Journal of Futures Markets: Volume 40, Number 4, April 2020

• Published date: 01 April 2020
• DOI: http://doi.org/10.1002/fut.22026
• Date: 01 April 2020

Volume 40 Number 4 April 2020

FUTURES MARKETS

CONTENTSCONTENTS

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

Pricing and integration of credit default swap index tranches Pricing and integration of credit default swap index tranches 503503

ANDREW CARVERHILL ANDREW CARVERHILL and and DAN LUO DAN LUO

Volatility term structures in commodity markets Volatility term structures in commodity markets 527527

FABIAN HOLLSTEIN , MARCEL PROKOPCZUK FABIAN HOLLSTEIN , MARCEL PROKOPCZUK and and CHRISTOPH WÜRSIG CHRISTOPH WÜRSIG

Efficient trinomial trees for local‐volatility models in pricing Efficient trinomial trees for local‐volatility models in pricing

double‐barrier options double‐barrier options 556556

U HOU LOK U HOU LOK and and YUH‐DAUH LYUU YUH‐DAUH LYUU

Speculative pressure Speculative pressure 575575

JOHN HUA FAN , ADRIAN FERNANDEZ‐PEREZ , ANA‐MARIA FUERTES JOHN HUA FAN , ADRIAN FERNANDEZ‐PEREZ , ANA‐MARIA FUERTES

and and JOËLLE MIFFRE JOËLLE MIFFRE

Estimating the connectedness of commodity futures using a Estimating the connectedness of commodity futures using a

network approach network approach 598598

BINQING XIAO , HONGHAI YU , LIBING FANG BINQING XIAO , HONGHAI YU , LIBING FANG and and SIFANG DING SIFANG DING

Futures market hedging efficiency in a new futures exchange: Effects of trade Futures market hedging efficiency in a new futures exchange: Effects of trade

partner diversification partner diversification 617617

ATLE OGLEND ATLE OGLEND and and HANS‐MARTIN STRAUME HANS‐MARTIN STRAUME

Intraday time‐series momentum: Evidence from China Intraday time‐series momentum: Evidence from China 632632

MUZHAO JIN , FEARGHAL KEARNEY , YOUWEI LI MUZHAO JIN , FEARGHAL KEARNEY , YOUWEI LI and and YUNG CHIANG YANG YUNG CHIANG YANG

Yield curve risks in currency carry forwards Yield curve risks in currency carry forwards 651651

SEUNGHO BAEK , JEONG WAN LEE , KYONG JOO OH SEUNGHO BAEK , JEONG WAN LEE , KYONG JOO OH and and MYOUNGJI LEE MYOUNGJI LEE

The untold story of commodity futures in China The untold story of commodity futures in China 671671

JOHN HUA FAN JOHN HUA FAN and and TINGXI ZHANG TINGXI ZHANG

Volume 40 , Number 4 was mailed the week of 12 March, 2020

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