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Journal of Futures Markets: Volume 45, Number 2, February 2025
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-07 DOI: 10.1002/fut.22518
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引用次数: 0
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-12-30 DOI: 10.1002/fut.22558
Lu Yang
{"title":"From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?","authors":"Lu Yang","doi":"10.1002/fut.22558","DOIUrl":"https://doi.org/10.1002/fut.22558","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the interdependence between economic policy uncertainty (EPU) and implied market volatility using a Bayesian copula network. The results indicate that market-implied volatilities serve as more reliable forward-looking indicators of uncertainty compared to newspaper-based EPU. Through a complex partial wavelet coherence approach, the study further explores the dynamic interdependence between these variables, revealing the specific time-domain patterns of their effects on economic uncertainty and the conditions under which they can be distinguished as measures of risk aversion and ambiguity aversion. Notably, the findings suggest that, in the short time scales, the media tends to generate ambiguity, contributing to belief divergence among market participants. However, over longer time scales, EPU increasingly reflects economic uncertainty. These insights are valuable for gaining a deeper understanding of the media's role in conveying information and the behavioral traits influencing economic decision-making.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"143-157"},"PeriodicalIF":1.8,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143120572","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
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-12-24 DOI: 10.1002/fut.22557
Daejin Kim
{"title":"Term Structure and Risk Premiums of Commodity Futures With Linear Regressions","authors":"Daejin Kim","doi":"10.1002/fut.22557","DOIUrl":"https://doi.org/10.1002/fut.22557","url":null,"abstract":"<div>\u0000 \u0000 <p>We apply the regression-based affine term structure model to estimate the term structure of commodity futures. This model is advantageous in that it has a simple and fast algorithm, can accommodate a variety of observable and unspanned factors, and can be applied to daily and even real-time observations. The results show that the model appropriately captures time-series variations across different maturities and exhibits satisfactory performance in capturing cross-sectional variations for specific months. Furthermore, we investigate the relationship between the existing commodity risk factor returns and the risk premiums inferred by the model. Our analysis reveals that different risk factor returns explain the spot and term premiums differently. Therefore, using the advantages of the model, we can better understand the term structure and risk premiums in commodity futures.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"118-142"},"PeriodicalIF":1.8,"publicationDate":"2024-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143118608","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 45, Number 1, January 2025 期货市场杂志：第45卷，第1期，2025年1月
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
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-11-20 DOI: 10.1002/fut.22556
Stefan Scharnowski, Hossein Jahanshahloo
{"title":"The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery","authors":"Stefan Scharnowski,&nbsp;Hossein Jahanshahloo","doi":"10.1002/fut.22556","DOIUrl":"https://doi.org/10.1002/fut.22556","url":null,"abstract":"<p>This paper provides a first economic analysis of liquid staking tokens, which are derivatives representing a share of staked tokens in Proof-of-Stake blockchains. We document substantial time-variation in the “liquid staking basis” as given by the price difference between a derivative staking token and its underlying cryptocurrency. We find evidence that staking rewards, concentration risks, limits to arbitrage, and behavioral factors influence this basis. The liquid staking basis is wider when the yields offered by the liquid staking protocol are low relative to the alternative of staking directly, when cryptocurrency returns are more volatile, and when secondary market liquidity is low. In contrast, it is smaller when investors pay more attention to liquid staking and when investor sentiment is positive. Furthermore, liquid staking tokens contribute a significant and overall growing amount to price discovery in the underlying cryptocurrencies.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"91-117"},"PeriodicalIF":1.8,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22556","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143117322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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
{"title":"Journal of Futures Markets: Volume 44, Number 12, December 2024","authors":"","doi":"10.1002/fut.22438","DOIUrl":"https://doi.org/10.1002/fut.22438","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 12","pages":"1849"},"PeriodicalIF":1.8,"publicationDate":"2024-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22438","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142641856","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion 基于拉普拉斯变换反演的方差Gamma系统和特质因子易损期权定价
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
{"title":"Journal of Futures Markets: Volume 44, Number 11, November 2024","authors":"","doi":"10.1002/fut.22437","DOIUrl":"https://doi.org/10.1002/fut.22437","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 11","pages":"1733"},"PeriodicalIF":1.8,"publicationDate":"2024-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22437","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142435142","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Which Way Does the Wind Blow Between SPX Futures and VIX Futures?
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-10-07 DOI: 10.1002/fut.22555
Ekow A. Aikins, Alexander Kurov
{"title":"Which Way Does the Wind Blow Between SPX Futures and VIX Futures?","authors":"Ekow A. Aikins,&nbsp;Alexander Kurov","doi":"10.1002/fut.22555","DOIUrl":"https://doi.org/10.1002/fut.22555","url":null,"abstract":"<div>\u0000 \u0000 <p>The negative correlation between returns and volatility is well known. However, there is no consensus on whether returns cause changes in volatility or vice versa. In this paper, we investigate the contemporaneous relation between the VIX futures and E-mini S&amp;P 500 futures markets with the aim of shedding new light on the relation between market returns and implied volatility. We use the E-mini S&amp;P 500 futures (often referred to as SPX futures) as a proxy for stock market returns and VIX futures as a proxy for expectations of implied volatility. We consistently find that stock returns cause changes in expectations of implied volatility. To estimate the coefficients of interest, we use an identification through heteroskedasticity approach which takes advantage of predictable intraday shifts in volatility in the two futures markets.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"79-90"},"PeriodicalIF":1.8,"publicationDate":"2024-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143113126","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
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
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