":51,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2021,12,7]],"date-time":"2021-12-07T00:00:00Z","timestamp":1638835200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,5]]},"abstract":"Abstract<\/jats:title>This paper identifies a trend factor that exploits the short\u2010, intermediate\u2010, and long\u2010run moving averages of settlement prices in commodity futures markets. The trend factor generates statistically and economically large returns during the post\u2010financialization period 2004\u20132020. It outperforms the well\u2010known momentum factor by more than nine times the Sharpe ratio and has less downside risk. The trend factor cannot be explained by the existing factor models and is priced cross\u2010sectionally. Finally, we find that the trend factor is correlated with funding liquidity measured by the TED spread. Overall, the results indicate that there are significant economic gains from using the information on historical prices in commodity futures markets.<\/jats:p>","DOI":"10.1002\/fut.22291","type":"journal-article","created":{"date-parts":[[2021,12,8]],"date-time":"2021-12-08T06:49:12Z","timestamp":1638946152000},"page":"803-822","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":15,"title":["A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?"],"prefix":"10.1002","volume":"42","author":[{"given":"Yufeng","family":"Han","sequence":"first","affiliation":[{"name":"Department of Finance, Belk College of Business University of North Carolina at Charlotte Charlotte North Carolina USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2988-1353","authenticated-orcid":false,"given":"Lingfei","family":"Kong","sequence":"additional","affiliation":[{"name":"Department of Finance, Olin School of Business Washington University in St. Louis St. Louis Missouri USA"}]}],"member":"311","published-online":{"date-parts":[[2021,12,7]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12408"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.031"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.08.002"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/2.4.527"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jacceco.2014.06.001"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00077"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.034"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.10.010"},{"key":"e_1_2_10_16_1","unstructured":"Federal Reserve Bank of St. Louis. (1990\u20132021).Default spread term spread TED and VIX data.https:\/\/fred.stlouisfed.org\/"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.06.015"},{"key":"e_1_2_10_18_1","unstructured":"French K. R.(1926\u20132021).MKT SMB HML UMD RWM CMA data.https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/data_library.html"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfw048"},{"key":"e_1_2_10_20_1","doi-asserted-by":"crossref","unstructured":"Gong Y. Gozluklu A. E. &Kim G. H.(2021).Speculator spreading pressure and commodity futures risk premium. Available at SSRN.","DOI":"10.2139\/ssrn.3610694"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx131"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.10.006"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594993"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.04.013"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.01.029"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009990469"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00184"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.08.004"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2017.44.1.015"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00435"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12845"},{"key":"e_1_2_10_32_1","doi-asserted-by":"crossref","unstructured":"Kang W. Rouwenhorst K. G. &Tang K.(2021).Crowding and factor returns. Available at SSRN.","DOI":"10.2139\/ssrn.3803954"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2016.05.003"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.10.010"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr075"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2016.01.001"},{"key":"e_1_2_10_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.11.003"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21685"},{"key":"e_1_2_10_40_1","unstructured":"NBER. (1857\u20132021).NBER US business cycle data.https:\/\/www.nber.org\/research\/data\/us-business-cycle-expansions-and-contractions"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.105718"},{"key":"e_1_2_10_42_1","doi-asserted-by":"publisher","DOI":"10.1086\/374184"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.02.011"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105807"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.1"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20252"},{"key":"e_1_2_10_47_1","unstructured":"Stambaugh R. F.(1962\u20132019).Liquidity data.https:\/\/finance.wharton.upenn.edu\/~stambaug\/"},{"key":"e_1_2_10_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.001"},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_10_51_1","unstructured":"Wurgler J.(1965\u20132018).Investor sentiment data.http:\/\/people.stern.nyu.edu\/jwurgler\/"},{"key":"e_1_2_10_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.07.002"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22291","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22291","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22291","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T19:20:20Z","timestamp":1692991220000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22291"}},"issued":{"date-parts":[[2021,12,7]]},"references-count":51,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2022,5]]}},"alternative-id":["10.1002\/fut.22291"],"URL":"https:\/\/doi.org\/10.1002\/fut.22291","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,12,7]]},"assertion":[{"value":"2021-11-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-11-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-12-07","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T18:18:39Z","timestamp":1773944319694,"version":"3.50.1"},"reference-count":98,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2019,12,22]],"date-time":"2019-12-22T00:00:00Z","timestamp":1576972800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,4]]},"abstract":"Abstract<\/jats:title>We investigate the behavior of commodity futures risk premia in China. In the presence of retail\u2010dominance and barriers\u2010to\u2010entry, the term structure and momentum premia remain persistent, whereas hedging pressure, skewness, volatility, and liquidity premia are distorted by time\u2010varying margins and strict position limits. Furthermore, open interest, currency, and inflation premia are sensitive to institutional settings. The observed premia cannot be attributed to common risks, sentiment, transactions costs, or data\u2010snooping, but are related to liquidity, anchoring, and regulation\u2010induced limits\u2010to\u2010arbitrage. We highlight the distinctive features of Chinese futures markets and assess the challenges posed to theories of commodity risk premia.<\/jats:p>","DOI":"10.1002\/fut.22087","type":"journal-article","created":{"date-parts":[[2019,12,23]],"date-time":"2019-12-23T04:22:34Z","timestamp":1577074954000},"page":"671-706","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":56,"title":["The untold story of commodity futures in China"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2649-0960","authenticated-orcid":false,"given":"John Hua","family":"Fan","sequence":"first","affiliation":[{"name":"Department of Accounting, Finance and Economics, Griffith Business School Griffith University Brisbane Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1447-2012","authenticated-orcid":false,"given":"Tingxi","family":"Zhang","sequence":"additional","affiliation":[{"name":"Department of Accounting, Finance and Economics, Griffith Business School Griffith University Brisbane Australia"}]}],"member":"311","published-online":{"date-parts":[[2019,12,22]]},"reference":[{"key":"e_1_2_9_2_1","volume-title":"China's economic transition: origins, mechanism, and consequences","author":"Allen F.","year":"2006"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12021"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282806777212125"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.21.2.129"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2017.2840"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.031"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2016.42.3.044"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.07.006"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.08.002"},{"key":"e_1_2_9_12_1","volume-title":"Factor investing: 2018 landscape","author":"BlackRock","year":"2018"},{"key":"e_1_2_9_13_1","unstructured":"Bloomberg. (2018a).46 million tons of apples a day keeps the doctor away. Retrieved fromhttps:\/\/www.bloomberg.com\/opinion\/articles\/2018\u201005\u201016\/46\u2010million\u2010tons\u2010of\u2010apples\u2010a\u2010day\u2010keeps\u2010the\u2010doctor\u2010away"},{"key":"e_1_2_9_14_1","unstructured":"Bloomberg. (2018b).China sets new records for gobbling up the world's commodities. Retrieved fromhttps:\/\/www.bloomberg.com\/news\/articles\/2018\u201001\u201012\/world\u2010s\u2010commodity\u2010engine\u2010roars\u2010to\u2010another\u2010record\u2010with\u2010xi\u2010at\u2010helm"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12738"},{"issue":"1","key":"e_1_2_9_17_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M. J.","year":"1958","journal-title":"The American Economic Review"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781119201861"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2118454"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbl005"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2004.01.002"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/bdm.561"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/675720"},{"key":"e_1_2_9_24_1","unstructured":"China Futures Association(2015).China Futures Markets Annual Report: China Futures Association."},{"key":"e_1_2_9_25_1","unstructured":"China Futures Association(2016).China Futures Markets Annual Report: China Futures Association."},{"key":"e_1_2_9_26_1","unstructured":"China Futures Association. (2019).China Futures: China Futures Association."},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(01)00037-3"},{"key":"e_1_2_9_28_1","volume-title":"China Commodities","author":"Citi Group","year":"2016"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/258347"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.034"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00253"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2015.02.010"},{"key":"e_1_2_9_34_1","volume-title":"Essays on measuring and explaining commodities returns","author":"Dhume D.","year":"2011"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.06.011"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4084"},{"key":"e_1_2_9_37_1","article-title":"The \u2018necessary evil\u2019 in Chinese commodity markets","author":"Fan J. H.","year":"2019","journal-title":"Working paper. Griffith University"},{"key":"e_1_2_9_38_1","article-title":"Speculative pressure","author":"Fan J. H.","year":"2020","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_9_39_1","article-title":"Internationalization of futures markets: Lessons from China","author":"Fan J. H.","year":"2019","journal-title":"Working paper. Griffith University"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.06.015"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.05.016"},{"key":"e_1_2_9_42_1","unstructured":"FT. (2017).China commodities slip as copper sell\u2010off continues. Retrieved fromhttps:\/\/www.ft.com\/content\/c31602a4\u2010aabf\u20103eb2\u20109b97\u201080bc8811974b"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.009"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21656"},{"key":"e_1_2_9_45_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1027384330827"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.01.001"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.07.001"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr027"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20201"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs019"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00606.x"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00044-6"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22053"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2014.09.002"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500105000000063"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2018.09.003"},{"key":"e_1_2_9_58_1","article-title":"Causes and consequences of margin levels in futures markets","author":"Hedegaard E.","year":"2014","journal-title":"Arizona State University"},{"key":"e_1_2_9_59_1","volume-title":"Value and capital","author":"Hicks J. R.","year":"1939"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330814"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938209"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.04.005"},{"key":"e_1_2_9_63_1","volume-title":"Invesco global factor investing study 2017","author":"Invesco","year":"2017"},{"key":"e_1_2_9_64_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21999"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-016-0570-4"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.2307\/2967593"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21834"},{"key":"e_1_2_9_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(02)00046-X"},{"key":"e_1_2_9_69_1","volume-title":"A treatise on money","author":"Keynes J. M.","year":"1930"},{"key":"e_1_2_9_70_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21856"},{"key":"e_1_2_9_71_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000202"},{"key":"e_1_2_9_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2016.11.005"},{"key":"e_1_2_9_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2011.05.006"},{"key":"e_1_2_9_74_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2018.1444554"},{"key":"e_1_2_9_75_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036840701721489"},{"key":"e_1_2_9_76_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr075"},{"key":"e_1_2_9_77_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_9_78_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00188"},{"key":"e_1_2_9_79_1","unstructured":"RBA. (2017).Underlying consumer price inflation in China. Retrieved fromhttps:\/\/www.rba.gov.au\/publications\/bulletin\/2017\/dec\/pdf\/bu\u20101217\u20104\u2010underlying\u2010consumer\u2010price\u2010inflation\u2010in\u2010china.pdf"},{"key":"e_1_2_9_80_1","volume-title":"When speculation matters","author":"Robles M.","year":"2009"},{"key":"e_1_2_9_81_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.04.005"},{"issue":"2","key":"e_1_2_9_82_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P. A.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_9_83_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1745-6622.1996.tb00295.x"},{"key":"e_1_2_9_84_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12096"},{"key":"e_1_2_9_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2016.08.002"},{"key":"e_1_2_9_86_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1749-124X.2013.12047.x"},{"key":"e_1_2_9_87_1","unstructured":"Visual Capitalist. (2018).China's staggering demand for commodities. Retrieved fromhttp:\/\/www.visualcapitalist.com\/chinas\u2010staggering\u2010demand\u2010commodities\/"},{"key":"e_1_2_9_88_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.joep.2006.06.007"},{"key":"e_1_2_9_89_1","doi-asserted-by":"publisher","DOI":"10.1016\/0922-1425(94)00030-W"},{"key":"e_1_2_9_90_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21984"},{"key":"e_1_2_9_91_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00152"},{"key":"e_1_2_9_92_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199806)18:4<427::AID-FUT4>3.0.CO;2-0"},{"key":"e_1_2_9_93_1","doi-asserted-by":"crossref","unstructured":"Willis Towers Watson 2017 Willis Towers Watson London","DOI":"10.4324\/9781315571829-2"},{"issue":"6","key":"e_1_2_9_94_1","first-page":"1254","article-title":"The theory of price of storage","volume":"39","author":"Working H.","year":"1949","journal-title":"The American Economic Review"},{"key":"e_1_2_9_95_1","unstructured":"WSJ. (2016).Chinese traders roil commodity markets. Retrieved fromhttps:\/\/www.wsj.com\/articles\/chinese\u2010traders\u2010roil\u2010commodity\u2010markets\u20101470698606"},{"key":"e_1_2_9_96_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1749-124X.2006.00016.x"},{"key":"e_1_2_9_97_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20514"},{"key":"e_1_2_9_98_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.chieco.2004.04.002"},{"key":"e_1_2_9_99_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21888"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22087","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22087","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22087","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22087","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T17:26:35Z","timestamp":1694021195000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22087"}},"issued":{"date-parts":[[2019,12,22]]},"references-count":98,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2020,4]]}},"alternative-id":["10.1002\/fut.22087"],"URL":"https:\/\/doi.org\/10.1002\/fut.22087","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,12,22]]},"assertion":[{"value":"2019-06-04","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-12-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-12-22","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T00:14:55Z","timestamp":1772756095589,"version":"3.50.1"},"reference-count":25,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4836,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,6]]},"DOI":"10.1002\/fut.3990130405","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:38:52Z","timestamp":1183682332000},"page":"373-388","source":"Crossref","is-referenced-by-count":13,"title":["Hedging and crop insurance"],"prefix":"10.1002","volume":"13","author":[{"given":"Geoffrey","family":"Poitras","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Cecchetti S. Cumby R. andFiglewski S.(1988): \u201cEstimation of the Optimal Futures Hedge \u201dReview of Economics and Statistics.","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110102"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(78)90124-2"},{"key":"e_1_2_1_5_1","unstructured":"Federal Crop Insurance Corp.(1989 Nov.):A Guide to Crop Insurance Protection1990."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241086"},{"key":"e_1_2_1_7_1","volume-title":"Crop Insurance for Agricultural Development","author":"Hazell P.","year":"1986"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Heaney J. andPoitras G.(1991 Oct.): \u201cEstimation of the Optimal Hedge Ratio Expected Utility and Ordinary Least Squares Regression \u201dThe Journal of Futures Markets.","DOI":"10.1002\/fut.3990110508"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Karp L.(1987): \u201cMethods for Selecting the Optimal Dynamic Hedge when Production is Stochastic \u201dAmerican Journal of Agricultural Economics.","DOI":"10.2307\/1241699"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01961.x"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"Lapan H. Moschini G. andHanson S.(1991): \u201cProduction Hedging and Speculative Decisions with Options and Futures Markets \u201dAmerican Journal of Agricultural Economics 66\u201374.","DOI":"10.2307\/1242884"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"Levy H.(1969 Sept.): \u201cA Utility Function Depending on the First Three Moments \u201dJournal of Finance 715\u2013719.","DOI":"10.1111\/j.1540-6261.1969.tb00395.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330772"},{"key":"e_1_2_1_14_1","first-page":"904","article-title":"The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results","volume":"66","author":"Loistl O.","year":"1976","journal-title":"American Economic Review"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Myers R.(1988): \u201cThe Value of Ideal Contingency Markets in Agriculture \u201dAmerican Journal of Agricultural Economics 255\u2013267.","DOI":"10.2307\/1242065"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110105"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090608"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Rendleman R.(1981 Spring): \u201cOptimal Long\u2010Run Option Investment Strategies \u201dFinancial Management 61\u201376.","DOI":"10.2307\/3665114"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/260849"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003264"},{"key":"e_1_2_1_21_1","volume-title":"Real and Complex Analysis","author":"Rudin W.","year":"1987"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb03509.x"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1983.tb00328.x"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1744-7976.1989.tb00782.x"},{"key":"e_1_2_1_25_1","doi-asserted-by":"crossref","unstructured":"Turvey C. andBaker T.(1990): \u201cA Farm\u2010Level Financial Analysis of Farmers' Use of Futures and Options Under Alternative Farm Programs \u201dAmerican Journal of Agricultural Economics 946\u2013957.","DOI":"10.2307\/1242626"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0148-6195(87)90013-0"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990130405","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990130405","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T08:44:25Z","timestamp":1698223465000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990130405"}},"issued":{"date-parts":[[1993,6]]},"references-count":25,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1993,6]]}},"alternative-id":["10.1002\/fut.3990130405"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990130405","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,6]]}},{"indexed":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T13:27:33Z","timestamp":1773322053277,"version":"3.50.1"},"reference-count":14,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7298,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,9]]},"DOI":"10.1002\/fut.3990060304","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:41:35Z","timestamp":1183614095000},"page":"385-395","source":"Crossref","is-referenced-by-count":10,"title":["The informational content of the interday price change with respect to stock index futures"],"prefix":"10.1002","volume":"6","author":[{"given":"Edwin D.","family":"Maverly","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"How to Triple Your Money Every Year with Stock Index Futures","author":"Angell G.","year":"1984"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050109"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/294743"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050204"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90021-5"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040110"},{"key":"e_1_2_1_8_1","unstructured":"Maberly E. D.(1985): \u201cThe Distribution of Holiday Returns: S&P 500 Spot versus S&P 500 Futures \u201d unpublished paper University of Wyoming."},{"key":"e_1_2_1_9_1","first-page":"242","article-title":"Forecasts of Futures Prices, Unbiased Markets, and Martingale Models","volume":"39","author":"Mandelbrot B.","year":"1966","journal-title":"Journal of Finance"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1966.10482183"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v26.n2.104"},{"key":"e_1_2_1_13_1","volume-title":"Investments","author":"Reilly F.","year":"1982"},{"key":"e_1_2_1_14_1","volume-title":"The Commodity Futures Game","author":"Teweles R.","year":"1974"},{"key":"e_1_2_1_15_1","volume-title":"Stock Index Futures","author":"Weiner N. S.","year":"1984"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060304","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060304","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:11:41Z","timestamp":1697915501000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060304"}},"issued":{"date-parts":[[1986,9]]},"references-count":14,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1986,9]]}},"alternative-id":["10.1002\/fut.3990060304"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060304","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,9]]}},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T10:30:39Z","timestamp":1773052239552,"version":"3.50.1"},"reference-count":31,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,8,4]],"date-time":"2015-08-04T00:00:00Z","timestamp":1438646400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100002850","name":"Fondo Nacional de Desarrollo Cient\u00edfico y Tecnol\u00f3gico","doi-asserted-by":"publisher","award":["1130003"],"award-info":[{"award-number":["1130003"]}],"id":[{"id":"10.13039\/501100002850","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,4]]},"abstract":"Recent research has concluded that spot and futures copper returns are more closely correlated during periods of contango than of backwardation. It is argued speculation and investor demand in futures markets should affect spot prices to a much lesser extent during backwardation, due to an infeasible inter\u2010temporal arbitrage. This article expands this line of research by analyzing daily spot and 3\u2010, 15\u2010, and 27\u2010month futures contract prices for industrial metals traded on the London Metal Exchange over a period of more than two decades. Estimates of convenience yields are provided, along with tests for Granger causality between futures and spot returns after accounting for cointegration, and tests for statistical differences between correlations of contemporaneous spot and futures returns during periods of contango and backwardation. After various robustness checks, the evidence supporting a stronger linkage between spot and futures markets in contango is weak. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:375\u2013396, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21736","type":"journal-article","created":{"date-parts":[[2015,8,4]],"date-time":"2015-08-04T16:36:56Z","timestamp":1438706216000},"page":"375-396","source":"Crossref","is-referenced-by-count":16,"title":["Spot and Futures Markets Linkages: Does Contango Differ from Backwardation?"],"prefix":"10.1002","volume":"36","author":[{"given":"Viviana","family":"Fernandez","sequence":"first","affiliation":[{"name":"Viviana Fernandez is at the Business School Universidad Adolfo Iba\u00f1ez Avenida Diagonal Las Torres 2700 Office 512\u2010C Santiago Chile"}]}],"member":"311","published-online":{"date-parts":[[2015,8,4]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.659"},{"key":"e_1_2_12_3_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan M","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_12_4_1","first-page":"33","article-title":"The price of convenience and the valuation of commodity contingent claims","volume":"200","author":"Brennan M","year":"1991","journal-title":"Stochastic Models and Option Values"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(00)00062-5"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6419.00110"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.08.008"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht048"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21670"},{"key":"e_1_2_12_10_1","volume-title":"Applied econometric time series. Third edition","author":"Enders W","year":"2010"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2014.03.005"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199804)18:2<177::AID-FUT4>3.0.CO;2-C"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(01)00106-6"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10036"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20202"},{"key":"e_1_2_12_17_1","volume-title":"Options, futures, and other derivatives. Ninth edition","author":"Hull J","year":"2014"},{"key":"e_1_2_12_18_1","volume-title":"The ASQC Basic references in quality control: statistical techniques (Vol. 16, 87 p.)","author":"Iglewicz B.","year":"1993"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2014.946660"},{"key":"e_1_2_12_20_1","first-page":"497","article-title":"On segmented multivariate regressions","volume":"7","author":"Liu J.","year":"1997","journal-title":"Statistica Sinica"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05187.x"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05197.x"},{"key":"e_1_2_12_23_1","volume-title":"John Freund's mathematical statistics. Eighth edition","author":"Miller I.","year":"2012"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2013.11.014"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2011.08.002"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392213"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2013.06.001"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2011.01.006"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100600756514"},{"key":"e_1_2_12_32_1","first-page":"1254","article-title":"The theory of the price of storage","volume":"39","author":"Working H","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21736","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21736","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:49:08Z","timestamp":1696574948000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21736"}},"issued":{"date-parts":[[2015,8,4]]},"references-count":31,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2016,4]]}},"alternative-id":["10.1002\/fut.21736"],"URL":"https:\/\/doi.org\/10.1002\/fut.21736","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,8,4]]}},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T03:01:04Z","timestamp":1773025264824,"version":"3.50.1"},"reference-count":125,"publisher":"Wiley","license":[{"start":{"date-parts":[[2026,2,18]],"date-time":"2026-02-18T00:00:00Z","timestamp":1771372800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2026,2,18]],"date-time":"2026-02-18T00:00:00Z","timestamp":1771372800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"abstract":"ABSTRACT<\/jats:title>\n The study examines interconnectedness among categories of cryptocurrencies, healthcare cryptocurrencies, decentralized finance indices (DeFi), and non\u2010fungible tokens using TVP\u2010VAR extended joint connectedness, based on daily data from September 4, 2019, to July 31, 2024. The outcomes indicate that DeFi is the return shock and leading net transmitter, while healthcare cryptocurrencies are the net receivers. Secondly, we also analyze the effect of four news\u2010based global uncertainties on total returns using the BVAR model. The outcomes reveal that geopolitical risk (GPR) does not significantly influence global connectedness; however, some individual DeFi protocols, such as Chain Link, Tezos, and Maker, respond positively to GPR. Conversely, economic policy uncertainty reduces the total connectedness index, while infectious disease equity market volatility increases it. Using weekly data covering cryptocurrency uncertainty indices, exerts a positive effect on total return connectedness. The findings underline the influential crypto assets and should be monitored by investors and policymakers.<\/jats:p>","DOI":"10.1002\/fut.70085","type":"journal-article","created":{"date-parts":[[2026,2,19]],"date-time":"2026-02-19T06:31:34Z","timestamp":1771482694000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Connectedness Across Healthcare Cryptocurrencies, DeFi, and NFTs Tokens: Which Global Risk Factors Should Be Given More Attention?"],"prefix":"10.1002","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8328-9609","authenticated-orcid":false,"given":"Nasir","family":"Khan","sequence":"first","affiliation":[{"name":"CRECC \u2013 Paris School of Business Paris France"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0015-0805","authenticated-orcid":false,"given":"Khaled","family":"Guesmi","sequence":"additional","affiliation":[{"name":"CRECC \u2013 Paris School of Business Paris France"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6655-3749","authenticated-orcid":false,"given":"Tong","family":"Su","sequence":"additional","affiliation":[{"name":"School of Management and Engineering Nanjing University Nanjing China"}]},{"given":"Brian","family":"Lucey","sequence":"additional","affiliation":[{"name":"Trinity Business School, Trinity College Dublin Dublin Ireland"}]}],"member":"311","published-online":{"date-parts":[[2026,2,18]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2024.102273"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20130456"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1186\/s40854-021-00274-w"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2443"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102787"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.101344"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/262109"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102309"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.tele.2020.101519"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2013.04.004"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104762"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.02.011"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.2969"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/20479700.2020.1843887"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.09.009"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3363862"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2021.102219"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2024.102272"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-020-01990-5"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101431"},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2017.12.004"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2010.00244.x"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2019.01.001"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1086\/261849"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-024-02696-8"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102955"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101646"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102915"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2017.1299102"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.06.009"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2016.09.025"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/joes.12423"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn098"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2023.101019"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20191823"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/j.ctvcm4hrv"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.socec.2023.102107"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2024.105220"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102642"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-024-05884-y"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102137"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2020.109377"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101554"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2020.1737168"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.09.003"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2022.101745"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2018.01.005"},{"key":"e_1_2_12_50_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.2008.02208.x"},{"key":"e_1_2_12_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_12_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2024.102351"},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.107079"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2018.1436145"},{"key":"e_1_2_12_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2024.103402"},{"key":"e_1_2_12_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102069"},{"key":"e_1_2_12_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102732"},{"key":"e_1_2_12_58_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2022.2068375"},{"key":"e_1_2_12_59_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830190"},{"key":"e_1_2_12_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.12.010"},{"key":"e_1_2_12_61_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2648"},{"key":"e_1_2_12_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104852"},{"key":"e_1_2_12_63_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018000108"},{"key":"e_1_2_12_64_1","doi-asserted-by":"publisher","DOI":"10.1108\/CFRI-03-2023-0057"},{"key":"e_1_2_12_65_1","doi-asserted-by":"publisher","DOI":"10.3390\/systems11010038"},{"key":"e_1_2_12_66_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00483"},{"key":"e_1_2_12_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101512"},{"key":"e_1_2_12_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2021.101781"},{"key":"e_1_2_12_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.03.004"},{"key":"e_1_2_12_70_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2023.2275649"},{"key":"e_1_2_12_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.10.001"},{"key":"e_1_2_12_72_1","doi-asserted-by":"publisher","DOI":"10.1080\/09537325.2021.1939001"},{"key":"e_1_2_12_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2018.05.016"},{"key":"e_1_2_12_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.12.002"},{"key":"e_1_2_12_75_1","doi-asserted-by":"publisher","DOI":"10.1142\/9789814417358_0006"},{"issue":"2","key":"e_1_2_12_76_1","first-page":"363","article-title":"Prospect Theory: An Analysis of Decision Under Risk","volume":"47","author":"Kai\u2010Ineman D.","year":"1979","journal-title":"Econometrica"},{"key":"e_1_2_12_77_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.10.003"},{"key":"e_1_2_12_78_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102696"},{"key":"e_1_2_12_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-62731-5.00015-4"},{"key":"e_1_2_12_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jenvman.2024.121654"},{"key":"e_1_2_12_81_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465398557465"},{"key":"e_1_2_12_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2018.07.010"},{"key":"e_1_2_12_83_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2016.02.011"},{"key":"e_1_2_12_84_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2022.101523"},{"key":"e_1_2_12_85_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2023.101983"},{"key":"e_1_2_12_86_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2020.02.010"},{"key":"e_1_2_12_87_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2021.101441"},{"key":"e_1_2_12_88_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rser.2020.110112"},{"key":"e_1_2_12_89_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2023.102502"},{"key":"e_1_2_12_90_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2024.129892"},{"key":"e_1_2_12_91_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gfj.2022.100779"},{"key":"e_1_2_12_92_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102147"},{"key":"e_1_2_12_93_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2022.101711"},{"issue":"11","key":"e_1_2_12_94_1","first-page":"77","article-title":"Modern Portfolio Theory","volume":"7","author":"Markowitz H.","year":"1952","journal-title":"Journal of Finance"},{"key":"e_1_2_12_95_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2023.06.008"},{"key":"e_1_2_12_96_1","unstructured":"Nakamoto S.2008. Bitcoin: A Peer\u2010to\u2010Peer Electronic Cash System.https.Bitcoin.Org\/Bitcoin.Pdf."},{"key":"e_1_2_12_97_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102284"},{"key":"e_1_2_12_98_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.05.017"},{"key":"e_1_2_12_99_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104504"},{"key":"e_1_2_12_100_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2024.103181"},{"key":"e_1_2_12_101_1","doi-asserted-by":"publisher","DOI":"10.1109\/OJCOMS.2023.3343926"},{"key":"e_1_2_12_102_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101496"},{"key":"e_1_2_12_103_1","doi-asserted-by":"publisher","DOI":"10.1257\/089533003321164967"},{"key":"e_1_2_12_104_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jpolmod.2020.03.005"},{"key":"e_1_2_12_105_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2023.102125"},{"key":"e_1_2_12_106_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2020.120434"},{"key":"e_1_2_12_107_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbef.2020.100404"},{"key":"e_1_2_12_108_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2021.121025"},{"key":"e_1_2_12_109_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2023.2247440"},{"key":"e_1_2_12_110_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102742"},{"key":"e_1_2_12_111_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102313"},{"key":"e_1_2_12_112_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2019.119877"},{"key":"e_1_2_12_113_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102175"},{"key":"e_1_2_12_114_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2021.101478"},{"key":"e_1_2_12_115_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2021.101625"},{"key":"e_1_2_12_116_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2024.102231"},{"key":"e_1_2_12_117_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103595"},{"key":"e_1_2_12_118_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2024.102238"},{"key":"e_1_2_12_119_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.103765"},{"key":"e_1_2_12_120_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2022.102082"},{"key":"e_1_2_12_121_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2024.107885"},{"key":"e_1_2_12_122_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2023.03.013"},{"key":"e_1_2_12_123_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103389"},{"key":"e_1_2_12_124_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gfj.2022.100719"},{"key":"e_1_2_12_125_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2020.05.003"},{"key":"e_1_2_12_126_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101528"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70085","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70085","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70085","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T02:38:16Z","timestamp":1773023896000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70085"}},"issued":{"date-parts":[[2026,2,18]]},"references-count":125,"alternative-id":["10.1002\/fut.70085"],"URL":"https:\/\/doi.org\/10.1002\/fut.70085","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2026,2,18]]},"assertion":[{"value":"2025-10-10","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-01-28","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-02-18","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"fut.70085"},{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T18:49:37Z","timestamp":1773082177183,"version":"3.50.1"},"reference-count":46,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2009,4,6]],"date-time":"2009-04-06T00:00:00Z","timestamp":1238976000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2009,7]]},"abstract":"Abstract<\/jats:title>The estimation of the cost of equity capital (COE) is one of the most important tasks in financial management. Existing approaches compute the COE using historical data, i.e. they are backward\u2010looking methods. This study derives a method to calculate forward\u2010looking estimates of the COE using the current market prices of stocks and stock options. Our estimates of the COE reflect the expectation of the market investors about the COE during the life of the investment project. We test empirically our method and compare it with the Fama\/French (1993) three\u2010factor model for the S&P 100 firms. The empirical results indicate that our COE estimates (1) are plausible and stable over the years as required by appropriate discount rates for capital budgeting, (2) yield an equity risk premium close to the market equity risk premium reported by Fama E. F. and French K. R. (2002), (3) generate strong return\u2010risk relationships, and (4) are significantly related with investor sentiment. \u00a9 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29: 599\u2013629, 2009<\/jats:p>","DOI":"10.1002\/fut.20372","type":"journal-article","created":{"date-parts":[[2009,4,6]],"date-time":"2009-04-06T18:33:39Z","timestamp":1239042819000},"page":"599-629","source":"Crossref","is-referenced-by-count":8,"title":["Option implied cost of equity and its properties"],"prefix":"10.1002","volume":"29","author":[{"given":"Ant\u00f3nio","family":"C\u00e2mara","sequence":"first","affiliation":[]},{"given":"San\u2010Lin","family":"Chung","sequence":"additional","affiliation":[]},{"given":"Yaw\u2010Huei","family":"Wang","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2009,4,6]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00285"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00068-9"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2534565"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00637.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02070.x"},{"key":"e_1_2_1_9_1","first-page":"13","article-title":"Best practices in estimating the cost of capital: Survey and synthesis","volume":"8","author":"Bruner R. F.","year":"1998","journal-title":"Financial Practice and Education"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00546"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/431439"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00310"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/296344"},{"key":"e_1_2_1_15_1","volume-title":"Fundamental methods of mathematical economics","author":"Chiang A.","year":"1984"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Christoffersen P. Jacobs K. &Vainberg G.(2008).Forward\u2010looking betas (working paper). McGill University.","DOI":"10.2139\/ssrn.891467"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00384"},{"key":"e_1_2_1_19_1","volume-title":"Asset pricing","author":"Cochrane J.","year":"2001"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90073-Z"},{"key":"e_1_2_1_21_1","volume-title":"Modern portfolio theory and investment analysis","author":"Elton E.","year":"1995"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_1_23_1","first-page":"1121","article-title":"Multifactor explanations of asset pricing anomalies","volume":"51","author":"Fama E. F.","year":"1996","journal-title":"Journal of Finance"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(96)00896-3"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00437"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00615.x"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.3.527"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/1475-679X.00007"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00044-7"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04025.x"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04702.x"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.293"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924119"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1086\/379934"},{"key":"e_1_2_1_36_1","first-page":"114","article-title":"What's your real cost of capital","author":"McNulty J. J.","year":"2002","journal-title":"Harvard Business Review"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331130"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00099"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2003.10.015"},{"key":"e_1_2_1_40_1","doi-asserted-by":"crossref","first-page":"478","DOI":"10.1257\/.41.2.478","article-title":"Forecasting volatility in financial markets: A review","volume":"26","author":"Poon S. H.","year":"2003","journal-title":"Journal of Economic Literature"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003264"},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00702.x"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1964.tb02865.x"},{"key":"e_1_2_1_44_1","volume-title":"Irrational exuberance","author":"Shiller R. J.","year":"2000"},{"key":"e_1_2_1_45_1","first-page":"707","article-title":"The valuation of multivariate contingent claims in discrete time models","volume":"39","author":"Stapeton R.","year":"1984","journal-title":"Journal of Finance"},{"key":"e_1_2_1_46_1","volume-title":"Microeconomic analysis","author":"Varian H.","year":"1992"},{"key":"e_1_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00069"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20372","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20372","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T02:15:44Z","timestamp":1699928144000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20372"}},"issued":{"date-parts":[[2009,4,6]]},"references-count":46,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2009,7]]}},"alternative-id":["10.1002\/fut.20372"],"URL":"https:\/\/doi.org\/10.1002\/fut.20372","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2009,4,6]]}},{"indexed":{"date-parts":[[2026,3,27]],"date-time":"2026-03-27T12:24:14Z","timestamp":1774614254373,"version":"3.50.1"},"reference-count":59,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2022,8,8]],"date-time":"2022-08-08T00:00:00Z","timestamp":1659916800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100004663","name":"Ministry of Science and Technology, Taiwan","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100004663","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,12]]},"abstract":"Abstract<\/jats:title>This paper proposes a novel equity\u2010price\u2010tree\u2010based convertible bond (CB) pricing model based on the first\u2010passage default model under stochastic interest rates. By regarding equity values as down\u2010and\u2010out call options on firm values (FVs),\u00a0at each tree node, we solve the implied FV and equity\u2010price volatility (EPV),\u00a0and then endogenously settle the default probability (DP)\u00a0and also the dilution effect subject to CB conversions with the implied FV and capital structure. Our model captures the stylized negative (positive) relationships between the stochastically evolving DP and FV or EP (EPV)\u00a0that cannot be fully achieved by existing CB pricing models.<\/jats:p>","DOI":"10.1002\/fut.22370","type":"journal-article","created":{"date-parts":[[2022,8,8]],"date-time":"2022-08-08T07:32:26Z","timestamp":1659943946000},"page":"2103-2134","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["A stochastic\u2010volatility equity\u2010price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first\u2010passage default model"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9226-3056","authenticated-orcid":false,"given":"Tian\u2010Shyr","family":"Dai","sequence":"first","affiliation":[{"name":"Department of Information Management and Finance National Chiao\u2010Tung University Hsinchu Taiwan"},{"name":"Risk and Insurance Research Center National Chengchi University Taipei Taiwan"}]},{"given":"Chen\u2010Chiang","family":"Fan","sequence":"additional","affiliation":[{"name":"Cubist Systematic Strategies Point72 Asset Management New York New York USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2594-0109","authenticated-orcid":false,"given":"Liang\u2010Chih","family":"Liu","sequence":"additional","affiliation":[{"name":"Department of Information and Finance Management National Taipei University of Technology Taipei Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5281-2962","authenticated-orcid":false,"given":"Chuan\u2010Ju","family":"Wang","sequence":"additional","affiliation":[{"name":"Research Center for Information Technology Innovation Academia Sinica Taipei Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7952-121X","authenticated-orcid":false,"given":"Jr\u2010Yan","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of International Business, College of Management National Taiwan University Taipei Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2022,8,8]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2003.319208"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2014.935464"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/joes.12016"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.05.006"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2007.11.004"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn044"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01891.x"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v46.n1.33"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03364.x"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330567"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-006-0012-6"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp010"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2007.686421"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00488.x"},{"issue":"7","key":"e_1_2_12_16_1","first-page":"47","article-title":"Costing the converts","volume":"7","author":"Cheung W.","year":"1994","journal-title":"Risk"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00395"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024916500461"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697680902814217"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2010.17.4.007"},{"key":"e_1_2_12_23_1","unstructured":"Danaher Corporation. (2007).Danaher 2006 annual report.http:\/\/filecache.investorroom.com\/mr5ir_danaher\/387\/DHR_AR_2006.pdf"},{"key":"e_1_2_12_24_1","unstructured":"Danaher Corporation. (2008).Danaher 2007 annual report.http:\/\/filecache.investorroom.com\/mr5ir_danaher\/388\/DHR_AR_2007.pdf"},{"key":"e_1_2_12_25_1","unstructured":"Danaher Corporation. (2009).Danaher 2008 annual report.http:\/\/filecache.investorroom.com\/mr5ir_danaher\/389\/DHR_AR_2008.pdf"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2009.04.005"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.011"},{"issue":"5","key":"e_1_2_12_28_1","first-page":"1925","article-title":"The valuation effects of private placements of convertible debt","volume":"46","author":"Fields L. P.","year":"1991","journal-title":"The Journal of Finance"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2014.12.012"},{"key":"e_1_2_12_30_1","unstructured":"Grau A. Forsyth P. &Vetzal K.(2003).Convertible bonds with call notice periods[Working paper]. University of Waterloo."},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407908"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2002.319197"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90004-6"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05167.x"},{"key":"e_1_2_12_35_1","unstructured":"Ka\u017amierczak D.(2017).The private placement of convertible debt: A Few observations from the US market.New Challenges of Economic and Business Development\u20132017 Digital Economy 255."},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2004.07.008"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10127"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2006.00271.x"},{"key":"e_1_2_12_39_1","unstructured":"Liu L.\u2010C. Dai T.\u2010S. &Chang H.\u2010H.(2021).Slicing a block into pieces: A novel tree structure to capture sequential exercise policy[Working paper]. University of National Taipei University of Technology."},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2020.101222"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04037.x"},{"issue":"11","key":"e_1_2_12_42_1","first-page":"133","article-title":"Valuing American options by simulation: A simple least\u2010squares approach","volume":"14","author":"Longstaff F.","year":"2001","journal-title":"Review of Financial Studies"},{"key":"e_1_2_12_43_1","doi-asserted-by":"crossref","unstructured":"Lvov D. Yigitbasioglu A. &Bachir N.(2004).Pricing convertible bonds by simulation\u00a0[Working paper].https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=950213","DOI":"10.2139\/ssrn.950213"},{"key":"e_1_2_12_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.camwa.2010.12.061"},{"key":"e_1_2_12_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04516.x"},{"key":"e_1_2_12_46_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2010.00411.x"},{"key":"e_1_2_12_47_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00109"},{"key":"e_1_2_12_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00260-1"},{"key":"e_1_2_12_50_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4296-1"},{"key":"e_1_2_12_51_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2001.319302"},{"key":"e_1_2_12_52_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1998.408243"},{"key":"e_1_2_12_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00255-8"},{"key":"e_1_2_12_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"e_1_2_12_55_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00650.x"},{"key":"e_1_2_12_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2014.02.024"},{"key":"e_1_2_12_57_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2017.24.4.052"},{"key":"e_1_2_12_58_1","doi-asserted-by":"crossref","unstructured":"Wilde C. &Kind A.(2005).Pricing convertible bonds with Monte Carlo simulation\u00a0[Working paper].https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=676507","DOI":"10.2139\/ssrn.676507"},{"key":"e_1_2_12_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2009.02.012"},{"key":"e_1_2_12_60_1","doi-asserted-by":"crossref","unstructured":"Yigitbasioglu A. B.(2002). Pricing convertible bonds with interest rate equity credit and FX risk [Working paper].https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=294464","DOI":"10.2139\/ssrn.294464"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22370","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22370","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22370","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,21]],"date-time":"2023-08-21T10:39:52Z","timestamp":1692614392000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22370"}},"issued":{"date-parts":[[2022,8,8]]},"references-count":59,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2022,12]]}},"alternative-id":["10.1002\/fut.22370"],"URL":"https:\/\/doi.org\/10.1002\/fut.22370","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,8,8]]},"assertion":[{"value":"2021-08-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-07-12","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-08-08","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,28]],"date-time":"2026-03-28T22:41:40Z","timestamp":1774737700276,"version":"3.50.1"},"reference-count":21,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2008,4,2]],"date-time":"2008-04-02T00:00:00Z","timestamp":1207094400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,6]]},"abstract":"Abstract<\/jats:title>This article proposes a multicommodity model of futures prices of more than one commodity that allows the use of long\u2010maturity futures prices available for one commodity to estimate futures prices for the other. The model considers that commodity prices have common and commodity\u2010specific factors. A procedure for choosing the number of both types of unobservable\u2010Gaussian factors is presented. Also, it is shown how commodities with and without seasonality may be jointly modeled and how to estimate the model using Kalman filter. Results for the West Texas Intermediate\u2013Brent and for the West Texas Intermediate\u2013unleaded gasoline models presented show strong improvements over the traditional individual\u2010commodity models, with much lower out\u2010of\u2010sample errors and better volatility estimates, even when using fewer factors. \u00a9 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:537\u2013560, 2008<\/jats:p>","DOI":"10.1002\/fut.20322","type":"journal-article","created":{"date-parts":[[2008,4,2]],"date-time":"2008-04-02T22:48:12Z","timestamp":1207176492000},"page":"537-560","source":"Crossref","is-referenced-by-count":39,"title":["A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another"],"prefix":"10.1002","volume":"28","author":[{"given":"Gonzalo","family":"Cortazar","sequence":"first","affiliation":[]},{"given":"Carlos","family":"Milla","sequence":"additional","affiliation":[]},{"given":"Felipe","family":"Severino","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2008,4,2]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/296288"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20198"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1994.407896"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(02)00096-8"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.317"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00278"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.835"},{"key":"e_1_2_1_11_1","volume-title":"Common principal components and related multivariate models","author":"Flury B.","year":"1988"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2002.tb00129.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","first-page":"703","DOI":"10.1080\/01621459.1979.10481674","article-title":"Between groups comparison of principal components","volume":"74","author":"Krzanowski W. J.","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/3665940"},{"key":"e_1_2_1_16_1","first-page":"129","article-title":"Common factors affecting bond returns","volume":"47","author":"Litterman R.","year":"1991","journal-title":"Journal of Fixed Income"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/13504860210126227"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1558-5646.1999.tb05414.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10017"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10046"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Trolle A. &SchwartzE. S.(2006).Unspanned stochastic volatility and the pricing of commodity derivatives(NBER Working Paper No. 12744).","DOI":"10.3386\/w12744"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20322","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20322","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T06:40:27Z","timestamp":1694587227000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20322"}},"issued":{"date-parts":[[2008,4,2]]},"references-count":21,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2008,6]]}},"alternative-id":["10.1002\/fut.20322"],"URL":"https:\/\/doi.org\/10.1002\/fut.20322","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,4,2]]}},{"indexed":{"date-parts":[[2026,3,31]],"date-time":"2026-03-31T06:15:25Z","timestamp":1774937725783,"version":"3.50.1"},"reference-count":81,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2025,4,2]],"date-time":"2025-04-02T00:00:00Z","timestamp":1743552000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,6]]},"abstract":"ABSTRACT<\/jats:title>This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions. (b) Wavelet coherence analysis proposes that the structure of the CPU connection with the grain commodity market is heterogeneous at time\u2013frequency scales. (c) Under conditions of market stability, CPU's capability to predict risks in the most segmented grain commodity markets was not as pronounced as in extreme market scenarios. (d) The spillovers between CPU and major grain commodities under diverse quantile states were significantly influenced by climate change. Results from this paper have practical implications for investors managing climate\u2010related risk exposures and will also assist policymakers in developing countries to develop a sensible policy package.<\/jats:p>","DOI":"10.1002\/fut.22583","type":"journal-article","created":{"date-parts":[[2025,4,4]],"date-time":"2025-04-04T18:26:57Z","timestamp":1743791217000},"page":"659-682","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":23,"title":["Quantile and Time\u2013Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5437-2710","authenticated-orcid":false,"given":"Hongjun","family":"Zeng","sequence":"first","affiliation":[{"name":"Department of Financial Planning and Tax School of Accounting, Information Systems and Supply Chain RMIT University Melbourne Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4688-0619","authenticated-orcid":false,"given":"Mohammad Zoynul","family":"Abedin","sequence":"additional","affiliation":[{"name":"School of Management Swansea University Swansea Wales UK"}]},{"given":"Abdullahi D.","family":"Ahmed","sequence":"additional","affiliation":[{"name":"School of AISSC\u2014RMIT University Melbourne Australia"}]},{"given":"Brian","family":"Lucey","sequence":"additional","affiliation":[{"name":"Trinity Business School Trinity College Dublin The University of Dublin Dublin Ireland"}]}],"member":"311","published-online":{"date-parts":[[2025,4,2]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1108\/IJCCSM-04-2019-0020"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2020.101680"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.3984"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.stamet.2004.08.004"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2018.02.011"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2024.111551"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nby001"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102740"},{"key":"e_1_2_8_10_1","first-page":"1","article-title":"Connectedness of Agricultural Commodities Futures Returns: Do News Media Sentiments Matter?","volume":"26","author":"Cepni O.","year":"2023","journal-title":"Journal of Behavioral Finance"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ecolecon.2022.107483"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2022.11.030"},{"key":"e_1_2_8_13_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jcomm.2023.100380","article-title":"Unveiling Interconnectedness: Exploring Higher\u2010Order Moments Among Energy, Precious Metals, Industrial Metals, and Agricultural Commodities in the Context of Geopolitical Risks and Systemic Stress","volume":"33","author":"Cui J.","year":"2023","journal-title":"Journal of Commodity Markets"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ecolecon.2018.05.011"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106511"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2018.04.019"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jenvman.2022.116789"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.012"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2022.126376"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz072"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1038\/s43016-022-00464-4"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1038\/s41558-019-0600-z"},{"key":"e_1_2_8_24_1","doi-asserted-by":"crossref","unstructured":"Gavriilidis K.2021.Measuring Climate Policy Uncertainty.Elsevier.http:\/\/dx.doi.org\/10.2139\/ssrn.3847388.","DOI":"10.2139\/ssrn.3847388"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2023.4952"},{"issue":"10","key":"e_1_2_8_26_1","doi-asserted-by":"crossref","first-page":"1227","DOI":"10.1080\/14693062.2017.1422478","article-title":"Escaping the Climate Policy Uncertainty Trap: Options Contracts for REDD+","volume":"18","author":"Golub A. A.","year":"2018","journal-title":"Climate Policy"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101625"},{"issue":"3","key":"e_1_2_8_28_1","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1007\/s10584-021-03119-8","article-title":"Challenges in Simulating Economic Effects of Climate Change on Global Agricultural Markets","volume":"166","author":"Gurgel A. C.","year":"2021","journal-title":"Climatic Change"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.agsy.2018.01.019"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.agrformet.2019.107862"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2013.05.003"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1038\/s41558-018-0230-x"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1038\/s43016-021-00335-4"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/csr.2246"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/cjag.12237"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/joac.12124"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1038\/s41558-020-0847-4"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.08.015"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2016.07.010"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1162\/JINH_a_00573"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jenvman.2022.114493"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.15.4.143"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214506000000672"},{"key":"e_1_2_8_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.techfore.2022.121810"},{"key":"e_1_2_8_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2023.104412"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm12020052"},{"key":"e_1_2_8_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2019.02.021"},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.104757"},{"issue":"1","key":"e_1_2_8_50_1","first-page":"35","article-title":"Volatility of Agrarian Markets Aimed at the Price Development","volume":"57","author":"Mato\u0161kov\u00e1 D.","year":"2011","journal-title":"Agricultural Economics"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103028"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-publhealth-031816-044356"},{"key":"e_1_2_8_53_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2023.100370"},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11142-022-09711-2"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.5194\/cp-2-115-2006"},{"key":"e_1_2_8_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2023.100369"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.agsy.2022.103469"},{"key":"e_1_2_8_59_1","doi-asserted-by":"publisher","DOI":"10.1007\/s43979-022-00008-6"},{"issue":"3","key":"e_1_2_8_60_1","first-page":"851","article-title":"Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates Using Panel Data Econometric Methods","volume":"5","author":"Rezitis A.","year":"2015","journal-title":"International Journal of Energy Economics and Policy"},{"key":"e_1_2_8_61_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.6.2265"},{"key":"e_1_2_8_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2020.105017"},{"key":"e_1_2_8_63_1","doi-asserted-by":"publisher","DOI":"10.1108\/IMEFM-01-2018-0014"},{"key":"e_1_2_8_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.01.013"},{"key":"e_1_2_8_65_1","doi-asserted-by":"publisher","DOI":"10.2307\/203147"},{"key":"e_1_2_8_66_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.103008"},{"key":"e_1_2_8_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.104529"},{"key":"e_1_2_8_68_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.agee.2015.09.034"},{"key":"e_1_2_8_69_1","doi-asserted-by":"publisher","DOI":"10.1038\/s41586-020-2189-9"},{"key":"e_1_2_8_70_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jcomm.2023.100379","article-title":"Quantile Coherency Across Bonds, Commodities, Currencies, and Equities","volume":"33","author":"Uddin G. S.","year":"2023","journal-title":"Journal of Commodity Markets"},{"key":"e_1_2_8_71_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102991"},{"key":"e_1_2_8_72_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2020.07.012"},{"key":"e_1_2_8_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eap.2023.03.013"},{"key":"e_1_2_8_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2024.04.042"},{"key":"e_1_2_8_75_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.renene.2022.11.098"},{"key":"e_1_2_8_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2022.124949"},{"key":"e_1_2_8_77_1","doi-asserted-by":"publisher","DOI":"10.1126\/science.1239402"},{"key":"e_1_2_8_78_1","doi-asserted-by":"publisher","DOI":"10.1108\/IJMF-03-2021-0161"},{"key":"e_1_2_8_79_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-8489.12570"},{"key":"e_1_2_8_80_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2024.102547"},{"key":"e_1_2_8_81_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2022.102771"},{"key":"e_1_2_8_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcomm.2022.100275"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22583","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,5,10]],"date-time":"2025-05-10T03:41:31Z","timestamp":1746848491000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22583"}},"issued":{"date-parts":[[2025,4,2]]},"references-count":81,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2025,6]]}},"alternative-id":["10.1002\/fut.22583"],"URL":"https:\/\/doi.org\/10.1002\/fut.22583","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,4,2]]},"assertion":[{"value":"2024-04-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-02-25","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-04-02","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T23:55:21Z","timestamp":1649116521310},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6848,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,12]]},"DOI":"10.1002\/(sici)1096-9934(199612)16:8<>1.0.co;2-l","type":"journal-issue","created":{"date-parts":[[2018,8,1]],"date-time":"2018-08-01T16:35:26Z","timestamp":1533141326000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"16","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199612)16:8%3C%3E1.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199612)16:8%3C%3E1.0.CO;2-L","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,8,1]],"date-time":"2018-08-01T16:35:26Z","timestamp":1533141326000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/(SICI)1096-9934(199612)16:8<>1.0.CO;2-L"}},"issued":{"date-parts":[[1996,12]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1996,12]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199612)16:8<>1.0.co;2-l","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,12]]}},{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T09:22:14Z","timestamp":1649064134379},"reference-count":0,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6909,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1996,10]]},"DOI":"10.1002\/(sici)1096-9934(199610)16:7<>1.0.co;2-s","type":"journal-issue","created":{"date-parts":[[2018,8,1]],"date-time":"2018-08-01T15:20:35Z","timestamp":1533136835000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"16","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199610)16:7%3C%3E1.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199610)16:7%3C%3E1.0.CO;2-S","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,8,1]],"date-time":"2018-08-01T15:20:35Z","timestamp":1533136835000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/(SICI)1096-9934(199610)16:7<>1.0.CO;2-S"}},"issued":{"date-parts":[[1996,10]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[1996,10]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199610)16:7<>1.0.co;2-s","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1996,10]]}},{"indexed":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:56:56Z","timestamp":1697993816471},"reference-count":8,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6842,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,12]]},"DOI":"10.1002\/fut.3990070602","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T08:47:54Z","timestamp":1183625274000},"page":"603-617","source":"Crossref","is-referenced-by-count":10,"title":["The use of crude oil futures by the governments of oil\u2010producing states"],"prefix":"10.1002","volume":"7","author":[{"given":"James A.","family":"Overdahl","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060106"},{"key":"e_1_2_1_3_1","unstructured":"Biennial Revenue Estimate of the State of Texas(1981 1983 and 1985). State of Texas Comptroller's Department Austin TX."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_5_1","volume-title":"Option Pricing and Strategies in Investing","author":"Bookstaber R. M.","year":"1981"},{"key":"e_1_2_1_6_1","volume-title":"Options Markets","author":"Cox J. C.","year":"1985"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Rubinstein M.andLeland H. E.(1981 July\/August): \u201cReplicating Options with Positions in Stock and Cash \u201dFinancial Analysts Journal.","DOI":"10.2469\/faj.v37.n4.63"},{"key":"e_1_2_1_8_1","unstructured":"Smith F. H.(1985): \u201cState Taxation of Oil and Gas Production \u201d Discussion Paper #44 American Petroleum Institute Washington DC."},{"key":"e_1_2_1_9_1","unstructured":"United States Department of Commerce Bureau of the Census(1986):State Government Tax Collections in 1985 Washington DC."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070602","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070602","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T17:26:38Z","timestamp":1697909198000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070602"}},"issued":{"date-parts":[[1987,12]]},"references-count":8,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1987,12]]}},"alternative-id":["10.1002\/fut.3990070602"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070602","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,12]]}},{"indexed":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T15:19:44Z","timestamp":1698247184701},"reference-count":6,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":5322,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,2]]},"DOI":"10.1002\/fut.3990120106","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T18:57:55Z","timestamp":1183661875000},"page":"55-59","source":"Crossref","is-referenced-by-count":1,"title":["Hedge ratios under inherent risk reduction in a commodity complex: An interpretation"],"prefix":"10.1002","volume":"12","author":[{"given":"Jacques A.","family":"Schnabel","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"An Introduction to Options and Futures","author":"Chance D.","year":"1989"},{"key":"e_1_2_1_3_1","volume-title":"Futures Markets","author":"Duffie D.","year":"1989"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_5_1","volume-title":"Understanding Futures Markets","author":"Kolb R.","year":"1988"},{"key":"e_1_2_1_6_1","first-page":"176","article-title":"Hedging Canadian Treasury Bill Positions with U. S. Money Market Futures Contracts","volume":"7","author":"Poitras G.","year":"1988","journal-title":"The Review of Futures Markets"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100506"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120106","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120106","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T15:26:12Z","timestamp":1698074772000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120106"}},"issued":{"date-parts":[[1992,2]]},"references-count":6,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1992,2]]}},"alternative-id":["10.1002\/fut.3990120106"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120106","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,2]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T15:50:56Z","timestamp":1698335456519},"reference-count":37,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5746,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,12]]},"DOI":"10.1002\/fut.3990100607","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:48:48Z","timestamp":1183646928000},"page":"643-659","source":"Crossref","is-referenced-by-count":6,"title":["The distribution of gold futures spreads"],"prefix":"10.1002","volume":"10","author":[{"given":"Geoffrey","family":"Poitras","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"crossref","unstructured":"Ball C. Tourous W. andTschoegl A.(1982): \u201cGold and the Weekend Effect \u201d Journal of Futures Markets 175\u201382.","DOI":"10.1002\/fut.3990020209"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/00949658608810923"},{"key":"e_1_2_1_4_1","unstructured":"Blattberg R. C. andGonedes N.(1984 ): April \u201cA Comparison of the Stable\u2010Paretian and Student Distribution as Statistical Models for Prices \u201d Journal of Business 244\u2013280."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040105"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Cornew R. Town D.andCrowson L.(1984): \u201cStable Distributions Futures Prices and the Measurement of Trading Performance \u201d Journal of Futures Markets.","DOI":"10.1002\/fut.3990040407"},{"key":"e_1_2_1_7_1","unstructured":"Diebold F(1987 ): August \u201cTemporal Aggregation of ARCH Processes and the Distribution of Security Returns \u201d unpublished Board of Governors discussion article."},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938608800095"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Epps Thomas W. andEpps Mary Lee.(1976 ): March \u201cThe Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture of Distributions Hypothesis \u201d Econometrica 305\u2013321.","DOI":"10.2307\/1912726"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/294743"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","first-page":"331","DOI":"10.1080\/01621459.1971.10482264","article-title":"Parameter Estimates for Symmetric Stable Distributions","volume":"66","author":"Fama E. F.","year":"1971","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","first-page":"28","DOI":"10.1080\/01621459.1983.10477918","article-title":"Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns","volume":"78","author":"Fielitz B. D.","year":"1983","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_14_1","first-page":"1214","article-title":"More Evidence on the Distribution of Security Returns","volume":"28","author":"Hagerman R. L.","year":"1978","journal-title":"Journal of Finance"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330989"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(88)90025-6"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330998"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","first-page":"108","DOI":"10.1080\/01621459.1974.10480135","article-title":"On the Stable Paretian Behaviour of Stock Market Prices","volume":"69","author":"Hsu D. A.","year":"1974","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Jones F.(1981): \u201cTails Turtles and All That \u201d Journal of Futures Markets.","DOI":"10.1002\/fut.3990010402"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600011385"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03865.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/294632"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.15.6.1057"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb02218.x"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.7.2.145"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/64.2.231"},{"key":"e_1_2_1_27_1","unstructured":"Poitras G(1985): \u201cA Study of Gold Futures Price Spreads \u201d unpublished Ph. D. thesis Columbia University."},{"key":"e_1_2_1_28_1","unstructured":"Poitras G.(1990): \u201cTesting Regression Disturbances for Normality with Stable Alternatives: Further Monte Carlo Evidence \u201d Journal of Statistical Computation and Simulation forthcoming."},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060105"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","unstructured":"Saniga E. andHayya J.(1977 ): June \u201cSimple Goodness\u2010of\u2010Fit Tests for Symmetric Stable Distributions \u201d J. F. Q. A. 276\u2013289.","DOI":"10.2307\/2330435"},{"key":"e_1_2_1_31_1","doi-asserted-by":"crossref","unstructured":"So J(1987 ): February \u201cThe Sub\u2010Gaussian Distribution of Currency Futures: Stable Paretian or Nonstationary \u201d Review of Economics and Statistics 100\u2013107.","DOI":"10.2307\/1937906"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1986.tb00495.x"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912002"},{"key":"e_1_2_1_34_1","doi-asserted-by":"crossref","first-page":"282","DOI":"10.1080\/01621459.1971.10482254","article-title":"A Note on the Distribution of Stock Price Changes","volume":"66","author":"Teichmoeller J.","year":"1971","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(84)90022-8"},{"key":"e_1_2_1_36_1","doi-asserted-by":"crossref","first-page":"16","DOI":"10.1080\/01621459.1980.10477415","article-title":"Some Large\u2010Sample Tests for Nonnormality in the Linear Regression Model","volume":"75","author":"White H.","year":"1980","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_37_1","doi-asserted-by":"crossref","unstructured":"Yano A.(1989 ): June \u201cConfigurations for Arbitrage using Financial Futures \u201d Journal of Futures Markets.","DOI":"10.1002\/fut.3990090506"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1090\/mmono\/065"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100607","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100607","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,26]],"date-time":"2023-09-26T22:17:47Z","timestamp":1695766667000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100607"}},"issued":{"date-parts":[[1990,12]]},"references-count":37,"journal-issue":{"issue":"6","published-print":{"date-parts":[[1990,12]]}},"alternative-id":["10.1002\/fut.3990100607"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100607","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,12]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T00:18:18Z","timestamp":1698365898164},"reference-count":24,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":6294,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1989,6]]},"DOI":"10.1002\/fut.3990090307","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T12:01:42Z","timestamp":1183636902000},"page":"249-262","source":"Crossref","is-referenced-by-count":17,"title":["Futures rates and forward rates as predictors of near\u2010term treasury bill rates"],"prefix":"10.1002","volume":"9","author":[{"given":"S. Scott","family":"MacDonald","sequence":"first","affiliation":[]},{"given":"Scott E.","family":"Hein","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912176"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1978.tb01069.x"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1935783"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Elton E. J. Gruber M. J. andRentzler J.(1984 February): \u201cIntra\u2010Day Tests of the Efficiency of the Treasury Bill Futures Market \u201dReview of Economics and Statistics 129\u2013137.","DOI":"10.2307\/1924704"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(84)90046-1"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90013-8"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296043"},{"key":"e_1_2_1_10_1","first-page":"52","volume-title":"Economic Analysis for Health Services Efficiency","author":"Feldstein M. S.","year":"1968"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/296338"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/260910"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060409"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020402"},{"key":"e_1_2_1_15_1","unstructured":"Kamara A. andLawrence C.(1986): \u201cThe Information content of the Treasury Bill Futures Market Under Changing Monetary Regimes \u201d Working paper No. 51 University of Washington."},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040202"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"Lang R. W. andRasche R. H.(1978 December): \u201cA Comparison of Yields on Futures Contracts and Implied Forward Rates \u201dReview Federal Reserve Board of St. Louis 21\u201330.","DOI":"10.20955\/r.60.21-30.pgo"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080205"},{"key":"e_1_2_1_19_1","unstructured":"Poole W.(1978 Spring): \u201cUsing T\u2010Bill Futures to Gauge Interest Rate Expectations \u201dEconomic Reviewof the Federal Reserve Bank of San Francisco."},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1978.64"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1979.tb03443.x","article-title":"The Efficiency of the Treasury Bill Futures Market","volume":"34","author":"Rendleman R. J.","year":"1979","journal-title":"Journal of Finance"},{"key":"e_1_2_1_22_1","volume-title":"Money Market Calculations: Yields, Break\u2010evens, and Arbitrage","author":"Stigum M.","year":"1982"},{"key":"e_1_2_1_23_1","volume-title":"Financial Market Rates and Flows","author":"Van Horne J. C.","year":"1984"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1979.78"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1980.tb00048.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990090307","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990090307","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:20:52Z","timestamp":1697991652000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990090307"}},"issued":{"date-parts":[[1989,6]]},"references-count":24,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1989,6]]}},"alternative-id":["10.1002\/fut.3990090307"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990090307","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1989,6]]}},{"indexed":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T05:40:17Z","timestamp":1698385217570},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":8188,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1993,4]]},"DOI":"10.1002\/fut.v13:2","type":"journal-issue","created":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T04:16:46Z","timestamp":1698293806000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"13","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v13:2","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v13:2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T04:16:46Z","timestamp":1698293806000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/13\/2"}},"issued":{"date-parts":[[1993,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1993,4]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v13:2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1993,4]]}},{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T05:33:58Z","timestamp":1649050438198},"reference-count":0,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6483,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1997,12]]},"DOI":"10.1002\/(sici)1096-9934(199712)17:8<975::aid-fut7>3.0.co;2-i","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:00:17Z","timestamp":1030294817000},"page":"975-978","source":"Crossref","is-referenced-by-count":1,"title":["Forwards or options: A correction"],"prefix":"10.1002","volume":"17","author":[{"given":"Da-Hsiang Donald","family":"Lien","sequence":"first","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199712)17:8%3C975::AID-FUT7%3E3.0.CO;2-I","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199712)17:8%3C975::AID-FUT7%3E3.0.CO;2-I","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:27:31Z","timestamp":1625131651000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199712)17:8<975::AID-FUT7>3.0.CO;2-I"}},"issued":{"date-parts":[[1997,12]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[1997,12]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199712)17:8<975::aid-fut7>3.0.co;2-i","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1997,12]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T06:48:27Z","timestamp":1696661307922},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":365,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,9]]},"DOI":"10.1002\/fut.v34.9","type":"journal-issue","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T10:13:11Z","timestamp":1696587191000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"34","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v34.9","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T10:13:11Z","timestamp":1696587191000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/34\/9"}},"issued":{"date-parts":[[2014,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2014,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v34.9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,9]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T11:17:13Z","timestamp":1700306233785},"reference-count":27,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5807,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,10]]},"DOI":"10.1002\/fut.3990100503","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:46:51Z","timestamp":1183646811000},"page":"457-467","source":"Crossref","is-referenced-by-count":7,"title":["An examination of basis risk due to estimation"],"prefix":"10.1002","volume":"10","author":[{"given":"James T.","family":"Moser","sequence":"first","affiliation":[]},{"given":"Billy","family":"Helms","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070304"},{"key":"e_1_2_1_3_1","volume-title":"Default Premiums in Commodity Markets: Evidence and Implications","author":"Bailey Warren","year":"1989"},{"key":"e_1_2_1_4_1","volume-title":"Estimation Risk and Optimal Portfolio Choice","author":"Bawa Vijay S.","year":"1979"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050307"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02406.x"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Brown Stewart L.(1985): \u201cA Reformulation of the Portfolio Model of Hedging \u201d American Journal of Agricultural Economics.","DOI":"10.2307\/1241069"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1989.tb00110.x"},{"key":"e_1_2_1_9_1","doi-asserted-by":"crossref","unstructured":"Cecchetti Stephen G. Crumby Robert E. andFiglewski Stephen(1988): \u201cEstimation of the Optimal Futures Hedge \u201d Review of Economics and Statistics.","DOI":"10.2307\/1935825"},{"key":"e_1_2_1_10_1","unstructured":"Cootner Paul(1967): \u201cSpeculation and Hedging \u201d Food Research Institute Studies (Supplement)."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","unstructured":"C.Dale (1981) \u201cThe Hedging Effectiveness of Currency Futures Markets \u201d Journal of Futures Markets.","DOI":"10.1002\/fut.3990010107"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Doukas John andRahman Abdul(1987): \u201cUnit Root Tests: Evidence from the Foreign Exchange Futures Markets \u201d Journal of Financial and Quantitative Analysis.","DOI":"10.2307\/2330873"},{"key":"e_1_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Ederington L.(1979): \u201cThe Hedging Performance of the New Futures Market \u201d Journal of Finance.","DOI":"10.1111\/j.1540-6261.1979.tb02077.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"Eldridge Robert M.(1984): \u201cIntertemporal Price Volatility of Foreign Currency Future Contracts \u201d Journal of Futures Markets.","DOI":"10.1002\/fut.3990040204"},{"key":"e_1_2_1_16_1","unstructured":"Eldridge Robert M.(1986): \u201cAn Examination of the Changes in the Risk\u2010Return Characteristics of a Large Diversified Portfolio of Common Stock Resulting from the Inclusion of Stock Index Futures: Theory and Evidence \u201d unpublished dissertation at George Washington University."},{"key":"e_1_2_1_17_1","volume-title":"Hedging with Financial Futures for Institutional Investors: from Theory to Practice","author":"Figlewski Stephen","year":"1986"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Franckle C(1980): \u201cThe Hedging Performance of the New Futures Market: Comment \u201d Journal of Finance.","DOI":"10.1111\/j.1540-6261.1980.tb02211.x"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(84)90004-7"},{"key":"e_1_2_1_20_1","doi-asserted-by":"crossref","unstructured":"Grammatikos Theoharry andSaunders Anthony(1983): \u201cStability and the Hedging Performance of Foreign Currency Futures \u201d Journal of Futures Markets.","DOI":"10.1002\/fut.3990030305"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Hill Joanne andSchneeweis Thomas(1982): \u201cThe Hedging Effectiveness of Foreign Currency Futures \u201d Journal of Financial Research.","DOI":"10.1111\/j.1475-6803.1982.tb00629.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Howard Charles T. andDantonio Louis J.(1984): \u201cA Risk\u2010Return Measure of Hedging Effectiveness \u201d Journal of Finanical and Quantitative Analysis.","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_23_1","volume-title":"Spectral Analysis and its Applications","author":"Jenkins Gwilym","year":"1969"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","unstructured":"Johnson Leland L.(1960): \u201cThe Theory of Hedging and Speculation in Commodity Futures \u201d Review of Economic Studies.","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2327379"},{"key":"e_1_2_1_26_1","doi-asserted-by":"crossref","unstructured":"Smith Clifford W andStulz Rene M(1985): \u201cThe Determinants of Firm's Hedging Policies \u201d Journal of Financial and Quantitative Analysis.","DOI":"10.2307\/2330757"},{"key":"e_1_2_1_27_1","doi-asserted-by":"crossref","unstructured":"Stulz Rene M.(1984): \u201cOptimal Hedging Policies \u201d Journal of Financial and Quantitative Analysis.","DOI":"10.2307\/2330894"},{"key":"e_1_2_1_28_1","unstructured":"Yamey B. S.(1971): \u201cShort Hedging and Long Hedging in Futures \u201d Journal of Law and Economics."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100503","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100503","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:14:30Z","timestamp":1697991270000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100503"}},"issued":{"date-parts":[[1990,10]]},"references-count":27,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1990,10]]}},"alternative-id":["10.1002\/fut.3990100503"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100503","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,10]]}},{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T11:26:16Z","timestamp":1649071576509},"reference-count":0,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,11]]},"DOI":"10.1002\/1096-9934(200011)20:10<887::aid-fut1>3.0.co;2-4","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:29:29Z","timestamp":1030296569000},"page":"887-887","source":"Crossref","is-referenced-by-count":0,"title":["Editor's note"],"prefix":"10.1002","volume":"20","author":[{"given":"Robert I.","family":"Webb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200011)20:10%3C887::AID-FUT1%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200011)20:10%3C887::AID-FUT1%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:36:51Z","timestamp":1625135811000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200011)20:10<887::AID-FUT1>3.0.CO;2-4"}},"issued":{"date-parts":[[2000]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2000,11]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200011)20:10<887::aid-fut1>3.0.co;2-4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T22:47:00Z","timestamp":1698792420753},"reference-count":12,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8303,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,12]]},"DOI":"10.1002\/fut.3990030406","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:16:40Z","timestamp":1183591000000},"page":"403-413","source":"Crossref","is-referenced-by-count":17,"title":["Hedging performance of GNMA futures under rising and falling interest rates"],"prefix":"10.1002","volume":"3","author":[{"given":"Joanne","family":"Hill","sequence":"first","affiliation":[]},{"given":"Joseph","family":"Liro","sequence":"additional","affiliation":[]},{"given":"Thomas","family":"Schneeweis","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"issue":"1","key":"e_1_2_1_3_1","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","article-title":"The Hedging Performance of the New Futures Market","volume":"24","author":"Ederington L.","year":"1979","journal-title":"Journal of Finance"},{"issue":"5","key":"e_1_2_1_4_1","doi-asserted-by":"crossref","first-page":"1272","DOI":"10.1111\/j.1540-6261.1980.tb02211.x","article-title":"The Hedging Performance of the New Futures Market: Comment","volume":"35","author":"Franckle C. T.","year":"1980","journal-title":"Journal of Finance"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2682300"},{"key":"e_1_2_1_6_1","first-page":"72","article-title":"The Use of Interest Rate Futures in Corporate Financing and Corporate Security Investment","author":"Hill J.","year":"1980","journal-title":"International Research Seminar"},{"key":"e_1_2_1_7_1","volume-title":"Interest Rate Futures","author":"Hill J.","year":"1982"},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Johnson L. L.(1960): \u201cThe Theory of Hedging and Speculation in Commondity Futures \u201dReview of Economic Studies:559\u2013566.","DOI":"10.2307\/2296076"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664875"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","unstructured":"Markowitz H. M.(1952): \u201cPortfolio Selection \u201dJournal of Finance(March):77\u201391.","DOI":"10.1111\/j.1540-6261.1952.tb01525.x"},{"key":"e_1_2_1_11_1","unstructured":"Neter J. andWasserman W.(1972):Applied Linear Models Irwin."},{"key":"e_1_2_1_12_1","unstructured":"Stein J. L.(1961): \u201cThe Simultaneous Determination of Spot and Futures Prices \u201dAmerican Economic Review(December):1012\u20131025."},{"key":"e_1_2_1_13_1","unstructured":"Working H.(1953): \u201cFutures Trading and Hedging \u201dAmerican Economic Review(June):314\u2013343."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030406","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030406","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T07:40:45Z","timestamp":1697701245000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030406"}},"issued":{"date-parts":[[1983,12]]},"references-count":12,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1983,12]]}},"alternative-id":["10.1002\/fut.3990030406"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030406","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,12]]}},{"indexed":{"date-parts":[[2023,10,7]],"date-time":"2023-10-07T17:10:55Z","timestamp":1696698655433},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2002,1,8]],"date-time":"2002-01-08T00:00:00Z","timestamp":1010448000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,3]]},"DOI":"10.1002\/fut.2218","type":"journal-article","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T23:40:38Z","timestamp":1696635638000},"page":"281-284","source":"Crossref","is-referenced-by-count":0,"title":["Erratum"],"prefix":"10.1002","volume":"22","member":"311","published-online":{"date-parts":[[2002,1,8]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2218","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T23:41:12Z","timestamp":1696635672000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2218"}},"issued":{"date-parts":[[2002,1,8]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2002,3]]}},"alternative-id":["10.1002\/fut.2218"],"URL":"https:\/\/doi.org\/10.1002\/fut.2218","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2002,1,8]]}},{"indexed":{"date-parts":[[2023,11,23]],"date-time":"2023-11-23T00:29:32Z","timestamp":1700699372464},"reference-count":0,"publisher":"Wiley","issue":"7","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2010,7]]},"DOI":"10.1002\/fut.v30:7","type":"journal-issue","created":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T12:55:23Z","timestamp":1700657723000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"30","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,22]],"date-time":"2023-11-22T12:55:24Z","timestamp":1700657724000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/30\/7"}},"issued":{"date-parts":[[2010,7]]},"references-count":0,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2010,7]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v30:7","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2010,7]]}},{"indexed":{"date-parts":[[2023,10,28]],"date-time":"2023-10-28T01:57:45Z","timestamp":1698458265879},"reference-count":23,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7145,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1987,2]]},"DOI":"10.1002\/fut.3990070105","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:52:38Z","timestamp":1183614758000},"page":"35-47","source":"Crossref","is-referenced-by-count":12,"title":["Hedging interest rate risk in banking"],"prefix":"10.1002","volume":"7","author":[{"given":"David R.","family":"Goldfarb","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1086\/261028"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2232798"},{"key":"e_1_2_1_4_1","article-title":"Financial Futures, Bank Portfolio Risk, and Accounting","volume":"1","author":"Asay M. R.","year":"1982","journal-title":"The Journal of Futures Markets"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030206"},{"key":"e_1_2_1_6_1","unstructured":"Beaver W. H.(1981): \u201cAccounting for Interest Rate Futures Contracts\u201d. Columbia Center for the Study of Futures Markets Working Paper #11."},{"key":"e_1_2_1_7_1","unstructured":"Booth J. R. Smith R. L.andSoltz R. W.(1984 Spring): \u201cUse of Interest Rate Futures by Financial Institutions\u201d.Journal of Bank Research 15\u201320."},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1982.tb03589.x","article-title":"Bank Forward Lending in Alternative Funding Environments","volume":"37","author":"Deshmukh S.","year":"1982","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010211"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","DOI":"10.1111\/j.1540-6261.1981.tb01078.x","article-title":"Market Interest Rates and Commercial Bank Profitability: An empirical Investigation","volume":"36","author":"Flannery M. J.","year":"1981","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1992486"},{"key":"e_1_2_1_12_1","unstructured":"Goldfarb D. R.(1984): \u201cHedging Interest Rate Risk in Banking\u201d. Presented at The Annual Meetings of The American Real Estate and Urban Economic Association Dallas December 1984."},{"key":"e_1_2_1_13_1","unstructured":"Goldfarb D. R.(1985): \u201cHedging Interest Rate Risk in Banking: Fixed Rate Loans versus Variable Rate Loans Considering Loan Generation Fees and Asymmetric Risks\u201d. Ph.D. Dissertation Part II Columbia University."},{"key":"e_1_2_1_14_1","unstructured":"Graddy D. B.andKarma A. S.(1984 Winter): \u201cNet Interest Margin Sensitivity among Banks of Different Sizes\u201d.Journal of Bank Research."},{"key":"e_1_2_1_15_1","unstructured":"Grant D.andHempel G.(1982): \u201cBank Portfolio Management: The Role of Financial Futures\u201d. Proceedings of a Conference on Bank Structure and Competition Federal Reserve Bank of Chicago April."},{"key":"e_1_2_1_16_1","unstructured":"Haley H.(1982): \u201cInterest Rate Risk in Financial Intermediaries: Prospects for Immunization\u201d. Proceedings of a Conference on Bank Structure and Competition Federal Reserve Bank of Chicago April."},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020210"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0148-6195(84)90013-4"},{"key":"e_1_2_1_19_1","unstructured":"Kolb R. W.andGay G. D.(1982): \u201cBank Immunization with Interest Rate Futures\u201d. Proceedings of a Conference on Bank Structure and Competition Federal Reserve Bank of Chicago April."},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040106"},{"key":"e_1_2_1_21_1","volume-title":"Hedging Short Term Liabilities With Interest Rate Futures","author":"Kopprasch R. W.","year":"1983"},{"key":"e_1_2_1_22_1","unstructured":"Leeds J.(1982): \u201cThe Effectiveness of Financial Futures: Chemical Bank's Experience\u201d. Proceedings of a Conference on Bank Structure and Competition Federal Reserve Bank of Chicago April."},{"key":"e_1_2_1_23_1","unstructured":"Rose S.(1981): \u201cBanks Should Look to Futures\u201d. Fortune April."},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030304"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990070105","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990070105","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T01:08:46Z","timestamp":1697850526000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990070105"}},"issued":{"date-parts":[[1987,2]]},"references-count":23,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1987,2]]}},"alternative-id":["10.1002\/fut.3990070105"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990070105","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1987,2]]}},{"indexed":{"date-parts":[[2023,10,26]],"date-time":"2023-10-26T07:40:11Z","timestamp":1698306011029},"reference-count":23,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7847,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1985,3]]},"DOI":"10.1002\/fut.3990050103","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:13:44Z","timestamp":1183612424000},"page":"11-20","source":"Crossref","is-referenced-by-count":6,"title":["The systematic downward bias in live cattle futures: A further evaluation"],"prefix":"10.1002","volume":"5","author":[{"given":"Darwin M.","family":"Pluhar","sequence":"first","affiliation":[]},{"given":"Carl E.","family":"Shafer","sequence":"additional","affiliation":[]},{"given":"Thomas L.","family":"Sporleder","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Analysis of Representative Neal Smith's Allegations Regarding 32 Traders' Activity in CME Live Cattle Futures from January 1978 through April 1979","author":"Commodity Futures Trading Commission","year":"1982"},{"key":"e_1_2_1_3_1","volume-title":"News Release #977\u201082","author":"Commodity Futures Trading Commission","year":"1982"},{"key":"e_1_2_1_4_1","volume-title":"Seasonality in Agricultural Futures Markets","author":"ContiCommodity Devices","year":"1983"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010307"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030106"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030306"},{"key":"e_1_2_1_8_1","first-page":"10","volume-title":"Hedging for Profit","author":"Kluis A.","year":"1982"},{"key":"e_1_2_1_9_1","series-title":"USDA ERS Technical Bulletin No. 1536","volume-title":"The Distribution of Shortrun Commodity Price Movements","author":"Mann J. S.","year":"1976"},{"key":"e_1_2_1_10_1","unstructured":"Merrill Lynch Pierce Fenner and Smith Inc.(1980 June): \u201cSeasonal Factors for Commodities \u201d Commodity Research Report."},{"key":"e_1_2_1_11_1","unstructured":"National Cattleman's Association(1982 August 13): \u201cFinal Report of the NCA Cattle Futures Market Surveillance Committee \u201dBeef Business Bulletin pp.3\u20139."},{"key":"e_1_2_1_12_1","unstructured":"National Cattleman's Association(1983 January 14): \u201cSeasonal Variations in Cattle Prices \u201dBeef Business Bulletin p.4."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010308"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0081305200027709"},{"key":"e_1_2_1_15_1","unstructured":"Pluhar D. M.(1983): \u201cEconomic Analysis of a Technical Hedging Strategy for Live Cattle Futures \u201d M.S. thesis Texas A&M University."},{"key":"e_1_2_1_16_1","unstructured":"Skadberg J. M.(1979and updates): \u201cBasis Data for Cattle: Omaha Sioux City Peoria St. Louis Interior Iowa\u2013Southern Minnesota \u201d Departmental Economics Staff Paper Series No. 94 Iowa State University."},{"key":"e_1_2_1_17_1","unstructured":"Staff Report of the Committee on Small Business (1980aAugust): \u201cAn Assessment of the Performance of the Chicago Mercantile Exchange Live Cattle Contracts as a Hedging Vehicle for Cattle Feeders \u201d United States House of Representatives 96th Congress 2nd Session Washington DC."},{"key":"e_1_2_1_18_1","unstructured":"Staff Report of the Committee on Small Business(1980b September): \u201cAn Analysis of the Futures Trading Activity in Live and Feeder Cattle Contracts of Large (Reporting) Traders on the Chicago Mercantile Exchange \u201d United States House of Representatives 96th Congress 2nd Session Washington DC."},{"key":"e_1_2_1_19_1","unstructured":"Staff Report of the Committee on Small Business(1981 February 27): \u201cA Report to the Honorable Neal Smith Member of Congress on the Systematic Downward Bias in Live Cattle Futures \u201d United States House of Representatives 97th Congress 1st Session Washington DC."},{"key":"e_1_2_1_20_1","series-title":"Miscellaneous Publication No. 1430","volume-title":"Cattle Cycles: How to Profit From Them","author":"United States Department of Agriculture","year":"1983"},{"key":"e_1_2_1_21_1","volume-title":"Livestock and Meat Outlook and Situation","author":"United States Department of Agriculture","year":"1981"},{"key":"e_1_2_1_22_1","volume-title":"Livestock and Meat Situation","author":"United States Department of Agriculture","year":"1974"},{"key":"e_1_2_1_23_1","volume-title":"Livestock and Poultry Outlook and Situation","author":"United States Department of Agriculture","year":"1981"},{"key":"e_1_2_1_24_1","unstructured":"Wall Street Journal(1974\u20131982): \u201cCash Prices \u201d various issues."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990050103","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990050103","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T15:16:34Z","timestamp":1697814994000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990050103"}},"issued":{"date-parts":[[1985,3]]},"references-count":23,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1985,3]]}},"alternative-id":["10.1002\/fut.3990050103"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990050103","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1985,3]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T18:43:12Z","timestamp":1709232192058},"reference-count":29,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,4,22]],"date-time":"2015-04-22T00:00:00Z","timestamp":1429660800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,2]]},"abstract":"Abstract<\/jats:title>Goyal and Saretto (2009) conjecture that deviations of option implied volatility from long\u2010run historical levels\u2014the volatility spread\u2014provide a signal of option mispricing. This paper re\u2010examines the profitability of trading the volatility spread, with a particular focus on assessing the authenticity of returns. While, at face value, portfolios of option straddles designed to exploit this mispricing appear highly profitable, our findings cast doubt over whether these profits can be genuinely attained in real\u2010world settings. Drawing on the tick history of bid\u2013ask quotes, our analysis suggests that transaction costs erode much of the profitability. Further, we demonstrate that ignoring the existence of initial margins dramatically overstates estimated returns to short option positions. Ultimately, the profitability of volatility spread trading appears to hinge on the ability of traders to achieve effective spreads well inside the quoted spreads and to intelligently time their trades. \u00a9 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:107\u2013126, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21729","type":"journal-article","created":{"date-parts":[[2015,4,22]],"date-time":"2015-04-22T10:41:23Z","timestamp":1429699283000},"page":"107-126","source":"Crossref","is-referenced-by-count":4,"title":["The Profitability of Volatility Spread Trading on ASX Equity Options"],"prefix":"10.1002","volume":"36","author":[{"given":"Binh Huu","family":"Do","sequence":"first","affiliation":[{"name":"Binh Huu Do, Anthony Foster, Philip Gray are at the Department of Banking and Finance Monash University VIC Australia"}]},{"given":"Anthony","family":"Foster","sequence":"additional","affiliation":[{"name":"Binh Huu Do, Anthony Foster, Philip Gray are at the Department of Banking and Finance Monash University VIC Australia"}]},{"given":"Philip","family":"Gray","sequence":"additional","affiliation":[{"name":"Binh Huu Do, Anthony Foster, Philip Gray are at the Department of Banking and Finance Monash University VIC Australia"}]}],"member":"311","published-online":{"date-parts":[[2015,4,22]]},"reference":[{"key":"e_1_2_7_2_1","unstructured":"ASX. (2012). Equity and index option listing guidelines for ASX equity options. Australian Securities Exchange."},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1060.0579"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00367"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01700.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.659"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.11.010"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.09.004"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn038"},{"key":"e_1_2_7_10_1","first-page":"407","article-title":"On the role of risk premia in volatility forecasting","volume":"56","author":"Chernov M.","year":"2007","journal-title":"Journal of Business and Economic Statistics"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00057-4"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00034-8"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00352"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90073-Z"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01467.x"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21634"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.01.001"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90011-L"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20432"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.293"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01892.x"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1108\/03074351311322843"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn053"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00348"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126747"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02635.x"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.016"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp035"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21729","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21729","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T09:34:43Z","timestamp":1696584883000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21729"}},"issued":{"date-parts":[[2015,4,22]]},"references-count":29,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2016,2]]}},"alternative-id":["10.1002\/fut.21729"],"URL":"https:\/\/doi.org\/10.1002\/fut.21729","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2015,4,22]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:45:08Z","timestamp":1709243108447},"reference-count":0,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5967,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,5]]},"DOI":"10.1002\/(sici)1096-9934(199905)19:3<291::aid-fut3>3.3.co;2-b","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:46:13Z","timestamp":1030297573000},"page":"291-306","source":"Crossref","is-referenced-by-count":1,"title":["Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison"],"prefix":"10.1002","volume":"19","author":[{"given":"Roswell E.","family":"Mathis","sequence":"first","affiliation":[]},{"given":"Gerald O.","family":"Bierwag","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199905)19:3%3C291::AID-FUT3%3E3.3.CO;2-B","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T17:01:39Z","timestamp":1507654899000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199905%2919%3A3%3C291%3A%3AAID-FUT3%3E3.3.CO%3B2-B"}},"issued":{"date-parts":[[1999,5]]},"references-count":0,"journal-issue":{"issue":"3"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199905)19:3<291::aid-fut3>3.3.co;2-b","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,5]]}},{"indexed":{"date-parts":[[2024,2,29]],"date-time":"2024-02-29T21:45:08Z","timestamp":1709243108570},"reference-count":0,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5844,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1999,9]]},"DOI":"10.1002\/(sici)1096-9934(199909)19:6<665::aid-fut3>3.3.co;2-e","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T17:46:13Z","timestamp":1030297573000},"page":"665-693","source":"Crossref","is-referenced-by-count":2,"title":["Foreign exchange futures volatility: Day\u2010of\u2010the\u2010week, intraday, and maturity patterns in the presence of macroeconomic announcements"],"prefix":"10.1002","volume":"19","author":[{"given":"Li\u2010Ming","family":"Han","sequence":"first","affiliation":[]},{"given":"John L.","family":"Kling","sequence":"additional","affiliation":[]},{"given":"Clifford W.","family":"Sell","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199909)19:6%3C665::AID-FUT3%3E3.3.CO;2-E","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T15:43:01Z","timestamp":1507650181000},"score":0.0,"resource":{"primary":{"URL":"http:\/\/doi.wiley.com\/10.1002\/%28SICI%291096-9934%28199909%2919%3A6%3C665%3A%3AAID-FUT3%3E3.3.CO%3B2-E"}},"issued":{"date-parts":[[1999,9]]},"references-count":0,"journal-issue":{"issue":"6"},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199909)19:6<665::aid-fut3>3.3.co;2-e","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1999,9]]}},{"indexed":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T14:36:08Z","timestamp":1700058968426},"reference-count":6,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3530,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2006,8]]},"DOI":"10.1002\/fut.20222","type":"journal-article","created":{"date-parts":[[2006,6,21]],"date-time":"2006-06-21T19:04:15Z","timestamp":1150916655000},"page":"835-841","source":"Crossref","is-referenced-by-count":9,"title":["Estimation bias of futures hedging performance: A note"],"prefix":"10.1002","volume":"26","author":[{"given":"Donald","family":"Lien","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006]]},"reference":[{"key":"10.1002\/fut.20222-BIB1","author":"Bao","year":"2005","unstructured":"& (2005). Moments of the estimated Sharpe ratio when the observations are not IID (working paper). San Antonio: University of Texas, Department of Economics."},{"key":"10.1002\/fut.20222-BIB2","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","volume":"34","author":"Ederington","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20222-BIB3","doi-asserted-by":"crossref","first-page":"377","DOI":"10.2307\/2330972","volume":"22","author":"Howard","year":"1987","journal-title":"Journal of Finance and Quantitative Analysis"},{"key":"10.1002\/fut.20222-BIB4","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1016\/j.irfa.2004.11.001","volume":"14","author":"Lien","year":"2005a","journal-title":"International Review of Financial Analysis"},{"key":"10.1002\/fut.20222-BIB5","doi-asserted-by":"crossref","first-page":"1121","DOI":"10.1002\/fut.20172","volume":"25","author":"Lien","year":"2005b","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/fut.20222-BIB6","doi-asserted-by":"crossref","first-page":"575","DOI":"10.2307\/1909352","volume":"27","author":"Nagar","year":"1959","journal-title":"Econometrica"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20222","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20222","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T18:18:39Z","timestamp":1625163519000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20222"}},"issued":{"date-parts":[[2006]]},"references-count":6,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2006,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20222","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006]]}},{"indexed":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T17:10:50Z","timestamp":1692897050693},"reference-count":0,"publisher":"Wiley","issue":"9","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,9]]},"DOI":"10.1002\/fut.v42.9","type":"journal-issue","created":{"date-parts":[[2022,8,5]],"date-time":"2022-08-05T07:43:59Z","timestamp":1659685439000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"42","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T01:34:36Z","timestamp":1692840876000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/42\/9"}},"issued":{"date-parts":[[2022,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2022,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v42.9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,9]]}},{"indexed":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T17:11:17Z","timestamp":1692897077266},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2022,8,5]],"date-time":"2022-08-05T00:00:00Z","timestamp":1659657600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,9]]},"DOI":"10.1002\/fut.22235","type":"journal-article","created":{"date-parts":[[2022,8,5]],"date-time":"2022-08-05T07:43:59Z","timestamp":1659685439000},"page":"1641-1641","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 42, Number 9, September 2022"],"prefix":"10.1002","volume":"42","member":"311","published-online":{"date-parts":[[2022,8,5]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22235","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22235","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,24]],"date-time":"2023-08-24T01:35:21Z","timestamp":1692840921000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22235"}},"issued":{"date-parts":[[2022,8,5]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2022,9]]}},"alternative-id":["10.1002\/fut.22235"],"URL":"https:\/\/doi.org\/10.1002\/fut.22235","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,8,5]]},"assertion":[{"value":"2022-08-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2023,11,16]],"date-time":"2023-11-16T00:03:30Z","timestamp":1700093010974},"reference-count":39,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2007,7,17]],"date-time":"2007-07-17T00:00:00Z","timestamp":1184630400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,9]]},"abstract":"Abstract<\/jats:title>There is extensive empirical research on the potential destabilizing effects of futures trading activity on spot market volatility. Rather than just focusing on spot volatility, the authors deal with the contemporaneous relationship between futures trading volume and the overall probability distribution of spot market returns. Empirical evidence using intraday data from the Spanish stock index futures market over the period 2000\u20132002 is provided. Their findings reveal that the density function of spot return conditional to spot volume depends on unexpected futures trading volume.<\/jats:p>","DOI":"10.1002\/fut.20271","type":"journal-article","created":{"date-parts":[[2007,7,17]],"date-time":"2007-07-17T19:46:37Z","timestamp":1184701597000},"page":"839-866","source":"Crossref","is-referenced-by-count":3,"title":["The effect of futures trading on the distribution of spot index returns: Implications for CVaR in the Spanish market"],"prefix":"10.1002","volume":"27","author":[{"given":"M.","family":"Illueca","sequence":"first","affiliation":[]},{"given":"J.A.","family":"Lafuente","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,7,17]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00283-2"},{"key":"e_1_2_1_3_1","first-page":"267","volume-title":"Second International Symposium on Information Theory","author":"Akaike H.","year":"1973"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00059-C"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199804)18:2<151::AID-FUT2>3.0.CO;2-1"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-9473(00)00046-3"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04695.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-5957.00394"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150706"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2118454"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10037"},{"key":"e_1_2_1_13_1","first-page":"703","article-title":"Futures trading and market information","volume":"98","author":"Cox C.C.","year":"1976","journal-title":"Journal of Political Economy"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.301"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1137\/1114019"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-4431(98)00035-3"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200008)20:7<661::AID-FUT3>3.0.CO;2-R"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1390887"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10091"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330874"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/s101080200044"},{"key":"e_1_2_1_24_1","doi-asserted-by":"crossref","first-page":"221","DOI":"10.1111\/j.1540-6261.1990.tb05088.x","article-title":"Heteroscedasticity in stock returns data: Volume versus GARCH effects","volume":"45","author":"Lamoreux C.G.","year":"1990","journal-title":"Journal of Finance"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120204"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120504"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb05149.x"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199712)17:8<957::AID-FUT6>3.0.CO;2-K"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.1702"},{"key":"e_1_2_1_31_1","unstructured":"Rainer W.J.(1999).22nd Annual Chicago\u2010Kent College of Law Derivatives and Commodities Law Institute. Chicago Illinois October 28 1999."},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00271-6"},{"key":"e_1_2_1_33_1","first-page":"25","volume-title":"Multivariate analysis II","author":"Rosemblatt M.","year":"1969"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1086\/261508"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00262-5"},{"key":"e_1_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(99)00073-4"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00162-X"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1201\/b14876"},{"key":"e_1_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00026-3"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100603"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20271","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20271","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T04:37:33Z","timestamp":1700023053000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20271"}},"issued":{"date-parts":[[2007,7,17]]},"references-count":39,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2007,9]]}},"alternative-id":["10.1002\/fut.20271"],"URL":"https:\/\/doi.org\/10.1002\/fut.20271","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,7,17]]}},{"indexed":{"date-parts":[[2023,12,30]],"date-time":"2023-12-30T09:52:50Z","timestamp":1703929970211},"reference-count":0,"publisher":"Wiley","issue":"9","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,9]]},"DOI":"10.1002\/fut.v41.9","type":"journal-issue","created":{"date-parts":[[2021,8,6]],"date-time":"2021-08-06T00:06:59Z","timestamp":1628208419000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"41","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,29]],"date-time":"2023-08-29T20:14:28Z","timestamp":1693340068000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/41\/9"}},"issued":{"date-parts":[[2021,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2021,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v41.9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,9]]}},{"indexed":{"date-parts":[[2023,12,30]],"date-time":"2023-12-30T09:53:46Z","timestamp":1703930026036},"reference-count":0,"publisher":"Wiley","issue":"8","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,8]]},"DOI":"10.1002\/fut.v41.8","type":"journal-issue","created":{"date-parts":[[2021,7,16]],"date-time":"2021-07-16T17:15:05Z","timestamp":1626455705000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"41","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T01:21:18Z","timestamp":1693358478000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/41\/8"}},"issued":{"date-parts":[[2021,8]]},"references-count":0,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2021,8]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v41.8","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,8]]}},{"indexed":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T04:14:25Z","timestamp":1697775265549},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":8303,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1983,12]]},"DOI":"10.1002\/fut.3990030412","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T23:16:40Z","timestamp":1183591000000},"page":"475-476","source":"Crossref","is-referenced-by-count":0,"title":["Legal notes"],"prefix":"10.1002","volume":"3","author":[{"given":"Ronald J.","family":"Horowitz","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990030412","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990030412","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,19]],"date-time":"2023-10-19T07:40:27Z","timestamp":1697701227000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990030412"}},"issued":{"date-parts":[[1983,12]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1983,12]]}},"alternative-id":["10.1002\/fut.3990030412"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990030412","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1983,12]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:08:49Z","timestamp":1699834129740},"reference-count":0,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2006,8,7]],"date-time":"2006-08-07T00:00:00Z","timestamp":1154908800000},"content-version":"vor","delay-in-days":9198,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,6]]},"DOI":"10.1002\/fut.3990010209","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:48:50Z","timestamp":1183578530000},"page":"191-192","source":"Crossref","is-referenced-by-count":0,"title":["Comments on \u201cfinancial futures markets: Is more regulation needed?\u201d"],"prefix":"10.1002","volume":"1","author":[{"given":"Kenneth C.","family":"Froewiss","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,7]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010209","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010209","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:32:37Z","timestamp":1699785157000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010209"}},"issued":{"date-parts":[[1981,6]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1981,6]]}},"alternative-id":["10.1002\/fut.3990010209"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010209","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,6]]}},{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T00:32:22Z","timestamp":1699835542518},"reference-count":0,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":9369,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,3]]},"DOI":"10.1002\/fut.3990010109","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T19:17:30Z","timestamp":1183576650000},"page":"93-101","source":"Crossref","is-referenced-by-count":1,"title":["Identifying seasonality in futures prices using X\u201011"],"prefix":"10.1002","volume":"1","author":[{"given":"Richard","family":"Vaughn","sequence":"first","affiliation":[]},{"given":"Marvin","family":"Kelly","sequence":"additional","affiliation":[]},{"given":"Frank","family":"Hochheimer","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010109","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010109","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:38:34Z","timestamp":1699785514000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010109"}},"issued":{"date-parts":[[1981,3]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1981,3]]}},"alternative-id":["10.1002\/fut.3990010109"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010109","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,3]]}},{"indexed":{"date-parts":[[2024,9,11]],"date-time":"2024-09-11T03:12:43Z","timestamp":1726024363946},"reference-count":12,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,8,28]],"date-time":"2006-08-28T00:00:00Z","timestamp":1156723200000},"content-version":"vor","delay-in-days":4591,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1994,2]]},"DOI":"10.1002\/fut.3990140107","type":"journal-article","created":{"date-parts":[[2007,7,6]],"date-time":"2007-07-06T00:36:31Z","timestamp":1183682191000},"page":"79-101","source":"Crossref","is-referenced-by-count":13,"title":["A reexamination of put\u2010call parity on index futures"],"prefix":"10.1002","volume":"14","author":[{"given":"Joel S.","family":"Sternberg","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,28]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Brenner M. Courtadon G. andSubrahmanyam M.(1984): \u201cOptions on Stock Indices and on Stock Index Futures \u201d Working Paper New York University."},{"key":"e_1_2_1_2_2","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90002-7"},{"key":"e_1_2_1_3_1","volume-title":"Options Markets","author":"Cox J.","year":"1984"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","first-page":"743","DOI":"10.1111\/j.1540-6261.1985.tb04998.x","article-title":"Index options\u2014the early evidence","volume":"3","author":"Evnine J.","year":"1985","journal-title":"Journal of Finance"},{"key":"e_1_2_1_5_1","unstructured":"Figlewski S.(1983): \u201cWhy are Prices for Stock Index Futures So Low? \u201d Working Paper Institute of Business and Economic Research University of California Berkeley."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(83)90052-1"},{"key":"e_1_2_1_7_1","volume-title":"Option Pricing: Theory and Applications","author":"Galai D.","year":"1983"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(81)90004-0"},{"key":"e_1_2_1_9_1","unstructured":"Margrabe W.(1978): \u201cA Theory of Forward and Futures Prices \u201d Unpublished."},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","first-page":"1319","DOI":"10.1111\/j.1540-6261.1985.tb02385.x","article-title":"The Valuation of Options on Futures Contracts","volume":"40","author":"Ramaswamy K.","year":"1984","journal-title":"Journal of Finance"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","first-page":"895","DOI":"10.1111\/j.1540-6261.1979.tb03443.x","article-title":"The Efficiency of the Treasury Bill Futures Market","volume":"34","author":"Rendelman R.","year":"1979","journal-title":"Journal of Finance"},{"key":"e_1_2_1_12_1","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1111\/j.1540-6261.1986.tb04495.x","article-title":"The Valuation of American Futures Options: Theory and Empirical Tests","volume":"1","author":"Whaley R.","year":"1986","journal-title":"Journal of Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990140107","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990140107","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,25]],"date-time":"2023-10-25T11:14:14Z","timestamp":1698232454000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990140107"}},"issued":{"date-parts":[[1994,2]]},"references-count":12,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1994,2]]}},"alternative-id":["10.1002\/fut.3990140107"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990140107","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1994,2]]}},{"indexed":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T00:06:45Z","timestamp":1700006805000},"reference-count":0,"publisher":"Wiley","issue":"9","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":2556,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2008,9]]},"DOI":"10.1002\/fut.v28:9","type":"journal-issue","created":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T23:14:37Z","timestamp":1700003677000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"28","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.v28:9","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.v28:9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T23:14:37Z","timestamp":1700003677000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/28\/9"}},"issued":{"date-parts":[[2008,9]]},"references-count":0,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2008,9]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v28:9","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2008,9]]}},{"indexed":{"date-parts":[[2024,1,19]],"date-time":"2024-01-19T00:18:49Z","timestamp":1705623529906},"reference-count":0,"publisher":"Wiley","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2024,2]]},"DOI":"10.1002\/fut.v44.2","type":"journal-issue","created":{"date-parts":[[2024,1,8]],"date-time":"2024-01-08T12:00:30Z","timestamp":1704715230000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"44","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2024,1,18]],"date-time":"2024-01-18T12:30:30Z","timestamp":1705581030000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/44\/2"}},"issued":{"date-parts":[[2024,2]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2024,2]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v44.2","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2024,2]]}},{"indexed":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T05:15:50Z","timestamp":1700198150314},"reference-count":0,"publisher":"Wiley","issue":"10","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2004,10]]},"DOI":"10.1002\/fut.v24:10","type":"journal-issue","created":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T03:38:07Z","timestamp":1700192287000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"24","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T03:38:08Z","timestamp":1700192288000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/24\/10"}},"issued":{"date-parts":[[2004,10]]},"references-count":0,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2004,10]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v24:10","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2004,10]]}},{"indexed":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T13:25:56Z","timestamp":1694006756585},"reference-count":18,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5722,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,8]]},"DOI":"10.1002\/1096-9934(200008)20:7<687::aid-fut4>3.0.co;2-4","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T05:43:53Z","timestamp":1100411033000},"page":"687-704","source":"Crossref","is-referenced-by-count":8,"title":["Transactions data tests of efficiency: An investigation in the Singapore futures markets"],"prefix":"10.1002","volume":"20","author":[{"given":"Mahendra","family":"Raj","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2000]]},"reference":[{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB1","doi-asserted-by":"crossref","first-page":"1731","DOI":"10.1111\/j.1540-6261.1992.tb04681.x","volume":"47","author":"Brock","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB2","volume-title":"Exchange rate and trade instability","author":"Dooley","year":"1983","unstructured":"& (1983). Analysis of short-run exchange rate behaviour, March 1973-Nov 1973. In and (eds.), Exchange rate and trade instability. Ballinger."},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB3","first-page":"689","volume":"80","author":"Engel","year":"1990","journal-title":"American Economic Review"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB4","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1214\/aos\/1176344552","volume":"7","author":"Efron","year":"1979","journal-title":"The Annals of Statistics"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB5","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1002\/fut.3990070303","volume":"7","author":"Glassman","year":"1987","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB6","volume-title":"Forecasting economic time series","author":"Granger","year":"1986","unstructured":"& (1986). Forecasting economic time series (2nd ed.). Academic."},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB7","doi-asserted-by":"crossref","first-page":"129","DOI":"10.1016\/0022-1996(88)90025-6","volume":"24","author":"Hsieh","year":"1988","journal-title":"Journal of International Economics"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB8","doi-asserted-by":"crossref","first-page":"679","DOI":"10.1002\/fut.3990120607","volume":"12","author":"Kao","year":"1992","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB9","volume-title":"Exploring the limits of bootstrap","author":"LePage","year":"1992","unstructured":"& (Eds.). (1992). Exploring the limits of bootstrap. New York: Wiley."},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB10","doi-asserted-by":"crossref","first-page":"451","DOI":"10.1016\/0261-5606(93)90034-9","volume":"12","author":"Levich","year":"1993","journal-title":"Journal of International Money and Finance"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB11","doi-asserted-by":"crossref","first-page":"623","DOI":"10.1080\/00036848800000113","volume":"20","author":"Lukac","year":"1988","journal-title":"Applied Economics"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB12","volume-title":"Technical analysis of futures markets","author":"Murphy","year":"1986","unstructured":"(1986). Technical analysis of futures markets. New York: New York Institute of Finance."},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB13","doi-asserted-by":"crossref","first-page":"549","DOI":"10.1086\/296551","volume":"64","author":"Neftci","year":"1991","journal-title":"Journal of Business"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB14","doi-asserted-by":"crossref","first-page":"965","DOI":"10.1002\/(SICI)1096-9934(199812)18:8<965::AID-FUT5>3.0.CO;2-A","volume":"18","author":"Ntungo","year":"1998","journal-title":"Journal of Futures Markets"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB15","doi-asserted-by":"crossref","first-page":"100","DOI":"10.2307\/1937906","author":"So","year":"1987","journal-title":"Review of Economics and Statistics"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB16","doi-asserted-by":"crossref","first-page":"163","DOI":"10.1111\/j.1540-6261.1986.tb04497.x","volume":"41","author":"Sweeney","year":"1986","journal-title":"Journal of Finance"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB17","doi-asserted-by":"crossref","first-page":"285","DOI":"10.2307\/2331068","volume":"23","author":"Sweeney","year":"1988","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4-BIB18","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1002\/fut.3990140207","volume":"14","author":"Taylor","year":"1994","journal-title":"Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F1096-9934(200008)20:7%3C687::AID-FUT4%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/1096-9934(200008)20:7%3C687::AID-FUT4%3E3.0.CO;2-4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:48:27Z","timestamp":1625136507000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/1096-9934(200008)20:7<687::AID-FUT4>3.0.CO;2-4"}},"issued":{"date-parts":[[2000]]},"references-count":18,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2000,8]]}},"URL":"https:\/\/doi.org\/10.1002\/1096-9934(200008)20:7<687::aid-fut4>3.0.co;2-4","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000]]}},{"indexed":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T00:39:33Z","timestamp":1700267973333},"reference-count":0,"publisher":"Wiley","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2003,1]]},"DOI":"10.1002\/fut.v23:1","type":"journal-issue","created":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T23:55:42Z","timestamp":1700265342000},"source":"Crossref","is-referenced-by-count":0,"prefix":"10.1002","volume":"23","member":"311","container-title":["Journal of Futures Markets"],"language":"en","deposited":{"date-parts":[[2023,11,17]],"date-time":"2023-11-17T23:55:43Z","timestamp":1700265343000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/23\/1"}},"issued":{"date-parts":[[2003,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2003,1]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.v23:1","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2003,1]]}},{"indexed":{"date-parts":[[2025,4,22]],"date-time":"2025-04-22T13:27:53Z","timestamp":1745328473595,"version":"3.37.3"},"reference-count":26,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2017,7,11]],"date-time":"2017-07-11T00:00:00Z","timestamp":1499731200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100000038","name":"Natural Sciences and Engineering Research Council of Canada","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100000038","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2018,1]]},"abstract":"This paper analyzes the delivery behavior observed in the CBOT T\u2010Bond futures market over the period spanning 1985\u20132016 in order to assess how timing decisions were made, and whether these decisions were optimal. During that period, delivery was generally deferred to the last possible moment, but early delivery episodes were also observed regularly. A regression model identifying the determinants of early exercise over the last three decades is proposed, along with a case\u2010by\u2010case analysis of specific delivery patterns. Finally, the optimality of the observed delivery strategies is assessed a posteriori.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21862","type":"journal-article","created":{"date-parts":[[2017,7,11]],"date-time":"2017-07-11T11:03:23Z","timestamp":1499771003000},"page":"22-37","source":"Crossref","is-referenced-by-count":4,"title":["Time is money: An empirical investigation of delivery behavior in the U.S. T\u2010Bond futures market"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8264-8350","authenticated-orcid":false,"given":"Mich\u00e8le","family":"Breton","sequence":"first","affiliation":[{"name":"HEC Montr\u00e9al Montr\u00e9al Canada"}]},{"given":"Ramzi","family":"Ben\u2010Abdallah","sequence":"additional","affiliation":[{"name":"UQAM School of Management Montr\u00e9al Canada"}]}],"member":"311","published-online":{"date-parts":[[2017,7,11]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330888"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080502"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21754"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2011.573496"},{"issue":"7","key":"e_1_2_7_6_1","doi-asserted-by":"crossref","first-page":"534","DOI":"10.1016\/j.jbankfin.2008.09.006","article-title":"An analysis of the True Notional bond system applied to the CBOT T\u2010Bonds futures","volume":"33","author":"Ben\u2010Abdallah R.","year":"2009","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2006.00303.x"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02406.x"},{"volume-title":"The Treasury bond basis: An in\u2010depth analysis for hedgers, speculators, and arbitrageurs","year":"2005","author":"Burghardt G.","key":"e_1_2_7_9_1"},{"key":"e_1_2_7_10_1","unstructured":"Burstein D(1987). Rising sun on Wall Street. How Japanese money and firms are moving in.New York Magazine 20 32\u201338."},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/JFI.2009.19.1.082"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11156-011-0247-y"},{"volume-title":"The Repo handbook","year":"2010","author":"Choudhry M.","key":"e_1_2_7_13_1"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00107.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/2.3.297"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2004.450969"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2005.605353"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(88)90010-6"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb03728.x"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050112"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990040107"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04499.x"},{"key":"e_1_2_7_23_1","unstructured":"Karunakar R.(2015). Sovereign bonds to remain in demand say strategists\u2010reuters poll. Retrieved fromhttp:\/\/www.reuters.com\/article\/us\u2010markets\u2010bonds\u2010poll\u2010idUSKBN0TT1ZF20151210"},{"key":"e_1_2_7_24_1","unstructured":"Maidenberg H. J.(1987). Trade report batters bond prices. Retrieved fromhttp:\/\/www.nytimes.com\/1987\/12\/11\/business\/credit\u2010markets\u2010trade\u2010report\u2010batters\u2010bond\u2010prices.html"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/500677"},{"key":"e_1_2_7_26_1","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1111\/j.1475-4932.1992.tb02296.x","article-title":"Deliveries on commodity futures contracts","author":"Peck A.","year":"1992","journal-title":"Economic Record"},{"key":"e_1_2_7_27_1","unstructured":"Seeman R.(1986). Japanese securities firms overwhelm the world.The Japan Lawletter July 1986."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21862","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21862","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,29]],"date-time":"2023-09-29T16:22:09Z","timestamp":1696004529000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21862"}},"issued":{"date-parts":[[2017,7,11]]},"references-count":26,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2018,1]]}},"alternative-id":["10.1002\/fut.21862"],"URL":"https:\/\/doi.org\/10.1002\/fut.21862","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2017,7,11]]}},{"indexed":{"date-parts":[[2024,6,12]],"date-time":"2024-06-12T10:31:15Z","timestamp":1718188275734},"reference-count":5,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2012,11,7]],"date-time":"2012-11-07T00:00:00Z","timestamp":1352246400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,12]]},"abstract":"This study examines the behavior of an exporting firm that exports to two foreign countries, each of which has its own currency. Hedging is imperfect in that the firm can only trade one of the two foreign currencies forward. Compared to the case wherein hedging is perfect in that both foreign currencies can be traded forward, the firm is shown to produce less in the home country. Furthermore, the firm is shown to export more (less) to the foreign country whose currency can (cannot) be traded forward. The firm's optimal forward position is an over\u2010hedge or an under\u2010hedge, depending on whether the spot exchange rates are positively or negatively correlated in the sense of expectation dependence, respectively. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:1191\u20131196, 2013<\/jats:p>","DOI":"10.1002\/fut.21584","type":"journal-article","created":{"date-parts":[[2012,11,7]],"date-time":"2012-11-07T17:18:52Z","timestamp":1352308732000},"page":"1191-1196","source":"Crossref","is-referenced-by-count":4,"title":["A Note on Exports and Hedging Exchange Rate Risks: The Multi\u2010Country Case"],"prefix":"10.1002","volume":"33","author":[{"given":"Kit Pong","family":"Wong","sequence":"first","affiliation":[{"name":"Kit Pong Wong is a Professor of Finance and the Director of the School of Economics and Finance, University of Hong Kong, Hong Kong"}]}],"member":"311","published-online":{"date-parts":[[2012,11,7]]},"reference":[{"key":"e_1_2_3_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200010)20:9<843::AID-FUT3>3.0.CO;2-G"},{"key":"e_1_2_3_3_1","doi-asserted-by":"publisher","DOI":"10.1006\/jmva.2001.2000"},{"key":"e_1_2_3_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20547"},{"key":"e_1_2_3_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21561"},{"key":"e_1_2_3_6_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00126386"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21584","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21584","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T04:09:55Z","timestamp":1696565395000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21584"}},"issued":{"date-parts":[[2012,11,7]]},"references-count":5,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2013,12]]}},"alternative-id":["10.1002\/fut.21584"],"URL":"https:\/\/doi.org\/10.1002\/fut.21584","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,11,7]]}},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:26Z","timestamp":1740104546892,"version":"3.37.3"},"reference-count":47,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2021,8,5]],"date-time":"2021-08-05T00:00:00Z","timestamp":1628121600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,11]]},"abstract":"Abstract<\/jats:title>We explore the relationship between efficiency and fairness around a natural experiment resulting in the delisting of equity\u2010linked single stock futures on the National Stock Exchange of India. We provide evidence that the presence of a derivative improves the liquidity of the underlying but decreases the degree of fairness\u2014proxied by manipulation likelihood. Our study highlights that a leveraged derivative entices manipulation of the underlying and that typical inhibitors of manipulation, high execution costs, are conducive to successful market abuse.<\/jats:p>","DOI":"10.1002\/fut.22253","type":"journal-article","created":{"date-parts":[[2021,8,5]],"date-time":"2021-08-05T20:20:01Z","timestamp":1628194801000},"page":"1677-1692","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Single stock futures and their impact on market quality: Be careful what you wish for"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3110-0229","authenticated-orcid":false,"given":"Edward","family":"Curran","sequence":"first","affiliation":[{"name":"Macquarie Graduate School of Management Macquarie University North Ryde New South Wales Australia"}]},{"given":"Jack","family":"Hunt","sequence":"additional","affiliation":[{"name":"Macquarie Graduate School of Management Macquarie University North Ryde New South Wales Australia"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3691-6489","authenticated-orcid":false,"given":"Vito","family":"Mollica","sequence":"additional","affiliation":[{"name":"Macquarie Graduate School of Management Macquarie University North Ryde New South Wales Australia"}]}],"member":"311","published-online":{"date-parts":[[2021,8,5]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_12_2_1","DOI":"10.2307\/2676245"},{"doi-asserted-by":"publisher","key":"e_1_2_12_3_1","DOI":"10.1086\/503652"},{"doi-asserted-by":"publisher","key":"e_1_2_12_4_1","DOI":"10.1016\/S0927-538X(02)00093-8"},{"doi-asserted-by":"publisher","key":"e_1_2_12_5_1","DOI":"10.1007\/s10551-015-2964-y"},{"doi-asserted-by":"publisher","key":"e_1_2_12_6_1","DOI":"10.1007\/s10551-014-2294-5"},{"doi-asserted-by":"publisher","key":"e_1_2_12_7_1","DOI":"10.1093\/rfs\/5.3.503"},{"doi-asserted-by":"publisher","key":"e_1_2_12_8_1","DOI":"10.1016\/0014-2921(92)90120-L"},{"doi-asserted-by":"publisher","key":"e_1_2_12_9_1","DOI":"10.1007\/s10679-006-9008-5"},{"key":"e_1_2_12_10_1","first-page":"38","article-title":"Financial innovations and market efficiency: The case for single stock futures","volume":"15","author":"Ang J. S.","year":"2005","journal-title":"Journal of Applied Finance"},{"doi-asserted-by":"publisher","key":"e_1_2_12_11_1","DOI":"10.1016\/j.frl.2005.01.001"},{"doi-asserted-by":"publisher","key":"e_1_2_12_12_1","DOI":"10.1111\/1468-036X.00038"},{"doi-asserted-by":"publisher","key":"e_1_2_12_13_1","DOI":"10.1111\/j.1540-6288.1996.tb00887.x"},{"doi-asserted-by":"publisher","key":"e_1_2_12_14_1","DOI":"10.1002\/fut.21849"},{"doi-asserted-by":"publisher","key":"e_1_2_12_15_1","DOI":"10.1086\/376950"},{"doi-asserted-by":"crossref","unstructured":"Brugler J. Comerton\u2010Forde C. &Hendershott T. J.(2020).Does financial market structure impact the cost of raising capital?[Unpublished].https:\/\/ssrn.com\/abstract=3074097","key":"e_1_2_12_16_1","DOI":"10.1017\/S0022109020000381"},{"doi-asserted-by":"publisher","key":"e_1_2_12_17_1","DOI":"10.1093\/rfs\/hhn098"},{"key":"e_1_2_12_18_1","first-page":"43","article-title":"The impact of options delisting on the underlying stocks","volume":"10","author":"Chaudhury M.","year":"1997","journal-title":"Journal of Financial and Strategic Decisions"},{"doi-asserted-by":"publisher","key":"e_1_2_12_19_1","DOI":"10.1080\/00036840500462038"},{"doi-asserted-by":"publisher","key":"e_1_2_12_20_1","DOI":"10.1007\/s11156-009-0118-y"},{"doi-asserted-by":"publisher","key":"e_1_2_12_21_1","DOI":"10.1093\/rof\/rfs040"},{"doi-asserted-by":"publisher","key":"e_1_2_12_22_1","DOI":"10.1016\/j.jfi.2010.03.003"},{"doi-asserted-by":"crossref","unstructured":"Curran E. Hunt J. &Mollica V.(2020). Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures.Journal of Futures Markets 40 1793\u20131806.https:\/\/doi.org\/10.1002\/fut.22123","key":"e_1_2_12_23_1","DOI":"10.1002\/fut.22123"},{"doi-asserted-by":"publisher","key":"e_1_2_12_24_1","DOI":"10.1111\/j.1468-5957.2009.02159.x"},{"unstructured":"[dataset] National Stock Exchange of India January 1 2018\u2013December 31 2019 Trade Surveillance Alerts (Proprietary Data).\u00a0https:\/\/www.nseindia.com\/","key":"e_1_2_12_25_1"},{"unstructured":"[dataset] Refinitiv January 1 2018\u2013December 31 2019 Thomson Reuters Tick History NSE Single Stock Futures and Corresponding Stock Data.https:\/\/www.refinitiv.com\/en","key":"e_1_2_12_26_1"},{"doi-asserted-by":"crossref","unstructured":"Engle R. F. &Lange J.(1997).Measuring forecasting and explaining time varying liquidity in the stock market\u00a0(Technical Report). National Bureau of Economic Research.","key":"e_1_2_12_27_1","DOI":"10.3386\/w6129"},{"doi-asserted-by":"publisher","key":"e_1_2_12_28_1","DOI":"10.1002\/fut.20323"},{"doi-asserted-by":"publisher","key":"e_1_2_12_29_1","DOI":"10.1111\/fire.12147"},{"doi-asserted-by":"publisher","key":"e_1_2_12_30_1","DOI":"10.3905\/jpm.1992.409430"},{"doi-asserted-by":"publisher","key":"e_1_2_12_31_1","DOI":"10.1016\/0304-405X(85)90044-3"},{"doi-asserted-by":"publisher","key":"e_1_2_12_32_1","DOI":"10.1093\/rfs\/hhr011"},{"doi-asserted-by":"publisher","key":"e_1_2_12_33_1","DOI":"10.1080\/00036846.2015.1136401"},{"key":"e_1_2_12_34_1","first-page":"1485","article-title":"Futures manipulation with \u201ccash settlement\u201d","volume":"47","author":"Kumar P.","year":"1992","journal-title":"The Journal of Finance"},{"key":"e_1_2_12_35_1","first-page":"272","article-title":"A theory of futures market manipulations","volume":"1","author":"Kyle A. S.","year":"1984","journal-title":"Applied Economic Theory and Economics"},{"doi-asserted-by":"publisher","key":"e_1_2_12_36_1","DOI":"10.2307\/1913210"},{"doi-asserted-by":"publisher","key":"e_1_2_12_37_1","DOI":"10.1257\/aer.98.2.274"},{"doi-asserted-by":"publisher","key":"e_1_2_12_38_1","DOI":"10.1002\/(SICI)1096-9934(199902)19:1<59::AID-FUT3>3.0.CO;2-P"},{"doi-asserted-by":"publisher","key":"e_1_2_12_39_1","DOI":"10.1108\/eb025994"},{"key":"e_1_2_12_40_1","first-page":"24","article-title":"Attention must be paid","volume":"16","author":"Mahoney B.","year":"2000","journal-title":"Financial Executive"},{"doi-asserted-by":"publisher","key":"e_1_2_12_41_1","DOI":"10.1007\/s12197-008-9068-9"},{"doi-asserted-by":"publisher","key":"e_1_2_12_42_1","DOI":"10.1086\/209671"},{"key":"e_1_2_12_43_1","first-page":"8","article-title":"Liquidity effect of single stock futures on the underlying stocks: A case of NSE","author":"Sadath A.","year":"2009","journal-title":"IUP Journal of Applied Economics"},{"key":"e_1_2_12_44_1","first-page":"2301","article-title":"Liquidity effects of single stock futures","volume":"1","author":"Siddiqi M.","year":"2012","journal-title":"American Journal of Scientific Research"},{"doi-asserted-by":"crossref","unstructured":"Sobti N.(2019). Does ban on futures trading (de) stabilise spot volatility?South Asian Journal of Business Studies 1 1\u201315.","key":"e_1_2_12_45_1","DOI":"10.1108\/SAJBS-07-2018-0084"},{"doi-asserted-by":"publisher","key":"e_1_2_12_46_1","DOI":"10.2469\/faj.v43.n2.16"},{"doi-asserted-by":"publisher","key":"e_1_2_12_47_1","DOI":"10.1002\/fut.20410"},{"doi-asserted-by":"publisher","key":"e_1_2_12_48_1","DOI":"10.1016\/j.iref.2012.10.001"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22253","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22253","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22253","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T23:25:26Z","timestamp":1693005926000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22253"}},"issued":{"date-parts":[[2021,8,5]]},"references-count":47,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2021,11]]}},"alternative-id":["10.1002\/fut.22253"],"URL":"https:\/\/doi.org\/10.1002\/fut.22253","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,8,5]]},"assertion":[{"value":"2020-11-07","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-07-25","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:22:52Z","timestamp":1740104572629,"version":"3.37.3"},"reference-count":41,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2020,1,30]],"date-time":"2020-01-30T00:00:00Z","timestamp":1580342400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2020,6]]},"abstract":"Abstract<\/jats:title>This paper proposes an accelerated static replication approach for continuous European\u2010style barrier options by employing the repeated Richardson extrapolation technique with the Romberg sequence. This approach is developed under the constant elasticity of variance (CEV) model of Cox (1975) and Cox and Ross (1976) using the framework offered by Derman, Ergener, and Kani (1995; DEK)\u00a0and its modified method of Chung et al. (2010, 2013a, 2013b) and Tsai (2014). The numerical results indicate that our method could significantly reduce replication errors for European knock\u2010out call options and may be superior to the imposition of the theta\u2010matching condition on the DEK method.<\/jats:p>","DOI":"10.1002\/fut.22100","type":"journal-article","created":{"date-parts":[[2020,1,31]],"date-time":"2020-01-31T06:52:42Z","timestamp":1580453562000},"page":"974-988","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Repeated Richardson extrapolation and static hedging of barrier options under the CEV model"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1217-058X","authenticated-orcid":false,"given":"Jia\u2010Hau","family":"Guo","sequence":"first","affiliation":[{"name":"Department of Information Management and Finance, College of Management National Chiao Tung University Hsinchu Taiwan"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9184-6121","authenticated-orcid":false,"given":"Lung\u2010Fu","family":"Chang","sequence":"additional","affiliation":[{"name":"Department of Finance, College of Business National Taipei University of Business Taipei Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2020,1,30]]},"reference":[{"volume-title":"Handbook of mathematical functions","year":"1972","author":"Abramowitz M.","key":"e_1_2_8_2_1"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0096-3003(03)00621-0"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.05.017"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-9473(02)00283-9"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_7_1","first-page":"45","article-title":"Static simplicity","volume":"7","author":"Bowie J.","year":"1994","journal-title":"Risk Magazine"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676280"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.4.1211"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04412.x"},{"key":"e_1_2_8_11_1","first-page":"139","article-title":"Breaking barriers: Static hedging of barrier securities","volume":"10","author":"Carr P.","year":"1997","journal-title":"Risk Magazine"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00048"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-006-0012-6"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20272"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21765"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2007.02014.x"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.05.016"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20451"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2012.08.019"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2013.20.4.023"},{"volume-title":"Notes on option pricing I: Constant elasticity of variance diffusions","year":"1975","author":"Cox J.","key":"e_1_2_8_21_1"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90023-4"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21791"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.47.7.949.9804"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407927"},{"key":"e_1_2_8_26_1","doi-asserted-by":"crossref","unstructured":"Dias J. Nunes J. &Cruz A.(2019).A note on options and bubbles under the CEV model: Implications for pricing and hedging.Review of Derivatives Research. forthcoming.","DOI":"10.1007\/s11147-019-09164-x"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2014.971049"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330906"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.camwa.2010.08.025"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04921.x"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl005"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.49.9.1210.16571"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2013.765958"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009990329"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.05.003"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02578.x"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.07.019"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02165471"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02414.x"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2014.04.004"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11147-016-9122-2"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22100","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22100","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22100","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22100","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,6]],"date-time":"2023-09-06T22:32:02Z","timestamp":1694039522000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22100"}},"issued":{"date-parts":[[2020,1,30]]},"references-count":41,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2020,6]]}},"alternative-id":["10.1002\/fut.22100"],"URL":"https:\/\/doi.org\/10.1002\/fut.22100","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2020,1,30]]},"assertion":[{"value":"2019-11-25","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-13","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-30","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:21:39Z","timestamp":1740104499332,"version":"3.37.3"},"reference-count":39,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2021,4,19]],"date-time":"2021-04-19T00:00:00Z","timestamp":1618790400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,7]]},"abstract":"Abstract<\/jats:title>The constant elasticity of variance (CEV) model is widely used in modeling commodity futures prices, but it may not perform well in calibrating corresponding futures options. We consider two variations of the CEV model, that is, CEV with jumps and CEV with regime switching, and compare their performance in calibrating the Chinese futures options market. In particular, we propose a unified framework for pricing American futures options by combining the continuous\u2010time Markov chain approximation and the dynamic programming method. Results show that the inverse leverage effect in the soybean meal options market can be better described by the CEV regime\u2010switching model.<\/jats:p>","DOI":"10.1002\/fut.22206","type":"journal-article","created":{"date-parts":[[2021,4,20]],"date-time":"2021-04-20T01:44:52Z","timestamp":1618883092000},"page":"1074-1091","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Pricing and calibration of the futures options market: A unified approximation"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0548-0125","authenticated-orcid":false,"given":"Xiaotong","family":"Lian","sequence":"first","affiliation":[{"name":"Antai College of Economics and Management, Shanghai Jiao Tong University Shanghai China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2184-4697","authenticated-orcid":false,"given":"Yingda","family":"Song","sequence":"additional","affiliation":[{"name":"Antai College of Economics and Management, Shanghai Jiao Tong University Shanghai China"}]}],"member":"311","published-online":{"date-parts":[[2021,4,19]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_2_13_2_1","DOI":"10.1214\/07-AOS568"},{"doi-asserted-by":"publisher","key":"e_1_2_13_3_1","DOI":"10.3905\/jod.2010.17.4.025"},{"unstructured":"Black F.(1976). Studies of stock price volatility changes. In\u00a0Proceedings of the Business and Economics Section of the American Statistical Association\u00a0(pp.177\u2013181). American Statistical Association Alexandria VA.","key":"e_1_2_13_4_1"},{"doi-asserted-by":"publisher","key":"e_1_2_13_5_1","DOI":"10.3905\/jod.1998.408011"},{"doi-asserted-by":"publisher","key":"e_1_2_13_6_1","DOI":"10.1103\/PhysRevLett.87.228701"},{"doi-asserted-by":"publisher","key":"e_1_2_13_7_1","DOI":"10.1016\/j.insmatheco.2006.05.001"},{"doi-asserted-by":"publisher","key":"e_1_2_13_8_1","DOI":"10.1093\/rfs\/9.4.1211"},{"doi-asserted-by":"crossref","unstructured":"Cai N. Kou S. &Song Y.(2019). A unified framework for computing regime\u2010switching models. Available at SSRN 3310365.https:\/\/doi.org\/10.2139\/ssrn.3310365","key":"e_1_2_13_9_1","DOI":"10.2139\/ssrn.3310365"},{"doi-asserted-by":"publisher","key":"e_1_2_13_10_1","DOI":"10.1515\/jem-2012-0001"},{"doi-asserted-by":"publisher","key":"e_1_2_13_11_1","DOI":"10.11118\/actaun201765051671"},{"unstructured":"China Foreign Exchange Trade System & National Interbank Funding Center.\u00a0(2019).Shanghai interbank offered rate.www.shibor.org","key":"e_1_2_13_12_1"},{"doi-asserted-by":"publisher","key":"e_1_2_13_13_1","DOI":"10.1111\/j.1468-0262.2007.00809.x"},{"unstructured":"Cox J.(1975).Notes on option pricing I: Constant elasticity of variance diffusions\u00a0(Unpublished note).\u00a0Stanford University Graduate School of Business.","key":"e_1_2_13_14_1"},{"doi-asserted-by":"publisher","key":"e_1_2_13_15_1","DOI":"10.1287\/mnsc.48.7.917.2815"},{"doi-asserted-by":"publisher","key":"e_1_2_13_16_1","DOI":"10.1002\/fut.20468"},{"doi-asserted-by":"publisher","key":"e_1_2_13_17_1","DOI":"10.1239\/aap\/1435236980"},{"volume-title":"Commodities and commodity derivatives: Modeling and pricing for agriculturals, metals and energy","year":"2009","author":"Geman H.","key":"e_1_2_13_18_1"},{"doi-asserted-by":"publisher","key":"e_1_2_13_19_1","DOI":"10.3905\/JAI.2009.11.3.065"},{"volume-title":"Monte Carlo methods in financial engineering","year":"2013","author":"Glasserman P.","key":"e_1_2_13_20_1"},{"doi-asserted-by":"publisher","key":"e_1_2_13_21_1","DOI":"10.2307\/1912559"},{"doi-asserted-by":"publisher","key":"e_1_2_13_22_1","DOI":"10.1093\/rfs\/6.2.327"},{"volume-title":"Options, futures, and other derivatives","year":"2014","author":"Hull J. C.","key":"e_1_2_13_23_1"},{"doi-asserted-by":"publisher","key":"e_1_2_13_24_1","DOI":"10.1287\/mnsc.48.8.1086.166"},{"doi-asserted-by":"publisher","key":"e_1_2_13_25_1","DOI":"10.1016\/j.eneco.2014.06.009"},{"unstructured":"Lamberton D.(2009).Optimal stopping and American options.Ljubljana Summer School on Financial Mathematics(pp.1\u201043).http:\/\/citeseerx.ist.psu.edu\/viewdoc\/download?doi=10.1.1.571.3408&rep=rep1&type=pdf","key":"e_1_2_13_26_1"},{"doi-asserted-by":"publisher","key":"e_1_2_13_27_1","DOI":"10.1111\/agec.12366"},{"doi-asserted-by":"publisher","key":"e_1_2_13_28_1","DOI":"10.1093\/rfs\/14.1.113"},{"doi-asserted-by":"publisher","key":"e_1_2_13_29_1","DOI":"10.1111\/j.1467-9965.2006.00286.x"},{"doi-asserted-by":"publisher","key":"e_1_2_13_30_1","DOI":"10.1016\/0304-405X(76)90022-2"},{"issue":"1","key":"e_1_2_13_31_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.1467-9965.2011.00486.x","article-title":"Continuously monitored barrier options under Markov processes","volume":"23","author":"Mijatovi\u0107 A.","year":"2013","journal-title":"Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics"},{"doi-asserted-by":"publisher","key":"e_1_2_13_32_1","DOI":"10.1214\/aoap\/1177005768"},{"doi-asserted-by":"publisher","key":"e_1_2_13_33_1","DOI":"10.1093\/rfs\/3.3.393"},{"doi-asserted-by":"publisher","key":"e_1_2_13_34_1","DOI":"10.1016\/j.eneco.2011.10.001"},{"doi-asserted-by":"publisher","key":"e_1_2_13_35_1","DOI":"10.21314\/JCF.2010.222"},{"unstructured":"Wind Data Service. (2019).Soybean meal futures options data.www.wind.com.cn","key":"e_1_2_13_36_1"},{"doi-asserted-by":"publisher","key":"e_1_2_13_37_1","DOI":"10.1007\/0-387-33815-2_14"},{"doi-asserted-by":"publisher","key":"e_1_2_13_38_1","DOI":"10.1016\/j.jeconom.2004.08.002"},{"doi-asserted-by":"publisher","key":"e_1_2_13_39_1","DOI":"10.1137\/S0036139903426083"},{"doi-asserted-by":"publisher","key":"e_1_2_13_40_1","DOI":"10.1080\/14697680903193405"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22206","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22206","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22206","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T18:15:17Z","timestamp":1693419317000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22206"}},"issued":{"date-parts":[[2021,4,19]]},"references-count":39,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2021,7]]}},"alternative-id":["10.1002\/fut.22206"],"URL":"https:\/\/doi.org\/10.1002\/fut.22206","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,4,19]]},"assertion":[{"value":"2020-04-17","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-03-18","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-04-19","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,6,12]],"date-time":"2025-06-12T14:46:54Z","timestamp":1749739614018,"version":"3.37.3"},"reference-count":20,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2016,11,9]],"date-time":"2016-11-09T00:00:00Z","timestamp":1478649600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,6]]},"abstract":"Abstract<\/jats:title>There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option\u2010implied default probability. We introduce a simple method to detect stocks with positive expected equity recovery by examining option prices and propose a method to extract the default probability from option prices that allows for positive equity recovery. We demonstrate possible applications of our methodology with examples that include financial institutions in the United States during the 2007\u201309 subprime crisis. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:599\u2013613, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21823","type":"journal-article","created":{"date-parts":[[2016,11,10]],"date-time":"2016-11-10T04:41:12Z","timestamp":1478752872000},"page":"599-613","source":"Crossref","is-referenced-by-count":6,"title":["Equity Option Implied Probability of Default and Equity Recovery Rate"],"prefix":"10.1002","volume":"37","author":[{"given":"Bo Young","family":"Chang","sequence":"first","affiliation":[{"name":"Bo Young Chang is at the Bank of Canada, 234 Laurie Ave. West Ottawa, Ontario Canada"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2623-8116","authenticated-orcid":false,"given":"Greg","family":"Orosi","sequence":"additional","affiliation":[{"name":"Greg Orosi is the Associate Professor at Department of Mathematics and Statistics, American University of Sharjah Sharjah UAE"}]}],"member":"311","published-online":{"date-parts":[[2016,11,9]]},"reference":[{"key":"e_1_2_9_2_1","first-page":"493","volume":"21","author":"Bayraktar E.","year":"2011","journal-title":"A unified framework for pricing credit and equity derivatives. Mathematical Finance"},{"key":"e_1_2_9_3_1","first-page":"621","volume":"51","author":"Breeden D.","year":"1978","journal-title":"Price of state\u2010contingent claims implicit in options prices. Journal of Business"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01238.x"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-006-0012-6"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1137\/090750731"},{"key":"e_1_2_9_7_1","first-page":"1","article-title":"Stock options and credit default swaps:\nAjoint framework for valuation and estimation","volume":"8","author":"Carr P.","year":"2009","journal-title":"Journal of Financial Econometrics"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq129"},{"key":"e_1_2_9_9_1","unstructured":"Davydenko S. A. (2012).When do firms default? A study of the default boundary. Working paper University of Toronto."},{"key":"e_1_2_9_10_1","doi-asserted-by":"crossref","unstructured":"De Marco S. Hillairet C. &Jacquier A.(2013).Shapes of implied volatility with positive mass at zero. Working paper Ecole Polytechnique Paris.","DOI":"10.2139\/ssrn.2335445"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.4.1057"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/hhl047"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02452.x"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb02714.x"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2006.00271.x"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1057\/jdhf.2014.19"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1057\/jam.2015.1"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2015.23.1.041"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2014.22.2.008"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21823","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21823","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21823","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T07:48:01Z","timestamp":1694677681000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21823"}},"issued":{"date-parts":[[2016,11,9]]},"references-count":20,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2017,6]]}},"alternative-id":["10.1002\/fut.21823"],"URL":"https:\/\/doi.org\/10.1002\/fut.21823","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2016,11,9]]}},{"indexed":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T08:12:44Z","timestamp":1760256764833,"version":"build-2065373602"},"reference-count":0,"publisher":"Wiley","issue":"11","license":[{"start":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T00:00:00Z","timestamp":1760227200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,11]]},"DOI":"10.1002\/fut.22527","type":"journal-article","created":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T07:33:55Z","timestamp":1760254435000},"page":"1869-1870","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Journal of Futures Markets: Volume 45, Number 11, November 2025"],"prefix":"10.1002","volume":"45","member":"311","published-online":{"date-parts":[[2025,10,12]]},"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22527","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T07:34:01Z","timestamp":1760254441000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22527"}},"issued":{"date-parts":[[2025,10,12]]},"references-count":0,"journal-issue":{"issue":"11","published-print":{"date-parts":[[2025,11]]}},"alternative-id":["10.1002\/fut.22527"],"URL":"https:\/\/doi.org\/10.1002\/fut.22527","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2025,10,12]]},"assertion":[{"value":"2025-10-12","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,8]],"date-time":"2026-02-08T08:18:20Z","timestamp":1770538700513,"version":"3.49.0"},"reference-count":33,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2020,12,28]],"date-time":"2020-12-28T00:00:00Z","timestamp":1609113600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71871060"],"award-info":[{"award-number":["71871060"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72071046"],"award-info":[{"award-number":["72071046"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,4]]},"abstract":"Abstract<\/jats:title>This paper proposes a simple but rich framework to directly price volatility index (VIX) futures by applying the heterogeneous autoregressive structure and asymmetric jumps to the logarithm of the VIX. Compared with other discrete\u2010time models, our model imposes fewer parameter constraints. The analytical solution is also free from time\u2010consuming and sometimes unstable numerical integration. Empirical results suggest that our model can significantly reduce pricing errors compared with existing models using realized variance, both in\u2010 and out\u2010of\u2010sample. The improvement indicates that besides looking for a better measure of current volatility, it is also important to utilize information embedded in the VIX itself.<\/jats:p>","DOI":"10.1002\/fut.22183","type":"journal-article","created":{"date-parts":[[2020,12,28]],"date-time":"2020-12-28T23:21:05Z","timestamp":1609197665000},"page":"458-477","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":18,"title":["A short cut: Directly pricing VIX futures with discrete\u2010time long memory model and asymmetric jumps"],"prefix":"10.1002","volume":"41","author":[{"given":"Fangsheng","family":"Yin","sequence":"first","affiliation":[{"name":"School of Banking and Finance University of International Business and Economics Beijing China"}]},{"given":"Yang","family":"Bian","sequence":"additional","affiliation":[{"name":"School of Banking and Finance University of International Business and Economics Beijing China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3073-5908","authenticated-orcid":false,"given":"Tianyi","family":"Wang","sequence":"additional","affiliation":[{"name":"School of Banking and Finance University of International Business and Economics Beijing China"}]}],"member":"311","published-online":{"date-parts":[[2020,12,28]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000428"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht033"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.08.015"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00099.x"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1038543"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1234"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.3.585"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21955"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21821"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.48.8.1086.166"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1030.0163"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20291"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22037"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.036"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.12.003"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.11.009"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.01.001"},{"key":"e_1_2_9_23_1","unstructured":"RV of the S&P 500 index.\u00a0The realized library of the Oxford\u2010Man Institute; 2008\u20132017.https:\/\/realized.oxford-man.ox.ac.uk"},{"key":"e_1_2_9_24_1","first-page":"84","article-title":"VIX option pricing in a jump\u2010diffusion model","author":"Sepp A.","year":"2008","journal-title":"Risk Magazine"},{"key":"e_1_2_9_25_1","unstructured":"S&P 500 index close price.\u00a0Yahoo finance; 2008\u20132017.https:\/\/finance.yahoo.com\/quote\/%5EGSPC\/history"},{"key":"e_1_2_9_26_1","unstructured":"VIX.\u00a0CBOE website; 2008\u20132017.http:\/\/www.cboe.com\/products\/vix-index-volatility\/vix-options-and-futures\/vix-index\/vix-historical-data"},{"key":"e_1_2_9_27_1","unstructured":"VIX futures.\u00a0CBOE website; 2008\u20132017.https:\/\/markets.cboe.com\/us\/futures\/market_statistics\/historical_data"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2020.105845"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21820"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21929"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1159318"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20448"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20209"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20512"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22183","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22183","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22183","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T18:01:00Z","timestamp":1693591260000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22183"}},"issued":{"date-parts":[[2020,12,28]]},"references-count":33,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2021,4]]}},"alternative-id":["10.1002\/fut.22183"],"URL":"https:\/\/doi.org\/10.1002\/fut.22183","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2020,12,28]]},"assertion":[{"value":"2020-09-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-12-03","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-12-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,9]],"date-time":"2026-02-09T06:18:35Z","timestamp":1770617915611,"version":"3.49.0"},"reference-count":34,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2001,11,8]],"date-time":"2001-11-08T00:00:00Z","timestamp":1005177600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,1]]},"abstract":"Abstract<\/jats:title>Despite the importance of the London markets and the significance of the relationship for market makers,\nlittle published research is available on arbitrage between the FTSE\u2010100 Index futures and the\nFTSE\u2010100 European index options contracts. This study uses the put\u2013call\u2013futures parity\ncondition to throw light on the relationship between options and futures written against the FTSE Index. The\narbitrage methodology adopted in this study avoids many of the problems that have affected prior research on the\nrelationship between options or futures prices and the underlying index. The problems that arise from\nnonsynchroneity between options and futures prices are reduced by the matching of options and futures prices\nwithin narrow time intervals with time\u2010stamped transaction data. This study allows for realistic trading\nand market\u2010impact costs. The feasibility of strategies such as execute\u2010and\u2010hold and early\nunwinding is examined with both ex\u2010post and ex\u2010ante simulation tests that take into consideration\npossible execution time lags for the arbitrage trade. This study reveals that the occurrence of matched\nput\u2013call\u2013futures trios exhibits a U\u2010shaped intraday pattern with a concentration at both open\nand close, although the magnitude of observed mispricings has no discernible intraday pattern. Ex\u2010post\narbitrage profits for traders facing transaction costs are concentrated in at\u2010the\u2010money options.\nAs in other major markets, despite important microstructure differences, opportunities are generally rapidly\nextinguished in less than 3 min. The results suggest that arbitrage opportunities for traders facing transaction\ncosts are small in number and confirm the efficiency of trading on the London International Financial Futures\nand Options Exchange. \u00a9 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:31\u201358, 2002<\/jats:p>","DOI":"10.1002\/fut.2206","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T16:24:03Z","timestamp":1030292643000},"page":"31-58","source":"Crossref","is-referenced-by-count":20,"title":["A Study of Arbitrage Efficiency Between the FTSE\u2010100 Index Futures and Options Contracts"],"prefix":"10.1002","volume":"22","author":[{"given":"Paul","family":"Draper","sequence":"first","affiliation":[]},{"given":"Joseph K. W.","family":"Fung","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,11,8]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407980"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(98)00054-5"},{"key":"e_1_2_1_4_1","volume-title":"High frequency market data: Sources,\napplications and market microstructure","author":"ap Gwilym O.","year":"1999"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100405"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90024-6"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/296491"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90063-9"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v46.n2.14"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150706"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1998.tb00697.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04644.x"},{"key":"e_1_2_1_13_1","unstructured":"Chung Y. P. Kang J. K. &Rhee S. G.(1996).Index\u2013futures arbitrage in Japan(Working Paper). University of California and University of Rhode Island."},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v40.n4.43"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1988.409134"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140807"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<797::AID-FUT4>3.0.CO;2-I"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","first-page":"695","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<695::AID-FUT4>3.0.CO;2-H","article-title":"Index arbitrage opportunities and\nshort sales constraints","volume":"10","author":"Fung J. K. W.","year":"1999","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407990"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Fung J. K. W. &Fung A. K. W.(1997b).A study of the futures\u2013spot relationship of an exchange\u2010traded Asian index futures contracts: A note(Working Paper). School of Business Hong Kong Baptist University.","DOI":"10.3905\/jod.1997.407990"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990070308"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110304"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130806"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120204"},{"key":"e_1_2_1_26_1","unstructured":"Liouliou A.(1995).Does arbitrage between index futures and index options hold? An empirical analysis. Unpublished master's dissertation University of Southampton Southampton England."},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090203"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030103"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130606"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140107"},{"key":"e_1_2_1_32_1","volume-title":"Stock index futures: Theories and international evidence","author":"Sutcliffe C. M. S.","year":"1997"},{"key":"e_1_2_1_33_1","volume-title":"Financial futures, options, and swaps","author":"Tucker A. L.","year":"1991"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100603"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00026-3"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2206","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2206","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,18]],"date-time":"2023-11-18T12:52:28Z","timestamp":1700311948000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2206"}},"issued":{"date-parts":[[2001,11,8]]},"references-count":34,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2002,1]]}},"alternative-id":["10.1002\/fut.2206"],"URL":"https:\/\/doi.org\/10.1002\/fut.2206","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,11,8]]}},{"indexed":{"date-parts":[[2026,2,2]],"date-time":"2026-02-02T19:32:30Z","timestamp":1770060750717,"version":"3.49.0"},"reference-count":33,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2023,9,11]],"date-time":"2023-09-11T00:00:00Z","timestamp":1694390400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2023,12]]},"abstract":"Abstract<\/jats:title>This study investigates the time\u2010varying connectedness between subsectoral clean\u2010energy stocks and fossil fuel energy commodities (crude oil, natural gas, and coal) over the period of December 2013\u2013January 2023 employing the Diebold and Yilmaz\u00a0approach and the dynamic conditional correlation\u00a0generalized autoregressive conditional heteroscedasticity model. According to the findings, oil transmits the highest volatility spillover shocks to biofuels, and the least to the fuel cell industry. Both natural gas and coal transmit the highest volatility spillover shocks to energy storage, and the least to geothermal and green information technology, respectively. The study also finds strong and time\u2010varying volatility connectedness among clean\u2010energy assets and fossil fuels, significantly affected by global extreme events, such as the COVID\u201019 pandemic and the Russia\u2013Ukraine conflict. Additionally, the study provides time\u2010varying and mean optimal hedge ratios with optimal portfolio weights for investors. The empirical results are robust, and important portfolio and policy implications based on empirical findings are provided.<\/jats:p>","DOI":"10.1002\/fut.22454","type":"journal-article","created":{"date-parts":[[2023,9,11]],"date-time":"2023-09-11T11:09:49Z","timestamp":1694430589000},"page":"1727-1749","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":16,"title":["Dynamic correlations and volatility spillovers between subsectoral clean\u2010energy stocks and commodity futures markets: A hedging perspective"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-4277-2220","authenticated-orcid":false,"given":"Merve","family":"Coskun","sequence":"first","affiliation":[{"name":"Department of Banking and Finance Eastern Mediterranean University Famagusta Turkey"}]}],"member":"311","published-online":{"date-parts":[[2023,9,11]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2017.07.140"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2011.03.012"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.renene.2020.08.162"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.2008.02208.x"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.02.006"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2016.06.020"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2023.106565"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.3390\/su12239863"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2648"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.rser.2021.111429"},{"key":"e_1_2_11_13_1","unstructured":"IEA. (2022 June 1).Record clean energy spending is set to help global energy investment grow by 8% in 2022\u2014News\u2014IEA.https:\/\/www.iea.org\/news\/record-clean-energy-spending-is-set-to-help-global-energy-investment-grow-by-8-in-2022"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01753-4"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331164"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.03.002"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2018.04.015"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2020.121015"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(97)00214-0"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2019.04.010"},{"key":"e_1_2_11_22_1","unstructured":"Ranalder L. Busch H. Hansen T. Brommer M. Couture T. Gibb D. Guerra F. Nana J. Reddy Y. Sawin J. Seyboth K. &Sverrisson F.(2021 March 18).Renewables in cities 2021 global status report. Lund University.https:\/\/portal.research.lu.se\/en\/publications\/renewables-in-cities-2021-global-status-report"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.12.009"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.03.006"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2010.06.064"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11356-022-23020-w"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912017"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2018.12.032"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2021.122702"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102966"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2013.10.018"},{"key":"e_1_2_11_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jclepro.2019.118338"},{"key":"e_1_2_11_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.resourpol.2022.102939"},{"key":"e_1_2_11_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.energy.2020.117099"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22454","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,3]],"date-time":"2023-11-03T09:42:05Z","timestamp":1699004525000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22454"}},"issued":{"date-parts":[[2023,9,11]]},"references-count":33,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2023,12]]}},"alternative-id":["10.1002\/fut.22454"],"URL":"https:\/\/doi.org\/10.1002\/fut.22454","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2023,9,11]]},"assertion":[{"value":"2023-06-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-07-25","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-09-11","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,3]],"date-time":"2026-02-03T19:16:09Z","timestamp":1770146169181,"version":"3.49.0"},"reference-count":34,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5691,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,2]]},"DOI":"10.1002\/(sici)1096-9934(200002)20:2<105::aid-fut1>3.0.co;2-q","type":"journal-article","created":{"date-parts":[[2004,11,14]],"date-time":"2004-11-14T05:42:49Z","timestamp":1100410969000},"page":"105-125","source":"Crossref","is-referenced-by-count":37,"title":["Market volatility and the demand for hedging in stock index futures"],"prefix":"10.1002","volume":"20","author":[{"given":"Eric","family":"Chang","sequence":"first","affiliation":[]},{"given":"Ray Y.","family":"Chou","sequence":"additional","affiliation":[]},{"given":"Edward F.","family":"Nelling","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB1","doi-asserted-by":"crossref","first-page":"2015","DOI":"10.1111\/j.1540-6261.1992.tb04695.x","volume":"47","author":"Bessembinder","year":"1992","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB2","doi-asserted-by":"crossref","first-page":"2015","DOI":"10.2307\/2331149","volume":"28","author":"Bessembinder","year":"1993","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB3","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB4","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/0304-4076(92)90064-X","volume":"52","author":"Bollerslev","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB5","doi-asserted-by":"crossref","first-page":"797","DOI":"10.1016\/S0378-4266(97)00007-1","volume":"21","author":"Chang","year":"1997","journal-title":"Journal of Banking and Finance"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB6","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1111\/j.1540-6261.1995.tb05174.x","volume":"50","author":"Chen","year":"1995","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB7","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1002\/jae.3950030404","volume":"3","author":"Chou","year":"1988","journal-title":"Journal of Applied Econometrics"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB8","doi-asserted-by":"crossref","first-page":"135","DOI":"10.2307\/1913889","volume":"41","author":"Clark","year":"1973","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB9","doi-asserted-by":"crossref","first-page":"303","DOI":"10.1002\/fut.3990010303","volume":"1","author":"Cornell","year":"1981","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB10","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","volume":"50","author":"Engle","year":"1982","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB11","doi-asserted-by":"crossref","first-page":"305","DOI":"10.2307\/1912726","volume":"44","author":"Epps","year":"1976","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB12","doi-asserted-by":"crossref","first-page":"445","DOI":"10.1111\/j.1540-6261.1981.tb00461.x","volume":"36","author":"Figlewski","year":"1981","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB13","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(87)90026-2","volume":"19","author":"French","year":"1987","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB14","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.3990060102","volume":"6","author":"Garcia","year":"1986","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB15","doi-asserted-by":"crossref","first-page":"1779","DOI":"10.1111\/j.1540-6261.1993.tb05128.x","volume":"48","author":"Glosten","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB16","doi-asserted-by":"crossref","first-page":"319","DOI":"10.1086\/296330","volume":"59","author":"Grammatikos","year":"1986","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB17","doi-asserted-by":"crossref","first-page":"275","DOI":"10.1086\/296433","volume":"61","author":"Grossman","year":"1988","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB18","doi-asserted-by":"crossref","first-page":"s147","DOI":"10.1086\/296343","volume":"59","author":"Hartzmark","year":"1986","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB19","doi-asserted-by":"crossref","first-page":"109","DOI":"10.2307\/2330874","volume":"22","author":"Karpoff","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB20","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1002\/fut.3990070302","volume":"7","author":"Martell","year":"1987","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB21","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB22","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1086\/296071","volume":"53","author":"Parkinson","year":"1980","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB23","first-page":"139","volume-title":"Research on speculation","author":"Peck","year":"1981","unstructured":"(1981). Measures and price effects of changes in speculation on the wheat, corn, and soybean futures markets. In Research on speculation (pp. 139-149). Chicago: Chicago Board of Trade."},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB24","first-page":"1142","volume":"76","author":"Poterba","year":"1986","journal-title":"American Economic Review"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB25","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1093\/rfs\/3.1.77","volume":"3","author":"Schwert","year":"1990","journal-title":"Review of Financial Studies"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB26","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1111\/j.1475-6803.1985.tb00404.x","volume":"8","author":"Smirlock","year":"1985","journal-title":"Journal of Financial Research"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB27","doi-asserted-by":"crossref","first-page":"705","DOI":"10.1002\/fut.3990120609","volume":"12","author":"Streeter","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB28","doi-asserted-by":"crossref","first-page":"485","DOI":"10.2307\/1912002","volume":"51","author":"Tauchen","year":"1983","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB29","volume-title":"The commodity futures game: Who wins? Who loses? Why?","author":"Teweles","year":"1974","unstructured":"& (1974). The commodity futures game: Who wins? Who loses? Why? New York: McGraw-Hill."},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB30","doi-asserted-by":"crossref","first-page":"150","DOI":"10.2307\/1239357","volume":"56","author":"Ward","year":"1974","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB31","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/1912934","volume":"48","author":"White","year":"1980","journal-title":"Econometrica"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB32","volume-title":"Asymptotic theory for econometricians","author":"White","year":"1984","unstructured":"(1984). Asymptotic theory for econometricians. Orlando, FL: Academic Press."},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB33","doi-asserted-by":"crossref","first-page":"515","DOI":"10.1111\/j.1540-6261.1994.tb05150.x","volume":"49","author":"Whitelaw","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q-BIB34","doi-asserted-by":"crossref","first-page":"417","DOI":"10.1086\/296544","volume":"64","author":"Wiggins","year":"1991","journal-title":"Journal of Business"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200002)20:2%3C105::AID-FUT1%3E3.0.CO;2-Q","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(200002)20:2%3C105::AID-FUT1%3E3.0.CO;2-Q","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:35:56Z","timestamp":1625135756000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q"}},"issued":{"date-parts":[[2000,2]]},"references-count":34,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2000,2]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200002)20:2<105::aid-fut1>3.0.co;2-q","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,2]]}},{"indexed":{"date-parts":[[2026,2,12]],"date-time":"2026-02-12T15:34:23Z","timestamp":1770910463051,"version":"3.50.1"},"reference-count":66,"publisher":"Wiley","license":[{"start":{"date-parts":[[2026,2,12]],"date-time":"2026-02-12T00:00:00Z","timestamp":1770854400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2026,2,12]],"date-time":"2026-02-12T00:00:00Z","timestamp":1770854400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"abstract":"ABSTRACT<\/jats:title>\n This study analyzes downside risk and nonlinear dependence in agricultural commodity futures using a hybrid framework that integrates Self\u2010Organizing Maps (SOMs) with Copula\u2010based dependence modeling. Agricultural returns exhibit asymmetric behavior, making linear correlation inadequate for risk assessment. The SOM identifies distinct market regimes based on return dynamics and volatility structure, while Student\u2010 and Clayton copulas quantify symmetric and lower\u2010tail dependence within each regime. Results show a clear escalation of dependence from tranquil to crisis states, with tail\u2010dependence coefficients rising monotonically across SOM clusters. The Student\u2010 copula captures symmetric co\u2010movements in extreme returns, whereas the Clayton copula highlights strong joint downside risk during high\u2010volatility phases. These patterns confirm that diversification benefits across agricultural commodities weaken substantially under stress. The proposed SOM\u2013Copula hybrid framework provides a regime\u2010sensitive approach to modeling tail interdependence in commodity markets.<\/jats:p>","DOI":"10.1002\/fut.70088","type":"journal-article","created":{"date-parts":[[2026,2,12]],"date-time":"2026-02-12T14:45:29Z","timestamp":1770907529000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Downside Risk and Agriculture Commodity Futures Returns: A Study Using Self\u2010Organizing Maps"],"prefix":"10.1002","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3453-2526","authenticated-orcid":false,"given":"Santanu","family":"Das","sequence":"first","affiliation":[{"name":"Indian Institute of Forest Management Bhopal India"}]}],"member":"311","published-online":{"date-parts":[[2026,2,12]]},"reference":[{"issue":"3","key":"e_1_2_13_2_1","doi-asserted-by":"crossref","first-page":"443","DOI":"10.1016\/S0304-405X(02)00068-5","article-title":"Asymmetric Correlations of Equity Portfolios","volume":"63","author":"Ang A.","year":"2002","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"e_1_2_13_3_1","doi-asserted-by":"crossref","first-page":"1191","DOI":"10.1093\/rfs\/hhj035","article-title":"Downside Risk","volume":"19","author":"Ang A.","year":"2006","journal-title":"Review of Financial Studies"},{"issue":"4","key":"e_1_2_13_4_1","first-page":"513","article-title":"Gold and Agricultural Commodities as Safe Havens Against Stock Market Volatility","volume":"21","author":"Baur D. G.","year":"2011","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"issue":"2","key":"e_1_2_13_5_1","doi-asserted-by":"crossref","first-page":"189","DOI":"10.1016\/0304-405X(77)90017-4","article-title":"Capital Market Equilibrium in a Mean\u2010Lower Partial Moment Framework","volume":"5","author":"Bawa V. S.","year":"1977","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_13_6_1","doi-asserted-by":"crossref","unstructured":"Bishop C. M. M.Svens\u00e9n andC. K. I.Williams.1998.GTM: The Generative Topographic Mapping.https:\/\/pca.narod.ru\/SvensenThesis.pdf.","DOI":"10.1162\/089976698300017953"},{"issue":"4","key":"e_1_2_13_7_1","first-page":"1403","article-title":"Commodity Prices and the Heterogeneity of Macroeconomic Fundamentals in Emerging Market Economies","volume":"28","author":"Blancard S.","year":"2011","journal-title":"Economic Modelling"},{"key":"e_1_2_13_8_1","first-page":"311","article-title":"Does Index Trading Disrupt Commodity Futures Markets?","volume":"33","author":"Bohl M. T.","year":"2013","journal-title":"Journal of International Money and Finance"},{"key":"e_1_2_13_9_1","article-title":"Subsample Analysis of Stock Market\u2013Cryptocurrency Returns Tail Dependence: A Copula Approach for the Tails","volume":"58","author":"Boukef Jlassi N.","year":"2023","journal-title":"Finance Letters"},{"issue":"4","key":"e_1_2_13_10_1","first-page":"385","article-title":"Modelling Asymmetries and Fat Tails in Energy Price Volatility","volume":"28","author":"Brooks C.","year":"2006","journal-title":"Energy Economics"},{"issue":"6","key":"e_1_2_13_11_1","first-page":"1545","article-title":"Speculators, Prices, and Market Volatility","volume":"46","author":"Brunetti C.","year":"2011","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_13_12_1","unstructured":"Campolieti M. R.Makarov andA.Vasiliev.2011. \u201cMulti\u2010Asset Derivative Pricing With Copulas.\u201darXiv preprint arXiv:1110.4669."},{"key":"e_1_2_13_13_1","first-page":"203","volume-title":"Computational Intelligence in Economics and Finance","author":"Chen S.\u2010H.","year":"2003"},{"key":"e_1_2_13_14_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.iref.2024.103579","article-title":"Price Spillovers and Interdependences in China's Agricultural Commodity Futures Market: Evidence From the US\u2010China Trade Dispute","volume":"96","author":"Chen X.","year":"2024","journal-title":"International Review of Economics & Finance"},{"key":"e_1_2_13_15_1","doi-asserted-by":"crossref","unstructured":"Cheng I.\u2010H. andW.Xiong.2014. \u201cThe Financialization of Commodity Markets: A Reappraisal.\u201d NBER Working Paper no. 19602.","DOI":"10.3386\/w19642"},{"key":"e_1_2_13_16_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.ribaf.2023.102077","article-title":"Estimating Historical Downside Risks of Global Financial Market Indices via Inflation Rate\u2010Adjusted Dependence Graphs","volume":"66","author":"Choi I.","year":"2023","journal-title":"Research in International Business and Finance"},{"issue":"2","key":"e_1_2_13_17_1","first-page":"1","article-title":"Tail Dependence in Financial Markets: A Dynamic Copula Approach","volume":"7","author":"Cortese F.","year":"2019","journal-title":"Risks"},{"issue":"7","key":"e_1_2_13_18_1","doi-asserted-by":"crossref","first-page":"2774","DOI":"10.1093\/rfs\/hhy049","article-title":"Learning From History: Volatility and Financial Crises","volume":"31","author":"Danielsson J.","year":"2018","journal-title":"Review of Financial Studies"},{"key":"e_1_2_13_19_1","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4471-3913-3","volume-title":"Visual Explorations in Finance: With Self\u2010Organizing Maps","author":"Deboeck G.","year":"1998"},{"issue":"2","key":"e_1_2_13_20_1","first-page":"210","article-title":"The t Copula and Related Copulas","volume":"99","author":"Demarta S.","year":"2005","journal-title":"Journal of Multivariate Analysis"},{"issue":"1","key":"e_1_2_13_21_1","doi-asserted-by":"crossref","first-page":"114","DOI":"10.3390\/math8010114","article-title":"Value at Risk Estimation Using the GARCH\u2010EVT Approach With Optimal Tail Selection","volume":"8","author":"Echaust K.","year":"2020","journal-title":"Mathematics"},{"key":"e_1_2_13_22_1","first-page":"329","volume-title":"Handbook of Heavy Tailed Distributions in Finance","author":"Embrechts P.","year":"2001"},{"issue":"2","key":"e_1_2_13_23_1","doi-asserted-by":"crossref","first-page":"425","DOI":"10.1111\/j.1540-6261.1996.tb02690.x","article-title":"Measuring Fund Strategy and Performance in Changing Economic Conditions","volume":"51","author":"Ferson W. E.","year":"1996","journal-title":"Journal of Finance"},{"issue":"1","key":"e_1_2_13_24_1","first-page":"25","article-title":"Estimating Tail Value\u2010at\u2010Risk for Bivariate Portfolio Using Gumbel Copula","volume":"6","author":"Fransiska F.","year":"2024","journal-title":"Jurnal Teknologi dan Aplikasi Matematika (JTAM)"},{"issue":"2","key":"e_1_2_13_25_1","doi-asserted-by":"crossref","first-page":"398","DOI":"10.1111\/j.1477-9552.2010.00248.x","article-title":"How to Understand High Food Prices","volume":"61","author":"Gilbert C. L.","year":"2010","journal-title":"Journal of Agricultural Economics"},{"issue":"4","key":"e_1_2_13_26_1","first-page":"826","article-title":"Time\u2010Varying Dependence and Currency Tail Risk During the Covid\u201019 Pandemic","volume":"40","author":"Gobbi F.","year":"2023","journal-title":"Studies in Economics and Finance"},{"issue":"2","key":"e_1_2_13_27_1","doi-asserted-by":"crossref","first-page":"47","DOI":"10.2469\/faj.v62.n2.4083","article-title":"Facts and Fantasies About Commodity Futures","volume":"62","author":"Gorton G.","year":"2006","journal-title":"Financial Analysts Journal"},{"key":"e_1_2_13_28_1","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1016\/j.intfin.2016.04.008","article-title":"Commodity Markets Volatility Transmission: Roles of Risk Perceptions and Uncertainty in Financial Markets","volume":"44","author":"Gozgor G.","year":"2016","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"issue":"1","key":"e_1_2_13_29_1","first-page":"207","article-title":"Markov Switching in Garch Models","volume":"135","author":"Guidolin M.","year":"2006","journal-title":"Journal of Econometrics"},{"key":"e_1_2_13_30_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton J. D.","year":"1994"},{"issue":"3","key":"e_1_2_13_31_1","doi-asserted-by":"crossref","first-page":"285","DOI":"10.2307\/2330813","article-title":"Asset Pricing in a Generalized Mean\u2010Lower Partial Moment Framework: Theory and Evidence","volume":"24","author":"Harlow W. V.","year":"1989","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"10","key":"e_1_2_13_32_1","first-page":"1031","article-title":"Commodity Futures and Market Efficiency: A Cointegration Approach","volume":"16","author":"Harri A.","year":"2009","journal-title":"Applied Economics Letters"},{"key":"e_1_2_13_33_1","article-title":"Covid\u201019 and Food Commodity Markets Volatility: An Empirical Investigation","volume":"72","author":"Hasan M.","year":"2021","journal-title":"Resources Policy"},{"issue":"4","key":"e_1_2_13_34_1","doi-asserted-by":"crossref","first-page":"7947","DOI":"10.1016\/j.eswa.2008.10.065","article-title":"A Two\u2010Stage Architecture for Stock Price Forecasting by Integrating Self\u2010Organizing Map and Support Vector Regression","volume":"36","author":"Hsu S.\u2010H.","year":"2009","journal-title":"Expert Systems With Applications"},{"issue":"11","key":"e_1_2_13_35_1","doi-asserted-by":"crossref","first-page":"195","DOI":"10.3390\/risks11110195","article-title":"Discovering Intraday Tail Dependence Patterns via a Full\u2010Range Tail Dependence Copula","volume":"11","author":"Hua L.","year":"2023","journal-title":"Risks"},{"issue":"1","key":"e_1_2_13_36_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1093\/aepp\/ppq032","article-title":"Index Funds, Financialization, and Commodity Futures Markets","volume":"33","author":"Irwin S. H.","year":"2011","journal-title":"Applied Economic Perspectives and Policy"},{"issue":"6","key":"e_1_2_13_37_1","doi-asserted-by":"crossref","first-page":"1747","DOI":"10.1002\/for.3105","article-title":"Liquidity\u2010Adjusted Value\u2010at\u2010Risk Using Extreme Value Theory and Copula Approach","volume":"43","author":"Kamal H.","year":"2024","journal-title":"Journal of Forecasting"},{"issue":"1","key":"e_1_2_13_38_1","doi-asserted-by":"crossref","first-page":"59","DOI":"10.1007\/BF00337288","article-title":"Self\u2010Organized Formation of Topologically Correct Feature Maps","volume":"43","author":"Kohonen T.","year":"1982","journal-title":"Biological Cybernetics"},{"key":"e_1_2_13_39_1","doi-asserted-by":"crossref","unstructured":"Kohonen T.2001.Self\u2010Organizing Maps(3rd ed.). Springer\u2010Verlag.","DOI":"10.1007\/978-3-642-56927-2"},{"issue":"2","key":"e_1_2_13_40_1","doi-asserted-by":"crossref","first-page":"383","DOI":"10.1002\/for.2811","article-title":"Forecasting the Volatility of Agricultural Commodity Futures: The Role of Co\u2010Volatility and Oil Volatility","volume":"41","author":"Marfatia H. A.","year":"2022","journal-title":"Journal of Forecasting"},{"issue":"5","key":"e_1_2_13_41_1","first-page":"921","article-title":"Increasing Downside Risk","volume":"70","author":"Menezes C.","year":"1980","journal-title":"American Economic Review"},{"key":"e_1_2_13_42_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.najef.2020.101342","article-title":"Dynamic Spillover and Connectedness Between Oil Futures and European Bonds","volume":"56","author":"Mensi W.","year":"2021","journal-title":"North American Journal of Economics and Finance"},{"key":"e_1_2_13_43_1","first-page":"476","article-title":"Spillovers and Asymmetric Effects on Returns and Volatility Between Emerging Stock Markets and Commodity Prices","volume":"44","author":"Mensi W.","year":"2014","journal-title":"Energy Economics"},{"key":"e_1_2_13_44_1","article-title":"Dependence and Risk Spillovers Between Green Bonds, Renewable Energy Stocks and Agriculture Commodities","volume":"98","author":"Mensi W.","year":"2021","journal-title":"Energy Economics"},{"key":"e_1_2_13_45_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/j.jbankfin.2015.04.003","article-title":"Stock Market Volatility: Identifying Major Drivers and the Nature of Their Impact","volume":"58","author":"Mittnik S.","year":"2015","journal-title":"Journal of Banking & Finance"},{"key":"e_1_2_13_46_1","first-page":"495","article-title":"Self\u2010Organizing Maps and Clustering for Financial Crisis Detection","volume":"61","author":"M\u00ednguez R.","year":"2004","journal-title":"Neurocomputing"},{"issue":"2","key":"e_1_2_13_47_1","first-page":"179","article-title":"Measuring Downside Risk in Financial Markets","volume":"11","author":"Oganian A.","year":"2010","journal-title":"Journal of Risk Finance"},{"issue":"2","key":"e_1_2_13_48_1","doi-asserted-by":"crossref","first-page":"527","DOI":"10.1111\/j.1468-2354.2006.00387.x","article-title":"Modelling Asymmetric Exchange Rate Dependence","volume":"47","author":"Patton A. J.","year":"2006","journal-title":"International Economic Review"},{"key":"e_1_2_13_49_1","doi-asserted-by":"crossref","first-page":"4","DOI":"10.1016\/j.jmva.2012.02.021","article-title":"A Review of Copula Models for Economic Time Series","volume":"110","author":"Patton A. J.","year":"2012","journal-title":"Journal of Multivariate Analysis"},{"issue":"3","key":"e_1_2_13_50_1","doi-asserted-by":"crossref","first-page":"843","DOI":"10.1111\/j.1540-6261.1982.tb02227.x","article-title":"Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results","volume":"37","author":"Price K.","year":"1982","journal-title":"Journal of Finance"},{"issue":"3","key":"e_1_2_13_51_1","doi-asserted-by":"crossref","first-page":"451","DOI":"10.1002\/fut.22477","article-title":"Assessing the Asymmetric Volatility Linkages of Energy and Agricultural Commodity Futures During Low and High Volatility Regimes","volume":"44","author":"Rezitis A. N.","year":"2024","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_13_52_1","article-title":"Downside Risk and Energy Equity Returns","volume":"94","author":"Sadorsky P.","year":"2021","journal-title":"Energy Economics"},{"key":"e_1_2_13_53_1","doi-asserted-by":"crossref","first-page":"42","DOI":"10.1016\/j.intfin.2012.11.007","article-title":"Financialization, Crisis and Commodity Correlation Dynamics","volume":"24","author":"Silvennoinen A.","year":"2013","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"key":"e_1_2_13_54_1","first-page":"229","article-title":"Fonctions de r\u00e9partition \u00e0 n dimensions et leurs marges","volume":"8","author":"Sklar A.","year":"1959","journal-title":"Publications de l'Institut de Statistique de l'Universit\u00e9 de Paris"},{"issue":"3","key":"e_1_2_13_55_1","doi-asserted-by":"crossref","first-page":"59","DOI":"10.3905\/joi.3.3.59","article-title":"Performance Measurement in a Downside Risk Framework","volume":"3","author":"Sortino F. A.","year":"1994","journal-title":"Journal of Investing"},{"issue":"9","key":"e_1_2_13_56_1","doi-asserted-by":"crossref","first-page":"506","DOI":"10.3390\/jrfm18090506","article-title":"Copula\u2010Based Pairs Trading Strategy: Capturing Nonlinear and Asymmetric Dependencies","volume":"18","author":"Sun Y.","year":"2025","journal-title":"Journal of Risk and Financial Management"},{"issue":"6","key":"e_1_2_13_57_1","doi-asserted-by":"crossref","first-page":"54","DOI":"10.2469\/faj.v68.n6.5","article-title":"Index Investment and the Financialization of Commodities","volume":"68","author":"Tang K.","year":"2012","journal-title":"Financial Analysts Journal"},{"issue":"1","key":"e_1_2_13_58_1","first-page":"41","article-title":"The Financialization of Commodity Markets","volume":"4","author":"Tang K.","year":"2012","journal-title":"Annual Review of Financial Economics"},{"issue":"2","key":"e_1_2_13_59_1","first-page":"99","article-title":"The Generative Topographic Mapping as a Principal Model for Data Visualization and Market Segmentation: An Electronic Commerce Case Study","volume":"9","author":"Vellido A.","year":"2000","journal-title":"Neural Computing & Applications"},{"key":"e_1_2_13_60_1","unstructured":"Wang T. et al.2020. \u201cCopula\u2010Based Modeling and Forecasting of Realized Volatility Matrices.\u201darXiv preprint arXiv:2002.08849."},{"key":"e_1_2_13_61_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.irfa.2024.103578","article-title":"The Spillover and Comovement of Downside and Upside Tail Risks Among Crude Oil Futures Markets","volume":"96","author":"Yang J.","year":"2024","journal-title":"International Review of Financial Analysis"},{"issue":"3","key":"e_1_2_13_62_1","first-page":"853","article-title":"Dynamic Dependence Between Oil and Stock Markets: International Evidence With Stochastic Copula Approach","volume":"24","author":"Yildirim E.","year":"2024","journal-title":"Afyon Kocatepe University Journal of Science and Engineering"},{"key":"e_1_2_13_63_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.jbankfin.2021.106246","article-title":"Downside Risk and the Cross\u2010Section of Cryptocurrency Returns","volume":"133","author":"Zhang W.","year":"2021","journal-title":"Journal of Banking & Finance"},{"issue":"2","key":"e_1_2_13_64_1","first-page":"254","article-title":"Value\u2010at\u2010Risk Using Garch Volatility Models Augmented With Extreme Value Theory","volume":"17","author":"Zhang Z.","year":"2016","journal-title":"Journal of Risk Finance"},{"key":"e_1_2_13_65_1","article-title":"Climate Change, War, and Agricultural Commodity Risk Spillovers","volume":"32","author":"Zhao X.","year":"2023","journal-title":"Journal of Commodity Markets"},{"key":"e_1_2_13_66_1","unstructured":"Zhu L. H.Wu andM. T.Wells.2021. \u201cA News\u2010Based Machine Learning Model for Adaptive Asset Pricing.\u201darXiv preprint arXiv:2106.07103."},{"key":"e_1_2_13_67_1","doi-asserted-by":"crossref","DOI":"10.1016\/j.najef.2023.101989","article-title":"Oil Price Shocks and Stock\u2013Bond Correlation","volume":"68","author":"Ziadat S. A.","year":"2023","journal-title":"North American Journal of Economics and Finance"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70088","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.70088","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70088","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,2,12]],"date-time":"2026-02-12T14:45:44Z","timestamp":1770907544000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70088"}},"issued":{"date-parts":[[2026,2,12]]},"references-count":66,"alternative-id":["10.1002\/fut.70088"],"URL":"https:\/\/doi.org\/10.1002\/fut.70088","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2026,2,12]]},"assertion":[{"value":"2025-08-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-01-28","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-02-12","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"fut.70088"},{"indexed":{"date-parts":[[2026,2,14]],"date-time":"2026-02-14T02:04:55Z","timestamp":1771034695188,"version":"3.50.1"},"reference-count":37,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2013,1,2]],"date-time":"2013-01-02T00:00:00Z","timestamp":1357084800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,3]]},"abstract":"We examine the return\u2010implied volatility relation by employing \u201ccommodity\u201d option VIXs for the euro, gold, and oil. This relation is substantially weaker than for stock indexes. We propose several potential reasons for these unusually weak results. Also, gold possesses an unusual positive contemporaneous return coefficient, which is consistent with a demand volatility skew rather than the typical investment skew. Moreover, the euro and gold are not asymmetric. We relate the results to trading strategies, algorithmic trading, and behavioral theories. An important conclusion of the study is that important differences exist regarding implied volatility for certain types of assets that have not yet been explained in the literature; namely, the results in this study concerning commodity ETFs versus stock indexes, plus previous research on stock indexes versus individual stocks, and the pricing of stock index options versus individual stock options. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:261\u2013281, 2014<\/jats:p>","DOI":"10.1002\/fut.21592","type":"journal-article","created":{"date-parts":[[2013,1,3]],"date-time":"2013-01-03T07:08:31Z","timestamp":1357196911000},"page":"261-281","source":"Crossref","is-referenced-by-count":33,"title":["The Return\u2010Implied Volatility Relation for Commodity ETFs"],"prefix":"10.1002","volume":"34","author":[{"given":"Chaiyuth","family":"Padungsaksawasdi","sequence":"first","affiliation":[{"name":"Chaiyuth Padungsaksawasdi is a Lecturer in Finance at the Department of Finance, Thammasat Business School, Thammasat University, Bangkok, Thailand"}]},{"given":"Robert T.","family":"Daigler","sequence":"additional","affiliation":[{"name":"Robert T. Daigler is Knight Ridder Research Professor of Finance at The Chapman Graduate School of Business, Florida International University, Miami Florida"}]}],"member":"311","published-online":{"date-parts":[[2013,1,2]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj027"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21551"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.2010.00244.x"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.12.008"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.10.015"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/13.1.1"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.009"},{"key":"e_1_2_8_11_1","unstructured":"Black F.(1976).Studies of stock market volatility changes.Proceeding of the American Statistical Association Alexandria VA. Business and Economic Statistics Section pp.177\u2013181."},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00647.x"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.006"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(92)90037-X"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002118"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.10.001"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00666.x"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150303"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2005.500363"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_8_25_1","doi-asserted-by":"crossref","first-page":"714","DOI":"10.1002\/fut.21543","article-title":"Liquidity considerations in estimating implied volatility","volume":"32","author":"Grower R.","year":"2012","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.046"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1086\/296647"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.09.002"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.10.026"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1086\/386529"},{"key":"e_1_2_8_32_1","unstructured":"Mishra S. Daigler R. &Holowczak R.(2012).The effect of algorithmic trading on liquidity in the options market.Working paper Florida International University Miami FL."},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_8_34_1","first-page":"1142","article-title":"The persistence of volatility and stock market fluctuations","volume":"76","author":"Poterba J. M.","year":"1986","journal-title":"American Economic Review"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00348"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.12.004"},{"key":"e_1_2_8_37_1","volume-title":"A behavioral approach to asset pricing","author":"Shefrin H.","year":"2005"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00057-3"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21592","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21592","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,5,4]],"date-time":"2024-05-04T06:36:49Z","timestamp":1714804609000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21592"}},"issued":{"date-parts":[[2013,1,2]]},"references-count":37,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2014,3]]}},"alternative-id":["10.1002\/fut.21592"],"URL":"https:\/\/doi.org\/10.1002\/fut.21592","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,1,2]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T19:15:32Z","timestamp":1771010132773,"version":"3.50.1"},"reference-count":8,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,10,25]],"date-time":"2006-10-25T00:00:00Z","timestamp":1161734400000},"content-version":"vor","delay-in-days":9094,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1981,12]]},"DOI":"10.1002\/fut.3990010408","type":"journal-article","created":{"date-parts":[[2007,7,4]],"date-time":"2007-07-04T20:17:07Z","timestamp":1183580227000},"page":"659-664","source":"Crossref","is-referenced-by-count":56,"title":["A note on the hedging effectiveness of foreign currency futures"],"prefix":"10.1002","volume":"1","author":[{"given":"Joanne","family":"Hill","sequence":"first","affiliation":[]},{"given":"Thomas","family":"Schneeweis","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,10,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990010107"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1111\/j.1540-6261.1979.tb02077.x","article-title":"The Hedging Performance of the New Futures Market","volume":"10","author":"Ederington L. E.","year":"1979","journal-title":"Journal of Finance"},{"key":"e_1_2_1_4_1","volume-title":"Proceedings of the International Futures Trading Seminar","author":"Hill Joanne","year":"1981"},{"key":"e_1_2_1_5_1","unstructured":"Hill Joanne andSchneeweis Thomas(forthcoming): \u201cThe Hedging Effectiveness of Foreign Currency Futures \u201dJournal of Financial Research."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/3664875"},{"key":"e_1_2_1_7_1","volume-title":"Applied Linear Statistical Models","author":"Neter John","year":"1974"},{"key":"e_1_2_1_8_1","first-page":"1012","article-title":"The Simultaneous Determination of Spot and Future Prices","volume":"51","author":"Stein J. L.","year":"1961","journal-title":"American Economic Review"},{"key":"e_1_2_1_9_1","first-page":"314","article-title":"Futures Trading and Hedging","volume":"10","author":"Working H.","year":"1953","journal-title":"American Economic Review"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990010408","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990010408","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,12]],"date-time":"2023-11-12T10:38:58Z","timestamp":1699785538000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990010408"}},"issued":{"date-parts":[[1981,12]]},"references-count":8,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1981,12]]}},"alternative-id":["10.1002\/fut.3990010408"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990010408","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1981,12]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T11:11:01Z","timestamp":1770981061349,"version":"3.50.1"},"reference-count":12,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":5691,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2000,2]]},"DOI":"10.1002\/(sici)1096-9934(200002)20:2<145::aid-fut3>3.0.co;2-g","type":"journal-article","created":{"date-parts":[[2002,8,24]],"date-time":"2002-08-24T15:54:48Z","timestamp":1030204488000},"page":"145-166","source":"Crossref","is-referenced-by-count":26,"title":["Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis"],"prefix":"10.1002","volume":"20","author":[{"given":"Louis T. W.","family":"Cheng","sequence":"first","affiliation":[]},{"given":"Joseph K. W.","family":"Fung","sequence":"additional","affiliation":[]},{"given":"Kam C.","family":"Chan","sequence":"additional","affiliation":[]}],"member":"311","reference":[{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB1","doi-asserted-by":"crossref","first-page":"7","DOI":"10.1086\/296491","volume":"63","author":"Brennan","year":"1990","journal-title":"Journal of Business"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB2","doi-asserted-by":"crossref","first-page":"447","DOI":"10.1111\/j.1475-6803.1998.tb00697.x","author":"Cheng","year":"1998","journal-title":"Journal of Financial Research"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB3","doi-asserted-by":"crossref","first-page":"675","DOI":"10.1111\/j.1540-6261.1983.tb02496.x","author":"Cornell","year":"1983","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB4","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1002\/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H","author":"Fleming","year":"1996","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB5","doi-asserted-by":"crossref","first-page":"797","DOI":"10.1002\/(SICI)1096-9934(199710)17:7<797::AID-FUT4>3.0.CO;2-I","volume":"17","author":"Fung","year":"1997","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB6","doi-asserted-by":"crossref","first-page":"37","DOI":"10.3905\/jod.1997.407990","author":"Fung","year":"1997","journal-title":"Journal of Derivatives"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB7","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1002\/fut.3990070308","volume":"7","author":"Kawaller","year":"1987","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB8","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1002\/fut.3990110304","volume":"11","author":"Klemkosky","year":"1991","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB9","doi-asserted-by":"crossref","first-page":"889","DOI":"10.1002\/fut.3990130806","volume":"13","author":"Lee","year":"1993","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB10","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1002\/fut.3990030103","volume":"3","author":"Modest","year":"1983","journal-title":"The Journal of Futures Markets"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB11","doi-asserted-by":"crossref","first-page":"801","DOI":"10.1111\/j.1540-6261.1969.tb01694.x","volume":"24","author":"Stoll","year":"1969","journal-title":"Journal of Finance"},{"key":"10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G-BIB12","volume-title":"Financial futures, options and swaps","author":"Tucker","year":"1991","unstructured":"(1991). Financial futures, options and swaps. West Publishing Company."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(200002)20:2%3C145::AID-FUT3%3E3.0.CO;2-G","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(200002)20:2%3C145::AID-FUT3%3E3.0.CO;2-G","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T09:43:56Z","timestamp":1625132636000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(200002)20:2<145::AID-FUT3>3.0.CO;2-G"}},"issued":{"date-parts":[[2000,2]]},"references-count":12,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2000,2]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(200002)20:2<145::aid-fut3>3.0.co;2-g","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2000,2]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T14:09:45Z","timestamp":1770991785737,"version":"3.50.1"},"reference-count":33,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":5807,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1990,10]]},"DOI":"10.1002\/fut.3990100507","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T14:46:51Z","timestamp":1183646811000},"page":"505-517","source":"Crossref","is-referenced-by-count":13,"title":["Options and investment strategies"],"prefix":"10.1002","volume":"10","author":[{"given":"Bernard","family":"Morard","sequence":"first","affiliation":[]},{"given":"Ahmed","family":"Naciri","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(75)90005-7"},{"key":"e_1_2_1_3_1","volume-title":"Non Linear Programming; Theory and Algorithms","author":"Bazaraa M. S.","year":"1979"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.25.7.609"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","first-page":"417","DOI":"10.1111\/j.1540-6261.1985.tb04965.x","article-title":"On Determination of Stochastic Dominance Optimal Sets","volume":"2","author":"Bawa V. S.","year":"1985","journal-title":"Journal of Finance"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330866"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/296125"},{"key":"e_1_2_1_8_1","volume-title":"Option Pricing and Strategies in Investing","author":"Bookstaber R.","year":"1983"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.29.4.419"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330760"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(78)90030-2"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/260509"},{"key":"e_1_2_1_13_1","unstructured":"D'Agostino R. B. andStephens M. A.(1986): Goodness\u2010of\u2010Fit Techniques\u2010Statistics Dekkers Vol. 68."},{"key":"e_1_2_1_14_1","first-page":"1182","article-title":"Cross Hedging","volume":"62","author":"Danthine J. P.","year":"1981","journal-title":"Journal of Political Economy"},{"key":"e_1_2_1_15_1","first-page":"210","article-title":"An Algebra for Evaluating Hedge Portfolio","volume":"2","author":"Garman M. B.","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2326472"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331004"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","first-page":"581","DOI":"10.1111\/j.1540-6261.1980.tb02190.x","article-title":"Who Should Buy Portfolio Insurance?","volume":"2","author":"Leland H. E.","year":"1980","journal-title":"Journal of Finance"},{"key":"e_1_2_1_19_1","doi-asserted-by":"crossref","unstructured":"Lemke C. E.(1970): \u201cRecent Results on Complementary Problem \u201d In Non Linear Programming Rosen J. B. Magasarian O. L. and Ritter K. Eds.","DOI":"10.1016\/B978-0-12-597050-1.50016-6"},{"key":"e_1_2_1_20_1","first-page":"125","article-title":"Ordering Uncertain Options with Borrowing and Lending","volume":"7","author":"Levy H.","year":"1978","journal-title":"Journal of Finance"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","first-page":"1043","DOI":"10.1111\/j.1540-6261.1982.tb03597.x","article-title":"Option Prices as Predictor of Equilibrium Stock Prices","volume":"4","author":"Manaster S.","year":"1982","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_22_1","volume-title":"Portfolio Selection","author":"Markowitz H.","year":"1959"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/295995"},{"key":"e_1_2_1_24_1","first-page":"1","article-title":"The Returns and Risk of Alternative Portfolio Investment Strategies","volume":"2","author":"Merton R.","year":"1983","journal-title":"Journal of Business"},{"key":"e_1_2_1_25_1","first-page":"194","volume-title":"Strat\u00e9gies dominantes et fronti\u00e8res Supra Efficaces","author":"Morard B.","year":"1987"},{"key":"e_1_2_1_26_1","doi-asserted-by":"crossref","unstructured":"Naciri A.(1986 ): June \u201cL'hypothese de la distribution normale dans le cas d'evenements simultanes \u201d Canadian Journal of Administrative Sciences 99\u2013113.","DOI":"10.1111\/j.1936-4490.1986.tb00420.x"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329749"},{"key":"e_1_2_1_28_1","volume-title":"Option Markets","author":"Rubinstein M.","year":"1985"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1886087"},{"key":"e_1_2_1_30_1","first-page":"392","article-title":"Measuring Portfolio Risk in Option","volume":"3","author":"Sears R. S.","year":"1982","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1981.tb00813.x"},{"key":"e_1_2_1_32_1","volume-title":"Investing in Securities: An Efficient Markets Approach","author":"Tinic S. M.","year":"1979"},{"key":"e_1_2_1_33_1","unstructured":"Tremolieres R. andMorard B.(1984): \u201cCouverture et Diversification: un m\u011bme mod\u00e8le EVP d'Esp\u00e9rance\u2010Variance\u2010Param\u00e9tr\u00e9 \u201d Presented at 5th \u201cJourn\u00e9e Internationale de l'AFFI\u201d IEC Grenoble."},{"key":"e_1_2_1_34_1","unstructured":"Wolfe P(1983):Methods of Nonlinear Programming in Recent Advance in Mathematical Programming Grove R. L. and Wolfe P. Eds."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990100507","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990100507","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T16:14:52Z","timestamp":1697991292000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990100507"}},"issued":{"date-parts":[[1990,10]]},"references-count":33,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1990,10]]}},"alternative-id":["10.1002\/fut.3990100507"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990100507","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1990,10]]}},{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T11:06:13Z","timestamp":1770980773411,"version":"3.50.1"},"reference-count":42,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2022,2,28]],"date-time":"2022-02-28T00:00:00Z","timestamp":1646006400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100000269","name":"Economic and Social Research Council","doi-asserted-by":"publisher","award":["ES\/S010238\/1"],"award-info":[{"award-number":["ES\/S010238\/1"]}],"id":[{"id":"10.13039\/501100000269","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2022,6]]},"abstract":"Abstract<\/jats:title>We study the nonlinear limits to arbitrage in a model. When mispricing is small, arbitrage activity increases with mispricing because of the higher cost\u2010adjusted return. However, at high levels of mispricing, arbitrageurs are deterred by larger mispricing as funding constraints become more binding. Testing the model predictions on the index spot\u2010futures arbitrage with a Markov\u2010switching model, we document an inverse U\u2010shaped relationship between mispricing and arbitrage activity. The extreme regime is with the largest mispricing but least arbitrage activity, and coincides with the market turmoil, suggesting that funding constraints become the main driver behind the limit to arbitrage.<\/jats:p>","DOI":"10.1002\/fut.22320","type":"journal-article","created":{"date-parts":[[2022,2,28]],"date-time":"2022-02-28T08:47:16Z","timestamp":1646038036000},"page":"1084-1113","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Nonlinear limits to arbitrage"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9695-0059","authenticated-orcid":false,"given":"Jingzhi","family":"Chen","sequence":"first","affiliation":[{"name":"Sun Yat\u2010Sen Business School Sun Yat\u2010Sen University Guangzhou China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1398-3715","authenticated-orcid":false,"given":"Charlie X.","family":"Cai","sequence":"additional","affiliation":[{"name":"University of Liverpool Management School University of Liverpool Liverpool UK"}]},{"given":"Robert","family":"Faff","sequence":"additional","affiliation":[{"name":"Bond Business School Bond University Gold Coast Australia"}]},{"given":"Yongcheol","family":"Shin","sequence":"additional","affiliation":[{"name":"Department of Economics and Related Studies University of York York UK"}]}],"member":"311","published-online":{"date-parts":[[2022,2,28]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq073"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12189"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2008.12.002"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.07.003"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109016000223"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.02.020"},{"key":"e_1_2_12_9_1","doi-asserted-by":"crossref","unstructured":"Bai J. &Collin\u2010Dufresne P.(2019).The CDS\u2010bond basis.\u00a0Financial Management 48(2) 417\u2013439.","DOI":"10.1111\/fima.12252"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527284"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn098"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/abac.12101"},{"key":"e_1_2_12_13_1","doi-asserted-by":"crossref","unstructured":"Cielinska O. Joseph A. Shreyas U. P. Tanner J. &Vasios M.(2017).Gauging market dynamics using trade repository data: The case of the Swiss franc de\u2010pegging\u00a0(Financial Stability Paper No. 41).","DOI":"10.2139\/ssrn.2896203"},{"key":"e_1_2_12_14_1","unstructured":"Datastream. (1986\u20132015).S&P 500 Composite Index; Spot Prices. Thomson Reuters Datastream."},{"key":"e_1_2_12_15_1","unstructured":"Datastream. (1986\u20132015).S&P 500 index futures; 3\u2010Month 6\u2010Month and 9\u2010Month contracts. Thomson Reuters Datastream."},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12620"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01569.x"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.301"},{"key":"e_1_2_12_19_1","unstructured":"Federal Reserve. (1986\u20132015).LIBOR. Federal Reserve Economic Data Library."},{"key":"e_1_2_12_20_1","unstructured":"Federal Reserve. (1986\u20132015).Treasury Bill yields. Federal Reserve Economic Data Library."},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr132"},{"key":"e_1_2_12_22_1","unstructured":"Fontaine J. & Garcia R. (2011b).The treasury security\u2010based funding liquidity. The website of Jean\u2010Sebastien Fontaine."},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.10.005"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/ei\/39.4.524"},{"key":"e_1_2_12_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhr027"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00228-3"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-073009-104107"},{"key":"e_1_2_12_28_1","doi-asserted-by":"crossref","unstructured":"Gyntelberg J. Hoerdahl P. Ters K. &Urban J.(2017).Arbitrage costs and the persistent non\u2010zero CDS\u2010bond basis: Evidence from intraday euro area sovereign debt markets\u00a0(BIS Working Paper No. 631).","DOI":"10.2139\/ssrn.2866893"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv029"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu051"},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199805\/06)13:3<245::AID-JAE480>3.0.CO;2-E"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.2.215"},{"key":"e_1_2_12_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.09.002"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs066"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01273.x"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.10.016"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03807.x"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01472.x"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1002\/ijfe.463"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2011.601643"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00162-X"},{"key":"e_1_2_12_43_1","doi-asserted-by":"crossref","unstructured":"vanBinsbergen J. H. Diamond W. F. &Grotteria M.(2019).Risk\u2010free interest rates(Tech. Rep.). National Bureau of Economic Research.","DOI":"10.3386\/w26138"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22320","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22320","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22320","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T09:57:43Z","timestamp":1692957463000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22320"}},"issued":{"date-parts":[[2022,2,28]]},"references-count":42,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2022,6]]}},"alternative-id":["10.1002\/fut.22320"],"URL":"https:\/\/doi.org\/10.1002\/fut.22320","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2022,2,28]]},"assertion":[{"value":"2020-07-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-02-03","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-02-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,10]],"date-time":"2026-02-10T20:02:58Z","timestamp":1770753778228,"version":"3.50.0"},"reference-count":32,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2018,11,26]],"date-time":"2018-11-26T00:00:00Z","timestamp":1543190400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,4]]},"abstract":"Experts have long discussed and empirically investigated whether speculative activity increases volatility on commodity futures markets. Little empirical research, however, analyzes the role of speculators on commodity futures markets in China. Using time\u2010varying vector autoregression models with stochastic volatility, this paper investigates for four heavily traded metal and agricultural contracts, how the relationship between returns volatility and speculation evolves over time. Our findings indicate that speculative activity has little to no impact on volatility. On the contrary, for all commodities examined, returns volatility seems to amplify speculation.<\/jats:p>","DOI":"10.1002\/fut.21984","type":"journal-article","created":{"date-parts":[[2018,11,26]],"date-time":"2018-11-26T11:31:46Z","timestamp":1543231906000},"page":"405-417","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":35,"title":["Speculation and volatility\u2014A time\u2010varying approach applied on Chinese commodity futures markets"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7329-8221","authenticated-orcid":false,"given":"Claudia","family":"Wellenreuther","sequence":"first","affiliation":[{"name":"Department of Economics University of M\u00fcnster M\u00fcnster Germany"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2826-760X","authenticated-orcid":false,"given":"Jan","family":"Voelzke","sequence":"additional","affiliation":[{"name":"Department of Economics University of M\u00fcnster M\u00fcnster Germany"}]}],"member":"311","published-online":{"date-parts":[[2018,11,26]]},"reference":[{"key":"e_1_2_8_1_2_1","unstructured":"Acworth W. (2018). Fia 2017 annual volume survey: A surge in interest rate trading in North America helps offset a decline in commodity trading in Asia\u2010Pacific. Market Voice Magazine.Futures Industry Association 18\u201331."},{"key":"e_1_2_8_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.05.016"},{"key":"e_1_2_8_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331149"},{"key":"e_1_2_8_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.asieco.2017.12.003"},{"key":"e_1_2_8_1_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109016000569"},{"key":"e_1_2_8_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2004.01.002"},{"key":"e_1_2_8_1_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/10971475.2004.11033497"},{"key":"e_1_2_8_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2010.02.020"},{"key":"e_1_2_8_1_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdv024"},{"key":"e_1_2_8_1_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/338706"},{"key":"e_1_2_8_1_12_1","first-page":"291","article-title":"The effect of monetary policy on real commodity prices","author":"Frankel J.","year":"2006","journal-title":"Asset Prices and Monetary Policy"},{"key":"e_1_2_8_1_13_1","first-page":"157","article-title":"The case of flexible exchange rates","author":"Friedman M.","year":"1953","journal-title":"Essays in Positive Economics"},{"key":"e_1_2_8_1_14_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1027384330827"},{"key":"e_1_2_8_1_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.01.001"},{"key":"e_1_2_8_1_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20474"},{"key":"e_1_2_8_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060102"},{"key":"e_1_2_8_1_18_1","volume-title":"All change in the world of industrial metals trading? Reuters","author":"Home A.","year":"2016"},{"key":"e_1_2_8_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2011.07.038"},{"key":"e_1_2_8_1_20_1","first-page":"255","article-title":"Some aspects of commodity markets","volume":"12","author":"Keynes J. M.","year":"1923","journal-title":"Collected Writings"},{"key":"e_1_2_8_1_21_1","doi-asserted-by":"publisher","DOI":"10.2753\/CES1097-1475460402"},{"key":"e_1_2_8_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990030202"},{"key":"e_1_2_8_1_23_1","doi-asserted-by":"publisher","DOI":"10.2753\/CES1097-1475460304"},{"key":"e_1_2_8_1_24_1","volume-title":"China commodities: Hold onto your hats\u2014explosion in Chinese commodities futures brings unprecedented liquidity, untested volatility","author":"Liao T. X.","year":"2016"},{"key":"e_1_2_8_1_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2013.09.002"},{"key":"e_1_2_8_1_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.09.008"},{"key":"e_1_2_8_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2005.00353.x"},{"key":"e_1_2_8_1_28_1","first-page":"160","article-title":"Trading volume and price variability: New evidence on the price effects of speculation","volume":"4","author":"Rutledge D. J.","year":"1979","journal-title":"International Futures Trading Seminar"},{"key":"e_1_2_8_1_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppp006"},{"key":"e_1_2_8_1_30_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_8_1_31_1","doi-asserted-by":"crossref","unstructured":"Till H. (2009).Has there been excessive speculation in the U.S. oil futures markets? What can we (carefully) conclude from new cftc data?Risk Institute Position Paper (November) Ecole des Hautes Etudes Commerciales du Nord (EDHEC).http:\/\/docs.edhec-risk.com\/mrk\/091221\/EDHEC-Risk_Position_Paper_Speculation_US_Oil_Futures.pdf","DOI":"10.2139\/ssrn.2608027"},{"key":"e_1_2_8_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199802)18:1<91::AID-FUT5>3.0.CO;2-6"},{"key":"e_1_2_8_1_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/10971475.2015.1044852"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21984","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21984","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,14]],"date-time":"2023-09-14T20:36:41Z","timestamp":1694723801000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21984"}},"issued":{"date-parts":[[2018,11,26]]},"references-count":32,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2019,4]]}},"alternative-id":["10.1002\/fut.21984"],"URL":"https:\/\/doi.org\/10.1002\/fut.21984","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2018,11,26]]},"assertion":[{"value":"2018-01-10","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-11-04","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-11-26","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T21:38:48Z","timestamp":1770500328743,"version":"3.49.0"},"reference-count":23,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7298,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1986,9]]},"DOI":"10.1002\/fut.3990060306","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T05:41:35Z","timestamp":1183614095000},"page":"409-419","source":"Crossref","is-referenced-by-count":35,"title":["A further investigation of the day\u2010of\u2010the\u2010week effect in the gold market"],"prefix":"10.1002","volume":"6","author":[{"given":"Christopher K.","family":"Ma","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990020209"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/295634"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1979.tb01743.x"},{"key":"e_1_2_1_5_1","unstructured":"\u201cCHIPS: Goodbye to Next\u2010Day Settlements \u201dBusiness Week March 23 1981 p.98."},{"key":"e_1_2_1_6_1","unstructured":"Christie A. A.(1981): \u201cOn Efficient Estimation and Intra\u2010week Behavior of Common Stock Variances \u201d Unpublished paper University of Rochester."},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1981.tb00650.x"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v29.n6.67"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/260133"},{"key":"e_1_2_1_10_1","doi-asserted-by":"crossref","first-page":"331","DOI":"10.1080\/01621459.1971.10482264","article-title":"Parameter Estimates for Symmetric Stable Distribution","volume":"66","author":"Fama E. F.","year":"1971","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90021-5"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/296147"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6435.1964.tb02458.x"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04966.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330959"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","first-page":"819","DOI":"10.1111\/j.1540-6261.1984.tb03675.x","article-title":"A Further Investigation of the Weekend Effect in Stock Returns","volume":"34","author":"Keim D. B.","year":"1984","journal-title":"The Journal of Finance"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb02231.x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/134381"},{"key":"e_1_2_1_19_1","unstructured":"International Letter Federal Reserve Bank of Chicago January 30 1981 pp.1\u20132."},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb02218.x"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1980.tb03495.x"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2327946"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.9.3.68"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330254"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990060306","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990060306","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,21]],"date-time":"2023-10-21T19:11:50Z","timestamp":1697915510000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990060306"}},"issued":{"date-parts":[[1986,9]]},"references-count":23,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1986,9]]}},"alternative-id":["10.1002\/fut.3990060306"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990060306","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1986,9]]}},{"indexed":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T17:35:10Z","timestamp":1759512910807},"reference-count":0,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":6301,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[1998,6]]},"DOI":"10.1002\/(sici)1096-9934(199806)18:4<399::aid-fut3>3.0.co;2-u","type":"journal-article","created":{"date-parts":[[2002,9,16]],"date-time":"2002-09-16T17:17:32Z","timestamp":1032196652000},"page":"399-426","source":"Crossref","is-referenced-by-count":48,"title":["Return-volume dynamics in futures markets"],"prefix":"10.1002","volume":"18","author":[{"given":"Ahmet E.","family":"Kocagil","sequence":"first","affiliation":[]},{"given":"Yochanan","family":"Shachmurove","sequence":"additional","affiliation":[]}],"member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2F(SICI)1096-9934(199806)18:4%3C399::AID-FUT3%3E3.0.CO;2-U","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/(SICI)1096-9934(199806)18:4%3C399::AID-FUT3%3E3.0.CO;2-U","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,7,1]],"date-time":"2021-07-01T10:32:21Z","timestamp":1625135541000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/(SICI)1096-9934(199806)18:4<399::AID-FUT3>3.0.CO;2-U"}},"issued":{"date-parts":[[1998,6]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1998,6]]}},"URL":"https:\/\/doi.org\/10.1002\/(sici)1096-9934(199806)18:4<399::aid-fut3>3.0.co;2-u","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1998,6]]}},{"indexed":{"date-parts":[[2025,11,21]],"date-time":"2025-11-21T11:54:59Z","timestamp":1763726099626},"reference-count":4,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,8,25]],"date-time":"2006-08-25T00:00:00Z","timestamp":1156464000000},"content-version":"vor","delay-in-days":7937,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1984,12]]},"DOI":"10.1002\/fut.3990040409","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T04:08:05Z","timestamp":1183608485000},"page":"569-577","source":"Crossref","is-referenced-by-count":8,"title":["Treasury bond futures delivery bias"],"prefix":"10.1002","volume":"4","author":[{"given":"James F.","family":"Meisner","sequence":"first","affiliation":[]},{"given":"John W.","family":"Labuszewski","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,8,25]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Chicago Board of Trade(1982):A Guide to Financial Futures at the Chicago Board of Trade."},{"key":"e_1_2_1_3_1","unstructured":"Chicago Board of Trade(1977):U.S. Treasury Bond Futures Delivery Manual."},{"key":"e_1_2_1_4_1","unstructured":"Hoag J. W. andLaBarge K. P.: \u201cArbitrage Opportunities in the Treasury Bond Futures Market \u201d Unpublished manuscript University of California at Berkeley."},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1982.tb03611.x"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990040409","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990040409","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,20]],"date-time":"2023-10-20T06:08:21Z","timestamp":1697782101000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990040409"}},"issued":{"date-parts":[[1984,12]]},"references-count":4,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1984,12]]}},"alternative-id":["10.1002\/fut.3990040409"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990040409","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1984,12]]}},{"indexed":{"date-parts":[[2025,11,22]],"date-time":"2025-11-22T11:34:02Z","timestamp":1763811242538},"reference-count":18,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2013,9,23]],"date-time":"2013-09-23T00:00:00Z","timestamp":1379894400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,1]]},"abstract":"Abstract<\/jats:title>I investigate how local supply shocks in the globally distributed production of commodities are incorporated into Chicago Mercantile Exchange (CME) futures prices. I exploit that the soybean market share of the United States (Argentina) decreased (increased) between 1996 and 2010, and use rain, which tends to increase output, as a source of exogenous supply shocks. I find a significantly negative response of CME soybean prices to daily rain across regions and time. Moreover, the impact of local rain on the CME price is approximately linear in the time\u2010varying local share of global output. Therefore, traders of CME contracts seem to aggregate supply in a globally integrated manner and are exposed to globally distributed shocks. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 35:1\u201330, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21642","type":"journal-article","created":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T08:39:49Z","timestamp":1696581589000},"page":"1-30","source":"Crossref","is-referenced-by-count":10,"title":["Globally Distributed Production and the Pricing of CME Commodity Futures"],"prefix":"10.1002","volume":"35","author":[{"given":"Nicolas","family":"Merener","sequence":"first","affiliation":[{"name":"Nicolas Merener is at Business School, Universidad Torcuato Di Tella, Argentina. I thank the Editor (Robert Webb), and an anonymous but very thoughtful referee whose comments greatly improved the paper. I also thank Cris Llerena for superb research assistance. I received helpful comments from Hildegart Ahumada, Leandro Arozamena, Juan Jose Cruces, Jose Martinez, Andy Neumeyer, Guido Sandleris, Nicholas Trachter, Gustavo Vulcano, attendees at BM&F Bovespa CGRCC 2011, and seminar participants at..."}]}],"member":"311","published-online":{"date-parts":[[2013,9,23]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1175\/2011MWR3525.1"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.06.017"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20463"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.10.006"},{"key":"e_1_2_9_6_1","unstructured":"Christofoletti M. A. Silva R. &Mattos F.(2012).The increasing participation of China in the world soybean market and its impact on price linkages in futures markets. Proceedings of the NCCC\u2010134 Conference on Applied Commodity Price Analysis Forecasting and Market Risk Management. St. Louis MO.www.farmdoc.illinois.edu\/nccc134."},{"key":"e_1_2_9_7_1","first-page":"78","article-title":"Market power in the world market for soymeal exports","volume":"22","author":"Deodhar S.","year":"1997","journal-title":"Journal of Agricultural and Resource Economics"},{"key":"e_1_2_9_8_1","unstructured":"Findlay R. &O'Rourke K. H.(2003). Commodity market integration. In M. D. Bordo A. M. Taylor & J. G. Williamson (Eds.) Globalization in historical perspective. Chicago IL: University of Chicago Press.http:\/\/www.nber.org\/chapters\/c9585."},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01007.x"},{"key":"e_1_2_9_10_1","unstructured":"Frankel J. A. &Rose A. K.(2009). Determinants of agricultural and mineral commodity prices. Working paper series rwp10\u2010038 Harvard University Kennedy School of Government."},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20474"},{"key":"e_1_2_9_12_1","doi-asserted-by":"crossref","unstructured":"Hutson S. S. Barber N. L. Kenny J. F. Linsey K. S. Lumia D. S. &Maupin M. A.(2004). Estimated use of water in the United States in 2000. US Geological Survey Circular 1268.","DOI":"10.3133\/cir1268"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1017\/S1074070800027991"},{"key":"e_1_2_9_14_1","unstructured":"Regunaga M.(2010). The soybean chain in Argentina. Implications of the organization of the commodity production and processing industry case studies. Washington DC: World Bank Latin America and the Caribbean Chief Economist Office."},{"key":"e_1_2_9_15_1","doi-asserted-by":"crossref","unstructured":"Roberts M. J. &Schlenker W.(2010). Identifying supply and demand elasticities of agricultural commodities: implications for the US ethanol mandate. NBER Working paper 16385.http:\/\/www.nber.org\/papers\/w15921.","DOI":"10.3386\/w15921"},{"key":"e_1_2_9_16_1","first-page":"861","article-title":"Orange juice and weather","volume":"74","author":"Roll R.","year":"1984","journal-title":"American Economic Review"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_9_18_1","doi-asserted-by":"crossref","unstructured":"Tannura M. A. Irwin S. H. &Good D. L.(2008). Weather technology and corn and soybean yields in the U.S. corn belt. Marketing and Outlook Research Report 2008\u201001. Champaign IL: Department of Agricultural and Consumer Economics University of Illinois at Urbana\u2010Champaign.","DOI":"10.2139\/ssrn.1147803"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1017\/S107407080002054X"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21642","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T08:40:24Z","timestamp":1696581624000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21642"}},"issued":{"date-parts":[[2013,9,23]]},"references-count":18,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2015,1]]}},"alternative-id":["10.1002\/fut.21642"],"URL":"https:\/\/doi.org\/10.1002\/fut.21642","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,9,23]]}},{"indexed":{"date-parts":[[2026,1,13]],"date-time":"2026-01-13T09:14:55Z","timestamp":1768295695914,"version":"3.49.0"},"reference-count":24,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2021,5,4]],"date-time":"2021-05-04T00:00:00Z","timestamp":1620086400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2021,7]]},"abstract":"Abstract<\/jats:title>In this paper we show that a Kelly trader is indifferent to trade a derivative if and only if the no\u2010arbitrage price is uniquely given by the minimal martingale measure price, thus providing a natural selection mechanism for option pricing in incomplete markets. We also show that the unique Kelly indifference price results in market equilibrium in the sense that no Kelly trader can improve the magnitude of his instantaneous Sharpe ratio, by trading the derivative, given the actions of the other market participants.<\/jats:p>","DOI":"10.1002\/fut.22210","type":"journal-article","created":{"date-parts":[[2021,5,4]],"date-time":"2021-05-04T11:19:26Z","timestamp":1620127166000},"page":"987-1006","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Kelly trading and option pricing"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1665-6832","authenticated-orcid":false,"given":"Hans\u2010Peter","family":"Bermin","sequence":"first","affiliation":[{"name":"Knut Wicksell Centre for Financial Studies Lund University Lund Sweden"},{"name":"Hilbert Capital Valletta Malta"}]},{"given":"Magnus","family":"Holm","sequence":"additional","affiliation":[{"name":"Hilbert Capital Valletta Malta"}]}],"member":"311","published-online":{"date-parts":[[2021,5,4]]},"reference":[{"key":"e_1_2_11_2_1","volume-title":"Generalized inverses: Theory and applications","author":"Ben\u2010Israel A.","year":"2003"},{"key":"e_1_2_11_3_1","unstructured":"Bermin H.\u2010P. &Holm M.(2019).Kelly trading and market equilibrium(Working Paper). Knut Wicksell Centre for Financial Studies Lund University.https:\/\/lusem.lu.se\/media\/kwc\/working-papers\/2019\/kwcwp2019_2.pdf"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10679-006-8279-1"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/262112"},{"key":"e_1_2_11_7_1","first-page":"216","volume-title":"Mathematics of derivative securities","author":"Davis M. H. A.","year":"1997"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1142\/9789814417358_0037"},{"key":"e_1_2_11_9_1","series-title":"Stochastics Monographs","first-page":"389","volume-title":"Applied stochastic analysis","author":"F\u00f6llmer H.","year":"1991"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.02.007"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/261749"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1968.tb00815.x"},{"key":"e_1_2_11_14_1","volume-title":"Methods of mathematical finance","author":"Karatzas I.","year":"1999"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1137\/0329039"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/j.1538-7305.1956.tb03809.x"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/258157"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.38.11.1562"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913811"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003902"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.68.10.2493"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1142\/9789814293501_0007"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01448847"},{"key":"e_1_2_11_25_1","unstructured":"Ziemba W. T.(2014). A response to Professor Paul A. Samuelson's objections to Kelly capital growth investing. SRC Discussion Paper No. 52.https:\/\/www.systemicrisk.ac.uk\/sites\/default\/files\/2021-01\/dp-52.pdf"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22210","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22210","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22210","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,30]],"date-time":"2023-08-30T18:15:05Z","timestamp":1693419305000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22210"}},"issued":{"date-parts":[[2021,5,4]]},"references-count":24,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2021,7]]}},"alternative-id":["10.1002\/fut.22210"],"URL":"https:\/\/doi.org\/10.1002\/fut.22210","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2021,5,4]]},"assertion":[{"value":"2021-03-18","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-03-21","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-05-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T02:38:47Z","timestamp":1774319927431,"version":"3.50.1"},"reference-count":15,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2012,7,13]],"date-time":"2012-07-13T00:00:00Z","timestamp":1342137600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,10]]},"abstract":"We investigate whether the indicative price system, introduced in the Korean derivatives market on July 1, 2003, has helped mitigate the options and futures expiration\u2010day effects. Prior to introduction of this system, we find evidence of high trading volume and significant price reversals during the first half hour of trading for the day immediately following the expiration day. These effects decline significantly after July 1, 2003. Our evidence suggests that the indicative price system can mitigate the expiration\u2010day effects.<\/jats:p>","DOI":"10.1002\/fut.21574","type":"journal-article","created":{"date-parts":[[2012,7,13]],"date-time":"2012-07-13T23:22:48Z","timestamp":1342221768000},"page":"891-910","source":"Crossref","is-referenced-by-count":6,"title":["Can the Indicative Price System Mitigate Expiration\u2010Day Effects?"],"prefix":"10.1002","volume":"33","author":[{"given":"J.B.","family":"Chay","sequence":"first","affiliation":[{"name":"J.B. Chay is a Professor in the School of Business Administration at the Sungkyunkwan University, Seoul, South Korea"}]},{"given":"Sol","family":"Kim","sequence":"additional","affiliation":[{"name":"Sol Kim is an Associate Professor in the College of Business Administration at the Hankuk University of Foreign Studies, Seoul, South Korea"}]},{"given":"Hyeuk\u2010Sun","family":"Ryu","sequence":"additional","affiliation":[{"name":"Hyeuk\u2010Sun Ryu is an Adjunct Professor in the College of Business at the Korea Advanced Institute of Science and Technology and a Managing Director at the Mirae Asset Securities Co. Ltd., Seoul, South, Korea"}]}],"member":"311","published-online":{"date-parts":[[2012,7,13]]},"reference":[{"key":"e_1_2_7_2_1","volume-title":"Liquidity, investability, and realized foreign investment in emerging markets","author":"Ahn H.\u2010J.","year":"2007"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100410001673612"},{"key":"e_1_2_7_4_1","first-page":"69","article-title":"Expiration\u2010day effects of the KOSPI 200 futures and options","volume":"35","author":"Chay J. B.","year":"2006","journal-title":"Asia\u2010Pacific Journal of Financial Studies"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10054"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v49.n3.66"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100309"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20391"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1996.407969"},{"key":"e_1_2_7_10_1","first-page":"59","article-title":"Trends in world derivatives markets","author":"Kim Y. B.","year":"2011","journal-title":"KRX Market"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1992.tb00628.x"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.1996.tb00029.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v43.n2.16"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v47.n1.58"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1177\/031289629702200202"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20178"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21574","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21574","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T05:02:40Z","timestamp":1696568560000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21574"}},"issued":{"date-parts":[[2012,7,13]]},"references-count":15,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2013,10]]}},"alternative-id":["10.1002\/fut.21574"],"URL":"https:\/\/doi.org\/10.1002\/fut.21574","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,7,13]]}},{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T00:46:59Z","timestamp":1774313219094,"version":"3.50.1"},"reference-count":33,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2019,9,10]],"date-time":"2019-09-10T00:00:00Z","timestamp":1568073600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2019,12]]},"abstract":"Abstract<\/jats:title>There has been a surge in interest in the effects of uncertainty on investment decisions, motivated at least in part by the theory of real options. For example, Bloom (2009,Econometrica<\/jats:italic>,77<\/jats:italic>, 623\u2013685) shows that higher uncertainty causes firms to temporarily pause investment and hiring, generating sharp economic downturns. This paper investigates these effects by examining the response of disaggregated measures of production to volatility in oil prices. We find that increased oil price volatility has strong negative effects on the production of durable goods, such as transportation equipment, and oil exploration, such as the drilling of oil and gas wells.<\/jats:p>","DOI":"10.1002\/fut.22057","type":"journal-article","created":{"date-parts":[[2019,9,10]],"date-time":"2019-09-10T11:14:57Z","timestamp":1568114097000},"page":"1549-1564","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":25,"title":["Oil price volatility and real options: 35 years of evidence"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1851-8601","authenticated-orcid":false,"given":"John","family":"Elder","sequence":"first","affiliation":[{"name":"Department of Finance and Real Estate Colorado State University Fort Collins Colorado"}]}],"member":"311","published-online":{"date-parts":[[2019,9,10]]},"reference":[{"key":"e_1_2_9_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(99)00013-4"},{"key":"e_1_2_9_1_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.5.2.217"},{"key":"e_1_2_9_1_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_9_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00670.x"},{"key":"e_1_2_9_1_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_9_1_7_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"e_1_2_9_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2007.00426.x"},{"key":"e_1_2_9_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20492"},{"key":"e_1_2_9_1_10_1","doi-asserted-by":"crossref","unstructured":"Carvalho D. R.(2018). Uncertainty and exit decisions: Evidence from plant-level data. Available at SSRN:https:\/\/ssrn.com\/abstract=2670926orhttp:\/\/dx.doi.org\/10.2139\/ssrn.2670926","DOI":"10.2139\/ssrn.2670926"},{"key":"e_1_2_9_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12222"},{"key":"e_1_2_9_1_12_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830176"},{"key":"e_1_2_9_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(02)00283-5"},{"key":"e_1_2_9_1_14_1","doi-asserted-by":"publisher","DOI":"10.1353\/mcb.2004.0073"},{"key":"e_1_2_9_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2010.00323.x"},{"key":"e_1_2_9_1_16_1","unstructured":"Gao L. Hitzemann S. Shaliastovich I. &Xu L.(2018).Oil volatility risk(working paper).http:\/\/steffenhitzemann.com\/"},{"key":"e_1_2_9_1_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01211.x"},{"key":"e_1_2_9_1_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01754.x"},{"key":"e_1_2_9_1_19_1","first-page":"16","article-title":"Oil price volatility and U.S. macroeconomic activity","volume":"87","author":"Guo Hui","year":"2005","journal-title":"Federal Reserve Bank of Saint Louis Review"},{"key":"e_1_2_9_1_20_1","doi-asserted-by":"publisher","DOI":"10.1086\/261140"},{"key":"e_1_2_9_1_21_1","doi-asserted-by":"publisher","DOI":"10.1353\/mcb.2004.0012"},{"key":"e_1_2_9_1_22_1","doi-asserted-by":"publisher","DOI":"10.1515\/9780691218632"},{"key":"e_1_2_9_1_23_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.6.1698"},{"key":"e_1_2_9_1_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00050"},{"key":"e_1_2_9_1_25_1","first-page":"12","article-title":"Oil and the U.S. macroeconomy: An update and a simple forecasting exercise","author":"Kliesen K. L.","year":"2008","journal-title":"Federal Reserve Bank of Saint Louis Review"},{"key":"e_1_2_9_1_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.1.35"},{"key":"e_1_2_9_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01743.x"},{"key":"e_1_2_9_1_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20120"},{"key":"e_1_2_9_1_29_1","first-page":"34","article-title":"Oil price uncertainty and industrial production","author":"Pinno K.","year":"2013","journal-title":"The Energy Journal"},{"key":"e_1_2_9_1_30_1","doi-asserted-by":"crossref","unstructured":"Plante M. D. &Traum N.(2012). Time-varying oil price volatility and macroeconomic aggregates. Center for applied economics and policy research (working paper no. 2012-002). Available at SSRN:https:\/\/ssrn.com\/abstract=2005312orhttp:\/\/dx.doi.org\/10.2139\/ssrn.2005312","DOI":"10.2139\/ssrn.2005312"},{"key":"e_1_2_9_1_31_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.41.2.478"},{"key":"e_1_2_9_1_32_1","doi-asserted-by":"publisher","DOI":"10.1596\/1813-9450-6603"},{"key":"e_1_2_9_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2014.12.001"},{"key":"e_1_2_9_1_34_1","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1002\/fut.21982","article-title":"Economic policy uncertainty, CDS spreads, and CDS liquidity provision","volume":"39","author":"Wang Xinjie","year":"2018","journal-title":"Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.22057","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22057","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22057","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22057","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,20]],"date-time":"2023-09-20T02:42:04Z","timestamp":1695177724000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22057"}},"issued":{"date-parts":[[2019,9,10]]},"references-count":33,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2019,12]]}},"alternative-id":["10.1002\/fut.22057"],"URL":"https:\/\/doi.org\/10.1002\/fut.22057","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2019,9,10]]},"assertion":[{"value":"2018-12-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-08-26","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-09-10","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,3,19]],"date-time":"2026-03-19T02:47:09Z","timestamp":1773888429701,"version":"3.50.1"},"reference-count":83,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2016,4,15]],"date-time":"2016-04-15T00:00:00Z","timestamp":1460678400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2016,6]]},"abstract":"Abstract<\/jats:title>We examine convenience yields and risk premiums in the EU\u2010wideemissions trading scheme (EU\u2010ETS) during the first Kyoto commitment period (2008\u20132012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further examine the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU\u2010ETS spot market. Our findings suggest that the drop in risk\u2010free rates during and after the financial crisis has impacted on the deviation from the cost\u2010of\u2010carry relationship for emission allowances (EUA) futures contracts. Our results also illustrate a negative relationship between convenience yields and the increasing level of inventory during the first Kyoto commitment period, providing an explanation for the high negative convenience yields. Finally, we find that market participants are willing to pay an additional risk premium in the futures market for a hedge against increased volatility in EUA prices. Overall, our results contribute to the literature on the determinants and empirical properties of convenience yields and risk premiums for this relatively new class of assets. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:587\u2013611, 2016<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21780","type":"journal-article","created":{"date-parts":[[2016,4,16]],"date-time":"2016-04-16T00:32:43Z","timestamp":1460766763000},"page":"587-611","source":"Crossref","is-referenced-by-count":27,"title":["Convenience Yields and Risk Premiums in the EU\u2010ETS\u2014Evidence from the Kyoto Commitment Period"],"prefix":"10.1002","volume":"36","author":[{"given":"Stefan","family":"Tr\u00fcck","sequence":"first","affiliation":[{"name":"Stefan Tr\u00fcck is at the Faculty of Business and Economics Macquarie University Sydney, New South Wales 2109 Australia"}]},{"given":"Rafa\u0142","family":"Weron","sequence":"additional","affiliation":[{"name":"Rafa\u0142 Weron is at the Department of Operations Research Wroc\u0142aw University of Technology 50\u2010370 Wroc\u0142aw Poland"}]}],"member":"311","published-online":{"date-parts":[[2016,4,15]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"crossref","unstructured":"Benz E. &Hengelbrock J.(2008). Liquidity and price discovery in the European CO2futures market: An intraday analysis. Working paper Bonn Graduate School of Economics.","DOI":"10.2139\/ssrn.1283175"},{"key":"e_1_2_7_3_1","first-page":"4","article-title":"CO2 emission allowances trading in Europe \u2019 specifying a new class of assets","volume":"3","author":"Benz E.","year":"2006","journal-title":"Problems and Perspectives in Management"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.07.003"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00463"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.04.011"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v36.n3.27"},{"key":"e_1_2_7_8_1","doi-asserted-by":"crossref","unstructured":"Bollinger T. &Kind A. H.(2010). Risk premiums in the cross\u2010section of commodity convenience yields. Technical report University of Basel.","DOI":"10.2139\/ssrn.1627373"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.11.009"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2010.06.009"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.06.002"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1110.1358"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00799.x"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04944.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.srfe.2013.01.001"},{"key":"e_1_2_7_16_1","doi-asserted-by":"crossref","unstructured":"Cheng I.\u2010H. &Xiong W.November (2013). The financialization of commodity markets. Working paper 19642 National Bureau of Economic Research.","DOI":"10.3386\/w19642"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2011.639948"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2009.02.008"},{"key":"e_1_2_7_19_1","first-page":"56","article-title":"Modelling the convenience yield in carbon prices using daily and realized measures","volume":"1","author":"Chevallier J.","year":"2009","journal-title":"International Review of Applied Financial Issues and Economics"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2010.09.006"},{"key":"e_1_2_7_21_1","doi-asserted-by":"crossref","unstructured":"Chevallier J.(2012). Econometric analysis of carbon markets. Berlin: Springer.","DOI":"10.1007\/978-94-007-2412-9"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2008.10.006"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2011.02.001"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2011.02.011"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0140-9883(01)00077-9"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.apenergy.2013.03.079"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.01.001"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.2202\/1558-3708.1358"},{"key":"e_1_2_7_30_1","doi-asserted-by":"crossref","unstructured":"Ellerman A. Marcantonini C. &Zaklan A.(2014). The EU ETS: The first eight years. In: Proceedings of the 11th International Conference on the European Energy Market (EEM14). DOI: 10.1109\/EEM.2014.6861262.","DOI":"10.1109\/EEM.2014.6861262"},{"key":"e_1_2_7_31_1","doi-asserted-by":"crossref","first-page":"47","DOI":"10.5547\/ISSN0195-6574-EJ-Vol28-No4-3","article-title":"The efficiency and robustness of allowance banking in the US Acid Rain Program","volume":"28","author":"Ellerman A.","year":"2007","journal-title":"The Energy Journal"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1086\/296385"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_7_34_1","unstructured":"Fichtner W.(2004). Habilitation: Produktionswirtschaftliche planungsaufgaben bei CO2\u2010emissionsrechten als neuen produktionsfaktor. Germany: Universit\u00e4t Karlsruhe (TH)."},{"key":"e_1_2_7_35_1","unstructured":"Geman H.(2005). Commodities and commodity derivatives. New York: Wiley."},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05114.x"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-012-0645-6"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v62.n2.4083"},{"key":"e_1_2_7_39_1","doi-asserted-by":"crossref","unstructured":"Gronwald M. &Hintermann B.(2015). Emissions trading as a policy instrument. Cambridge MA: MIT Press.","DOI":"10.7551\/mitpress\/9780262029285.001.0001"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-4932.2011.00748.x"},{"key":"e_1_2_7_41_1","doi-asserted-by":"crossref","unstructured":"Handika R. &Tr\u00fcck S.(2013). Risk premiums in interconnected Australian electricity futures markets. Centre for Financial Risk Working paper 2014\u201001 Macquarie University.","DOI":"10.2139\/ssrn.2279945"},{"key":"e_1_2_7_42_1","doi-asserted-by":"crossref","first-page":"47","DOI":"10.21314\/JEM.2014.108","article-title":"The forecasting power of medium\u2010term futures contracts","volume":"7","author":"Haugom E.","year":"2014","journal-title":"Journal of Energy Markets"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2012.08.003"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu091"},{"key":"e_1_2_7_45_1","unstructured":"Hicks J.(1946). Value and capital 2nd Edition. London: Oxford University Press."},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2009.07.002"},{"key":"e_1_2_7_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2015.07.007"},{"key":"e_1_2_7_48_1","unstructured":"Hull J. C.(2005). Options futures and other derivatives Sixth Edition. New Jersey: Prentice Hall."},{"key":"e_1_2_7_49_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1158(199910)4:4<271::AID-IJFE110>3.0.CO;2-M"},{"key":"e_1_2_7_50_1","unstructured":"Isenegger P. Wyss R. &Marquardt S.(2013).The valuation of derivatives on carbon emission certificates. Swiss Institute of Banking and Finance University of St. Gallen Switzerland."},{"key":"e_1_2_7_51_1","doi-asserted-by":"publisher","DOI":"10.1080\/096031000331969"},{"key":"e_1_2_7_52_1","doi-asserted-by":"publisher","DOI":"10.3905\/jai.2012.14.3.042"},{"key":"e_1_2_7_53_1","doi-asserted-by":"crossref","unstructured":"Kanamura T.(2015).Dynamic price linkage and volatility structure model between carbon markets. In A. Steland E. Rafaj\u0142owicz & K. Szajowski (Eds.) Stochastic models statistics and their applications. Springer Proceedings in Mathematics and Statistics. Springer International Publishing (Vol. 122 pp.301\u2013308). Berlin: Springer.","DOI":"10.1007\/978-3-319-13881-7_33"},{"key":"e_1_2_7_54_1","unstructured":"Keynes J.(1930). A treatise on money Vol 2. London: Macmillan."},{"key":"e_1_2_7_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2013.10.010"},{"key":"e_1_2_7_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00682.x"},{"key":"e_1_2_7_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2014.11.014"},{"key":"e_1_2_7_58_1","doi-asserted-by":"publisher","DOI":"10.1108\/14777831111159699"},{"key":"e_1_2_7_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.12.005"},{"key":"e_1_2_7_60_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603100150210237"},{"key":"e_1_2_7_61_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603101003636220"},{"key":"e_1_2_7_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.11.001"},{"key":"e_1_2_7_63_1","first-page":"33","article-title":"Do dynamic linkages exist among European carbon markets","volume":"11","author":"Niblock S.","year":"2012","journal-title":"International Business and Economics Research Journal"},{"key":"e_1_2_7_64_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.09.024"},{"key":"e_1_2_7_65_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"e_1_2_7_66_1","doi-asserted-by":"crossref","unstructured":"Prokopczuk M. &Wu Y.(2013). The determinants of convenience yields. Technical report Zeppelin University and ICMA Center University of Reading UK.","DOI":"10.2139\/ssrn.2372838"},{"key":"e_1_2_7_67_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.12.001"},{"key":"e_1_2_7_68_1","doi-asserted-by":"crossref","unstructured":"Roncoroni A. Fusai G.&Cummins M.(2015). Handbook of multi\u2010commodity markets and products: Structuring trading and risk management. New York: Wiley.","DOI":"10.1002\/9781119011590"},{"key":"e_1_2_7_69_1","doi-asserted-by":"crossref","unstructured":"Rouwenhorst K. G. &Tang K.(2012). Commodity investing. Technical report Yale ICF Working paper No. 06\u201012.","DOI":"10.2139\/ssrn.2079664"},{"key":"e_1_2_7_70_1","first-page":"41","article-title":"Proof that properly anticipated prices fluctuate randomly","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_7_71_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"e_1_2_7_72_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.46.7.893.12034"},{"key":"e_1_2_7_73_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2008.03.003"},{"key":"e_1_2_7_74_1","first-page":"7","article-title":"Commodity index investing and commodity futures prices","volume":"20","author":"Stoll H. A.","year":"2010","journal-title":"Journal of Applied Finance"},{"key":"e_1_2_7_75_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v68.n6.5"},{"key":"e_1_2_7_76_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2011.02.005"},{"key":"e_1_2_7_77_1","doi-asserted-by":"crossref","unstructured":"Tr\u00fcck S. H\u00e4rdle W. &Weron R.(2015). The relationship between spot and futures CO2emission allowance prices in the EU\u2010ETS. In M. Gronwald B. Hintermann (Eds.) Emissions trading as a policy instrument (pp.183\u2013212). Cambridge MA: MIT Press.","DOI":"10.7551\/mitpress\/9780262029285.003.0008"},{"key":"e_1_2_7_78_1","doi-asserted-by":"publisher","DOI":"10.3905\/JOD.2009.17.2.073"},{"key":"e_1_2_7_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2005.10.002"},{"key":"e_1_2_7_80_1","doi-asserted-by":"crossref","unstructured":"Weron R.(2006). Modeling and forecasting electricity loads and prices: A statistical approach. Chichester: Wiley.","DOI":"10.1002\/9781118673362"},{"key":"e_1_2_7_81_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2007.05.004"},{"key":"e_1_2_7_82_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2014.03.007"},{"key":"e_1_2_7_83_1","unstructured":"Wooldridge J.(2010). Econometric analysis of cross section and panel data. The MIT Press 2nd Edition Cambridge MA: MIT Press."},{"key":"e_1_2_7_84_1","unstructured":"Zaklan A. Valero V. &Ellerman A.(2014).An analysis of allowance banking in the EU ETS. Working paper EUI RSCAS 2015\/29 Florence School of Regulation Climate."}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21780","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21780","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,15]],"date-time":"2024-06-15T20:07:20Z","timestamp":1718482040000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21780"}},"issued":{"date-parts":[[2016,4,15]]},"references-count":83,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2016,6]]}},"alternative-id":["10.1002\/fut.21780"],"URL":"https:\/\/doi.org\/10.1002\/fut.21780","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,4,15]]}},{"indexed":{"date-parts":[[2026,3,17]],"date-time":"2026-03-17T14:24:54Z","timestamp":1773757494456,"version":"3.50.1"},"reference-count":16,"publisher":"Wiley","issue":"8","license":[{"start":{"date-parts":[[2007,6,19]],"date-time":"2007-06-19T00:00:00Z","timestamp":1182211200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2007,8]]},"abstract":"Abstract<\/jats:title>In this article, the authors reexamine the American\u2010style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American options whose exercise boundary is discontinuous) encountered in the original Geske\u2013Johnson methodology. Furthermore, they propose a numerical method, the Repeated\u2010Richardson extrapolation, which allows the estimation of the interval of true option values and the determination of the number of options needed for an approximation to achieve a given desired accuracy. Using simulation results, our modified Geske\u2013Johnson formula is shown to be more accurate than the original Geske\u2013Johnson formula for pricing American options, especially for nonstandard American options. This study also illustrates that the Repeated\u2010Richardson extrapolation approach can estimate the interval of true American option values extremely well. Finally, the authors investigate the possibility of combining the binomial Black\u2013Scholes method proposed by M. Broadie and J.B. Detemple (1996) with the Repeated\u2010Richardson extrapolation technique. \u00a9 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:791\u2013817, 2007<\/jats:p>","DOI":"10.1002\/fut.20272","type":"journal-article","created":{"date-parts":[[2007,6,19]],"date-time":"2007-06-19T14:46:41Z","timestamp":1182264401000},"page":"791-817","source":"Crossref","is-referenced-by-count":47,"title":["Richardson extrapolation techniques for the pricing of American\u2010style options"],"prefix":"10.1002","volume":"27","author":[{"given":"Chuang\u2010Chang","family":"Chang","sequence":"first","affiliation":[]},{"given":"San\u2010Lin","family":"Chung","sequence":"additional","affiliation":[]},{"given":"Richard C.","family":"Stapleton","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2007,6,19]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00257-X"},{"key":"e_1_2_1_3_1","volume-title":"An introduction to numerical analysis","author":"Atkinson K.E.","year":"1989"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331262"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.4.1211"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(97)00029-8"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04412.x"},{"key":"e_1_2_1_8_1","volume-title":"Efficient quadrature and node positioning for exotic option valuation (Working Paper)","author":"Chung S.L.","year":"2005"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90022-9"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04921.x"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00080"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00049-0"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02578.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.02010"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02165471"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199910)19:7<817::AID-FUT5>3.0.CO;2-D"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20272","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20272","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,14]],"date-time":"2023-11-14T21:24:08Z","timestamp":1699997048000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20272"}},"issued":{"date-parts":[[2007,6,19]]},"references-count":16,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2007,8]]}},"alternative-id":["10.1002\/fut.20272"],"URL":"https:\/\/doi.org\/10.1002\/fut.20272","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2007,6,19]]}},{"indexed":{"date-parts":[[2026,3,17]],"date-time":"2026-03-17T16:31:15Z","timestamp":1773765075453,"version":"3.50.1"},"reference-count":45,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2016,8,19]],"date-time":"2016-08-19T00:00:00Z","timestamp":1471564800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2017,7]]},"abstract":"Abstract<\/jats:title>This study examines the role of extended CSI 300 Index futures trading in price discovery. As a prerequisite for the facilitation of price discovery, we first confirm that extended trading is weak\u2010form efficient and driven by information. We find that the predictability of futures returns during extended trading on the index's overnight returns is strong and improving. More importantly, compared to the index, its futures price exhibits stronger price leadership, particularly in the early synchronous trading hours. Evidence suggests that extended trading facilitates price discovery at the opening and in the early trading hours of the stock market. \u00a9 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:717\u2013740, 2017<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21804","type":"journal-article","created":{"date-parts":[[2016,8,19]],"date-time":"2016-08-19T06:22:46Z","timestamp":1471587766000},"page":"717-740","source":"Crossref","is-referenced-by-count":15,"title":["Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery?"],"prefix":"10.1002","volume":"37","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9160-7291","authenticated-orcid":false,"given":"Sungbin","family":"Sohn","sequence":"first","affiliation":[{"name":"Sungbin Sohn is an Assistant Professor of finance at Peking University HSBC Business School Shenzhen China"}]},{"given":"Xiaofeng","family":"Zhang","sequence":"additional","affiliation":[{"name":"Xiaofeng Zhang is a research analyst at Helijin Technology Shanghai Ltd. Shanghai China"}]}],"member":"311","published-online":{"date-parts":[[2016,8,19]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150405"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.3"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00027-7"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00226"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm079"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg030"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2008.03.001"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90029-B"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/250095"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00249"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.123"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2005.03.001"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/296653"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.5296\/ajfa.v5i1.3365"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20110"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20189"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20118"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.593"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/296072"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392518"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00044-6"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb04054.x"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1046\/j.1540-6261.2003.00609.x"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(94)00064-A"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1093\/revfin\/hhm003"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi023"},{"key":"e_1_2_7_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2015.12.003"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00461"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199604)16:2<147::AID-FUT2>3.0.CO;2-K"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-036X.2007.00412.x"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb04368.x"},{"key":"e_1_2_7_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.5"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20284"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199904)19:2<217::AID-FUT5>3.0.CO;2-8"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.10.029"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199805)18:3<297::AID-FUT4>3.0.CO;2-3"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00139-4"},{"key":"e_1_2_7_41_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20112"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331010"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H"},{"key":"e_1_2_7_44_1","first-page":"711","article-title":"Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach","volume":"13","author":"Wahab M.","year":"1993","journal-title":"Journal of Banking and Finance"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.20514"},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.05.001"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21804","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21804","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21804","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T03:49:21Z","timestamp":1696564161000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21804"}},"issued":{"date-parts":[[2016,8,19]]},"references-count":45,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2017,7]]}},"alternative-id":["10.1002\/fut.21804"],"URL":"https:\/\/doi.org\/10.1002\/fut.21804","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2016,8,19]]}},{"indexed":{"date-parts":[[2025,9,25]],"date-time":"2025-09-25T15:37:27Z","timestamp":1758814647859},"reference-count":25,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2013,3,19]],"date-time":"2013-03-19T00:00:00Z","timestamp":1363651200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2014,5]]},"abstract":"Abstract<\/jats:title>Using a market\u2010level exercise data set and an individual\u2010level trading data set between August 2006 and June 2009, this study examines the incidence of two types of irrational exercise behavior in the Chinese warrants market. We find that 121.64 million shares of warrants (0.64% of all warrants) were either exercised with an immediate loss or failed to be exercised, resulting in foregone risk\u2010free profits. These irrational exercises caused warrant holders to lose over 717.79 million Yuan. Some of the irrational behavior can be attributed to \u201centertainment seeking\u201d and the \u201cT\u2009+\u20091\u201d rule practiced in the Chinese security market, but the majority is attributed to warrant holders' ignorance and\/or negligence of warrant mechanics. Our findings provide additional field evidence of clearly irrational exercise behavior in a derivatives market. We also find that investor education, information and guidance provision can mitigate the incidence of irrational exercise behavior significantly. \u00a9 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:399\u2013419, 2014<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21608","type":"journal-article","created":{"date-parts":[[2013,3,19]],"date-time":"2013-03-19T15:49:53Z","timestamp":1363708193000},"page":"399-419","source":"Crossref","is-referenced-by-count":13,"title":["Exercise to Lose Money? Irrational Exercise Behavior from the Chinese Warrants Market"],"prefix":"10.1002","volume":"34","author":[{"given":"Li","family":"Liao","sequence":"first","affiliation":[{"name":"Li Liao is a Professor at PBC School of Finance at Tsinghua University Beijing, People's Republic of China"}]},{"given":"Zhisheng","family":"Li","sequence":"additional","affiliation":[{"name":"Zhisheng Li is a Professor at the School of Finance at Zhongnan University of Economics and Law Wuhan, People's Republic of China"}]},{"given":"Weiqiang","family":"Zhang","sequence":"additional","affiliation":[{"name":"Weiqiang Zhang is a Postdoctoral Researcher in School of School of Economics and Management at Tsinghua University Beijing, People's Republic of China"}]},{"given":"Ning","family":"Zhu","sequence":"additional","affiliation":[{"name":"Ning Zhu is a Professor at Shanghai Advanced Institute of Finance (SAIF) Shanghai Jiaotong University Shanghai, People's Republic of China and UC Davis, Davis, California"}]}],"member":"311","published-online":{"date-parts":[[2013,3,19]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2010.02183.x"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn046"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00226"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355301556400"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm079"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn035"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00883.x"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.1996.tb01033.x"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0473"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.4.765"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00338"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355399556089"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn049"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01316.x"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01063.x"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000004269"},{"key":"e_1_2_7_18_1","doi-asserted-by":"crossref","unstructured":"Liao L. Li Z. Zhang W. &Zhu N.(2010). Security supply and bubbles: A natural experiment from the Chinese warrants market.Working Paper.","DOI":"10.2139\/ssrn.1909698"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2011.12.007"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00072"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331082"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2007.09.001"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00518"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00066"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.101.6.2723"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00131"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21608","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21608","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T14:27:55Z","timestamp":1696602475000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21608"}},"issued":{"date-parts":[[2013,3,19]]},"references-count":25,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2014,5]]}},"alternative-id":["10.1002\/fut.21608"],"URL":"https:\/\/doi.org\/10.1002\/fut.21608","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2013,3,19]]}},{"indexed":{"date-parts":[[2025,5,19]],"date-time":"2025-05-19T21:01:49Z","timestamp":1747688509381},"reference-count":0,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":1004,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2012,12]]},"DOI":"10.1002\/fut.2012.32.issue-12","type":"journal-issue","created":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T12:48:58Z","timestamp":1698670138000},"source":"Crossref","is-referenced-by-count":1,"prefix":"10.1002","volume":"32","member":"311","container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2012.32.issue-12","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T12:48:58Z","timestamp":1698670138000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/toc\/10969934\/32\/12"}},"issued":{"date-parts":[[2012,12]]},"references-count":0,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2012,12]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.2012.32.issue-12","ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,12]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T09:58:28Z","timestamp":1760522308356,"version":"3.32.0"},"reference-count":32,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T00:00:00Z","timestamp":1441065600000},"content-version":"tdm","delay-in-days":3895,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Fut. Mark."],"published-print":{"date-parts":[[2005,3]]},"DOI":"10.1002\/fut.20139","type":"journal-article","created":{"date-parts":[[2005,1,11]],"date-time":"2005-01-11T20:46:47Z","timestamp":1105476407000},"page":"211-241","source":"Crossref","is-referenced-by-count":27,"title":["Drift matters: An analysis of commodity derivatives"],"prefix":"10.1002","volume":"25","author":[{"given":"Olaf","family":"Korn","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2005]]},"reference":[{"year":"1973","author":"Akaike","key":"10.1002\/fut.20139-BIB1","unstructured":"(1973). Information theory and an extension of the maximum likelihood principle. In & (Eds.), Second international symposium on information theory. Budapest, Akad\u00e9miai Kiad\u00f3."},{"key":"10.1002\/fut.20139-BIB2","doi-asserted-by":"crossref","first-page":"361","DOI":"10.1111\/j.1540-6261.1995.tb05178.x","volume":"50","author":"Bessembinder","year":"1995","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20139-BIB3","first-page":"143","volume":"11","author":"Bollen","year":"1998","journal-title":"Risk"},{"key":"10.1002\/fut.20139-BIB4","volume-title":"Stochastic models and option values, applications to resources, environment and investment problems","author":"Brennan","year":"1991","unstructured":"(1991). The price of convenience and the valuation of commodity contingent claims. In & (Eds.), Stochastic models and option values, applications to resources, environment and investment problems. Amsterdam: North-Holland."},{"key":"10.1002\/fut.20139-BIB5","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1086\/296288","volume":"58","author":"Brennan","year":"1985","journal-title":"Journal of Business"},{"journal-title":"Review of Derivatives Research","year":"inp","author":"B\u00fchler","key":"10.1002\/fut.20139-BIB6"},{"key":"10.1002\/fut.20139-BIB7","volume-title":"NBER macroeconomics annual","author":"Campbell","year":"1991","unstructured":"& (1991). Pitfalls and opportunities: What macroeconomists should know about unit roots. In & (Eds.), NBER macroeconomics annual. Cambridge, MA: MIT Press."},{"year":"2002","author":"Casassus","key":"10.1002\/fut.20139-BIB8","unstructured":"& (2002). Maximal affine model of convenience yields implied from interest rates and commodity futures. Discussion paper, Carnegie Mellon University."},{"key":"10.1002\/fut.20139-BIB9","doi-asserted-by":"crossref","first-page":"14","DOI":"10.3905\/jfi.1993.408090","volume":"3","author":"Chen","year":"1993","journal-title":"Journal of Fixed Income"},{"year":"2003","author":"Cortazar","key":"10.1002\/fut.20139-BIB10","unstructured":"& (2003). A multi-factor stochastic model and estimation procedure for the valuation and hedging of commodity contingent claims. Discussion paper, Pontificia Universidad Catolica de Chile."},{"key":"10.1002\/fut.20139-BIB11","doi-asserted-by":"crossref","first-page":"363","DOI":"10.2307\/1911241","volume":"53","author":"Cox","year":"1985","journal-title":"Econometrica"},{"key":"10.1002\/fut.20139-BIB12","volume-title":"Corporate hedging in theory and practice","author":"Culp","year":"1999","unstructured":"& (1999). Corporate hedging in theory and practice. London: Risk Books."},{"key":"10.1002\/fut.20139-BIB13","first-page":"427","volume":"74","author":"Dickey","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"10.1002\/fut.20139-BIB14","doi-asserted-by":"crossref","first-page":"1287","DOI":"10.1111\/j.1540-6261.1997.tb01111.x","volume":"52","author":"Duffie","year":"1997","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20139-BIB15","doi-asserted-by":"crossref","first-page":"561","DOI":"10.1016\/0165-1889(92)90049-K","volume":"16","author":"Duffie","year":"1992","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1002\/fut.20139-BIB16","doi-asserted-by":"crossref","first-page":"959","DOI":"10.1111\/j.1540-6261.1990.tb05114.x","volume":"45","author":"Gibson","year":"1990","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20139-BIB17","volume-title":"Time series and dynamic models","author":"Gourieroux","year":"1997","unstructured":"& (1997). Time series and dynamic models. Cambridge: Cambridge University Press."},{"key":"10.1002\/fut.20139-BIB18","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1080\/07350015.1994.10524568","volume":"12","author":"Hall","year":"1994","journal-title":"Journal of Business and Economics Statistics"},{"key":"10.1002\/fut.20139-BIB19","volume-title":"Forecasting, structural time series models and the Kalman filter","author":"Harvey","year":"1989","unstructured":"(1989). Forecasting, structural time series models and the Kalman filter. Cambridge: Cambridge University Press."},{"key":"10.1002\/fut.20139-BIB20","doi-asserted-by":"crossref","first-page":"61","DOI":"10.2307\/2331378","volume":"33","author":"Hilliard","year":"1998","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1002\/fut.20139-BIB21","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-662-21901-0","volume-title":"Financial pricing models in continuous time and Kalman filtering","author":"Kellerhals","year":"2001","unstructured":"(2001). Financial pricing models in continuous time and Kalman filtering. Berlin: Springer."},{"key":"10.1002\/fut.20139-BIB22","doi-asserted-by":"crossref","first-page":"159","DOI":"10.1016\/0304-4076(92)90104-Y","volume":"54","author":"Kwiatkowski","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1002\/fut.20139-BIB23","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","volume":"55","author":"Newey","year":"1987","journal-title":"Econometrica"},{"key":"10.1002\/fut.20139-BIB24","doi-asserted-by":"crossref","first-page":"1279","DOI":"10.1111\/j.1540-6261.1994.tb02454.x","volume":"49","author":"Pearson","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20139-BIB25","volume-title":"Energy risk: Valuing and managing energy derivatives","author":"Pilipovic","year":"1998","unstructured":"(1998). Energy risk: Valuing and managing energy derivatives. NewYork: McGraw Hill."},{"key":"10.1002\/fut.20139-BIB26","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1016\/0304-405X(81)90003-9","volume":"9","author":"Richard","year":"1981","journal-title":"Journal of Financial Economics"},{"key":"10.1002\/fut.20139-BIB27","first-page":"385","volume":"26","author":"Ross","year":"1997","journal-title":"Economic Notes by Banca Monte dei Paschi di Siena SpA"},{"key":"10.1002\/fut.20139-BIB28","doi-asserted-by":"crossref","first-page":"1297","DOI":"10.1111\/0022-1082.00248","volume":"55","author":"Routledge","year":"2000","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20139-BIB29","doi-asserted-by":"crossref","first-page":"923","DOI":"10.1111\/j.1540-6261.1997.tb02721.x","volume":"52","author":"Schwartz","year":"1997","journal-title":"Journal of Finance"},{"key":"10.1002\/fut.20139-BIB30","doi-asserted-by":"crossref","first-page":"893","DOI":"10.1287\/mnsc.46.7.893.12034","volume":"46","author":"Schwartz","year":"2000","journal-title":"Management Science"},{"key":"10.1002\/fut.20139-BIB31","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1214\/aos\/1176344136","volume":"6","author":"Schwarz","year":"1978","journal-title":"Annals of Statistics"},{"key":"10.1002\/fut.20139-BIB32","doi-asserted-by":"crossref","first-page":"393","DOI":"10.1002\/fut.10017","volume":"22","author":"S\u00f8rensen","year":"2002","journal-title":"Journal of Futures Markets"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20139","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.20139","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,22]],"date-time":"2024-12-22T14:15:24Z","timestamp":1734876924000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20139"}},"issued":{"date-parts":[[2005]]},"references-count":32,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2005,3]]}},"URL":"https:\/\/doi.org\/10.1002\/fut.20139","ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2005]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:12:05Z","timestamp":1760523125404},"reference-count":16,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2014,4,1]],"date-time":"2014-04-01T00:00:00Z","timestamp":1396310400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"FCT - Funda\u00ef\u00bf\u00bd\u00ef\u00bf\u00bdo para a Ci\u00ef\u00bf\u00bdncia e Tecnologia","award":["PEst-OE\/EGE\/UI0491\/2011"],"award-info":[{"award-number":["PEst-OE\/EGE\/UI0491\/2011"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2015,7]]},"abstract":"This work examines the performance of four different methods to estimate the \u201ctrue\u201d Risk\u2010Neutral Density functions (RNDs) using European options. These methods are the Mixture of Lognormal distributions (MLN), the Smoothed Implied Volatility Smile (SML), the Density Functional Based on the Confluent Hypergeometric function (DFCH), and the Edgeworth expansions (EE). The \u201ctrue\u201d RND is unknown, so it was generated using the stochastic Heston model and considering parameters that reflect the characteristics of the options market for the US dollar and Brazilian real exchange rate (USD\/BRL). We find that the DFCH and MLN have the best performance in capturing the \u201ctrue\u201d RNDs. \u00a9 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:655\u2013678, 2015<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21668","type":"journal-article","created":{"date-parts":[[2014,4,1]],"date-time":"2014-04-01T13:19:57Z","timestamp":1396358397000},"page":"655-678","source":"Crossref","is-referenced-by-count":9,"title":["Implied Risk Neutral Densities From Option Prices: Hypergeometric, Spline, Lognormal, and Edgeworth Functions"],"prefix":"10.1002","volume":"35","author":[{"given":"Andr\u00e9","family":"Santos","sequence":"first","affiliation":[{"name":"Andr\u00e9 Santos is at BPI SA Lisboa Portugal"}]},{"given":"Jo\u00e3o","family":"Guerra","sequence":"additional","affiliation":[{"name":"Jo\u00e3o Guerra is at CEMAPRE and ISEG\u2010Technical University of Lisbon Lisboa Portugal"}]}],"member":"311","published-online":{"date-parts":[[2014,4]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466603195047"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2296188"},{"key":"e_1_2_10_4_1","article-title":"Implied risk\u2010neutral probability density functions from option prices: Theory and application","author":"Bahra B.","year":"1997","journal-title":"Working paper, Bank of England."},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00227-8"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2007.00206.x"},{"key":"e_1_2_10_8_1","article-title":"Testing techniques for estimating implied RNDs from the prices of European and American options","author":"Cooper N.","year":"1999","journal-title":"Working paper, Bank of England."},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199609)16:6<611::AID-FUT1>3.0.CO;2-I"},{"key":"e_1_2_10_10_1","unstructured":"G. H. Espen 2007 Mc\u2010Graw\u2010Hill New York"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90007-1"},{"key":"e_1_2_10_13_1","volume-title":"Financial modeling under non\u2010Gaussian distributions","author":"Jondeau E.","year":"2007"},{"key":"e_1_2_10_14_1","unstructured":"M. Kendall 1945 Charles Griffin London"},{"key":"e_1_2_10_15_1","volume-title":"Options\u2010based estimates of the probability distribution of exchange rates and currency excess returns, mimeo","author":"Malz A. M.","year":"1996"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331318"},{"key":"e_1_2_10_17_1","first-page":"33","article-title":"Bounds of probability","volume":"6","author":"Shimko D. C.","year":"1993","journal-title":"Risk"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21668","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21668","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T06:15:34Z","timestamp":1696572934000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21668"}},"issued":{"date-parts":[[2014,4]]},"references-count":16,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2015,7]]}},"alternative-id":["10.1002\/fut.21668"],"URL":"https:\/\/doi.org\/10.1002\/fut.21668","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2014,4]]}},{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T10:10:41Z","timestamp":1760523041401},"reference-count":18,"publisher":"Wiley","issue":"12","license":[{"start":{"date-parts":[[2012,11,20]],"date-time":"2012-11-20T00:00:00Z","timestamp":1353369600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2013,12]]},"abstract":"This paper examines the heterogeneity of the disposition effect and its impact on profitability among three different types of traders, using complete trading data from Taiwan's futures market. More than 70% of the trading volume on this market comes from retail traders (RTs), with an additional 15% from foreign institutional traders (FIs) and proprietary traders (PTs). Both FIs and RTs exhibit the disposition effect whereas PTs do not, and FIs with a weaker disposition effect outperform RTs. This study provides evidence that RTs with the disposition effect tend to lessen the effect in the next period, exhibiting the phenomenon of mean reversion. While previous studies focus only on the static relationship between the disposition effect and profitability, ours explores the dynamic rather than the static behavior of RTs, providing a more complete and objective idea of their trading behavior. In addition, the positive relationship between the current disposition effect and prior profits suggests that the degree of the disposition effect increases when RTs have prior profits. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:1097\u20131117, 2013<\/jats:p>","DOI":"10.1002\/fut.21588","type":"journal-article","created":{"date-parts":[[2012,11,20]],"date-time":"2012-11-20T16:46:19Z","timestamp":1353429979000},"page":"1097-1117","source":"Crossref","is-referenced-by-count":12,"title":["How Different Types of Traders Behave in the Taiwan Futures Market"],"prefix":"10.1002","volume":"33","author":[{"given":"Hung Chih","family":"Li","sequence":"first","affiliation":[{"name":"Hung Chih Li is a Professor, The Graduate Institute of Finance at the National Cheng Kung University, Tainan, Taiwan"}]},{"given":"Chao Hsien","family":"Lin","sequence":"additional","affiliation":[{"name":"Chao Hsien Lin is an Assistant Professor of Finance, National Kaohsiung First University of Science and Technology, Kaohsiung City, Taiwan"}]},{"given":"Teng Yuan","family":"Cheng","sequence":"additional","affiliation":[{"name":"Teng Yuan Cheng is a Researcher\/Assistant Professor of Finance, National Taiwan University, Taipei, Taiwan and Department of Business Administration, Southern Taiwan University, Tainan, Taiwan"}]},{"given":"Syouching","family":"Lai","sequence":"additional","affiliation":[{"name":"Syouching Lai is an Associate Professor of Accounting and Information System, Chang Jung Christian University, Tainan, Taiwan"}]}],"member":"311","published-online":{"date-parts":[[2012,11,20]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01448.x"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.10.005"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355399556034"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0473"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04599.x"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(03)00194-8"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00338"},{"key":"e_1_2_7_9_1","first-page":"793","article-title":"Loss aversion in futures markets: An empirical test","volume":"13","author":"Heisler J.","year":"1994","journal-title":"Review of Futures Markets"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1037\/h0034747"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1914185"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04559.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1131"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.01.004"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109009090048"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00072"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00139-4"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb05002.x"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2004.08.001"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21588","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21588","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,6]],"date-time":"2023-10-06T04:09:57Z","timestamp":1696565397000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21588"}},"issued":{"date-parts":[[2012,11,20]]},"references-count":18,"journal-issue":{"issue":"12","published-print":{"date-parts":[[2013,12]]}},"alternative-id":["10.1002\/fut.21588"],"URL":"https:\/\/doi.org\/10.1002\/fut.21588","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2012,11,20]]}},{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:59:52Z","timestamp":1761818392000,"version":"build-2065373602"},"reference-count":24,"publisher":"Wiley","issue":"10","license":[{"start":{"date-parts":[[2025,7,21]],"date-time":"2025-07-21T00:00:00Z","timestamp":1753056000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2025,10]]},"abstract":"ABSTRACT<\/jats:title>\n Utilizing a sample of 1899 M&A events from 1996 to 2020, we observe positive and significant abnormal trading volumes in the option market of target firms' rivals, particularly in out\u2010the\u2010money options. Our analysis further explores the underlying reasons for these patterns based on two major theories from existing literature: the acquisition probability theory, which suggests that rivals of target firms experience abnormal returns due to the increased likelihood of future acquisitions, and the collusion theory, which asserts that horizontal mergers lead to enhanced market power and, consequently, abnormal returns for rivals. Our findings support the acquisition probability theory.<\/jats:p>","DOI":"10.1002\/fut.70011","type":"journal-article","created":{"date-parts":[[2025,7,21]],"date-time":"2025-07-21T10:04:18Z","timestamp":1753092258000},"page":"1683-1692","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0009-0004-7230-3024","authenticated-orcid":false,"given":"Mingzhi","family":"Du","sequence":"first","affiliation":[{"name":"The Harbert College of Business Auburn University Auburn Alabama USA"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3061-9528","authenticated-orcid":false,"given":"Jimmy E.","family":"Hilliard","sequence":"additional","affiliation":[{"name":"The Harbert College of Business Auburn University Auburn Alabama USA"}]}],"member":"311","published-online":{"date-parts":[[2025,7,21]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1999.tb00459.x"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2018.3122"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.06.002"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22066"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2020.101654"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01740.x"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm15100455"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/jbfa.12179"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/693563"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.4113"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000023"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq053"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/688176"},{"key":"e_1_2_7_16_1","unstructured":"Ivanov V. I.Kalcheva andJ. Y.Zhang.2021. Informed Option Trading prior to a Corporate Announcement: When the Announcer Has Full Control."},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-679X.2012.00439.x"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465303765299936"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz029"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.79"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01401.x"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1177\/0972150919837080"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00048-3"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/joclec\/nhm029"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.70011","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T09:56:59Z","timestamp":1761818219000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.70011"}},"issued":{"date-parts":[[2025,7,21]]},"references-count":24,"journal-issue":{"issue":"10","published-print":{"date-parts":[[2025,10]]}},"alternative-id":["10.1002\/fut.70011"],"URL":"https:\/\/doi.org\/10.1002\/fut.70011","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2025,7,21]]},"assertion":[{"value":"2024-01-19","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-06-24","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-21","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2025,10,29]],"date-time":"2025-10-29T03:12:04Z","timestamp":1761707524460},"reference-count":17,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2001,12,11]],"date-time":"2001-12-11T00:00:00Z","timestamp":1008028800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[2002,2]]},"abstract":"Abstract<\/jats:title>This article analyzes the relationship between electricity futures prices and natural\u2010gas futures prices. We find that the daily settlement prices of New York Mercantile Exchange's (NYMEX's) California\u2013Oregon Border (COB) and Palo Verde (PV) electricity futures contracts are cointegrated with the prices of its natural\u2010gas futures contract. The coefficient of natural\u2010gas futures prices in our model of COB electricity futures prices is not significantly different from the coefficient of gas prices in our model of PV electricity although there are differences in the production of electricity in these two service areas. The coefficients in our model do reflect differences in the consumption of electricity in the COB and PV service areas, however. Our trading\u2010rule simulations indicate that the statistically significant mean reversion found in the relationship between electricity and natural\u2010gas futures prices also is economically significant in both in\u2010sample and out\u2010of\u2010sample tests. \u00a9 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:95\u2013122, 2002<\/jats:p>","DOI":"10.1002\/fut.2209","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T15:25:40Z","timestamp":1031671540000},"page":"95-122","source":"Crossref","is-referenced-by-count":74,"title":["An analysis of the relationship between electricity and natural\u2010gas futures prices"],"prefix":"10.1002","volume":"22","author":[{"given":"Gary W.","family":"Emery","sequence":"first","affiliation":[]},{"given":"Qingfeng (Wilson)","family":"Liu","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2001,12,11]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1162\/003355397555118"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2286348"},{"key":"e_1_2_1_4_1","volume-title":"Applied econometric time series","author":"Enders W.","year":"1995"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1177\/00131649921970134"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199912)19:8<931::AID-FUT5>3.0.CO;2-L"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990110104"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090504"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(95)00014-3"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392213"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924192"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130107"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140204"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol13-No2-6"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199905)19:3<271::AID-FUT2>3.0.CO;2-P"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990100506"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.2209","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.2209","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,19]],"date-time":"2023-11-19T12:00:50Z","timestamp":1700395250000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.2209"}},"issued":{"date-parts":[[2001,12,11]]},"references-count":17,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2002,2]]}},"alternative-id":["10.1002\/fut.2209"],"URL":"https:\/\/doi.org\/10.1002\/fut.2209","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2001,12,11]]}},{"indexed":{"date-parts":[[2025,11,6]],"date-time":"2025-11-06T19:49:39Z","timestamp":1762458579654},"reference-count":58,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2006,9,15]],"date-time":"2006-09-15T00:00:00Z","timestamp":1158278400000},"content-version":"vor","delay-in-days":5158,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Futures Markets"],"published-print":{"date-parts":[[1992,8]]},"DOI":"10.1002\/fut.3990120405","type":"journal-article","created":{"date-parts":[[2007,7,5]],"date-time":"2007-07-05T19:18:59Z","timestamp":1183663139000},"page":"429-446","source":"Crossref","is-referenced-by-count":20,"title":["Dependence in commodity prices"],"prefix":"10.1002","volume":"12","author":[{"given":"Richard L.","family":"Peterson","sequence":"first","affiliation":[]},{"given":"Christopher K.","family":"Ma","sequence":"additional","affiliation":[]},{"given":"Robert J.","family":"Ritchey","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2006,9,15]]},"reference":[{"key":"e_1_2_1_2_1","first-page":"7","article-title":"Price Movements in Speculative Markets: Trends or Random Walks","volume":"2","author":"Alexander S.","year":"1961","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_3_1","doi-asserted-by":"crossref","unstructured":"Black F.(1989): \u201cMean Reversion and Consumption Smoothing.\u201d NBER Working Paper No. 2946.","DOI":"10.3386\/w2946"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Boughton J. andBranson W.(1988 October): \u201cCommodity Prices As A Leading Indicator of Inflation\u201d NBER Working Paper No. 2750.","DOI":"10.3386\/w2750"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/261502"},{"key":"e_1_2_1_6_1","doi-asserted-by":"crossref","unstructured":"Campbell J. andShiller R.(1988 February): \u201cStock Prices Earnings and Expected Dividends.\u201d NBER Working Paper No. 2511.","DOI":"10.3386\/w2511"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","unstructured":"Cecchetti S. Lam P. andMark N.(1989): \u201cMean Reversion in Equilibrium Asset Prices.\u201d Working Paper Ohio State University Columbus OH.","DOI":"10.3386\/w2762"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/296425"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330882"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/296441"},{"key":"e_1_2_1_11_1","unstructured":"Conrad J. Kaul G. andNimalendran M.(1989): \u201cComponents of Short\u2010Horizon Individual Security Returns \u201d Working Paper University of North Carolina Chapel Hill NC."},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2326280"},{"key":"e_1_2_1_13_1","doi-asserted-by":"crossref","unstructured":"Cutler D. Poterba J. andSummers L.(1988 March): \u201cWhat Moves Stock Prices.\u201d NBER Working Paper No. 2538.","DOI":"10.3386\/w2538"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb05004.x"},{"key":"e_1_2_1_15_1","doi-asserted-by":"crossref","unstructured":"DeLong J. Shleifer A. Summers L. andWaldmann R.(1987): \u201cThe Economic Consequences of Noise Traders.\u201d Working Paper Boston University and NBER.","DOI":"10.3386\/w2395"},{"key":"e_1_2_1_16_1","doi-asserted-by":"crossref","unstructured":"DeLong J. Schleifer A. Summers L. Waldmann R.(1989 March): \u201cThe Size and Incidence of the Losses From Noise Trading\u201d NBER Working Paper No. 2875.","DOI":"10.3386\/w2875"},{"key":"e_1_2_1_17_1","doi-asserted-by":"crossref","unstructured":"DeLong J. Schleifer A. Summers L. andWaldmann R.(1988September): \u201cThe Survival of Noise Traders in Financial Markets\u201d NBER Working Paper No. 2715.","DOI":"10.3386\/w2715"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/260506"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(84)90028-X"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6229.00443"},{"key":"e_1_2_1_21_1","doi-asserted-by":"crossref","unstructured":"Fair R. C.(1989 March): \u201cThe Production Smoothing Model is Alive and Well.\u201d NBER Working Paper No. 2877.","DOI":"10.3386\/w2877"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","unstructured":"Fama E. andFrench K.(1988): \u201cPermanent and Temporary Components of Stock Prices \u201dJournal of Political Economy.","DOI":"10.1086\/261535"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.2307\/1241436"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"e_1_2_1_25_1","doi-asserted-by":"crossref","unstructured":"Friedman B. andKuttner K.(1988 August): \u201cTime\u2010Varying Risk Perceptions and the Pricing of Risky Assets\u201d NBER Working Paper No. 2694.","DOI":"10.3386\/w2694"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6229.00415"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6288.1984.tb00652.x"},{"key":"e_1_2_1_28_1","first-page":"623","article-title":"Economic Theory of Choice and the Preference Reversal Phenomenon","volume":"69","author":"Grether D. M.","year":"1979","journal-title":"American Economic Review"},{"key":"e_1_2_1_29_1","first-page":"222","article-title":"The Determinants of the Variability of Stock Market Prices","volume":"71","author":"Grossman S.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_1_30_1","doi-asserted-by":"crossref","unstructured":"Haubrich J. andLo A.(1989 April): \u201cThe Sources and Nature of Long\u2010Term Memory in the Business Cycle.\u201d NBER Working Paper No. 2951.","DOI":"10.3386\/w2951"},{"key":"e_1_2_1_31_1","first-page":"560","article-title":"The Origin of Predictable Behavior","volume":"83","author":"Heiner R.","year":"1983","journal-title":"American Economic Review"},{"key":"e_1_2_1_32_1","first-page":"164","article-title":"Systematic and Random Elements in Short\u2010Term Price Movements","volume":"29","author":"Houthakker H.","year":"1934","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_33_1","volume-title":"Judgement Under Uncertainty: Heuristics and Biases","author":"Kahneman D.","year":"1981"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.2307\/2980947"},{"key":"e_1_2_1_35_1","doi-asserted-by":"crossref","unstructured":"Kim M. J. Nelson C. andStartz R.(1988 December): \u201cMean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence.\u201d NBER Working Paper No. 2795.","DOI":"10.3386\/w2795"},{"key":"e_1_2_1_36_1","doi-asserted-by":"crossref","unstructured":"Lehmann B.(1988): \u201cFads Martingales and Market Efficiency \u201dQuarterly Journal of Economics.","DOI":"10.3386\/w2533"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.41"},{"key":"e_1_2_1_38_1","doi-asserted-by":"crossref","unstructured":"Lo W. andMacKinlay C.(1989 May): \u201cAn Econometric Analysis of Nonsynchronous Trading.\u201d NBER Working Paper No. 2960.","DOI":"10.3386\/w2960"},{"key":"e_1_2_1_39_1","doi-asserted-by":"crossref","unstructured":"Lo W.(1989 May): \u201cLong Term Memory in Stock Market Prices.\u201d NBER Working Paper No. 2984.","DOI":"10.3386\/w2984"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1080\/02640828608723910"},{"key":"e_1_2_1_41_1","unstructured":"Ma C.(1989): \u201cOverreactions in Commodity Prices.\u201d Working paper."},{"key":"e_1_2_1_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.2.137"},{"key":"e_1_2_1_43_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1966.10482183"},{"key":"e_1_2_1_44_1","doi-asserted-by":"crossref","unstructured":"Paterba J. andSummers L.(1987 August): \u201cMean Reversions in Stock Prices: Evidence and Implications\u201d NBER Working Paper No. 2343.","DOI":"10.3386\/w2343"},{"key":"e_1_2_1_45_1","doi-asserted-by":"crossref","unstructured":"Pindyck R. andRotemberg J.(1988 July): \u201cThe Excess Co\u2010Movement of Commodity Prices\u201d NBER Working Paper No. 2671.","DOI":"10.3386\/w2671"},{"key":"e_1_2_1_46_1","first-page":"569","article-title":"Economic Theory of Choice and Preference Reversal Phenomenon: A Reexamination","volume":"72","author":"Pommerehne W.","year":"1982","journal-title":"American Economic Review"},{"key":"e_1_2_1_47_1","first-page":"460","article-title":"Does Futures Trading Reduce Price Fluctuations in the Cash Markets?","volume":"61","author":"Powers M.","year":"1971","journal-title":"American Economic Review"},{"key":"e_1_2_1_48_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1959.tb00481.x"},{"key":"e_1_2_1_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb03897.x"},{"key":"e_1_2_1_50_1","first-page":"41","article-title":"Proof that Properly Anticipated Prices Fluctuate Randomly","volume":"6","author":"Samuelson P.","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_1_51_1","unstructured":"Shefrin H. andStatman M.(1989): \u201cNoise Trading and Efficiency in Behavioral Finance.\u201d Working Paper Santa Clara University Santa Clara CA."},{"key":"e_1_2_1_52_1","first-page":"421","article-title":"Do Stock Prices Move too Much to be Justified by Subsequent Changes in Dividends?","volume":"71","author":"Shiller R.","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_1_53_1","doi-asserted-by":"crossref","unstructured":"Shiller R.(1989 February): \u201cComovements in Stock Prices and Comovements in Dividends\u201d NBER Working Paper No. 2846.","DOI":"10.3386\/w2846"},{"key":"e_1_2_1_54_1","first-page":"596","article-title":"Preference Reversals: A Broader Perspective","volume":"83","author":"Slovic P.","year":"1983","journal-title":"American Economic Review"},{"key":"e_1_2_1_55_1","doi-asserted-by":"crossref","unstructured":"Stein J.(1989 September): \u201cOverreactions in the Options Market \u201dJournal of Finance.","DOI":"10.1111\/j.1540-6261.1989.tb02635.x"},{"key":"e_1_2_1_56_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04519.x"},{"key":"e_1_2_1_57_1","unstructured":"Tintner G.(1940):The Difference Method.Bloomington IN."},{"key":"e_1_2_1_58_1","doi-asserted-by":"crossref","unstructured":"West K. D.(1987 December): \u201cBubbles Fads and Stock Price Volatility Tests: A Partial Evaluation.\u201d NBER Working Paper No. 2574.","DOI":"10.3386\/w2574"},{"key":"e_1_2_1_59_1","doi-asserted-by":"crossref","first-page":"11","DOI":"10.1080\/01621459.1934.10502683","article-title":"A Random Difference Series for Use in the Analysis of Time Series","volume":"29","author":"Working H.","year":"1934","journal-title":"Journal of the American Statistical Association"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120405","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990120405","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990120405","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,28]],"date-time":"2023-09-28T02:54:53Z","timestamp":1695869693000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990120405"}},"issued":{"date-parts":[[1992,8]]},"references-count":58,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1992,8]]}},"alternative-id":["10.1002\/fut.3990120405"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990120405","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[1992,8]]}}],"items-per-page":1000,"query":{"start-index":0,"search-terms":null}}}