| Structural breaks and volatility forecasting in the copper futures market |
27 |
| The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH-MIDAS approach |
16 |
| Derivatives pricing with liquidity risk |
15 |
| Economic significance of commodity return forecasts from the fractionally cointegrated VAR model |
13 |
| Price discovery in bitcoin spot or futures? |
12 |
| Do country risk and ?nancial uncertainty matter for energy commodity futures? |
10 |
| VIX term structure and VIX futures pricing with realized volatility |
10 |
| Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non-energy sectors |
9 |
| The directional information content of options volumes |
8 |
| Speculation and volatility-A time-varying approach applied on Chinese commodity futures markets |
7 |
| Price discovery in the Chinese gold market |
6 |
| The impacts of public news announcements on intraday implied volatility dynamics |
6 |
| Investor sentiment and the Chinese index futures market: Evidence from the internet search |
5 |
| Currency derivatives for hedging: New evidence on determinants, firm risk, and performance |
5 |
| Modeling VXX |
5 |
| Price discovery among SSE 50 Index-based spot, futures, and options markets |
5 |
| Determinants of intraday price discovery in VIX exchange traded notes |
4 |
| Economic policy uncertainty, CDS spreads, and CDS liquidity provision |
4 |
| Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures |
4 |
| VIX futures pricing with conditional skewness |
4 |
| Density forecast comparisons for stock prices, obtained from high-frequency returns and daily option prices |
3 |
| Oil price volatility and real options: 35 years of evidence |
3 |
| Market quality and the connectedness of steel rebar and other industrial metal futures in China |
3 |
| A general jump-diffusion process to price volatility derivatives |
3 |
| Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model |
3 |
| Forecasting using alternative measures of model-free option-implied volatility |
3 |
| Price discovery dynamics in European agricultural markets |
3 |
| Macroeconomic news announcements, systemic risk, financial market volatility, and jumps |
3 |
| Option-implied betas and the cross section of stock returns |
3 |
| Market openness and market quality in gold markets |
3 |
| Pricing and issuance dependencies in structured financial product portfolios |
3 |
| When stock futures dominate price discovery |
3 |
| Volatility and correlation timing: The role of commodities |
3 |
| Policy impact on volatility dynamics in commodity futures markets: Evidence from China |
2 |
| Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan |
2 |
| Long-term dynamics of the VIX index and its tradable counterpart VXX |
2 |
| On full calibration of hybrid local volatility and regime-switching models |
2 |
| Instantaneous squared VIX and VIX derivatives |
2 |
| The trilogy of China cotton markets: The lead-lag relationship among spot, forward, and futures markets |
2 |
| Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market |
2 |
| Pricing variance swaps under the Hawkes jump-diffusion process |
2 |
| Contrarians or momentum chasers? Individual investors' behavior when trading exchange-traded funds |
2 |
| Informed trading around earnings announcements-Spot, futures, or options? |
2 |
| Investor attention and stock market under-reaction to earnings announcements: Evidence from the options market |
2 |
| Modeling temperature behaviors: Application to weather derivative valuation |
2 |
| Quantile information share |
2 |
| Market uncertainty and market orders in futures markets |
2 |
| Trader types and fleeting orders: Evidence from Taiwan Futures Exchange |
2 |
| Bank risk, financial stress, and bank derivative use |
2 |
| Hedging systematic risk in the commodity market with a regime-switching multivariate rotated generalized autoregressive conditional heteroskedasticity model |
2 |
