发布求助
文献互助 智能选刊 最新文献

Journal of Futures Markets最新文献

筛选
英文 中文
Journal of Futures Markets: Volume 44, Number 7, July 2024 期货市场期刊》：第 44 卷第 7 号，2024 年 7 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-06 DOI: 10.1002/fut.22433
{"title":"Journal of Futures Markets: Volume 44, Number 7, July 2024","authors":"","doi":"10.1002/fut.22433","DOIUrl":"https://doi.org/10.1002/fut.22433","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1095"},"PeriodicalIF":1.9,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22433","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141286853","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
Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options 为百慕大期权定价的一离最小二乘蒙特卡洛算法
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-23 DOI: 10.1002/fut.22515
Jeechul Woo, Chenru Liu, Jaehyuk Choi
{"title":"Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options","authors":"Jeechul Woo,&nbsp;Chenru Liu,&nbsp;Jaehyuk Choi","doi":"10.1002/fut.22515","DOIUrl":"10.1002/fut.22515","url":null,"abstract":"<p>The least squares Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing Bermudan options. The LSM estimator contains undesirable look-ahead bias, and the conventional technique of avoiding it requires additional simulation paths. We present the leave-one-out LSM (LOOLSM) algorithm to eliminate look-ahead bias without doubling simulations. We also show that look-ahead bias is asymptotically proportional to the regressors-to-paths ratio. Our findings are demonstrated with several option examples in which the LSM algorithm overvalues the options. The LOOLSM method can be extended to other regression-based algorithms that improve the LSM method.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1404-1428"},"PeriodicalIF":1.8,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141146396","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
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information 利用包含 VIX 信息的 HARGARCH 模型对股票收益波动性进行建模和预测
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-22 DOI: 10.1002/fut.22516
Zhiyuan Pan, Jun Zhang, Yudong Wang, Juan Huang
{"title":"Modeling and forecasting stock return volatility using the HARGARCH model with VIX information","authors":"Zhiyuan Pan,&nbsp;Jun Zhang,&nbsp;Yudong Wang,&nbsp;Juan Huang","doi":"10.1002/fut.22516","DOIUrl":"10.1002/fut.22516","url":null,"abstract":"<p>This study develops a novel approach for improving stock return volatility forecasts using volatility index information with the entropic tilting technique. Unlike traditional linear heteroskedasticity autoregressive methods with option-implied information, we first derive predictive densities from traditional models, and then tilt using both the first and second moments of the risk-neutral distribution, which enables us to capture the nonlinear effect in our specification. The empirical findings demonstrate a substantial enhancement in the forecasting accuracy of all models once the first- and second-moment information is considered, where the improvement is both statistically and economically significant. These results have important implications for risk management in well-established derivatives markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1383-1403"},"PeriodicalIF":1.8,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141110719","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
Managing risk and reaping rewards: Climate-change futures as a game-changer for energy futures markets 管理风险，收获回报：气候变化期货改变能源期货市场的游戏规则
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-20 DOI: 10.1002/fut.22513
Mohammad Enamul Hoque, M. Kabir Hassan, Luca Pezzo
{"title":"Managing risk and reaping rewards: Climate-change futures as a game-changer for energy futures markets","authors":"Mohammad Enamul Hoque,&nbsp;M. Kabir Hassan,&nbsp;Luca Pezzo","doi":"10.1002/fut.22513","DOIUrl":"10.1002/fut.22513","url":null,"abstract":"<p>Climate-change futures provide a platform for low-carbon portfolios and energy market risk hedging. Climate changes induce uncertainty in energy-commodity markets. We investigate the potential of diversifying and hedging energy-commodity market risk with climate-change futures, using dynamic conditional correlation (DCC)-ordinary least squares (OLS) incorporating quantile-dummies and cross-quantilogram (CQ) approaches. DCC-OLS models reveal that the World and USA climate-change 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-change futures demonstrate hedging capabilities for all energy commodities except oil and gasoil. World, USA, and Euro climate-change futures have the potential to serve as safe-haven 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-change futures exhibit hedging and safe-haven capacity against oil, natural gas, coal, gasoil, gasoline, and heating futures. Climate-change futures may protect financial investments during extreme volatility in energy commodities.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1338-1356"},"PeriodicalIF":1.8,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141119110","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
Financialization of commodity markets: New evidence from temporal and spatial domains 商品市场的金融化：来自时空领域的新证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-20 DOI: 10.1002/fut.22514
Libo Yin, Hong Cao
{"title":"Financialization of commodity markets: New evidence from temporal and spatial domains","authors":"Libo Yin,&nbsp;Hong Cao","doi":"10.1002/fut.22514","DOIUrl":"10.1002/fut.22514","url":null,"abstract":"<p>To address the ongoing contention surrounding the impact of financialization, this study adopts a ripple-spreading network model to analyze the transmission of information across 13 globally significant commodity markets. By juxtaposing the pre- and postfinancialization periods, notable disparities in spillover magnitude are discerned, with overall effects registering at 58% and 85%, respectively. Moreover, the postfinancialization period exhibits accelerated spillover dynamics, necessitating a reduced timeframe (less than 1000 units) in contrast to the prefinancialization period (approximately 2000 units). Furthermore, a heightened interconnectedness among energy, metal, and agricultural futures is evident in the postfinancialization period. These findings furnish compelling evidence regarding the ramifications of financialization on commodity markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1357-1382"},"PeriodicalIF":1.8,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141122195","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
The asymmetry in day and night option returns: Evidence from an emerging market 日间和夜间期权收益的不对称性：新兴市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-09 DOI: 10.1002/fut.22512
Aparna Bhat, Piyush Pandey, S. V. D. Nageswara Rao
{"title":"The asymmetry in day and night option returns: Evidence from an emerging market","authors":"Aparna Bhat,&nbsp;Piyush Pandey,&nbsp;S. V. D. Nageswara Rao","doi":"10.1002/fut.22512","DOIUrl":"10.1002/fut.22512","url":null,"abstract":"<p>Delta-hedged option selling strategies typically yield positive returns, owing to the volatility risk premium embedded in the option price. Recent research based on S&amp;P 500 options has found a day–night asymmetry in option returns. We find a similar disparity in the returns for short Nifty option strategies. Positive and significant overnight option returns are accompanied by negative intraday returns. The day–night asymmetry is robust across option categories and subsamples but weaker on days with significant jumps in the underlying. We confirm that the variance risk premium earned by option sellers is mainly a reward for overnight risk.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1320-1337"},"PeriodicalIF":1.8,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140942566","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
High–low volatility spillover network between economic policy uncertainty and commodity futures markets 经济政策不确定性与商品期货市场之间的高低波动溢出网络
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-05 DOI: 10.1002/fut.22511
Youtao Xiang, Sumuya Borjigin
{"title":"High–low volatility spillover network between economic policy uncertainty and commodity futures markets","authors":"Youtao Xiang,&nbsp;Sumuya Borjigin","doi":"10.1002/fut.22511","DOIUrl":"10.1002/fut.22511","url":null,"abstract":"<p>Based on the formation and evolution of systemic risk, we study the high-low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well as the corresponding contagion mechanisms. Upon comparing topological characteristics on each volatility layer, our results demonstrate that high and low volatility spillover networks have different network characteristics and evolution behaviors. At the system level, high volatility spillovers are relatively stronger than spillovers in in low volatility network, while the risk propagation efficiency in the low volatility network is higher. At the market level, EPU is not only an important risk-emitter but also a risk-recipient most of the time. Additionally, compared with high volatility network, low volatility network characteristics have greater predictive ability for risk spillover among commodity futures, which means that it contains additional information and provides early warning signals for financial stress.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1295-1319"},"PeriodicalIF":1.8,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939938","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 6, June 2024 期货市场期刊》：第 44 卷第 6 号，2024 年 6 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-30 DOI: 10.1002/fut.22432
{"title":"Journal of Futures Markets: Volume 44, Number 6, June 2024","authors":"","doi":"10.1002/fut.22432","DOIUrl":"https://doi.org/10.1002/fut.22432","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"877"},"PeriodicalIF":1.9,"publicationDate":"2024-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22432","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140814304","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
Trading commodity ETFs: Price behavior, investment insights, and performance analysis 商品 ETF 交易：价格行为、投资见解和绩效分析
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-16 DOI: 10.1002/fut.22509
Elroi Hadad, Davinder Malhotra, Srinivas Nippani
{"title":"Trading commodity ETFs: Price behavior, investment insights, and performance analysis","authors":"Elroi Hadad,&nbsp;Davinder Malhotra,&nbsp;Srinivas Nippani","doi":"10.1002/fut.22509","DOIUrl":"10.1002/fut.22509","url":null,"abstract":"<p>This study analyzes the risk-adjusted performance of commodity exchange-traded funds (ETFs) across diverse market conditions. Examining monthly returns from December 2004 to June 2022, our findings suggest that commodity ETFs underperformed US stocks, indicating limited diversification benefits. However, we document positive <i>α</i> during turbulent market periods like the COVID-19 crisis, signifying potential resilience. Furthermore, our factor regressions reveal that shifts in the global commodity price index and disposable personal income significantly influence commodity ETFs' excess returns, pointing to broader economic and income-related trends. Commodity ETFs exhibit lower Value-at-Risk and Expected Shortfall compared to stock market indices, indicating reduced downside risk exposure for investors. Given the increasing popularity of commodity ETFs, these insights hold substantial significance for market participants.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1257-1276"},"PeriodicalIF":1.9,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22509","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568368","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
Corporate credit default swap systematic factors 企业信用违约掉期系统性因素
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-16 DOI: 10.1002/fut.22505
Ka Kei Chan, Ming-Tsung Lin, Qinye Lu
{"title":"Corporate credit default swap systematic factors","authors":"Ka Kei Chan,&nbsp;Ming-Tsung Lin,&nbsp;Qinye Lu","doi":"10.1002/fut.22505","DOIUrl":"10.1002/fut.22505","url":null,"abstract":"<p>We examine a comprehensive set of systematic and firm-specific determinants of the credit default swap (CDS), using a two-step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <msup>\u0000 <mi>R</mi>\u0000 \u0000 <mn>2</mn>\u0000 </msup>\u0000 </mrow>\u0000 </mrow>\u0000 <annotation> ${R}^{2}$</annotation>\u0000 </semantics></math> of 35%), while firm-specific factors are limited (with <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <msup>\u0000 <mi>R</mi>\u0000 \u0000 <mn>2</mn>\u0000 </msup>\u0000 </mrow>\u0000 </mrow>\u0000 <annotation> ${R}^{2}$</annotation>\u0000 </semantics></math> of 5% in panel regression) with only 4 out of 28 firm-specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1224-1256"},"PeriodicalIF":1.9,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22505","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568356","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信