Journal of Futures Markets: Volume 36, Number 12, December 2016

• Published date: 01 December 2016
• Date: 01 December 2016
• DOI: http://doi.org/10.1002/fut.21752

Volume 36 Number 12 December 2016

FUTURES MARKETS

CONTENTSCONTENTS

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

Volume 36, Number 12 was mailed the week of November 14, 2016

Forecasting Stock Return Volatility: A ComparisonForecasting Stock Return Volatility: A Comparison

of GARCH, Implied Volatility, andof GARCH, Implied Volatility, and

Realized Volatility Models Realized Volatility Models

11271127

DIMOS S. KAMBOUROUDIS, DAVID G. MDIMOS S. KAMBOUROUDIS, DAVID G. McMILLAN, MILLAN, andand KATERINA TSAKOU KATERINA TSAKOU

An International Comparison of Implied,An International Comparison of Implied,

Realized, and GARCH Volatility Forecasts Realized, and GARCH Volatility Forecasts

11641164

APOSTOLOS KOURTIS, RAPHAEL N. MARKELLOS, APOSTOLOS KOURTIS, RAPHAEL N. MARKELLOS, andand LAZAROS SYMEONIDIS LAZAROS SYMEONIDIS

Option Pricing Under Skewness andOption Pricing Under Skewness and

Kurtosis Using a Cornish–Fisher Expansion Kurtosis Using a Cornish–Fisher Expansion

11941194

SOFIANE ABOURA SOFIANE ABOURA andand DIDIER MAILLARD DIDIER MAILLARD

Monetary Policy and Stock Prices: Does the “Fed Put”Monetary Policy and Stock Prices: Does the “Fed Put”

Work When It Is Most Needed? Work When It Is Most Needed?

12101210

ALEXANDER KUROV ALEXANDER KUROV andand CHEN GU CHEN GU

Spillovers and Directional Predictability with aSpillovers and Directional Predictability with a

Cross-Quantilogram Analysis: The Case ofCross-Quantilogram Analysis: The Case of

U.S. and Chinese Agricultural Futures U.S. and Chinese Agricultural Futures

12311231

HUAYUN JIANG, JEN-JE SU, NEDA TODOROVA, HUAYUN JIANG, JEN-JE SU, NEDA TODOROVA, andand EDUARDO ROCA EDUARDO ROCA

wileyonlinelibrary.com

11251125

fut_36 (12)_TOC.indd 1125fut_36 (12)_TOC.indd 1125 19/10/16 4:48 PM19/10/16 4:48 PM