Journal of Futures Markets: Volume 39, Number 6, June 2019

• Published date: 01 June 2019
• DOI: http://doi.org/10.1002/fut.21947
• Date: 01 June 2019

Volume 39 Number 6 June 2019

FUTURES MARKETS

CONTENTSCONTENTS

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

Pricing variance swaps under the Hawkes jump‐diffusion process Pricing variance swaps under the Hawkes jump‐diffusion process

635635

WEIYI LIUWEIYI LIU and and SONG‐PING ZHUSONG‐PING ZHU

The impacts of public news announcements on intraday The impacts of public news announcements on intraday

implied volatility dynamics implied volatility dynamics

656656

JIEUN LEEJIEUN LEE and and DOOJIN RYUDOOJIN RYU

Institutional quality and sovereign credit default swap spreads Institutional quality and sovereign credit default swap spreads

686686

WEI HUANG, SHU LINWEI HUANG, SHU LIN and and JIAN YANGJIAN YANG

Valuation and applications of compound basket options Valuation and applications of compound basket options

704704

KWANGIL BAEKWANGIL BAE

Losers and prospectors in the short‐term options market Losers and prospectors in the short‐term options market

721721

ARJUN CHATRATH, ROHAN A. CHRISTIE‐DAVID, HONG MIAOARJUN CHATRATH, ROHAN A. CHRISTIE‐DAVID, HONG MIAO and and

SANJAY RAMCHANDERSANJAY RAMCHANDER

Improving volatility prediction and option valuation using Improving volatility prediction and option valuation using

VIX information: A volatility spillover GARCH model VIX information: A volatility spillover GARCH model

744744

ZHIYUAN PAN, YUDONG WANG, LI LIUZHIYUAN PAN, YUDONG WANG, LI LIU and and QING WANGQING WANG

Volume 39 , Number 6 was mailed the week of May 13, 2019

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