Table Of Content

THE JOURNAL OF UTURES MARK Author Index to Volume 26 Bernhardt, D., Davies, R. J., and Spicer, Transmission Between ETFs and Index J., Long-Term Information, Short-Lived Futures, 131 Securities, 465 Chou, R. K., and Wang, G. H. K., Trans- Bessler, D. A., see Bryant, H. L. action Tax and Market Quality of the Bianco, S., and Rend, R., Dynamics of Taiwan Stock Index Futures, 1195 Intraday Serial Correlation in the Chung, H., and Chiang, S., Price Italian Futures Market, 61 Clustering in E-Mini and Floor-Traded Bortoli, L., Frino, A., Jarnecic, E., and Index Futures, 269 Johnstone, D., Limit Order Book Chung, H., see Chou, R. K. Transparency, Execution Risk, and Chung, S.-L., see Camara, A. Market Liquidity: Evidence from the Cortazar, G., and Naranjo, L., An N- Sydney Futures Exchange, | 147 Factor Gaussian Model of Oil Futures Bowden, R., and Zhu, J., Asymmetric Prices, 243 Hedging of the Corporate Terms of Cotter, J., and Hanly, J., Reevaluating Trade, 1059 Hedging Performance, 677 Bryant, H. L., Bessler, D. A., and Haigh, M. S., Causality in Futures Markets, Daigler, R. T., see Chen, Z. 1039 Davies, R. J., see Bernhardt, D. Demirtas, K. O., Nonlinear Asymmetric Camara, A., and Chung, S.-L., Option Models of the Short-Term Interest Pricing for the Transformed-Binomial Rate, 869 Class, 759 Denault, M., Gauthier, G., and Simonato, Chan, W. H., and Young, D., Jumping J.-G., Improving Lattice Schemes Hedges: An Examination of Move- Through Bias Reduction, 733 ments in Copper Spot and Futures Dupoyet, B., Information Content of Markets, 169 Cross-Sectional Option Prices: A Com- Chance, D. M., A Hedging Deficiency in parison of Alternative Currency Option Eurodollar Futures, 189 Pricing Models on the Japanese Yen, 33 Chen, C.-C., see Liao, S.-L. Chen, Z., Daigler, R. T., and Parhizgari, Fan, L., and Zhang, C., The Chinese A. M., Persistence of Volatility in Interbank Repo Market: An Analysis of Futures Markets, 57 | Term Premiums, 153 Chiang, S., see Chung, H. Fehle, F., Too Many Options? Theory and Chou, R. K., and Chung, H., Decimaliz- Evidence on Option Exchange Design, ation, Trading Costs, and Information $33 Frino, A., see Bortoli, L. Liao, S.-L., and Chen, C.-C., The Fung, J. K. W., see Tse, Y. Valuation of European Options When Asset Returns Are Autocorrelated, 85 Gauthier, G., see Denault, M. Liao, S.-L., and Huang, H.-H., Valuation Gilbert, S., Jones, S. K., and Morris, and Optimal Strategies of Convertible G. H., The Impact of Skewness in the Bonds, 895 Hedging Decision, 503 Lien, D., and Yang, L., Spot-Futures Spread, Time-Varying Correlation, and Hackard, J. C., see Tse, Y. Hedging With Currency Futures, 1019 Haigh, M., see Bryant, H. L. Lien, D., Estimation Bias of Futures Hall, A. D., Kofman, P., and Manaster, Hedging Performance: A Note, 835 S., Migration of Price Discovery in Lim, K.-G., see Zhang, Z. Semiregulated Derivatives Markets, 209 Lioui, A., Black-Scholes-Merton Revisited Hanly, J., see Cotter, J. Under Stochastic Dividend Yields, 703 Harris, R. D. F., and Shen, J., Hedging Liu, W.-H., see Miller, D. J. and Vaiue at Risk, 369 Lo, C. F., see Hui, C. H. Heaney, R., An Empirical Analysis of Locke, P., see Lee, J. Commodity Pricing, 391 Huang, H.-H., see Liao, $.-L. Manaster, S., see Hall, A. D. Hui, C. H., and Lo, C. F., Currency McCluskey, J. J., see Lee, H.-T. Barrier Option Pricing With Mean MeMillan, D. G., and Speight, A. E. H., Reversion, 939 Nonlinear Dynamics and Competing Behavioral Interpretations: Evidence Illueca, M., and LaFuente, J. A., New From Intra-Day FTSE-100 Index and Evidence on Expiration-Day Effects Futures Data, 343 Using Realized Volatility: An Intraday Miller, D. J., and Liu, W.-H., Improved Analysis for the Spanish Stock Estimation of Portfolio Value-at-Risk Exchange, 923 Under Copula Models With Mixed Marginals, 997 Jarnecic, E., see Bortoli, L. Mittelhammer, R. C., see Lee, H.-T. Johnstone, D., see Bortoli, L. Morris, G. H., see Gilbert, S. Jones, S. K., see Gilbert, S. Nalholm, M., and Poulsen, R., Static Kofman, P., see Hall, A. D. Hedging and Model Risk for Barrier Kuo, I.-D., and Paxson, D. A., Multifactor Options, 449 Implied Volatility Functions for HJM Naranjo, L., see Cortazar, G. Models, 809 Nikolaou, K., and Sarno, L., New Evidence on the Forward Unbiasedness LaFuente, J. A., see Illueca, M. Hypothesis in the Foreign-Exchange Lee, H.-T., Yoder, J. K., Mittelhammer, Market, 627 R. C., and McCluskey, J. J., A Random Nordén, L., Does an Index Futures Split Coefficient Autoregressive Markov Enhance Trading Activity and Hedging Regime Switching Model for Dynamic Effectiveness of the Futures Contract?, Futures Hedging, 103 1169 Lee, J., and Locke, P., Dynamic Trading Value at Risk: Futures Floor Trading, Parhizgari, A. M., see Chen, Z. 1217 Paxson, D. A., see Kuo, 1.-D. Author Index Petrella, G., Option Bid-Ask Spread and Tse, Y., Xiang, J., and Fung, J. K. W., Price Scalping Risk: Evidence From a Discovery in the Foreign Exchange Covered Warrants Market, 843 Futures Market, 1131 Poulsen, R., see Nalholm, M. Psychoyios, D., and Skiadopoulos, G., Wang, G. H. K., see Chou, R. K. Volatility Options: Hedging Effective- Wang, T., Yang, J., and Wu, J., Central ness, Pricing, and Model Error, | Bank Communications and Equity ETFs, 959 Reno, R., see Bianco, S. Webb, R. J. Editor’s Note, 1145 Rentzler, J., Tandon, K., and Yu, S., Wong, K. P., and Xu, J., Liquidity Risk and Intraday Price-Reversal Patterns in the the Hedging Role of Options, 789 Currency Futures Market: The Impact Wu, J., see Wang, T. of the Introduction of GLOBEX and the Euro, 1089 Xiang, J., see Tse, Y. Roberts, M. C., see Zulauf, C. R. Xu, J., see Wong, K. P. Rogers, D. A., see Simkins, B. J. Yang, J., see Wang, T. Sarno, L., see Nikolaou, K. Yang, L., see Lien, D. Shen, J., see Harris, R. D. F. Yoder, J. K., see Lee, H.-T. Shu, J., and Zhang, J. E., Testing Range Young, D., see Chan, W. H. Estimators of Historical Volatility, Yu, S., see Rentzler, J. 297 Simkins, B. J., and Rogers, D. A., Zhang, C., see Fan, L. Asymmetric Information and Credit Zhang, J. E., and Zhu, Y., VIX Futures, Quality: Evidence From Synthetic 521 Fixed-Rate Financing, 595 Zhang, J. E., see Shu, J. Simonato, J.-G., see Denault, M. Zhang, Z., and Lim, K.-G., A Non-Lattice Skiadopoulos, G., see Psychoyios, D. Pricing Model of American Options Speight, A. E. H., see McMillan, D. G. Under Stochastic Volatility, 417 Spicer, J., see Bernhardt, D. Zhou, H., see Zulauf, C. R. Zhu, J., see Bowden, R. landon, K., see Rentzler, J. Zhu, Y., see Zhang, J. E. Tse, Y., and Hackard, J. C., Holy Mad Zulauf, C. R., Zhou, H., and Roberts, Cow! Facts or (Mis)Perceptions: A M. C., Updating the Estimation of the Clinical Study, 315 Supply of Storage, 657