We examine the volatility‐volume relation in futures markets using volume data categorized
by type of trader. We find that the positive volatility‐volume relation is driven by the general …

We examine the short-term dynamic relation between the S&P 500 (Nasdaq 100) index return
and changes in implied volatility at both the daily and intraday level. Neither the leverage …

… Author links open overlay panel Leyuan You a b , Robert T. Daigler c … is given by:(4) H t =
D t R t D t , D t = diag h i , t , where R t is the time-varying conditional correlation matrix and D …

We examine the diversification benefits of using individual futures contracts instead of simply
a commodity index. We determine the ex‐ante, ex‐post, and stability results for optimal M …

The MF Global bankruptcy was the fifth largest financial failure in US history and sent shock
waves across the US and European financial markets; the farming and commodities …

We examine the pricing performance of VIX option models. Such models possess a wide‐range
of underlying characteristics regarding the behavior of both the S&P500 index and the …

This study examines factors affecting stock index spot versus futures pricing and arbitrage
opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's …

The volume–volatility relationship during the dissemination stages of information flow is
examined by analyzing various theories relating volume and volatility as complementary rather …

This article examines the characteristics of key measures of volatility for different types of
futures contracts to provide a better foundation for modeling volatility behavior and derivative …

We examine the return‐implied volatility relation by employing “commodity” option VIXs for
the euro, gold, and oil. This relation is substantially weaker than for stock indexes. We …