Journal of Futures Markets: Volume 37, Number 4, April 2017

• Published date: 01 April 2017
• DOI: http://doi.org/10.1002/fut.21811
• Date: 01 April 2017

Volume 37 Number 4 April 2017

FUTURES MARKETS

CONTENTSCONTENTS

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

Volume 37, Number 4 was mailed the week of March 13, 2017

Special Issue from the 2016 Special Issue from the 2016

China Derivatives Markets ConferenceChina Derivatives Markets Conference

Editor’s Note Editor’s Note

315315

ROBERT I. WEBB ROBERT I. WEBB

Derivatives Valuation Based on Arbitrage: The Trade is Crucial Derivatives Valuation Based on Arbitrage: The Trade is Crucial

316316

STEPHEN FIGLEWSKISTEPHEN FIGLEWSKI

Option Pricing with the Realized GARCH Model: An Analytical Option Pricing with the Realized GARCH Model: An Analytical

Approximation Approach Approximation Approach

328328

ZHUO HUANG, TIANYI WANG, ZHUO HUANG, TIANYI WANG, and and PETER REINHARD HANSENPETER REINHARD HANSEN

Asymmetry in the Permanent Price Impact of Block Purchases Asymmetry in the Permanent Price Impact of Block Purchases

and Sales: Theory and Empirical Evidence and Sales: Theory and Empirical Evidence

359359

ALEX FRINO, VITO MOLLICA, MARIA GRAZIA ROMANO, ALEX FRINO, VITO MOLLICA, MARIA GRAZIA ROMANO, andand ZEYANG ZHOU ZEYANG ZHOU

AVIX: An Improved VIX Based on Stochastic Interest Rates AVIX: An Improved VIX Based on Stochastic Interest Rates

and an Adaptive Screening Mechanism and an Adaptive Screening Mechanism

374374

ZHENLONG ZHENG, ZHENGYUN JIANG, ZHENLONG ZHENG, ZHENGYUN JIANG, andand RONG CHEN RONG CHEN

Index Futures Trading Restrictions and Spot Market Quality: Evidence Index Futures Trading Restrictions and Spot Market Quality: Evidence

from the Recent Chinese Stock Market Crash from the Recent Chinese Stock Market Crash

411411

QIAN HAN QIAN HAN andand JUFANG LIANG JUFANG LIANG

wileyonlinelibrary.com

The Skewness Implied in the Heston Model and Its Application

211

JIN E. ZHANG, FANG ZHEN, XIAOXIA SUN, and HUIMIN ZHAO

Net Buying Pressure and Option Informed Trading

238

CHAO-CHUN CHEN and SHIH-HUA WANG

Correlation and Lead–Lag Relationships in a Hawkes Microstructure

Model

260

JOSÉ DA FONSECA and RIADH ZAATOUR

Volatility Smile and One-Month Foreign Currency Volatility

Forecasts

286

ALFRED HUAH-SYN WONG and RICHARD A. HEANEY

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