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Journal of Futures Markets: Volume 45, Number 1, January 2025
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-12-11 DOI: 10.1002/fut.22517
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引用次数: 0
Journal of Futures Markets: Volume 44, Number 12, December 2024 期货市场期刊》：第 44 卷第 12 期，2024 年 12 月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-11-11 DOI: 10.1002/fut.22438
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引用次数: 0
Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-10-11 DOI: 10.1002/fut.22554
Fenglong Guo
{"title":"Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion","authors":"Fenglong Guo","doi":"10.1002/fut.22554","DOIUrl":"https://doi.org/10.1002/fut.22554","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper studies the pricing of vulnerable options with systematic and idiosyncratic factors incorporated. Variance gamma processes are employed to model price jumps caused by the arrivals of systematic and idiosyncratic relevant information. A parsimonious pricing measure is developed and Laplace transforms of option price and Greek letters are given. Numerical results are obtained by a two-sided Euler inversion method in an efficient and accuracy way. It shows that in contrast to idiosyncratic factors, the effect of systematic factors on vulnerable options is strongly affected by the skewness and leptokurtosis features of systematic variance gamma processes.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 1","pages":"47-76"},"PeriodicalIF":1.8,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142851313","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 44, Number 11, November 2024 期货市场期刊》：第 44 卷第 11 期，2024 年 11 月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-10-08 DOI: 10.1002/fut.22437
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引用次数: 0
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short-Term and Long-Term Volatility 波动率的波动率和 VIX 预测：基于跳跃、短期和长期波动性的新证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-09-30 DOI: 10.1002/fut.22553
Gaoxiu Qiao, Wanmei Cui, Yijie Zhou, Chao Liang
{"title":"Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short-Term and Long-Term Volatility","authors":"Gaoxiu Qiao,&nbsp;Wanmei Cui,&nbsp;Yijie Zhou,&nbsp;Chao Liang","doi":"10.1002/fut.22553","DOIUrl":"https://doi.org/10.1002/fut.22553","url":null,"abstract":"<div>\u0000 \u0000 <p>This study explores VIX forecasting by proposing a novel model to characterize the volatility of volatility based on high-frequency VIX. Specifically, the decomposed jumps, the short- and long-term volatility of VIX realized volatility obtained through wavelet analysis are considered by integrating the HAR-DJI-GARCH with GARCH-MIDAS model. Empirical results show superior performance over competing models, with enhanced predictive accuracy under four non-parametric jumps. The model's effectiveness is further validated by adjusting prediction windows, wavelet levels, examining VIX term structure, varying the significance level of jump test, and through the assessment of its economic significance.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 1","pages":"23-46"},"PeriodicalIF":1.8,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142862418","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal Versus Naive Diversification in Commodity Futures Markets 商品期货市场中的最优分散投资与天真分散投资
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-09-20 DOI: 10.1002/fut.22550
Max Heide, Benjamin R. Auer, Frank Schuhmacher
{"title":"Optimal Versus Naive Diversification in Commodity Futures Markets","authors":"Max Heide,&nbsp;Benjamin R. Auer,&nbsp;Frank Schuhmacher","doi":"10.1002/fut.22550","DOIUrl":"https://doi.org/10.1002/fut.22550","url":null,"abstract":"<div>\u0000 \u0000 <p>Motivated by the ongoing debate on whether optimal or naive diversification should be preferred when distributing wealth across investment alternatives, this article investigates how the choice of covariance estimator affects mean-variance portfolio selection. In an environment tailored to ideal tradability, we construct optimal commodity futures portfolios based on 12 promising covariance matrix estimators and compare their out-of-sample investment performance to a simple, equally weighted investment strategy by means of bootstrap testing. We find that neither the naive allocation approach nor the advanced covariance estimators can outperform the traditional sample covariance matrix. Because this empirical result is robust to modifications of the research design (including alternative investigation periods, data frequencies, estimation window sizes, holding period lengths, weight constraint specifications, and transaction cost levels), it opposes the recurrent suggestion of the equity-oriented literature that the sample covariance matrix should not be used for the purpose of portfolio optimization.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 1","pages":"3-22"},"PeriodicalIF":1.8,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142862022","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Frequent Trading and Investment Performance: Evidence From the KOSPI 200 Futures Market 频繁交易与投资业绩：来自 KOSPI 200 期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-09-10 DOI: 10.1002/fut.22552
Doojin Ryu, Robert I. Webb, Jinyoung Yu
{"title":"Frequent Trading and Investment Performance: Evidence From the KOSPI 200 Futures Market","authors":"Doojin Ryu,&nbsp;Robert I. Webb,&nbsp;Jinyoung Yu","doi":"10.1002/fut.22552","DOIUrl":"10.1002/fut.22552","url":null,"abstract":"<div>\u0000 \u0000 <p>This study explores whether frequent trading is profitable to investors in an emerging stock index futures market. Our analyses, based on long-term data from 2010 to 2023, indicate that the effect of trading frequency differs across investor types and market conditions. Only some domestic institutions gain additional profits from more frequent trading, and such a tendency is apparent when the futures price falls and when the futures market volatility is low. Foreign investors experience losses as they trade more when the market is bearish and are frequently net long. The performance of domestic individuals does not depend on their trading frequency in general; however, they lose more from trading when the market is bearish and when the market is less volatile.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 12","pages":"1911-1922"},"PeriodicalIF":1.8,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142223678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 44, Number 10, October 2024 期货市场期刊》：第 44 卷第 10 期，2024 年 10 月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-09-09 DOI: 10.1002/fut.22436
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引用次数: 0
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage-Free Relations, and Optimal Investments 关于连续流动、无套利关系和最优投资的上限、下限、领价和交易所期权的新分析表示法
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-30 DOI: 10.1002/fut.22549
José Carlos Dias, João Pedro Vidal Nunes, Fernando Correia da Silva
{"title":"Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage-Free Relations, and Optimal Investments","authors":"José Carlos Dias,&nbsp;João Pedro Vidal Nunes,&nbsp;Fernando Correia da Silva","doi":"10.1002/fut.22549","DOIUrl":"10.1002/fut.22549","url":null,"abstract":"<div>\u0000 \u0000 <p>We offer analytic formulae for valuing finite maturity profit caps and floors that are contingent on continuous flows without the need for subtracting the risk-neutral expectation of the forward starting perpetual solution from the corresponding perpetual solution. The related price caps, floors, and collars are easily obtained from any analytic representation of profit caps and floors using some arbitrage-free relations. Finally, we offer two novel methods for calculating the optimal triggers of investment projects in the presence of price floors and collars regimes in a way that is much simpler than the ones currently used.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 12","pages":"1869-1887"},"PeriodicalIF":1.8,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142178800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Uncovering the Sino-US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets 揭示中美动态风险溢出效应：来自农产品期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-30 DOI: 10.1002/fut.22551
Han-Yu Zhu, Peng-Fei Dai, Wei-Xing Zhou
{"title":"Uncovering the Sino-US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets","authors":"Han-Yu Zhu,&nbsp;Peng-Fei Dai,&nbsp;Wei-Xing Zhou","doi":"10.1002/fut.22551","DOIUrl":"https://doi.org/10.1002/fut.22551","url":null,"abstract":"<div>\u0000 \u0000 <p>With economic globalization and the financialization of agricultural products continuing to advance, the interconnections between different agricultural futures have become closer. We utilize a TVP-VAR-DY model combined with the quantile method to measure the risk spillover between 11 agricultural futures in the United States and China from July 9, 2014, to December 31, 2022. We obtain several findings. First, CBOT corn, soybean, and wheat are identified as the primary risk transmitters, with DCE corn and soybean as the main risk receivers. Second, sudden events or increased economic uncertainty can enlarge the overall risk spillovers. Third, there is an aggregation of risk spillovers amongst agricultural futures based on the dynamic directional spillovers. Lastly, the central agricultural futures under the conditional mean are CBOT corn and soybean, while CZCE hard wheat and long-grained rice are the two risk-spillover centers in extreme cases, as per the results of the spillover network and minimum spanning tree.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 12","pages":"1888-1910"},"PeriodicalIF":1.8,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142642541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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