No. 42-8, August 2022

Index

• Analyzing interactive call, default, and conversion policies for corporate bonds
• Beta and size equity premia following a high‐VIX threshold
• Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX
• Exploring the dynamics of the equity–commodity nexus: A study of base metal futures
• Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?
• Journal of Futures Markets: Volume 42, Number 8, August 2022
• Option pricing with state‐dependent pricing kernel
• The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets
• The information effect of order flows in foreign currency futures and spot markets
• Withdrawn: Yan, C, Zhao, B. (2018). A general jump‐diffusion process to price volatility derivatives. J Futures Markets, 39, 15–37. https://doi.org/10.1002/fut.21962