Journal of Futures Markets: Volume 42, Number 8, August 2022

• Published date: 01 August 2022
• Date: 01 August 2022
• DOI: http://doi.org/10.1002/fut.22234

Volume 42 Number 8 August 2022

FUTURES MARKETS

CONTENTSCONTENTS

T H E J O U R N A L O F

Option pricing with state‐dependent pricing kernel Option pricing with state‐dependent pricing kernel 14091409

CHEN TONG, PETER REINHARD HANSENCHEN TONG, PETER REINHARD HANSEN and and ZHUO HUANGZHUO HUANG

The impact of high speed quoting on execution risk dynamics: Evidence from The impact of high speed quoting on execution risk dynamics: Evidence from

interest rate futures markets interest rate futures markets 14341434

JING NIE, JULIANA MALAGONJING NIE, JULIANA MALAGON and and JULIAN WILLIAMSJULIAN WILLIAMS

Forecasting high‐yield equity and CDS index returns: Does observed Forecasting high‐yield equity and CDS index returns: Does observed

cross‐market informational flow have predictive power? cross‐market informational flow have predictive power? 14661466

WILLIAM J. PROCASKYWILLIAM J. PROCASKY and and ANWEN YINANWEN YIN

Beta and size equity premia following a high‐VIX threshold Beta and size equity premia following a high‐VIX threshold 14911491

NARESH BANSAL, ROBERT A. CONNOLLYNARESH BANSAL, ROBERT A. CONNOLLY and and CHRIS STIVERSCHRIS STIVERS

Directly pricing VIX futures with observable dynamic jumps based on Directly pricing VIX futures with observable dynamic jumps based on

high‐frequency VIX high‐frequency VIX 15181518

GONGYUE JIANG, GAOXIU QIAO, FENG MAGONGYUE JIANG, GAOXIU QIAO, FENG MA and and LU WANGLU WANG

The information effect of order flows in foreign currency futures and The information effect of order flows in foreign currency futures and

spot markets spot markets 15491549

YU‐LUN CHENYU‐LUN CHEN and and YIN‐FENG GAUYIN‐FENG GAU

Exploring the dynamics of the equity–commodity nexus: A study of base Exploring the dynamics of the equity–commodity nexus: A study of base

metal futures metal futures 15731573

IPSITA SAISHREEIPSITA SAISHREE and and PUJA PADHIPUJA PADHI

Analyzing interactive call, default, and conversion policies for Analyzing interactive call, default, and conversion policies for

corporate bonds corporate bonds 15971597

LIANG‐CHIH LIU, TIAN‐SHYR DAI, LEI ZHOULIANG‐CHIH LIU, TIAN‐SHYR DAI, LEI ZHOU and and HAO‐HAN CHANGHAO‐HAN CHANG

Withdrawn: Yan, C, Zhao, B. (2018). A general jump‐diffusion process to Withdrawn: Yan, C, Zhao, B. (2018). A general jump‐diffusion process to

price volatility derivatives. J Futures Markets, 39, 15–37. price volatility derivatives. J Futures Markets, 39, 15–37.

https://doi.org/10.1002/fut.21962 https://doi.org/10.1002/fut.21962 16391639

Volume 42, Number 8 was mailed the week of XX XXXX, 2022

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