Table of Contents for Recent RFM Issues
Volume 18
Issue 2
• When Does the Options Market Lead the Futures Market? Evidence from Taiwan's Emerging Derivatives Market
Scott Fung and Shih-Chuan Tsai
• Cash Settlement of Lean Hog Futures Contracts Reexamined
Miguel I. Gomez, Julieta M. Frank, Eugene L. Kunda, and Philip Garcia
• Cospectral and Wavelet Analyses of Corn and Gasoline Futures Prices
Joseph McCarthy and Alexei G. Orlov
• Keynes on Markets: Why Didn't You Listen?
Paul Dawson, Michael A. Ellis, Mark E. Holder, and Richard J. Kent
Issue 1
• Common Industry Exposure in Seemingly Unrelated Commodities
Michael T. Chng
• Copula-Based Dynamic Hedging Strategies in Stock Index Futures: International Evidence
Yi-Hao Lai
• Day-of-the-Week Effects in the U.S. and Chinese Commodity Futures Markets
Kuei-Chih Lee, Hung-Gay Fung, and Tung Liang Liao
• A New Look at Copper Markets: A Regime-switching Model
Wing Hong Chan and Denise Young
Volume 17
Issue 4
• New Insights into India’s Single Stock Futures Markets
Mao-wei Hung and Leh-chyan So
• Synthetic Currency Cross-Hedge Using Gold Futures versus Currency Forwards under a DCC-GARCH Model
Bing-Huei Lin and Yueh-Neng Lin
• Price Formation and Liquidity Surrounding Large Trades in Interest Rate and Equity Index Futures
Angelo Aspris, James Richard Cummings, and Alex Frino
• Does Spurious Mean Reversion in Basis Changes Still Exist after the Introduction of Exchange Traded Funds?
Jayaram Muthuswamy, Nivine Richie, Reuben Segara, and Robert Webb
Issue 3
• Microstructure Evolution in the Credit Default Swaps Market
MPavel Pinkava and Paul Dawson
• A Panel Cointegration Approach to the Relation between Spot and Future Commodity Prices
Benjamas Jirasakuldech, Sean M. Snaith, and Riza Emekter
• Realized Volatility and Correlation in Grain Futures Markets: Testing for Spillover Effects
Jae H. Kim and Hristos Doucouliagos
• Auction Designs and Futures Price Behavior: Evidence from the Taiwan Futures Market
Hsiu-Chuan Lee, Cheng-Yi Chien, Yi-Fen Hsieh, and Yen-Sheng Huang
Issue 2
• Are the European Carbon Markets Efficient?
George Daskalakis and Raphael N. Markellos
• Performance, Bias, and Efficiency of Foreign Exchange Correlation Forecasts
Stefano Mazzotta
• Option Prices as Predictors of Aggregate Stock Returns
R. Brian Balyeat and Bilal Erturk
• The Non-Convergence of the VIX Futures at Expiration
Ivelina Pavlova and Robert T. Daigler
Issue 1
• Hedging "Event" Risk
Philip McBride Johnson
• Discussion Regarding the Commentary on Hedging "Event" Risk
Kathryn M. Trkla
• Public Information, Price Volatility, and Trading Volume in U.S. Bond Markets
Mardi Dungey, Alex Frino, and Michael D. McKenzie (G12, G14)
• Value-at-Risk Aanlysis for KOSPI 200 Index Futures: Evidence from Long Memory Volatility Models with a Skewed Student-t Distribution
Sang Hoon Kang and Seong-Min Yoon (C32, C52, G11)
• Volatility Estimation and the Performance of Multifactor Term Structure Models for Pricing and Hedging Euribor Options
I-Doun Kuo, Cheng-Hsiang Lin, and Min-Teh Yu (G12, G13)
Volume 16
Issue 4
Special Issue in Derivatives and Risk Management
Guest Editors: Donald Lien, Peter Ritchken, and Jason Wei
• Basis Risk and Optimal Hedging of a Purchase Decision
Latha Shanker and Narayanaswamy Balakrishnan (G32, D81, G15)
• An Economic Analysis of Bonus Certificates — Second-Generation of Structured Products
Rodrigo Hernandez, Jorge Brusa, and Pu Liu (G13, G24)
• Calibration of a Commodity Price Model with Unobserved Factors: The Case of Real Estate Index Futures
Lindsay C. Baran, Richard J. Buttimer Jr., and Steven P. Clark (G11, G13)
• Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Jing Li and Mingxin Xu (C60, G11)
Issue 3
• The Relationship between Information Flow and Energy Futures Volatility
Eric Girard, Amit Sinha, and Rita Biswas (G15)
• An Analysis of Price Linkages among DJIA Index, Futures, and Exchange-traded Fund Markets
Hung-Gay Fung, Qingfeng "Wilson" Liu, and Yiuman Tse (C22, F36, G13)
• Moving Forward into the Future
Lars Nordén (G13, G15)
• Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets
Valeria Martinez, Zi Ning, and Yiuman Tse (G13, G14)
Issue 2
• Put-Call Parity and the Early Exercise Premium for Currency Options
Geoffrey Poitras, Chris Veld, and and Yuriy Zabolotnyuk (G10, G12, G13, G14)
• Volume-Volatility Interactions between Exchange-traded Derivatives and OTC Derivatives
Lorne N. Switzer and Haibo Fan (F31, G13, G15)
• Equity Options and the Underlying Stocks’ Pricing Efficiency: Evidence from the Tokyo Stock Exchange
Shinhua Liu (G13, G14, G15)
• Daily Trading and Efficiency in Futures Markets
A. Can Inci (F31, G12, G13)
• Dealer Interaction in Futures Markets
Tzu-Man Huang (G12, G14)
Issue 1
• Pricing the Cost of Carbon Dioxide Emission Allowance Futures
Yueh-Neng Lin and Anchor Y. Lin (C51, C53, G13, P34, Q56)
• Hedging and the Emergence of Commodity Futures: The Soya Oil Exchange in India
Bharat Ramaswami and Jatinder Bir Singh (G13, Q13)
• Gone with the Wind: Chicago’s Weather and Futures Trading
Piman Limpaphayom, Peter R. Locke, and Pattarake Sarajoti (G14, G10, G15)
• Time-varying Hedge Ratios: An Application to the Indian Stock Futures Market
Prasad S. Bhattacharya, Harminder Singh, and Gerard L. Gannon (G13)
• Fear in the Korea Market
Christopher Ting (G10)
Volume 15
Issue 4
• The Two Cultures in the 21st Century: Observations from a Respectful Outsider
Paul Gaston
• Pricing and Hedging Euribor Options with Multifactor Interest Rate Models
I-Doun Kuo and Yueh-Neng Lin (G12, G13)
• Robust Control Theory and Pricing of Catastrophe-linked Securities
Wenge Zhu (G12, G13)
• Margin Setting with POT Model
Chunyang Zhou, Chongfeng Wu, Hailong Liu, and Fubing Liu (G15)
Issue 3
• Multi-Market Trading of Gold Futures
Valeria Martinez and Yiuman Tse (G13, G14)
• A Return-Volume-Volatility Analysis of Futures Contracts
Duong Nguyen and Robert Daigler (G12, G14)
• Covered Calls and Protective Puts: Creating Value across Economic Cycles?
Karyl B. Leggio and Donald Lien (D81, G11)
• Trading Opportunities in the Natural Gas-Propane Futures Spread
Mbodja Mougoué (C52, G13)
Issue 2
• Generalized Hedge Ratio Estimates with an Unknown Model
Jeffrey H. Dorfman and Dwight R. Sanders (C11, C51, Q14)
• An Extension to Fitting Discrete Time Term Structure Models when Rates are Outcomes of Bernoulli Trials
Hari P. Krishnan and Michael J. Tomas III ( )
• What Puts the Convenience in Convenience Yields?
Bahram Adrangi, Arjun Chatrath, Rohan Christie-David, and William T. Moore ( )
Issue 1
• Liquidity Externality and Migration within the Same Security Exchange
Christopher Ting (G13, C51, C13, C22)
• Sources of Price Discovery in the Australian Dollar Currency Market
Alex Frino, Elvis Jarnecic, Maxwell Stevenson, and Andrew Tan (G14)
• The Won/Dollar Forward Exchange return and Risk premium: Empirical Evidence from the 1997 Korean Financial Crisis
Taewoo You, Mark Holder, and Thomas C. Chiang (F31)
• Markowitz-Sharpe Portfolios for International Stock Index Futures
Leyuan You and Robert T. Daigler (G15)
Volume 14
Issue 4
• What is so Special about KOSPI 200 Index Futures Contract? An Analysis of Trading Volume and Liquidity
Ying Huang and Salih N. Neftci (G12, G13)
• Trading on the Floor after Sweeping the Book
Vassilis Polimenis (G12)
• Price Discovery and Risk Transfer in Thinly Traded Markets: Evidence from Brazilian Agricultural Futures Markets
Fabio Mattos and Philip Garcia (G13, Q13, C32)
• Forecasting Performance of Fundamental Natural Gas Price Models, Hedging Strategies, and the Average Cost of Gas: A Study of the U.S. Natural Gas Market
Scott C. Linn and Zhen Zhu (Q40, Q41)
Issue 3
• What is so Special about KOSPI 200 Index Futures Contract? An Analysis of Trading Volume and Liquidity
Cetin Ciner, Ahmet K. Karagozoglu, and Wi Saeng Kim (G10)
• Option Exchange Design: Liquidity and Trading Activity At the Swedish Index Options Market
Lars Nordén (G13)
• Intraday Liquidity Provision in Electronic Futures Markets: "LIFFE" without the Pits
Tatyana Zabotina, Ronald W. Spahr, and Nancy J. Scannell (G10)
• Liquidity and Price Discovery on Floor versus Screen-based Trading Systems: An Analysis of Foreign Exchange Futures Markets
Aysegul Ates and George H.K. Wang (G10)
Issue 2 [Fall 2005]
• The Implied Exchange Rates Derived from Option Premiums: A Test of the Currency Option Boundary
Peter P. Lung and Takeshi Nishikawa (G14)
• The Impact of Net Buying Pressure on Implied Volatilities Observed from SPI Futures Options
Christine Brown and Sean Pinder (G13)
• When Contract Size Matters: The Case of Equity Index Futures
Aysegul Ates and George H.K. Wang (G10, G50)
• Measuring the Summary Informativeness of Orders and Trades
Michael T. Chng (G14, G28)
• Regulatory Change, Structural Breaks, and Transmission Effects in HSIF and HSI Volatility
Siu Pang Au-Yeung and Gerard Gannon (G14)
Issue 1 [Summer 2005]
• Liquidity Risk and Risk Measure Computation
Robert A. Jarrow and Philip Protter
• Forecasting Accuracy of Implied and GARCH-Based Probability Density Functions
Iliana Anagnou-Basioudis, Mascia Bedendo, Stewart D. Hodges, and Robert Tompkins
• A Review of the Interrelated Nature of T-Bond Futures Delivery Options
Robert Daigler
• The Spider in the Hedge
Carol Alexander and Andreza Barbosa
• The Implied Volatility of Australian Index Options
Sean Dowling and Jayaram Muthuswamy
