Time-varying jump risk premia in stock index futures returns

Wing Hong Chan; Liling Feng

doi:10.1002/fut.20540

Time-varying jump risk premia in stock index futures returns

Journal of Futures Markets ◽

10.1002/fut.20540 ◽

2011 ◽

Vol 32 (7) ◽

pp. 639-659 ◽

Cited By ~ 7

Author(s):

Wing Hong Chan ◽

Liling Feng

Keyword(s):

Risk Premia ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Jump Risk ◽

Index Futures

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Time-varying distributions and the optimal hedge ratios for stock index futures

Applied Financial Economics ◽

10.1080/758523000a ◽

1995 ◽

Vol 5 (3) ◽

pp. 131-137 ◽

Cited By ~ 56

Author(s):

Tae H. Park ◽

Lorne N. Switzer

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Index Futures ◽

Hedge Ratios ◽

Optimal Hedge

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Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

Energy Economics ◽

10.1016/j.eneco.2019.06.020 ◽

2019 ◽

Vol 83 ◽

pp. 119-143 ◽

Cited By ~ 7

Author(s):

Yang Hou ◽

Steven Li ◽

Fenghua Wen

Keyword(s):

Futures Markets ◽

Garch Model ◽

Fuel Oil ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Volatility Spillover ◽

Index Futures ◽

Nonparametric Approach

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Stock index futures mispricing: profit opportunities or risk premia?

Journal of Banking & Finance ◽

10.1016/0378-4266(94)00026-3 ◽

1994 ◽

Vol 18 (5) ◽

pp. 921-953 ◽

Cited By ~ 59

Author(s):

Pradeep K. Yadav ◽

Peter F. Pope

Keyword(s):

Risk Premia ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures

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Stock index futures listing and structural change in time-varying volatility

Journal of Futures Markets ◽

10.1002/fut.3990120502 ◽

1992 ◽

Vol 12 (5) ◽

pp. 493-509 ◽

Cited By ~ 87

Author(s):

Sang Bin Lee ◽

Ki Yool Ohk

Keyword(s):

Structural Change ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Index Futures

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The role of time-varying jump risk premia in pricing stock index options

Journal of Empirical Finance ◽

10.1016/j.jempfin.2011.07.003 ◽

2011 ◽

Vol 18 (5) ◽

pp. 833-846 ◽

Cited By ~ 1

Author(s):

Jaeho Yun

Keyword(s):

Risk Premia ◽

Stock Index ◽

Time Varying ◽

Jump Risk ◽

Index Options

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Time-Varying Volatility in Canadian and U.S. Stock Index Futures Markets: A Multivariate Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.119688 ◽

1998 ◽

Author(s):

Lucy F. Ackert ◽

Marie D. Racine

Keyword(s):

Multivariate Analysis ◽

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Index Futures

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Stock Index Futures Trading and Volatility in International Equity Markets

CFA Digest ◽

10.2469/dig.v31.n1.832 ◽

2001 ◽

Vol 31 (1) ◽

pp. 71-72

Author(s):

William H. Sackley

Keyword(s):

Equity Markets ◽

Stock Index ◽

Stock Index Futures ◽

Futures Trading ◽

Index Futures ◽

International Equity Markets ◽

International Equity

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Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽

10.2469/dig.v33.n3.1742 ◽

2003 ◽

Vol 33 (3) ◽

pp. 101-102

Author(s):

Frank T. Magiera

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures

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Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares

SSRN Electronic Journal ◽

10.2139/ssrn.1252643 ◽

2008 ◽

Cited By ~ 1

Author(s):

James Richard Cummings ◽

Alex Frino

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Index Arbitrage

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Long Memory and Periodicity in Intraday Volatility of Stock Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.1460625 ◽

2009 ◽

Cited By ~ 1

Author(s):

Eduardo Rossi ◽

Dean Fantazzini

Keyword(s):

Long Memory ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Intraday Volatility

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