Table Of Content

Vines Vth THE JOURNAL OF Author Index to Volume Anderson, D. A., see Hamori, S. Camara, A., The Valuation of Options Ané, T., and Labidi, C., Revisiting the With Restrictions on Preferences and Finite Mixture of Gaussian Distributions, 1091 Distributions with Applications to Cao, M., and Wei, J., Vulnerable Options, Futures Markets, 347 Risky Corporate Bond, and Credit Angus, J. E., A Note on Finding the Spread, 301 Optimal Allocation Between a Risky Chaboud, A., and LeBaron, B., Foreign- Stock and a Risky Bond, 1181 Exchange Trading Volume and Federal Reserve Intervention, 851 Babcock, B. A., see Hart, C. E. Chen, S.-S., Lee, C.-F., and Shrestha, k., Bertus, M., and Stanhouse, B., Rational On a Mean-Generalized Semivariance Speculative Bubbles in the Gold Approach to Determining the Hedge Futures Market: An Application of Ratio, 581 Dynamic Factor Analysis, 79 Cheung, Y.-L., see Cai, J. Bessler, D. A., see Yang, J. Chong, J., see Brooks, C. Bhar, R., Return and Volatility Dynamics Considine, T. J., and Larson, D. F., Risk in the Spot and Futures Markets Premiums on Inventory Assets: The in Australia: An Intervention Analysis in Case of Crude Oil and Natural Gas, 109 a Bivariate EGARCH-X Framework, Corrado, C. J., Option Pricing Based on the 833 Generalized Lambda Distribution, 213 Brailsford, T. J., see McKenzie, M. D. Corredor, P., Lechon, P., and Santamaria, Breuer, W., and Giirtler, M., Hedging in R., Option-Expiration Effects in Small Incomplete Markets: An Approximation Markets: The Spanish Stock Exchange, Procedure for Practical Application, 905 599 Brooks, C., and Chong, J., The Cross- Dennis, P. J., Optimal No-Arbitrage Currency Hedging Performance of Bounds on S&P 500 Index Options and Implied Versus Statistical Forecasting the Volatility Smile, 1151 Models, 1043 Ederington, L., and Lee, J. H., Intraday Caglayan, M. O., see Edwards, F. R. Volatility in Interest-Rate and Foreign- Cai, J., Cheung, Y.-L., and Wong, M. C. S., Exchange Markets: ARCH, Announce- What Moves the Gold Market? 257 ment, and Seasonality Effects, 517 Cakici, N., and Zhu, J., Pricing Edwards, F. R., and Caglayan, M. O., Eurodollar Futures Options with the Hedge Fund Performance and Manager Heath—Jarrow—Morton Model, 655 Skill, 1003 Author Index Faff, R. W., see McKenzie, M. D. Kwok, Y.-K., and Lau, K.-W., Accuracy Frechette, D. L., and Weaver, R. D., and Reliability Considerations — of Heterogeneous Expectations of Traders Option Pricing Algorithms, 875 in Speculative Futures Markets, 429 Frechette, D. L., The Demand for Labidi, C., see Ané, T. Hedging with Futures and Options, 693 Larson, D. F., see Considine, T. J. Fung, H.-G., Leung, W. K., and Xu, X. E., Lau, K.-W., see Kwok, Y.-K. Information Role of U.S. Futures Leatham D. J., see Yang, J. Trading in a Global Financial Market, LeBaron, B., see Chaboud, A. 1071 Lechon, P., see Corredor, P. Fung, H.-G., and Patterson, G. A., Lee, C.-F., see Chen, S.-S. Volatility, Global Information, and Lee, J. H., see Ederington, L. Market Conditions: A Study in Futures Lekkos, I., and Milas, C., Identifying Markets, 173 the Factors that Affect Interest- Rate Swap Spreads: Some Evidence Giaccotto, C., Hegde, S. P., and from the United States and the United McDermott, J. B., Hedging Multiple Kingdom, 737 Price and Quantity Exposures, 145 Leung, W. K., see Fung, H.-G. Guo, W., Maximum Entropy in Option Lien, D., A Note on Loss Aversion and Pricing: A Convex-Spline Smoothing Futures Hedging, 681 Method, 819 Futures Hedging Under Disap- Giirtler, M., see Breuer, W. pointment Aversion, 1029 Lin, Y.-N., Strong, N., and Xu, X., Pricing Hall, A. D., and Kofman, P., Limits to FTSE 100 Index Options under Linear Price Behavior: Futures Prices Stochastic Volatility, 197 Regulated by Limits, 463 Lioui, A., and Poncet, P., Mean-Variance Hamori, N., see Hamori, S. Efficiency of the Market Portfolio and Hamori, S., Hamori, N., and Anderson, Futures Trading, 329 D. A., An Empirical Analysis of the Locke, P. R., and Sarkar, A., Liquidity Efficiency of the Osaka Rice Market Supply and Volatility: Futures Market During Japan's Tokugawa Era, 861 Evidence, | Hart, C. E., Babcock, B. A., and Hayes, Low, A., see Muthuswamy, J. D. J., Livestock Revenue Insurance, 553 Luo, G. Y., Natural Selection and Market Hayes, D. J., see Hart, C. E. Efficiency in a Futures Market with Hegde, S. P., see Giaccotto, C. Random Shocks, 489 Jabbour, G. M., Kramin, M. V., and McDermott, J. B., see Giaccotto, C. Young, S. D., Two-State Option Pricing: McKenzie, M. D., Brailsford, T. J., and Binomial Models Revisited, 987 Faff, R.W., New Insights into the Impact of the Introduction of Futures Kawaller, |. G., Koch, P. D., and Peterson, Irading on Stock Price Volatility, 237 J. E., Volume and Volatility Surrounding Milas, C., see Lekkos, I. Quarterly Redesignation of the Lead Mitchell, J., Clustering and Psycho- S&P 500 Futures Contract, 1119 logical Barriers: The Importance of Koch, P. D., see Kawaller, |. G. Numbers, 395 Kofman, P., see Hall, A. D. Muthuswamy, J., Sarkar, S., Low, A., Kramin, M. V., see Jabbour, G. M. and Terry, E., Time Variation in the Author Index Correlation Structure of Exchange fompkins, R. G., Stock Index Futures Rates: High-Frequency Analyses, 127 Markets: Stochastic Volatility Models and Smiles, 43 Patterson, G. A., see Fung, H.-G. I'se, Y., and Zabotina, T. V., Transaction Peterson, H. H., see Tomek, W. G. Costs and Market Quality: Open Peterson, J. E., see Kawaller, |. G. Outcry Versus Electronic Trading, 713 Poncet, P., see Lioui, A. Wang, C., Investor Sentiment and Return Rahman, S., The Introduction of Predictability in Agricultural Futures Derivatives on the Dow Jones Industrial Markets, 929 Average and Their Impact on_ the Weaver, R. D., see Frechette, D. L. Volatility of Component Stocks, 633 Webb, R. 1., Editor's Note, 393 Wei, J., see Cao, M. Santamaria, R., see Corredor, P. Wiggins III. R. A., see Simon, D. P. Sarkar, A., see Locke, P. R. Wong, M. C. S., see Cai, J. Sarkar, S., see Muthuswamy, J. Shrestha, K., see Chen, S.-S. Xu, X., see Lin, Y.-N. Simon, D. P., and Wiggins HI, R. A., S&P Xu, X. E., see Fung, H.-G. Futures Returns and Contrary Sentiment Indicators, 447 Yalamanchili, K. K., see Tomas III, M. J. Séderstrém, U., Predicting Monetary Yallup, P., see Theobald, M. Policy with Federal Funds Futures Yang, J., Bessler, D. A., and Leatham D. J., Prices, 377 Asset Storability and Price Discovery in Stanhouse, B., see Bertus, M. Commodity Futures Markets: A New Strong, N., see Lin, Y.-N. Look, 279 Young, S. D., see Jabbour, G. M. Terry, E., see Muthuswamy, J. Theobald, M., and Yallup, P., Mean Zabotina, T. V., see Tse, Y. Reversion and Basis Dynamics, 797 Zeng, T. Mean Reversion and _ the Tomas Ill, M. J., and Yalamanchili, K. k., Comovement of Equilibrium Spot and An Application of Finite Elements to Futures Prices: Implications from Option Pricing, 19 Alternative Data-Generating Processes, Tomek, W. G., and Peterson, H. H., Risk 769 Management in Agricultural Markets: A Zhu, J., see Cakici, N. Review, 953