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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. 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The proposed mean\u2010GSV (M\u2010GSV) hedge ratio is consistent with the GSV\u2010based risk\u2013return model developed by Fishburn (1977), Bawa (1975, 1978), and Harlow and Rao (1989). The M\u2010GSV hedge ratio can also be considered an extension of the GSV\u2010minimizing hedge ratio considered by De Jong, De Roon, and Veld (1997) and Lien and Tse (1998, 2000). The M\u2010GSV hedge ratio is estimated for Standard &amp; Poor's (S&amp;P) 500 futures and compared to six other widely used hedge ratios. Because all the hedge ratios considered are known to converge to the minimum\u2010variance (Johnson) hedge ratio under joint normality and martingale conditions, tests for normality and martingale conditions are carried out. The empirical results indicate that the joint normality and martingale hypotheses do not hold for the S&amp;P 500 futures. The M\u2010GSV hedge ratio varies less than the GSV hedge ratio for low and relevant levels of risk aversion. 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More exactly, the newly introduced <jats:italic>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 <jats:italic>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 <jats:italic>iTraxx Greater China<\/jats:italic> index, the major stock indexes covering mainland China are found to be particularly uncorrelated with the CDS index. 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We test the forecasting regressions which predict the S&amp;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":"2022-12-28T06:39:22Z","timestamp":1672209562000},"page":"437-454","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"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"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jiancheng","family":"Shen","sequence":"additional","affiliation":[{"name":"Department of Finance Business School, Soochow University  Suzhou China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Xinbei","family":"Wei","sequence":"additional","affiliation":[{"name":"Department of Finance School of Economics, Shandong University  Jinan China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"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"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"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. 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Griffith J. Najand M. &Sun L.(2021).Predicting stock and bond market returns with emotions: Evidence from futures markets.Journal of Behavioral Finance. 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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":15,"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":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"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. 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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":[[2026,7,24]],"date-time":"2026-07-24T17:17:29Z","timestamp":1784913449438,"version":"3.55.0"},"reference-count":30,"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":"<jats:title>Abstract<\/jats:title><jats:p>This article examines how and to what extent direct market intervention by the Hong Kong government in both the stock and futures markets affected\nthe pricing relationship between the Hang Seng Index futures and the cash index during the period of the Asian financial crisis. The study avoids\ninfrequent trading and nonexecution problems by using tradeable bid and offer quotes for the constituent stocks of the index. The results show that\narbitrage efficiency was impeded during, and in the immediate aftermath of, the intervention. The findings suggest that discretionary government action\nintroduces an additional risk factor for arbitrageurs that continues to disrupt normal market processes even after the government ceases to intervene.\nThe continued disruption following the government's actions in the market also stems from a poorly developed stock loan market that impedes short\nselling, as well as a lack of liquidity in the market. \u00a9 2003 Wiley Periodicals, Inc. 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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":1,"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 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Using the index and sector exchange\u2010traded fund options, we construct\u2010sector VRPs and cross\u2010sector IC measures. Sector VRPs predict sector returns, and adding the average sector VRP with IC improves predictability. Combining the average sector VRP and IC outperforms the market VRP in predicting market returns both in\u2010sample and out\u2010of\u2010sample and generates sizeable economic values. We document a strong spillover effect from sector VRPs to the market VRP. 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The U.S. stock market is the center of the network and plays a dominant role in the spread of volatility spillover to other markets. The global systemic risks have intensified since the Federal Reserve exited from quantitative easing, hiked interest rate, and shrank its balance sheet. We further show that the U.S. monetary tightening is an important catalyst for the intensifying global systemic risk. Our findings highlight the pernicious effects of monetary tightening after an era of cheap money.<\/jats:p>","DOI":"10.1002\/fut.22078","type":"journal-article","created":{"date-parts":[[2019,11,21]],"date-time":"2019-11-21T05:16:02Z","timestamp":1574313362000},"page":"392-409","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":36,"title":["Systemic risk in global volatility spillover networks: Evidence from option\u2010implied volatility indices"],"prefix":"10.1002","volume":"40","author":[{"given":"Zihui","family":"Yang","sequence":"first","affiliation":[{"name":"Department of Finance, Lingnan College Sun Yat\u2010Sen University Guangzhou China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3557-076X","authenticated-orcid":false,"given":"Yinggang","family":"Zhou","sequence":"additional","affiliation":[{"name":"Center for Macroeconomic Research &amp; Department of Finance at School of Economics, and Wang Yanan Institute for Studies in Economics Xiamen University Xiamen China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Xin","family":"Cheng","sequence":"additional","affiliation":[{"name":"Department of Finance, School of Economics Xiamen University Xiamen China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2019,11,20]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA9623"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20130456"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12122"},{"key":"e_1_2_8_5_1","first-page":"367","volume-title":"The network challange","author":"Allen F.","year":"2009"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12038"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs094"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07205"},{"key":"e_1_2_8_9_1","unstructured":"Bernanke B. 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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. 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This study examines the information content of trading in the short\u2010sale\u2010prohibited domestic warrant market before the interim accounting disclosures by adopting an implied volatility skew (IV skew) as a proxy for informed trading. We find a significantly negative relationship between the pre\u2010announcement abnormal IV skew of warrants and cumulative abnormal stock return around monthly\u2010revenue disclosures. The results of the placebo test further suggest that the return predictability of the IV skew is not prevalent in normal periods, but only the pre\u2010announcement IV skew possesses predictive power toward future stock returns. Furthermore, the predictability of warrants' IV skew on monthly\u2010revenue announcement return is stronger when the underlying stocks are priced high and weaker when some information about unpublished revenues has been reflected by pre\u2010announcement stock returns. 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models\nof conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We\nalso assess the relevance of the additional information provided by the implied volatility in a risk management\nframework. It is first shown that past squared returns only marginally improve the information content provided\nby the lagged implied volatility. Secondly, value\u2010at\u2010risk (VaR) models that rely\nexclusively on lagged implied volatility perform as well as VaR models where the conditional variance is\nmodelled according to GARCH type processes. These results indicate that the implied volatility for options on\nfutures contracts in agricultural commodity markets provides relevant volatility information that can be used as\nan input to VaR models. \u00a9 2003 Wiley Periodicals, Inc. 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E.(1998).Commentary on \u201cHedging vega risk with the volax futures: Some first results.\u201d Paper presented at 11th Annual CBT European Futures Research Symposium Marseille France."},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2000.319728"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"http:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20181","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20181","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T08:18:04Z","timestamp":1700036284000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20181"}},"issued":{"date-parts":[[2005,11,16]]},"references-count":45,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2006,1]]}},"alternative-id":["10.1002\/fut.20181"],"URL":"https:\/\/doi.org\/10.1002\/fut.20181","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":[[2025,10,17]],"date-time":"2025-10-17T20:03:09Z","timestamp":1760731389158,"version":"3.37.3"},"reference-count":39,"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":"<jats:title>Abstract<\/jats:title><jats:p>We examine the effect of the oil and gas firms' use of derivatives for hedging risks on the marginal value of cash holdings. Analyzing 155 U.S. oil and gas producers from 1998 to 2017, we find that the use of derivatives for hedging risks, especially oil and gas\u2010related risk, reduces the marginal value of corporate cash holdings. Furthermore, the effect of using derivatives is stronger for firms exposed to higher risk. Our findings imply that cash holdings and derivatives use act as substitutes in hedging risk in this industry.<\/jats:p>","DOI":"10.1002\/fut.22173","type":"journal-article","created":{"date-parts":[[2020,11,10]],"date-time":"2020-11-10T14:54:14Z","timestamp":1605020054000},"page":"361-383","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8793-6095","authenticated-orcid":false,"given":"Sanghak","family":"Choi","sequence":"first","affiliation":[{"name":"Department of Management Engineering Ulsan National Institute of Science and Technology Ulsan Korea"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2237-0080","authenticated-orcid":false,"given":"Hyeonung","family":"Jang","sequence":"additional","affiliation":[{"name":"Department of Management Engineering Ulsan National Institute of Science and Technology Ulsan Korea"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Daejin","family":"Kim","sequence":"additional","affiliation":[{"name":"School of Business Administration Ulsan National Institute of Science and Technology Ulsan Korea"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"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 Korea"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2020,11,10]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2018.11.006"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2013.11.011"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.243"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00679.x"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000275"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901700117X"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01492.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01681.x"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.02.006"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1755-053X.2006.tb00131.x"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.03.007"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp031"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rft006"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.12.006"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00894.x"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2017.05.017"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05123.x"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.04.004"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00179-X"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb01112.x"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2006.05.002"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.05.007"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00202"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00858.x"},{"volume-title":"The general theory of employment, interest and money","year":"1936","author":"Keynes J. 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Publicly available; data set can be hand collected from Form 10\u2010K filings."},{"key":"e_1_2_9_38_1","unstructured":"U.S. firm financial data. Not publicly available; data set can be acquired by paying a data license fee in COMPUSTAT."},{"key":"e_1_2_9_39_1","unstructured":"U.S. firm stock price data. Not publicly available; data set can be acquired by paying a data license fee in CRSP."},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2017.10.017"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22173","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22173","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22173","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T20:40:47Z","timestamp":1693687247000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22173"}},"issued":{"date-parts":[[2020,11,10]]},"references-count":39,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2021,3]]}},"alternative-id":["10.1002\/fut.22173"],"URL":"https:\/\/doi.org\/10.1002\/fut.22173","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":"2020-10-13","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-10-15","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":[[2026,6,6]],"date-time":"2026-06-06T11:01:54Z","timestamp":1780743714056,"version":"3.54.1"},"reference-count":61,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2026,4,14]],"date-time":"2026-04-14T00:00:00Z","timestamp":1776124800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2026,4,14]],"date-time":"2026-04-14T00:00:00Z","timestamp":1776124800000},"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":[[2026,7]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>\n                    This study investigates how extreme return components (\n                    <jats:italic>MAXs<\/jats:italic>\n                    ) of smart beta exchange\u2010traded funds (ETFs) influence heterogeneous investor choice. We find that extreme overnight returns (overnight\n                    <jats:italic>MAXs<\/jats:italic>\n                    ) have substantial ETFs' flow predictability above and beyond that provided by standard risk, performance, and market\u2010timing measures. This suggests that individual investors tend to choose funds based on historical overnight\n                    <jats:italic>MAXs<\/jats:italic>\n                    . The persistence of overnight\n                    <jats:italic>MAXs<\/jats:italic>\n                    supports the lottery preference theory, which posits that retail investors disproportionately focus on the likelihood of high payoff states in a fund's past return distribution. Furthermore, we demonstrate that overnight and intraday\n                    <jats:italic>MAXs<\/jats:italic>\n                    negatively and positively predict future smart beta ETFs' performance, respectively. This divergence indicates that heterogeneous investors hold varying beliefs and employ distinct trading activities with respect to those lottery\u2010like fund return distributions. Finally, we show that investor attention is beneficial to explain our findings.\n                  <\/jats:p>","DOI":"10.1002\/fut.70105","type":"journal-article","created":{"date-parts":[[2026,4,14]],"date-time":"2026-04-14T08:13:37Z","timestamp":1776154417000},"page":"1213-1233","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Fund Extreme Performance and Heterogeneous Investor Choice: Evidence From Smart Beta ETFs"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7229-6742","authenticated-orcid":false,"given":"Xiaoqun","family":"Liu","sequence":"first","affiliation":[{"name":"International Business School Hainan University Haikou Hainan China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Youcong","family":"Chao","sequence":"additional","affiliation":[{"name":"School of Liberal Arts and Sciences North China Institute of Aerospace Engineering Langfang Hebei China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yihao","family":"Huang","sequence":"additional","affiliation":[{"name":"International Business School Hainan University Haikou Hainan China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Hangjian","family":"Yu","sequence":"additional","affiliation":[{"name":"Vivo Mobile Internet Center, Vivo Shenzhen Guangdong China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2026,4,14]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000989"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109021000211"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2021.09.019"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018001345"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109012000592"},{"key":"e_1_2_11_7_1","doi-asserted-by":"crossref","unstructured":"Aragon G. O. Y.Tserlukevich J.Keen andM.Wymbs.2024. \u201cInvestor Attention and Mutual Fund Performance.\u201d Working paper.https:\/\/ssrn.com\/abstract=4641951.","DOI":"10.2139\/ssrn.4641951"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.07.006"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.11.003"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109017000928"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.014"},{"key":"e_1_2_11_12_1","volume-title":"Attention, Social Interaction, and Investor Attraction to Lottery Stocks","author":"Bali T. 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Using as factor proxies the level, volatility, and slope of the zero\u2010coupon government yield curve as well as the Treasury\u2010bill\u2014London Interbank Offer Rate (LIBOR) spread and the corporate bond spread, we identify a procyclical behavior for the short\u2010maturity U.S. swap spreads and a countercyclical behavior for longer maturity U.S. swap spreads. Liquidity and corporate bond spreads are also significant, but their importance varies with maturity. The liquidity premium is more important for short\u2010maturity swap spreads, although the corporate bond spread affects long\u2010maturity swap spreads. For the United Kingdom, swap spreads are countercyclical across maturities. In addition, we find that shocks to the liquidity premium are more significant for long\u2010maturity swaps and that the links between corporate bond markets and swap markets are much stronger than in the United States. When we look at the links between U.S. and U.K. swap markets, we identify a significant influence of the U.S. factors on the U.K. swap spreads across maturities. \u00a9 2001 John Wiley &amp; Sons, Inc. 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Using the date that Lehman Brothers filed for bankruptcy as the starting date of financial crisis, we find that, before the crisis, the dependences between Chinese Yuan and four out of five other Asian pacific currencies under consideration are much stronger when Chinese Yuan against the U.S. dollar depreciates than when it appreciates. During the crisis, the asymmetric tail dependences still prevail with the magnitude of both upper and lower tail dependences as well as correlation increasing substantially. The dynamic and asymmetric dependence structure documented in this study has important implications for the investors in the region. \u00a9 2013 Wiley Periodicals, Inc. 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It is often\n\nargued that futures prices include a convenience yield, and this article uses a simple trading strategy to\n\napproximate the impact of convenience yields. The approximation requires only three variables\u2014underlying\n\nasset price volatility, futures contract price volatility, and the futures contract time to maturity. The\n\napproximation is tested using spot and futures prices from the London Metals Exchange contracts for copper,\n\nlead, and zinc with quarterly observations drawn from a 25\u2010year period from 1975 to 2000. Matching\n\nEuro\u2010Market interest rates are used to estimate the risk\u2010free rate. The convenience yield\n\napproximation is both statistically and economically important in explaining variation between the futures price\n\nand the spot price after adjustment for interest rates. \u00a9 2002 Wiley Periodicals, Inc. 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This study examines the efficiency of the original futures market by applying\ntime\u2010series analysis to data on futures prices from Japan's Tokugawa era\n(1603\u20131867). The results of cointegration tests indicate that the futures market functioned\nefficiently during the first sample period (1763\u20131780), but its efficiency declined during the\nsecond sample period (1851\u20131864). \u00a9 2001 John Wiley &amp; Sons, Inc. 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Chicago, Illinois, April 20\u201321, pp. 59\u201374."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB12","author":"Garcia","year":"1994","unstructured":", , and (1994): \u201cNew Evidence on the Value of Public Information in Commodity Markets,\u201d Paper No. 94-04 Office of Futures and Options Research, University of Illinois at Urbana-Champaign."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB13","doi-asserted-by":"crossref","first-page":"145","DOI":"10.2307\/1349178","volume":"2","author":"Hoffmann","year":"1980","journal-title":"North Central Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB14","author":"Hudson","year":"1984","unstructured":", and (June, 1984): \u201cThe Impact of Hog and Pig Reports on Live Hog Futures Prices: An Event Study of Market Efficiency,\u201d Bulletin No. AE-54 Department of Agricultural Economics, Virginia Polytechnic Institute and State University."},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB15","doi-asserted-by":"crossref","first-page":"872","DOI":"10.2307\/1240383","volume":"65","author":"Just","year":"1983","journal-title":"American Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB16","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(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB17","doi-asserted-by":"crossref","first-page":"374","DOI":"10.2307\/2490871","volume":"19","author":"Morse","year":"1981","journal-title":"Journal of Accounting Research"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB18","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1017\/S0081305200014746","volume":"2","author":"Miller","year":"1979","journal-title":"Southern Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB19","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(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB20","doi-asserted-by":"crossref","first-page":"293","DOI":"10.2307\/1349379","volume":"12","author":"Schroder","year":"1990","journal-title":"North Central Journal of Agricultural Economics"},{"key":"10.1002\/(SICI)1096-9934(199605)16:3<273::AID-FUT2>3.0.CO;2-G-BIB21","author":"U. 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A theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value theory is suggested. The approach is then exemplified with a study of the increasingly popular iTraxx Europe CDS index market. Although this market is not organized through an exchange and is not a futures market, the empirical results together with an arbitrage argument nonetheless suggest margin levels in a future exchange\u2010traded CDS index futures market computed using extreme value theory to be superior to those computed using the traditional normal distribution or the actual historical distribution. \u00a9 2007 Wiley Periodicals, Inc. 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Eurex."},{"key":"e_1_2_1_13_1","first-page":"180","volume-title":"Limiting forms of the frequency distribution of the largest or smallest member of a sample","author":"Fisher R.","year":"1928"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990060211"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1968974"},{"key":"e_1_2_1_16_1","series-title":"International Futures Trading Proceedings","author":"Gray R.","year":"1979"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.7312\/gumb92958"},{"issue":"12","key":"e_1_2_1_18_1","article-title":"The Merc tackles credit derivatives","volume":"3","author":"Hunter R.","year":"1998","journal-title":"Derivatives Strategy"},{"key":"e_1_2_1_19_1","first-page":"263","article-title":"Optimizing futures margins with distribution tails","volume":"6","author":"Kofman P.","year":"1993","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199904)19:2<127::AID-FUT1>3.0.CO;2-M"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(00)00012-8"},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176343003"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-0348-6336-0"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.20234","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.20234","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,15]],"date-time":"2023-11-15T09:14:17Z","timestamp":1700039657000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.20234"}},"issued":{"date-parts":[[2006,11,10]]},"references-count":22,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2007,1]]}},"alternative-id":["10.1002\/fut.20234"],"URL":"https:\/\/doi.org\/10.1002\/fut.20234","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"published":{"date-parts":[[2006,11,10]]}},{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T16:02:09Z","timestamp":1759939329250},"reference-count":25,"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":"<jats:title>Abstract<\/jats:title><jats:p>This study presents the first examination of the value associated with long\u2010term U.S. Treasury bonds related to their delivery eligibility in the Treasury bond futures market. The opportunity for study has recently become possible given the reduced maturity of Treasury's noncallable bonds in the market. Consistent with rational behavior, deliverable bonds are found to be more valuable than otherwise comparable, ineligible bonds, and the estimated premia are larger than those previously documented for deliverable bills. However, although detectable and statistically significant, the deliverability component of a cash bond's value is somewhat modest in economic terms; some policy implications of this result are discussed. \u00a9 2008 Wiley Periodicals, Inc. 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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. 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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. 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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&amp;P500 index options. \u00a9 2015 Wiley Periodicals, Inc. 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How high\u2010frequency trading hit a speed bump.Financial Times.https:\/\/www.ft.com\/content\/d81f96ea-d43c-11e7-a303-9060cb1e5f44"},{"key":"e_1_2_9_37_1","article-title":"Virtu Financial set to seal takeover of KCG Holdings","author":"Rennison J.","year":"2017","journal-title":"Financial Times"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2012.05.003"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.09.016"},{"key":"e_1_2_9_40_1","article-title":"High speed trader DRW acquires Texas rival as pressure to consolidate mounts","author":"Stafford P.","year":"2017","journal-title":"Financial Times"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22281","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/fut.22281","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.22281","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,28]],"date-time":"2023-08-28T04:52:33Z","timestamp":1693198353000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22281"}},"issued":{"date-parts":[[2021,11,11]]},"references-count":39,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,2]]}},"alternative-id":["10.1002\/fut.22281"],"URL":"https:\/\/doi.org\/10.1002\/fut.22281","archive":["Portico"],"ISSN":["0270-7314","1096-9934"],"issn-type":[{"type":"print","value":"0270-7314"},{"type":"electronic","value":"1096-9934"}],"published":{"date-parts":[[2021,11,11]]},"assertion":[{"value":"2021-09-29","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-10-02","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-11-11","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]},{"indexed":{"date-parts":[[2026,5,16]],"date-time":"2026-05-16T06:07:43Z","timestamp":1778911663092,"version":"3.51.4"},"reference-count":22,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T00:00:00Z","timestamp":1773014400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"},{"start":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T00:00:00Z","timestamp":1773014400000},"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":[[2026,6]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>\n                    Our paper studies the option market reactions to judicial decisions in the United States Supreme Court (SCOTUS) relating to cases where at least one party involved is a public firm. Prior research finds the stock market is unable to anticipate SCOTUS's actions and registers a significant negative stock market reaction to the grant of\n                    <jats:italic>certiorari<\/jats:italic>\n                    (acceptance of a petition to review a lower court's decision) for respondents and, surprisingly, for petitioners as well. We show the negative price reaction for both petitioner and respondent firms is a consequence of increased uncertainty. We also provide evidence that on the day\n                    <jats:italic>certiorari<\/jats:italic>\n                    is granted, the option market anticipates the final decision by SCOTUS. We believe we are the first to study the ability of futures markets to predict SCOTUS decisions.\n                  <\/jats:p>","DOI":"10.1002\/fut.70094","type":"journal-article","created":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T08:44:37Z","timestamp":1773045877000},"page":"1022-1031","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Option Market Value\u2010Based Reaction and Anticipation of Corporate\u2010Related Decisions by the United States Supreme Court"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6577-2410","authenticated-orcid":false,"given":"Yehuda","family":"Davis","sequence":"first","affiliation":[{"name":"Sy Syms School of Business Yeshiva University New York New York USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8920-8470","authenticated-orcid":false,"given":"Suresh","family":"Govindaraj","sequence":"additional","affiliation":[{"name":"Rutgers Business School \u2010 Newark and New Brunswick Rutgers University New Brunswick New Jersey USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yi","family":"Liu","sequence":"additional","affiliation":[{"name":"Rutgers Business School \u2010 Newark and New Brunswick Rutgers University New Brunswick New Jersey USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2304-341X","authenticated-orcid":false,"given":"Kate","family":"Suslava","sequence":"additional","affiliation":[{"name":"Freeman College of Management Bucknell University Lewisburg Pennsylvania USA"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2026,3,9]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1911-3846.1997.tb00531.x"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12181"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v31.n4.36"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/429654"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb03808.x"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901000013X"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.gfj.2024.100946"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1086\/651511"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405x(93)90023-5"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/jbfa.12443"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.008"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pone.0174698"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01352.x"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj024"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.11.004"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/4099370"},{"key":"e_1_2_13_19_1","unstructured":"Spaeth H. J. L.Epstein A. D.Martin J. A.Segal T. J.Ruger andS. C.Benesh.2025. Supreme Court Database Version 2025 Release 01."},{"issue":"2","key":"e_1_2_13_20_1","first-page":"237","article-title":"An Empirical Analysis of Supreme Court Certiorari Petition Procedures: The Call for Response and the Call for the Views of the Solicitor General","volume":"16","author":"Thompson D. 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Their main characteristic is the combined put and call feature. The holder has the right to exercise prematurely choosing the option's style\u2014put or call. We abandon the traditional assumption that the put strike is below the call one considering arbitrary values. We also assume that the put and call weights are different. The equations for the early exercise boundaries are derived in the perpetual case. After that we approximate numerically these boundaries for the finite maturity options maximizing the option holder's utility. On the basis of them we apply a Crank\u2013Nicolson finite difference method to the corresponding Black\u2013Scholes\u2010style partial differential equation to obtain the fair option price.<\/jats:p>","DOI":"10.1002\/fut.22419","type":"journal-article","created":{"date-parts":[[2023,4,12]],"date-time":"2023-04-12T06:23:20Z","timestamp":1681280600000},"page":"880-903","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":8,"title":["American strangle options with arbitrary strikes"],"prefix":"10.1002","volume":"43","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1118-4189","authenticated-orcid":false,"given":"Tsvetelin S.","family":"Zaevski","sequence":"first","affiliation":[{"name":"Institute of Mathematics and Informatics, Bulgarian Academy of Sciences  Sofia 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This paper discusses how to price piecewise linear double barrier options. To this purpose, we derive the probability that an underlying process does not cross a given piecewise linear double barrier, where the underlying process follows the Brownian motion of piecewise constant drift. 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(2010).Municipal market and index primer. 18 October 2010."},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2009.03.011"},{"key":"e_1_2_7_6_1","unstructured":"Bernanke B. S.(2007).Globalization and monetary policy. Remarks at the Fourth Economic Summit Stanford Institute for Economic Policy Research Stanford California March 2 2007."},{"key":"e_1_2_7_7_1","unstructured":"Bernanke B. S.(2010).The economic outlook and monetary policy. Remarks at the Federal Reserve Bank of Kansas City Economic Symposium Jackson Hole Wyoming August 27 2010."},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00760.x"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.46.4.910"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(89)90025-1"},{"key":"e_1_2_7_11_1","doi-asserted-by":"crossref","unstructured":"D'Amico S. &King T.(2010).Flow and stock effects of large\u2010scale treasury purchases. 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The unified view also facilitates comparisons of computational efficiency among numerous lattice\napproaches and explicit finite difference methods. We use the root\u2010mean\u2010squared relative error and\nthe minimum convergence step to evaluate the accuracy and efficiency for alternative option pricing approaches.\nThe numerical results show that the equal\u2010probability trinomial specification of He (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib12\">12<\/jats:ext-link>) and Tian (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib25\">25<\/jats:ext-link>) and the sharpened trinomial\nspecification of Omberg (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib21\">21<\/jats:ext-link>) outperform other lattice approaches and explicit\nfinite difference methods. \u00a9 2002 Wiley Periodicals, Inc. 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For a derivative exchange, its markets' ability to incorporate information into prices to \u201cderive\u201d the underlying asset's value is a key objective of market design. The J. Hasbrouck (1991a) model is applied to examine the design and price discovery of a futures market. First, the model is extended to consider a comprehensive dynamic interaction between the price\u2010size coordinates of orders and trades. Second, floor and screen tick data from LIFFE's FTSE 100 index futures market is used to estimate the two models. The significance of order size variables in the extended model suggests that order flow transparency, which is supported by an electronic trading platform, improves price discovery. \u00a9 2004 Wiley Periodicals, Inc. 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Numerical implementation is finally carried out, with which the capability of the constructed model in capturing the influence of the two common types of financial risks can be clear.<\/jats:p>","DOI":"10.1002\/fut.22531","type":"journal-article","created":{"date-parts":[[2024,6,24]],"date-time":"2024-06-24T09:31:05Z","timestamp":1719221465000},"page":"1447-1461","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":17,"title":["Closed\u2010Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1692-8711","authenticated-orcid":false,"given":"Sha","family":"Lin","sequence":"first","affiliation":[{"name":"School of Finance Zhejiang Gongshang University Hangzhou 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The old maximum size of 2500 contracts was binding: demand exists for placing and executing much larger orders. Limit\u2010order book depth at the best bid and ask increases dramatically after the exchange quadruples the maximum order size. Amid relatively stable volatility, bid\u2010ask spreads narrow, and the price impact of large trades falls. 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Empirical results show the significant pure contagion effects between energy and industrial metals markets in most periods, while pure contagion effects between energy and precious metals and agricultural markets occur only in a few specific periods. Comparing the level of pure contagion effects between different commodity markets, energy is still the main price transmitter. In addition, with the acceleration of the global commodity market financialization process, the frequency and harm of pure contagion effects are gradually increasing. 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Statistical significance of performance across the trading rules is evaluated using White's Bootstrap Reality Check and Hansen's Superior Predictive Ability tests, which can directly measure the effect of data snooping by testing the performance of the best rule in the context of the full universe of technical trading rules. Results show that the best rules generate statistically significant economic profits for only two of 17 futures markets after correcting for data snooping biases. This evidence suggests that technical trading rules generally have not been profitable in the U.S. futures markets. \u00a9 2009 Wiley Periodicals, Inc. 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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 &amp; Sons,\nInc. 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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"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"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"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"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"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2230-1261","authenticated-orcid":false,"given":"Yiuman","family":"Tse","sequence":"additional","affiliation":[{"name":"Ed G. 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These variables are used to uniquely identify 48 possible comovement patterns. Among them, 24 cases are associated with <jats:italic>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 &amp; 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":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"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. 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Nonmembers (CTI4) consume most of the intraday liquidity while local traders (CTI1) as market makers are its main provider. Both groups combine most of the intraday trading volume. Interday trading comes mainly from proprietary accounts (CTI2) and other local traders' trades (CTI3), reflecting their longer\u2010term needs for hedging and speculation. Changes in the overnight positions of the general public (CTI4) and clearing members (CTI2) contribute mostly to daily price discovery, while the positions of CTI3 group reflect possible information advantage about future price movements.<\/jats:p>","DOI":"10.1002\/fut.22079","type":"journal-article","created":{"date-parts":[[2019,12,4]],"date-time":"2019-12-04T04:31:36Z","timestamp":1575433896000},"page":"1231-1263","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Trading and information in futures markets"],"prefix":"10.1002","volume":"40","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3570-3067","authenticated-orcid":false,"given":"Guillermo","family":"Llorente","sequence":"first","affiliation":[{"name":"Facultad de C. 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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                    <jats:italic>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. 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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) <jats:italic>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) <jats:italic>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. 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however, little appears to be known with regard to where the demand pressure on options originates. We set out in the present study to examine the ways in which investor beliefs affect the demand pressure on TAIEX options, employing forward\u2010looking risk\u2010neutral index distributions to evaluate such beliefs. Our examination of 2005\u20132012 high\u2010frequency data reveals that with an increase in the level of market fear amongst investors, there will be a corresponding rise in the demand for options, with greater pessimism amongst investors resulting in weaker (stronger) demand for calls (puts). Furthermore, during the 2008 financial crisis, the soaring market atmosphere, and the fears of a market crash which soon followed, clearly had dominating effects on demand pressure, with an increase (reduction) in demand pressure for call (put) options being discernible during the bullish sentiment period, and vice versa amid the subsequent fears of a market crash. \u00a9 2014 Wiley Periodicals, Inc. 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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. 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The CBOE VIX is the measure of implied volatility, and the measure of contemporaneous volatility is constructed using intraday squared S&amp;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. 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For both commodities, the GAS framework captures the marginal distributions of spot and futures returns and corresponding dynamic copula correlations. We compare within\u2010sample and\n                    <jats:italic>out\u2010of\u2010sample<\/jats:italic>\n                    hedging effectiveness of GAS models against constant ordinary least square (OLS) strategy and time\u2010varying copula\u2010based GARCH models in terms of volatility reduction and Value at Risk reduction. We show that the constant OLS hedge ratio is not inherently inferior to the time\u2010varying alternatives. 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The risk of CDS can be measured by their second moments. We apply a Glosten, Jagannathan, and Runkle (GJR)\u2010<jats:italic>t<\/jats:italic> model for the conditional variance and a Dynamic Conditional Correlation (DCC)\u2010<jats:italic>t<\/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"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"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"},{"key":"e_1_2_9_15_1","volume-title":"The CDS Big Bang: Understanding the changes to the global CDS contract and North American conventions","author":"Markit","year":"2009"},{"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":[{"value":"0270-7314","type":"print"},{"value":"1096-9934","type":"electronic"}],"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":[[2026,9,5]],"date-time":"2026-09-05T06:09:34Z","timestamp":1788588574483,"version":"build-2803163510"},"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. 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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":"2021-11-02T17:50:09Z","timestamp":1635875409000},"page":"250-275","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":31,"title":["Market uncertainty and sentiment around USDA announcements"],"prefix":"10.1002","volume":"42","author":[{"given":"An N. 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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&amp; Sons, Inc. 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To enhance predictive accuracy, this study presents a stacking model that integrates mixed\u2010frequency predictors, machine learning models, and forecast combination methods. Specifically, 18 low\u2010frequency and 20 high\u2010frequency predictors are selected, and 15 distinct machine learning models are applied for prediction. The forecasts of the top 10 individual models are screened based on out\u2010of\u2010sample performance over the past decade, then synthesized using the discounted mean squared prediction error combination method. Against 26 competing benchmarks, empirical results show that the proposed model consistently outperforms all benchmarks, underscoring the advantages of mixed\u2010frequency data, machine learning, and combination methods. It further explores the model's dynamic forecast selection to clarify operational logic. In addition, we confirm its robustness across the business cycle and provide preliminary, small\u2010sample evidence from the COVID\u201019 pandemic.<\/jats:p>","DOI":"10.1002\/fut.70139","type":"journal-article","created":{"date-parts":[[2026,9,8]],"date-time":"2026-09-08T11:16:00Z","timestamp":1788866160000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Forecasting Crude Oil Futures Prices: A Stacking Model With Mixed\u2010Frequency Predictors, Machine Learning, and Forecast Combination"],"prefix":"10.1002","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4074-5870","authenticated-orcid":false,"given":"Yilin","family":"Ma","sequence":"first","affiliation":[{"name":"School of Management Nanjing University of Posts and Telecommunications Nanjing China"},{"name":"School of Economics and Management Nanjing University of Science and Technology Nanjing China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2000-5514","authenticated-orcid":false,"given":"Weizhong","family":"Wang","sequence":"additional","affiliation":[{"name":"School of Economics and Management Anhui Normal University Wuhu China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yu","family":"Cheng","sequence":"additional","affiliation":[{"name":"School of Economics and Management Hefei Normal University Hefei China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2026,9,8]]},"reference":[{"key":"e_1_2_15_2_1","volume-title":"Handbook of Economic Forecasting","author":"Alquist R.","year":"2013"},{"key":"e_1_2_15_3_1","doi-asserted-by":"crossref","first-page":"326","DOI":"10.1080\/07350015.2011.648859","article-title":"Real\u2010Time Forecasts of the Real Price of Oil","volume":"30","author":"Baumeister C.","year":"2012","journal-title":"Journal of Business & Economic Statistics"},{"key":"e_1_2_15_4_1","doi-asserted-by":"crossref","first-page":"869","DOI":"10.1111\/iere.12074","article-title":"What Central Bankers Need to Know About Forecasting Oil Prices","volume":"55","author":"Baumeister C.","year":"2014","journal-title":"International Economic Review"},{"key":"e_1_2_15_5_1","doi-asserted-by":"crossref","first-page":"338","DOI":"10.1080\/07350015.2014.949342","article-title":"Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach","volume":"33","author":"Baumeister C.","year":"2015","journal-title":"Journal of Business & Economic Statistics"},{"key":"e_1_2_15_6_1","first-page":"1","article-title":"Time\u2010Varying Effects of Oil Supply Shocks on the US Economy","volume":"5","author":"Baumeister C.","year":"2013","journal-title":"American Economic Journal: Macroeconomics"},{"key":"e_1_2_15_7_1","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1023\/A:1010933404324","article-title":"Random Forests","volume":"45","author":"Breiman L.","year":"2001","journal-title":"Machine Learning"},{"issue":"4","key":"e_1_2_15_8_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. 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impacts commodity futures prices, We provide significant evidence for attention's influence on 13 commodity futures and the interaction between attention and returns, even after controlling for important macroeconomic variables. 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Both the SSFs and the stocks are traded on electronic platforms. The market microstructure and the data obviate the problems of stale and non\u2010executable prices as well as uncertain bid\u2013ask bounce of the thinly traded futures contracts. Nominal price comparisons show that more than 80% of SSF quotes are inferior to stock quotes. More than 99% of the observed futures spreads are above one stock tick compared with only 2% of those for stocks. After adjusting for the cost\u2010of\u2010carry, however, SSFs are fairly priced. Given higher stock trading costs, non\u2010members should even find the futures attractively priced. Thus, the absence of competitive market maker does not bias prices so as to discourage trading. SSF quotes also account for one\u2010third of price discovery despite their low volume. \u00a9 2008 Wiley Periodicals, Inc. 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University of Texas at San Antonio."},{"key":"e_1_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-444X(98)00032-2"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(02)00025-3"},{"key":"e_1_2_1_24_1","first-page":"C5","article-title":"OneChicago explores sale of stake in \u2018Single stock futures\u2019 exchange","author":"McKay P. A.","year":"2005","journal-title":"The Wall Street Journal"},{"key":"e_1_2_1_25_1","unstructured":"Futures 2004 33 NQLX is out of the SSF biz"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/3594987"},{"key":"e_1_2_1_27_1","doi-asserted-by":"crossref","unstructured":"Shastri K. Thirumalai R. S. &Zutter C. J.(2006).Information revelation in the futures market: Evidence from single stock futures(Working paper). 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We find a negative relation between option\u2010implied skewness and subsequent stock returns, even after controlling for a myriad of firm\u2010characteristic variables. Specifically, the cross\u2010sectional stock return predictability of option\u2010implied skewness is only significant during periods of low market return and high investor sentiment. Furthermore, we find that the predictive power of skewness can be attributed to market state rather than sentiment. Our findings suggest that investors should consider high option\u2010implied skewness stocks as they would lottery\u2010like stocks.\n                    <\/jats:p>\n                  <\/jats:sec>","DOI":"10.1002\/fut.21921","type":"journal-article","created":{"date-parts":[[2018,4,25]],"date-time":"2018-04-25T03:51:38Z","timestamp":1524628298000},"page":"1024-1042","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Is stock return predictability of option\u2010implied skewness affected by the market state?"],"prefix":"10.1002","volume":"38","author":[{"given":"Tong Suk","family":"Kim","sequence":"first","affiliation":[{"name":"College of Business Korea Advanced Institute of Science and Technology (KAIST) Seoul Republic of Korea"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2585-3806","authenticated-orcid":false,"given":"Heewoo","family":"Park","sequence":"additional","affiliation":[{"name":"College of Business Korea Advanced Institute of Science and Technology (KAIST) Seoul Republic of Korea"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2018,4,25]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.006"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(01)00024-6"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj035"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.12.005"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1967.tb01651.x"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00050-1"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/16.1.0101"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1063"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.08.014"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.5.2066"},{"key":"e_1_2_8_14_1","doi-asserted-by":"crossref","first-page":"1009","DOI":"10.1111\/j.1540-6261.1991.tb03775.x","article-title":"The crash of\u2019 87: Was it expected? 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Our interpretation is that the heightened investor attention, as captured by higher pre\u2010earnings option trading, fewer competing announcements, and non\u2010Friday announcements, accelerates the stock market's response and mitigates the stock market under\u2010reaction.<\/jats:p><\/jats:sec>","DOI":"10.1002\/fut.21890","type":"journal-article","created":{"date-parts":[[2017,11,23]],"date-time":"2017-11-23T12:02:42Z","timestamp":1511438562000},"page":"478-492","source":"Crossref","is-referenced-by-count":16,"title":["Investor attention and stock market under\u2010reaction to earnings announcements: Evidence from the options market"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9051-749X","authenticated-orcid":false,"given":"Xuewu Wesley","family":"Wang","sequence":"first","affiliation":[{"name":"Division of Finance, Michael F. 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Liu S. &Livnat J.(2012). The post earnings announcement drift and option traders. Working paper Rutgers University."},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2009.01501.x"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2491306"},{"issue":"2","key":"e_1_2_8_16_1","first-page":"368","article-title":"Option trading and the relation between price and earnings: A cross\u2010sectional analysis","volume":"68","author":"Ho L. C.","year":"1993","journal-title":"Accounting Review"},{"key":"e_1_2_8_17_1","doi-asserted-by":"crossref","unstructured":"Hou K. Peng L. &Xiong W.(2009). A tale of two anomalies: The implication of investor attention for price and earnings momentum. 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Stopping losses in individual commodities effectively improves the average returns of long\u2010short commodity premia through persistent reduction in the frequency and severity of drawdowns. The magnitude of improvement is related to the quality of the signal, commodity return volatility, and autocorrelations, as well as transaction costs. The efficacy of a stop\u2010loss strategy can be enhanced by dynamically calibrating loss thresholds in accordance with realized volatility, and it performs best in high conviction weighting schemes. 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Using a wide range of moving average trading rules, commodities are ranked from best\u2010 to worst\u2010performing. Then investors are allowed to take long positions in best\u2010performing commodities and a short position in the least attractive commodity. Findings suggest that investors can earn statistically significant profits from the commodity futures markets. Moreover, it is found that short\u2010selling improves commodity profits and profits are both data frequency and sub\u2010sample dependent. \u00a9 2015 Wiley Periodicals, Inc. 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It compares traditional time series model (ARIMAX), benchmark deep learning models (LSTM, GRU), and generative adversarial networks (GAN, WGAN), while also exploring the impact of geopolitical risk (GPR). The results show that deep learning models outperform traditional methods. LSTM and GRU excel at capturing temporal features, while WGAN offers superior versatility and stability, addressing GAN prediction flaws. Including GPR enhances forecasting accuracy for most commodities, revealing a dynamic correlation between GPR and commodity prices, with significant variation across different commodities. 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They are particularly attractive because they can efficiently and simultaneously hedge a wide variety of intrinsically different financial risks and are flexible enough to cover all the risks faced by firms. Oddly, the existing literature on basket options considers only standard baskets where all underlying assets are of the same type and hedge the same kind of risk. Moreover, the empirical implementation of basket\u2010option models remains in its early stages, particularly when the baskets contain different underlying assets. This study focuses on various steps for developing sound risk management of basket options. We first propose a theoretical model of a nonstandard basket option on commodity price with stochastic convenience yield, exchange rate, and domestic and foreign zero\u2010coupon bonds in a stochastic interest rate setting. We compare the hedging performance of the extended basket option containing different underlying assets with that of a portfolio of individual options. The results show that the basket strategy is more efficient. We apply the maximum likelihood method to estimate the parameters of the basket model and the correlations between variables. Monte Carlo simulations are conducted to examine the performance of the maximum likelihood estimator in finite samples of simulated data. A real\u2010data study for a nonfinancial firm is presented to illustrate ways practitioners could use the extended basket option. \u00a9 2012 Wiley Periodicals, Inc. 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bonds written on a single underlying asset is studied with an integral equation\u00a0(IE) approach. The complication of the pricing exercise results from the tangled presence of callability, puttability, as well as conversion, which have led to possible coexistence of two moving boundaries at the same time, depending on the call price, the put price, and the conversion ratio. If a callable\u2013puttable convertible bond needs to be priced at a time sufficiently far away from the expiry, only the moving boundary associated with the puttability needs to be dealt with. When the pricing time is closer to expiry beyond a critical point, it is then possible to have two distinct cases. While the two moving boundaries associated with conversion and puttability coexist in one case, they may both disappear in another case; callability remains to be the only issue that needs to be dealt with. Furthermore, there exists another critical value, beyond which a callable\u2013puttable convertible bond can be treated as its vanilla counterpart. 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Quantile approaches are adopted allowing for flexible predictive distributions of oil returns that can depart from normality. The results demonstrate that external market tail risks significantly influence oil returns besides their own tail risks. Notably, an increase in tail risks leads to lower (higher) oil returns in bearish (bullish) markets. Using feature reduction\u2010based quantile approaches, especially the LASSO\u2010based quantile autoregression model, can effectively leverage high\u2010dimensional tail risks for predicting the conditional distribution of oil returns. Furthermore, probability distortion provides a novel perspective to explain the heterogeneous impact and predictive power of tail risks. 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This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk\u2010neutralization is compatible with continuous\u2010time settings. We document that volatility index (VI) term structures, VI futures, and equity options, could be highly sensitive to changes in VRP. When the model is jointly estimated a consistent and sizable VRP emerges; suggesting that joint estimation with VI futures has an edge based on total likelihood and numerical advantage.<\/jats:p>","DOI":"10.1002\/fut.70132","type":"journal-article","created":{"date-parts":[[2026,7,27]],"date-time":"2026-07-27T05:24:18Z","timestamp":1785129858000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact"],"prefix":"10.1002","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9691-4322","authenticated-orcid":false,"given":"Marcos","family":"Escobar\u2010Anel","sequence":"first","affiliation":[{"name":"Department of Statistical and Actuarial Sciences University of Western Ontario  Canada"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0655-1455","authenticated-orcid":false,"given":"Lars","family":"Stentoft","sequence":"additional","affiliation":[{"name":"Department of Economics and Department of Statistical and Actuarial Sciences University of Western Ontario  Canada"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1259-6759","authenticated-orcid":false,"given":"Xize","family":"Ye","sequence":"additional","affiliation":[{"name":"Department of Statistical and Actuarial Sciences University of Western Ontario  Canada"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2026,7,26]]},"reference":[{"issue":"1","key":"e_1_2_11_2_1","doi-asserted-by":"crossref","first-page":"9","DOI":"10.1016\/S0304-4076(99)00016-0","article-title":"Nonparametric Risk Management and Implied Risk Aversion","volume":"94","author":"A\u00eft\u2010Sahalia Y.","year":"2000","journal-title":"Journal of Econometrics"},{"issue":"3","key":"e_1_2_11_3_1","doi-asserted-by":"crossref","first-page":"265","DOI":"10.2307\/1907353","article-title":"Existence of an Equilibrium for a Competitive Economy","volume":"22","author":"Arrow K. 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A.","year":"1982","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"e_1_2_11_11_1","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1016\/j.jeconom.2005.01.010","article-title":"Option Valuation With Conditional Skewness","volume":"131","author":"Christoffersen P.","year":"2006","journal-title":"Journal of Econometrics"},{"issue":"8","key":"e_1_2_11_12_1","doi-asserted-by":"crossref","first-page":"1963","DOI":"10.1093\/rfs\/hht033","article-title":"Capturing Option Anomalies With a Variance\u2010Dependent Pricing Kernel","volume":"26","author":"Christoffersen P.","year":"2013","journal-title":"Review of Financial Studies"},{"issue":"2","key":"e_1_2_11_13_1","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1016\/j.jfineco.2003.02.001","article-title":"The Importance of the Loss Function in Option Valuation","volume":"72","author":"Christoffersen P.","year":"2004","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"e_1_2_11_14_1","doi-asserted-by":"crossref","first-page":"272","DOI":"10.1016\/j.jfineco.2007.12.003","article-title":"Option Valuation With Long\u2010Run and Short\u2010Run Volatility Components","volume":"90","author":"Christoffersen P.","year":"2008","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"e_1_2_11_15_1","doi-asserted-by":"crossref","first-page":"13","DOI":"10.1111\/j.1467-9965.1995.tb00099.x","article-title":"The GARCH Option Pricing Model","volume":"5","author":"Duan J. \u2010C.","year":"1995","journal-title":"Mathematical Finance"},{"key":"e_1_2_11_16_1","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","article-title":"Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation","volume":"50","author":"Engle R. 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Our results show that spot price limits do indeed further reduce the\ndefault risk and margin requirement effectively. In addition, the more precise the information is that comes from\nthe spot market, the more the spot price limit rule constrains the information available to the losing party. The\ndefault probability, contract costs, and margin requirements are then lowered to a greater degree. Furthermore,\nfor a given margin, both spot price limits and futures price limits can partially substitute for each other in\nensuring contract performance. The common practice of imposing equal price limits on both the spot and futures\nmarkets, though not coinciding with the efficient contract design, has a lower contract cost and margin\nrequirement than that without imposing spot price limits. \u00a9 2003 Wiley Periodicals, Inc. 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Though the impact of trade war could be visibly assessed from declining export volume and rising bankruptcy filing from farmers, what went unnoticed was a far\u2010reaching negative impact at a granular market microstructure level. In this study, the effect of trade war on the leading role of US soybean futures in price discovery has been evaluated. The results corroborate the negative impact of trade war on the information leadership share of US soybean futures market. Moreover, the results shows that the negative impact gets manifested through various sentiment indicators such as Google search trends, hedger's sentiment, and so on. 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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. 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The FCVAR model allows for long memory (fractional integration) in the equilibrium errors, and, following Figuerola\u2010Ferretti and Gonzalo (2010), we allow for the existence of long\u2010run backwardation or contango in the equilibrium as well, that is, a non\u2010unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the adjustment coefficients. In our empirical analysis, we use the data from Figuerola\u2010Ferretti and Gonzalo (2010), who conduct a similar analysis using the usual (non\u2010fractional) CVAR model. Our first finding is that, for all markets except copper, the fractional integration parameter is highly significant, showing that the usual, non\u2010fractional model is not appropriate. Next, when allowing for fractional integration in the long\u2010run equilibrium relations, fewer lags are needed in the autoregressive formulation, further stressing the usefulness of the fractional model. Compared to the results from the non\u2010fractional model, we find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we do not reject the hypothesis that price discovery takes place exclusively in the spot (futures) market for copper, lead, and zinc (aluminum and nickel). \u00a9 2014 Wiley Periodicals, Inc. 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Additionally, an alternative method of basis calculation utilizing weighted mean futures prices versus settlement futures prices was compared to determine which method provides a better representation of the basis level.<\/jats:p><jats:p>Within a regression model with heteroskedascity error framework, we found that the level of nearby basis in the period after June 1995 has shifted lower and the average monthly open interest of net commercial long positions has substantially increased after the contract modifications. These empirical results are consistent with the notion that more long activity entered the market in response to the contract modifications. Additionally, an alternative (new) measure of basis calculation (cash price minus weighted mean futures price) produced similar results to two other commonly used measures. In conclusion, the 1995 contract changes have neither increased nor decreased the volatility of live cattle basis. \u00a9 2004 Wiley Periodicals, Inc. 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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. 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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. 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Berkeley."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990090209"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.3990110111","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.3990110111","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,22]],"date-time":"2023-10-22T22:40:48Z","timestamp":1698014448000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.3990110111"}},"issued":{"date-parts":[[1991,2]]},"references-count":3,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1991,2]]}},"alternative-id":["10.1002\/fut.3990110111"],"URL":"https:\/\/doi.org\/10.1002\/fut.3990110111","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":[[2023,11,19]],"date-time":"2023-11-19T19:40:03Z","timestamp":1700422803108},"reference-count":29,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2001,5,17]],"date-time":"2001-05-17T00:00:00Z","timestamp":990057600000},"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":[[2001,7]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>Derivative financial instruments are frequently used as a tool for influencing the risk of entrepreneurial uncertain payoff. To this end, an approximation procedure is developed capable of calculating the optimal quantity of derivatives to be used. It is assumed that the entrepreneurial cash flow is governed by several stochastic factors and that derivatives are only available as a hedging tool for one of these factors. In general, it is easy to determine optimal hedging payment structures with respect to this factor, but real\u2010life hedging opportunities will typically not allow to perfectly reproduce such a fictitious payment structure, thus leading to complex numerical optimization problems. Instead of directly approximating the entrepreneurial expected utility maximum, we suggest using the fictitious optimal hedging payment structure as a starting point and to minimize the quadratic deviation between payment structures realizable by financial derivatives actually available and the resulting entrepreneurial payoff achieving the fictitious optimal hedging payment structure. This approach proves to be rather easy. Indeed, under certain conditions an explicit solution can be reached. After analyzing the qualitative properties of our approximation solution, we examine its efficiency for two practical hedging problems. In the first example, we get nearly the same solutions with our approximation procedure as with a grid programming approach presented by some other authors. Among other things, our second example may explain why some special kinds of financial derivatives, known as shared currency option under tenders, are not used in international invitations for tenders even though they offer hedging opportunities that are otherwise not available. \u00a9 2001 John Wiley &amp; Sons, Inc. Jrl Fut Mark 21: 599\u2013631, 2001<\/jats:p>","DOI":"10.1002\/fut.1701","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T22:10:13Z","timestamp":1030313413000},"page":"599-631","source":"Crossref","is-referenced-by-count":3,"title":["Hedging in Incomplete Markets: An Approximation Procedure for Practical Application"],"prefix":"10.1002","volume":"21","author":[{"given":"Wolfgang","family":"Breuer","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Marc","family":"G\u00fcrtler","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2001,5,17]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990080302"},{"key":"e_1_2_1_3_1","volume-title":"Essays in the theory of risk\u2010bearing","author":"Arrow K. 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Perspectives on risk in farm modelling","volume":"23","author":"Pannel D. 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Specifically, when transaction costs are present, the absence of arbitrage opportunities does not\ndictate that there exists a unique price for an option. Rather, there exists a range of prices within which the\noption's price may fall and still be consistent with the Black\u2013Scholes arbitrage pricing argument.\nThis article uses a linear program (LP) cast in a binomial framework to determine the smallest\npossible range of prices for Standard &amp; Poor's 500 Index options that are consistent with no arbitrage\nin the presence of transaction costs. The LP method employs dynamic trading in the underlying and\nrisk\u2010free assets as well as fixed positions in other options that trade on the same underlying security.\nOne\u2010way transaction\u2010cost levels on the index, inclusive of the bid\u2013ask spread, would have to\nbe below six basis points for deviations from Black\u2013Scholes pricing to present an arbitrage opportunity.\nMonte Carlo simulations are employed to assess the hedging error induced with a 12\u2010period binomial model\nto approximate a continuous\u2010time geometric Brownian motion. Once the risk caused by the hedging error is\naccounted for, transaction costs have to be well below three basis points for the arbitrage opportunity to be\nprofitable two times out of five. This analysis indicates that market prices that deviate from those given by a\nconstant\u2010volatility option model, such as the Black\u2013Scholes model, can be consistent with the\nabsence of arbitrage in the presence of transaction costs. \u00a9 2001 John Wiley &amp; Sons, Inc. Jrl Fut Mark\n21:1151\u20131179, 2001<\/jats:p>","DOI":"10.1002\/fut.2203","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T19:53:55Z","timestamp":1030305235000},"page":"1151-1179","source":"Crossref","is-referenced-by-count":6,"title":["Optimal No\u2010Arbitrage Bounds on S&amp;P 500 Index Options and the Volatility Smile"],"prefix":"10.1002","volume":"21","author":[{"given":"Patrick J.","family":"Dennis","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2001,10,5]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1992.tb00039.x"},{"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.1540-6261.1992.tb03986.x"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/262112"},{"key":"e_1_2_1_6_1","unstructured":"Constantinides G. M.(1993).Option pricing bounds with transaction costs(University of Chicago Working Paper 384). Chicago: University of Chicago"},{"key":"e_1_2_1_7_1","unstructured":"Constantinides G. M.(1996).Transaction costs and the implied volatility smile(University of Chicago Working Paper 442). Chicago: University of Chicago"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050066"},{"issue":"1979","key":"e_1_2_1_9_1","doi-asserted-by":"crossref","first-page":"229","DOI":"10.1016\/0304-405X(79)90015-1","article-title":"Option\npricing: A simplified approach","volume":"7","author":"Cox J.","year":"1979","journal-title":"Journal of Financial Economics"},{"key":"e_1_2_1_10_1","first-page":"53","article-title":"An LP approach to synthetic\noption replication with transactions costs and multiple security selection","volume":"8","author":"Dennis P.","year":"1995","journal-title":"Advances in Futures and Options Research"},{"key":"e_1_2_1_11_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_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331154"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90029-5"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120202"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"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","doi-asserted-by":"crossref","first-page":"1011","DOI":"10.1111\/j.1540-6261.1986.tb02528.x","article-title":"Term structure movements\nand pricing interest rate contingent claims","volume":"5","author":"Ho T.","year":"1986","journal-title":"Journal of Finance"},{"key":"e_1_2_1_19_1","volume-title":"Options, futures, and other derivatives","author":"Hull J. 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R. &amp; Tierney, D. E., 1973) and modified VaR (Zangari, P., 1996). Backtesting outcomes indicate that modified VaR outperforms and L\u2010comoments give better estimates of portfolio skewness and excess kurtosis than do classical central moments in modeling heavy\u2010tailed distributions. \u00a9 2009 Wiley Periodicals, Inc. 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Since prior studies by Kilian and Vega [(2011) Review of Economics and Statistics, 93, 660\u2013671] and Chatrath, Miao, and Ramchander [(2012) Journal of Futures Markets, 32, 536\u2013559] find little evidence of an announcement\u2010price reaction in mean energy returns, we focus on jump dynamics as a possible conduit for macroeconomic announcements to influence the distribution of returns. We find little evidence of an increase in jump arrival rates coinciding with scheduled releases of economic data. Similarly, there is no compelling evidence that the magnitude and\/or sign (\u201cgood\u201d vs. \u201cbad\u201d) of the inherent announcement surprises influence the mean jump size. \u00a9 2016 Wiley Periodicals, Inc. 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I implement several versions of the <jats:styled-content style=\"fixed-case\">SABR<\/jats:styled-content> interest rate model and analyze their respective pricing and hedging performance using two years of daily data with seven different strikes and ten different tenors on each trading day. In\u2010sample and out\u2010of\u2010sample tests show that the fully stochastic version of the <jats:styled-content style=\"fixed-case\">SABR<\/jats:styled-content> model exhibits excellent pricing accuracy and, more importantly, captures the dynamics of the volatility smile over time very well. This is further demonstrated through examining delta\u2010hedging performance based on the <jats:styled-content style=\"fixed-case\">SABR<\/jats:styled-content> model. My hedging result indicates that the <jats:styled-content style=\"fixed-case\">SABR<\/jats:styled-content> model produces accurate hedge ratios that outperform those implied by the <jats:styled-content style=\"fixed-case\">B<\/jats:styled-content>lack model. \u00a9 2012 Wiley Periodicals, Inc. Jrl Fut Mark 32:773\u2010791, 2012<\/jats:p>","DOI":"10.1002\/fut.21552","type":"journal-article","created":{"date-parts":[[2012,3,15]],"date-time":"2012-03-15T19:36:22Z","timestamp":1331840182000},"page":"773-791","source":"Crossref","is-referenced-by-count":7,"title":["Pricing and Hedging the Smile with <scp>SABR<\/scp>: Evidence from the Interest Rate Caps Market"],"prefix":"10.1002","volume":"32","author":[{"given":"Tao L.","family":"Wu","sequence":"first","affiliation":[{"name":"Illinois Institute of Technology Stuart School of Business  Chicago Illinois"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2012,3,15]]},"reference":[{"key":"e_1_2_8_2_1","first-page":"2","article-title":"Hedging under SABR model","author":"Bartlett B.","year":"2006","journal-title":"Wilmott Magazine"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00475"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg010"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/4126735"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm062"},{"key":"e_1_2_8_9_1","volume-title":"Derivatives in financial markets with stochastic volatility","author":"Fouque J.","year":"2000"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(04)00054-8"},{"key":"e_1_2_8_11_1","article-title":"Managing smile risk","author":"Hagan P.","year":"2002","journal-title":"Wilmott Magazine, September, 84--108"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2003.319347"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00105-2"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01209.x"},{"key":"e_1_2_8_17_1","volume-title":"Option valuation under stochastic volatility","author":"Lewis A.","year":"2000"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00838.x"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00399"},{"key":"e_1_2_8_20_1","unstructured":"Obloj J.(2008).Fine\u2010tune your smile(working paper). Correction to Hagan et\u00a0al."},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn040"}],"container-title":["Journal of Futures Markets"],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Ffut.21552","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/fut.21552","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,30]],"date-time":"2023-10-30T22:50:54Z","timestamp":1698706254000},"score":0.0,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.21552"}},"issued":{"date-parts":[[2012,3,15]]},"references-count":20,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2012,8]]}},"alternative-id":["10.1002\/fut.21552"],"URL":"https:\/\/doi.org\/10.1002\/fut.21552","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":[[2026,3,18]],"date-time":"2026-03-18T18:22:17Z","timestamp":1773858137662,"version":"3.50.1"},"reference-count":14,"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":"<jats:title>Abstract<\/jats:title><jats:p>The corn futures contract, traded on the Chicago Board of Trade, provides sellers with delivery options about\nthe timing of delivery, the location of delivery, and the grade to be delivered. These options presumably have\nvalues that can vary from one delivery month to the next. The joint values of the timing and location options\nare estimated for each delivery month for the years 1989 through 1997. These estimates are then used in\nregression models to determine the degree to which they influence basis variability on the first day of the\nmaturity month. Econometric models are also developed to see if the estimated implicit options values are useful\nin improving the forecasts of basis convergence over the 2\u2010month period prior to maturity. The results\nsuggested that variation in the delivery options values in the corn futures contract does indeed help explain\nbasis variability on the first day of maturity. An option\u2010value variable, based on estimated values two\nmonths prior to maturity, resulted in occasional, small improvements (from a statistical point of\nview) in the precision of forecasts. The existence of delivery options increases basis variability at\nmaturity, but it is difficult to use this information to improve forecasts of basis convergence. One limitation\nof the analysis is that the Chicago cash market had few transactions per day during the sample period, and hence\nthe reported spot prices may be inadequate for making high\u2010quality estimates of the options values.\n\u00a9 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:783\u2013809, 2002<\/jats:p>","DOI":"10.1002\/fut.10028","type":"journal-article","created":{"date-parts":[[2002,10,6]],"date-time":"2002-10-06T11:25:39Z","timestamp":1033903539000},"page":"783-809","source":"Crossref","is-referenced-by-count":10,"title":["Role of delivery options in basis convergence"],"prefix":"10.1002","volume":"22","author":[{"given":"Jana","family":"Hranaiova","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"William G.","family":"Tomek","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2002,6,3]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02406.x"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/0002-9092.00010"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/1237167"},{"key":"e_1_2_1_5_1","unstructured":"Hemler M. L.(1988).The quality option in treasury bond futures contracts. Unpublished doctoral dissertation University of Chicago."},{"key":"e_1_2_1_6_1","unstructured":"Hranaiova J.(2000).Delivery options in futures contracts and basis behavior. Unpublished doctoral dissertation Cornell University Ithaca NY."},{"key":"e_1_2_1_7_1","unstructured":"Hranaiova J. Jarrow R. A. &Tomek W. G.(2001).Estimating the value of delivery options in futures contracts(Chicago Board of Trade Educational Research Foundation Working Paper 23B). Chicago: Chicago Board of Trade Educational Research Foundation."},{"key":"e_1_2_1_8_1","unstructured":"Hranaiova J. &Tomek W. G.(2001).Delivery options in basis convergence(Chicago Board of Trade Educational Research Foundation Working Paper 23A). Chicago: Chicago Board of Trade Educational Research Foundation."},{"key":"e_1_2_1_9_1","volume-title":"Derivative securities","author":"Jarrow R. A.","year":"1996"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1349316"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140303"},{"key":"e_1_2_1_12_1","unstructured":"Peck A. &Williams J. C.(1991).An evaluation of the performance of the Chicago Board of Trade wheat corn and soybean futures contracts during delivery periods from 1964\u201365 through 1988\u201389. A report to the National Grain and Feed Association (see also Food Research Institute Studies 22 No. 2)."},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990140505"},{"key":"e_1_2_1_14_1","unstructured":"Silk R. D.(1988).Implicit delivery options in futures contracts and optimal exercise strategy. 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The restricting Black\u2013Scholes assumption of a lognormal distribution for the underlying asset is relaxed with the use of the more flexible distributional form of an Edgeworth series expansion around a lognormal distribution. The model is applied to the crude oil market. The results provide strong evidence that the market consensus can be accurately reflected in the risk\u2010neutral densities recovered from observed option prices. The recovered distributions are tested and found to differ significantly from a single lognormal distribution. In addition, the recovered distributions are more robust than those recovered with a model, which assumes a mixture of two lognormal distributions. \u00a9 2002 John Wiley &amp; Sons, Inc. 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The findings reveal that stock futures contracts show strong asymptotic dependence, while currency futures have weak asymptotic dependence and most commodity futures lack asymptotic dependence with the underlying spots. Further, stock futures have the highest hedging effectiveness, while commodity and currency futures show low hedging effectiveness for downside risk. Results also suggest that asymptotic dependence is critical for minimum\u2010variance hedging. Asymptotic dependence increases with the hedging horizon, leading to a better hedging performance of the futures. It also appears that the hedging strategies sensitive to asymptotic dependence perform better than the competing models. The results for the entire period and the subsample periods offer similar conclusions.<\/jats:p>","DOI":"10.1002\/fut.22546","type":"journal-article","created":{"date-parts":[[2024,8,6]],"date-time":"2024-08-06T01:21:25Z","timestamp":1722907285000},"page":"1750-1786","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Asymptotic Dependence and Its Impact on Hedging Effectiveness: An Examination of Stock, Currency, and Commodity Futures"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5379-1198","authenticated-orcid":false,"given":"Udayan","family":"Sharma","sequence":"first","affiliation":[{"name":"Department of Finance and Accounting Indian Institute of Management Indore Rau Madhya Pradesh India"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3344-7664","authenticated-orcid":false,"given":"Madhusudan","family":"Karmakar","sequence":"additional","affiliation":[{"name":"Department of Finance and Accounting Indian Institute of Management Lucknow Lucknow Uttar Pradesh India"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2024,8,5]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2007.02.001"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990150405"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00281-9"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/13518470801890768"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00068-5"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2015.01.025"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21617"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2008.03.006"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120205"},{"key":"e_1_2_8_11_1","unstructured":"Borio C. 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When agents have mean\u2010variance utility and the\nfutures price follows a martingale, the OHR is equivalent to the minimum variance hedge ratio,which can be\nestimated by regressing the spot market return on the futures market return using ordinary least squares. To\naccommodate time\u2010varying volatility in asset returns, estimators based on rolling windows, GARCH, or EWMA\nmodels are commonly employed. However, all of these approaches are based on the sample variance and covariance\nestimators of returns, which, while consistent irrespective of the underlying distribution of the data, are not\nin general efficient. In particular, when the distribution of the data is leptokurtic, as is commonly found for\nshort horizon asset returns, these estimators will attach too much weight to extreme observations. This article\nproposes an alternative to the standard approach to the estimation of the OHR that is robust to the\nleptokurtosis of returns. We use the robust OHR to construct a dynamic hedging strategy for daily returns on the\nFTSE100 index using index futures. We estimate the robust OHR using both the rolling window approach and the\nEWMA approach, and compare our results to those based on the standard rolling window and EWMA estimators. It is\nshown that the robust OHR yields a hedged portfolio variance that is marginally lower than that based on the\nstandard estimator. Moreover, the variance of the robust OHR is as much as 70% lower than the variance of\nthe standard OHR, substantially reducing the transaction costs that are associated with dynamic hedging\nstrategies. \u00a9 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:799\u2013816, 2003<\/jats:p>","DOI":"10.1002\/fut.10085","type":"journal-article","created":{"date-parts":[[2003,6,27]],"date-time":"2003-06-27T06:01:43Z","timestamp":1056693703000},"page":"799-816","source":"Crossref","is-referenced-by-count":40,"title":["Robust estimation of the optimal hedge ratio"],"prefix":"10.1002","volume":"23","author":[{"given":"Richard D. 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The only difference between the two bitcoin futures is the contract size, with MBT representing 1\/50th of BTC. In contrast to recent findings in the literature, we find that BTC dominates MBT futures in price discovery, which can be attributed to the relative liquidity and investor structure in the BTC and MBT futures. In addition, crypto hacking activities can affect price discovery in bitcoin futures as we find higher hack stolen funds reduce (enhance) the price discovery in BTC (MBT) futures. These findings provide practical implications for bitcoin investors and regulators.<\/jats:p>","DOI":"10.1002\/fut.22466","type":"journal-article","created":{"date-parts":[[2023,10,11]],"date-time":"2023-10-11T23:46:14Z","timestamp":1697067974000},"page":"103-121","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Time\u2010varying price discovery in regular and microbitcoin futures"],"prefix":"10.1002","volume":"44","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4957-027X","authenticated-orcid":false,"given":"Yu\u2010Lun","family":"Chen","sequence":"first","affiliation":[{"name":"Department of Finance, College of Business Chung Yuan Christian University Taoyuan City Taiwan"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4264-0834","authenticated-orcid":false,"given":"J. 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L. Chang Y. T. &Yang J. J.(2023).Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures[Working Paper].","DOI":"10.1016\/j.frl.2023.103955"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.03.009"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22192"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2020.12.003"},{"key":"e_1_2_8_13_1","unstructured":"Data citation: Tick Data's historical intraday futures data; 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Index derivatives, as well as the\nfirst four stock options traded in the Spanish Equity Derivatives Exchange, on the return, conditional\nvolatility, and trading volume of the underlying assets. The analysis covers the period from the introduction of\nthe various derivatives to December 1995. This period has been divided into two subperiods in order to determine\nif there are changes in the conclusions. The expiration of the Ibex\u201035 index derivatives is associated\nwith an increase in the trading volume of the underlying asset, but it has no significant effect on either the\nunderlying asset prices or on the level of volatility on the expiration day. However, the expiration of the\nstock options has significant impact on their underlying assets. We observed a downward pressure on prices and a\nreduction of volatility level in the week before the expiration date and a significant increase in trading\nvolume on the expiration day. The absence of futures contracts on individual stocks, among other possible\ncauses, may explain these differences. \u00a9 2001 John Wiley &amp; Sons, Inc. 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In turn, arbitrage activity may trigger order imbalances adversely affecting liquidity. We examine this issue by analyzing the link between the futures\u2010cash basis and bid\u2013ask spreads using intraday data on single stock futures (<jats:styled-content style=\"fixed-case\">SSFs<\/jats:styled-content>) contracts on <jats:styled-content style=\"fixed-case\">I<\/jats:styled-content>ndian stocks. In contrast to other countries, the <jats:styled-content style=\"fixed-case\">SSF<\/jats:styled-content> market in <jats:styled-content style=\"fixed-case\">I<\/jats:styled-content>ndia is very active due to retail investors\u2019 prior experience with the <jats:italic>badla system<\/jats:italic>, a form of forward markets. The analysis reveals two\u2010way <jats:styled-content style=\"fixed-case\">G<\/jats:styled-content>ranger causality between the basis and spreads in both the futures and cash markets. 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of Futures Markets"],"published-print":{"date-parts":[[2026,2]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>We examine trading behavior in commodity futures markets in the United States during the 2008 Global Financial Crisis (GFC) and the COVID\u201019 pandemic, focusing on absolute changes and relative exposure dynamics. These crises led to distinctly different trading patterns. During the 2008 GFC, speculators rapidly closed long positions while producers facilitated these trades, shifting risk from speculators to producers. In contrast, during the COVID\u201019 crisis\u2014characterized by milder financial stress and an early commodity market rally\u2014there was not meaningful risk transfer from speculators. The impact on traders' relative exposures was minimal in both crises. However, speculators generally showed greater sensitivity to changing financial conditions than hedgers throughout the study period. These findings highlight the varying impacts of financial stress on commodity futures markets and the importance of crisis\u2010specific context in understanding trader behavior.<\/jats:p>","DOI":"10.1002\/fut.70064","type":"journal-article","created":{"date-parts":[[2025,11,12]],"date-time":"2025-11-12T14:44:44Z","timestamp":1762958684000},"page":"413-434","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Does Financial Stress Affect Commodity Futures Traders' Positions?"],"prefix":"10.1002","volume":"46","author":[{"ORCID":"https:\/\/orcid.org\/0009-0008-4715-8776","authenticated-orcid":false,"given":"Shengwu","family":"Du","sequence":"first","affiliation":[{"name":"Federal Reserve Board Washington District of Columbia USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0008-4610-3503","authenticated-orcid":false,"given":"Travis D.","family":"Nesmith","sequence":"additional","affiliation":[{"name":"Federal Reserve Board Washington District of Columbia USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0006-8675-8980","authenticated-orcid":false,"given":"Yanggen","family":"Heppe","sequence":"additional","affiliation":[{"name":"UC San Diego La Jolla California USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2025,11,12]]},"reference":[{"key":"e_1_2_13_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2023.12.005"},{"key":"e_1_2_13_3_1","doi-asserted-by":"publisher","DOI":"10.3390\/ijfs4040023"},{"key":"e_1_2_13_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2021.102457"},{"key":"e_1_2_13_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2022.100774"},{"key":"e_1_2_13_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2021.101529"},{"key":"e_1_2_13_7_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev.resource.012809.104220"},{"key":"e_1_2_13_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2020.12.003"},{"key":"e_1_2_13_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu043"},{"key":"e_1_2_13_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfs.2016.01.002"},{"key":"e_1_2_13_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2022.06.018"},{"key":"e_1_2_13_12_1","doi-asserted-by":"publisher","DOI":"10.1353\/eca.0.0036"},{"key":"e_1_2_13_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2021.103474"},{"key":"e_1_2_13_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00199-018-1115-y"},{"key":"e_1_2_13_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912791"},{"key":"e_1_2_13_16_1","doi-asserted-by":"publisher","DOI":"10.1353\/eca.0.0047"},{"key":"e_1_2_13_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12099"},{"key":"e_1_2_13_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/296343"},{"key":"e_1_2_13_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/aepp\/ppq032"},{"key":"e_1_2_13_20_1","doi-asserted-by":"crossref","unstructured":"Jiang H. 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However, there is little research investigating its impact on option pricing. In this paper, we provide a framework that integrates intraday, overnight returns, and realized volatility simultaneously within an augmented Autoregressive Volatility model. The analytical option\u2010pricing formula for the new model is derived through the closed\u2010form moment generation function. The empirical results based on S&amp;P 500 index options show that distinguishing the overnight component from daily returns has the potential capability to reduce the pricing errors, both in\u2010sample and out\u2010of\u2010sample.<\/jats:p>","DOI":"10.1002\/fut.22330","type":"journal-article","created":{"date-parts":[[2022,4,27]],"date-time":"2022-04-27T10:14:31Z","timestamp":1651054471000},"page":"1264-1283","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Overnight volatility, realized volatility, and option pricing"],"prefix":"10.1002","volume":"42","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3073-5908","authenticated-orcid":false,"given":"Tianyi","family":"Wang","sequence":"first","affiliation":[{"name":"Department of Financial Engineering, School of Banking and Finance University of International Business and Economics Beijing China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sicong","family":"Cheng","sequence":"additional","affiliation":[{"name":"Department of Financial Engineering, School of Banking and Finance University of International Business and Economics Beijing China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Fangsheng","family":"Yin","sequence":"additional","affiliation":[{"name":"Department of Financial Engineering, School of Banking and Finance University of International Business and Economics Beijing China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mei","family":"Yu","sequence":"additional","affiliation":[{"name":"Department of Financial Engineering, School of Banking and Finance University of International Business and Economics Beijing China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2022,4,27]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2013.03.006"},{"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","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2014.01.047"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003379"},{"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":"10.1287\/mnsc.1060.0520"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp078"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000428"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.08.002"},{"key":"e_1_2_8_13_1","volume-title":"Return differences between trading and non\u2010trading hours: Like night and day","author":"Cooper M. 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Contrary to previous findings, we find a rather\nflat BAS pattern during the trading day. However, consistent with past findings, an increase in risk widens the\nspread and a higher trading activity reduces it. When trading occurs in a day, spreads are reduced. No\nsignificant difference in volatility between days with and without trades was detected. When trades occur, quote\nrevisions increase, and it is positively related to the number of trades. An increase in the number of quote\nrevisions increases the likelihood of a transaction, and when quotes are current, revisions that are accompanied\nby trades carry new information. We provide evidence that contracts that are thinly traded may possess liquidity\nattributes as long as their price quotes remain current. \u00a9 2003 Wiley Periodicals, Inc. 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These implied volatilities also encompass the\n\ninformation in out\u2010of\u2010sample seasonal Glosten, Jagannathan, and Runkle (GJR;1993)\n\nvolatility forecasts. Evidence also demonstrates that when corn\u2010implied volatility rises relative to\n\nout\u2010of\u2010sample seasonal GJR volatility forecasts, implied volatility substantially overpredicts\n\nrealized volatility. However, simulations of trading rules that involve selling corn option straddles when\n\ncorn\u2010implied volatility is high relative to out\u2010of\u2010sample GJR volatility forecasts indicate\n\nthat none of the trading rules would have been significantly profitable. This finding suggests that these options\n\nare not necessarily overpriced. \u00a9 2002 Wiley Periodicals, Inc. 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Klein (1996) to price vulnerable options when the market is incomplete. Vulnerable options, which are usually traded in the over\u2010the\u2010counter market, may not only face the risk of default but also the risk of illiquidity. Thus, pricing such options under the assumption of market completeness, as was done by H. Johnson and R. Stulz (1987) and P. Klein (1996), seems to be a mistake. Accordingly, the proposed model uses the methodology proposed by J. H. Cochrane and J. Sa\u00e1\u2010Requejo (2000) to price vulnerable options under both deterministic and stochastic interest rates in an incomplete market. The model is found to perform well when the interest rate is stochastic. \u00a9 2005 Wiley Periodicals, Inc. 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Using intraday data of the Chicago Board Options Exchange, we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in \u201cnormal\u201d markets, but large arbitrage profit opportunities arise during Bitcoin market \u201ccrashes.\u201d<\/jats:p>","DOI":"10.1002\/fut.22171","type":"journal-article","created":{"date-parts":[[2020,12,1]],"date-time":"2020-12-01T23:44:03Z","timestamp":1606866243000},"page":"105-114","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":26,"title":["The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets"],"prefix":"10.1002","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0475-2587","authenticated-orcid":false,"given":"Takahiro","family":"Hattori","sequence":"first","affiliation":[{"name":"Graduate School of Public Policy The University of Tokyo  Tokyo Japan"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9903-9367","authenticated-orcid":false,"given":"Ryo","family":"Ishida","sequence":"additional","affiliation":[{"name":"Policy Research Institute Ministry of Finance Japan  Tokyo Japan"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2020,12]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2020.101506"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22050"},{"key":"e_1_2_10_4_1","unstructured":"Alexander C. &Heck D.(2019).Price discovery high\u2010frequency trading and jumps in Bitcoin markets. 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Using the TVP\u2010VAR approach, we explored the significant connectedness among these markets during both crisis episodes. The S&amp;P 500 Index Fund (State Street S&amp;P 500 Index Fund Class N) is the net risk spillover receiver in the system, whereas S&amp;P 500 Index funds (all others) are significant volatility spillover transmitters during the COVID\u201019 and Russia\u2010Ukraine wars. Furthermore, gold and WTI receive net risk spillovers in both crises. However, all S&amp;P 500 index funds are also pairwise and extensively connected with real\u2010time markets (gold and WTI) in the COVID\u201019 and Russia\u2010Ukraine wars. 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We find evidence for the INE crude oil futures price discovery function even at the early stage for almost all the deliverable crudes and some nondeliverable crudes. Both the INE crude oil futures price and the spot price significantly contribute to the price discovery process, with substantially time\u2010varying informational roles. While the price discovery performance was severely damaged around the period of COVID\u201019 pandemic shock intensification in China with the temporary cancellation of nighttime trading, it improved to some extent after China started the recovery from the shock. But such improvement deteriorated drastically and disappeared since early 2021. Further analysis reveals that both economic fundamentals (e.g., the warehouse inventory) and trading\u2010related characteristics of the futures market are significant determinants of the price discovery performance. 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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. 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Climate changes induce uncertainty in energy\u2010commodity markets. We investigate the potential of diversifying and hedging energy\u2010commodity market risk with climate\u2010change futures, using dynamic conditional correlation (DCC)\u2010ordinary least squares (OLS) incorporating quantile\u2010dummies and cross\u2010quantilogram\u00a0(CQ) approaches. DCC\u2010OLS models reveal that the World and USA climate\u2010change futures exhibit that they can be diversifiers for oil, ethanol, gasoil, and gasoline. These futures also exhibit hedging features for natural gas, coal, and heating oil. Euro climate\u2010change futures demonstrate hedging capabilities for all energy commodities except oil and gasoil. World, USA, and Euro climate\u2010change futures have the potential to serve as safe\u2010haven financial instruments in the face of the high volatility of Brent crude oil, gasoil, and heating oil. The CQ reveals that World, USA, and Euro climate\u2010change futures exhibit hedging and safe\u2010haven capacity against oil, natural gas, coal, gasoil, gasoline, and heating futures. 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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. 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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 (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib4\">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 (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib9\">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. 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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. 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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"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Tai\u2010Yong","family":"Roh","sequence":"additional","affiliation":[{"name":"Li Anmin Institute of Economic Research Liaoning University 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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. 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The model is calibrated matching the observed asset log returns and the priors assigned by the investor. No option price data are used in the calibration. The priors chosen for the asset price drift rate and for the stochastic variance drift are those suggested by the Heston model. For this reason, the model presented can be considered as an \u201cenhanced\u201d Heston model. The calibration problem is formulated as a stochastic optimal control problem and solved using the dynamic programming principle. The model presented and the Heston model are calibrated using synthetic and Standard &amp; Poor 500 (S&amp;P500) data. 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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. 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On November 3, 1997, the Chicago Mercantile Exchange doubled its tick size of its\nS&amp;P 500 futures contract and halved the denomination, providing a rare opportunity to examine empirically\nthe search for an optimal contract design. This article measures changes in the trading environment that\noccurred in the days surrounding the contract redesign. We find a discernible change in the incidence of price\nclustering, an increase in the bid\/ask spread, a reduction in trading volume, and no meaningful change in\ndollar trade size. These results suggest that the contract redesign did not increase accessibility but did\nincrease market maker revenue. Despite the increase, however, the bid\/ask spread of the S&amp;P 500 futures\ncontract remains low relative to the costs of market making and the spreads in markets for competing\ninstruments. \u00a9 2003 Wiley Periodicals, Inc. 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