OFOR Working Paper Series
- 01-02
- Allen M. Poteshman and Vitaly Serbin. "Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options"
- 01-01
- Minqiang Li, Neil D. Pearson, and Allen M. Poteshman. "Facing Up to Conditioned Diffusions"
- 00-08
- Joost M.E. Pennings and Raymond M. Leuthold. "A Behavioral Approach towards Futures Contract Usage"
- 00-07
- Allen M. Poteshman. "Forecasting Future Variance From Option Prices"
- 00-06
- Allen M. Poteshman. "Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market"
- 00-05
- Anjun Zhou. "Modeling the Volatility of the Heath-Jarrow-Morton Model:A Multi-factor GARCH Analysis"
- 00-04
- Anning Wei and Raymond M. Leuthold. "Agricultural Futures Prices and Long Memory Processes"
- 00-03
- Sarahelen Thompson and Eugene Kunda. "E-commerce and Agricultural Markets"
- 00-02
- Raymond M. Leuthold and Min-Kyoung Kim. "Hedging Short-term Corn Price Risks In Tokyo versus Chicago's Project A"
- 00-01
- Joost M.E. Pennings and Raymond M. Leuthold. "Hedging Revisited: Resolving Contractual Conflicts"
- 99-08
- Mark R. Manfredo, Raymond M. Leuthold, and Scott H. Irwin. "Forecasting Cash Price Volatility of Fed Cattle, Feeder Cattle, and Corn: Time Series, Implied Volatility, and Composite Approaches"
- 99-07
- Phelim P. Boyle, Seokgu Byoun, and Hun Y. Park. "Temporal Price Relation between Stock and Option Markets and A Bias of Implied Volatility in Option Price"
- 99-06
- Soku Byoun, Chuck C.Y. Kwok, and Hun Y. Park. "Expectations Hypothesis of the Term Structure of Implied Volatility: Re-examination"
- 99-05
- Neil D. Pearson and Anjun Zhou. "A Nonparametric Analysis of the Forward Rate Volatilities"
- 99-04
- Mark R. Manfredo and Raymond M. Leuthold. "Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk"
- 99-03
- Joost M.E. Pennings and Raymond M. Leuthold. "Futures Exchange Innovations: Reinforcement versus Cannibalism"
- 99-02
- Joost M.E. Pennings and Raymond M. Leuthold. "Commodity Futures Contract Viability: A Multidisciplinary Approach"
- 99-01
- Joost M.E. Pennings and M.T.G. Meulenberg. "The Financial Industry's Challenge of Developing Commodity Derivatives"
- 98-08
- Xiongwei Ju and Neil D. Pearson. "Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be?"
- 98-07
- David A. Chapman and Neil D. Pearson. "Is the Short Rate Drift Actually Nonlinear?"
- 98-06
- David A. Chapman, John B. Long Jr., and Neil D. Pearson. "Using Proxies for the Short Rate: When are Three Months Like an Instant?"
- 98-05
- Dwight R. Sanders, Philip Garcia, and Raymond M. Leuthold. "The Forecasting Value of New Crop Futures: A Decision-Making Framework"
- 98-04
- Mark R. Manfredo and Raymond M. Leuthold. "Agricultural Applications of Value-at-Risk Analysis: A Perspective"
- 98-03
- Anning Wei and Raymond M. Leuthold. "Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?"
- 98-02
- Mikhail A. Noussinov and Raymond M. Leuthold. "Optimal Hedging Strategies for the U.S. Cattle Feeder"
- 98-01
- Hun Y. Park, Asani Sarkar, and Lifan Wu. "Do Brokers Misallocate Customer Trades? Evidence from Futures Markets"
- 97-06
- Anil K. Bera, Philip Garcia, and Jae-Sun Roh. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches"
- 97-05
- Fabio C. Zanini and Philip Garcia. "Did Producer Opportunities in the Live Hog Contract Decline?"
- 97-04
- Carl R. Zulauf and Scott H. Irwin. "Market Efficiency and Marketing to Enhance Income of Crop Producers"
- 97-03
- Min-Kyoung Kim and Raymond M. Leuthold. "The Distributional Behavior of Futures Price Spread Changes: Parametric and Nonparametric Tests for Gold, T-Bonds, Corn and Live Cattle"
- 97-02
- Dwight R. Sanders, Scott H. Irwin, and Raymond M. Leuthold. "Noise Traders, Market Sentiment, and Futures Price Behavior"
- 97-01
- W. Bruce Canoles, Sarahelen R. Thompson, Scott H. Irwin, and Virginia G. France. "An Analysis of the Profiles and Motivations of Habitual Commodity Speculators."
- 96-05
- Viswanath Tirupattur, Robert J. Hauser, and Nabil M. Chaherli. "Crop Yield and Price Distributional Effects on Revenue Hedging."
- 96-04
- Thomas J. Linsmeier and Neil D. Pearson. "Risk Measurement: An Introduction to Value at Risk." July 1996.
- 96-03
- Mark W. Ditsch and Raymond M. Leuthold. "Evaluating the Hedging Potential of the Lean Hog Futures Contract." August 1996.
- 96-02
- Dwight R. Sanders, Scott H. Irwin and Raymond M. Leuthold. "Noise Trader Demand in Futures Markets." June 1996.
- 96-01
- Herbert L. Baer, Virginia G. France and James T. Moser. "Opportunity Cost and Prudentiality: An Analysis of Futures Clearinghouse Behavior." January 1996.
- 95-03
- Bruce J. Sherrick, Philip Garcia and Viswanath Tirupattur. "Recovering Probabilistic Information from Option Markets: Tests for Distributional Assumptions." March 1995.
- 95-02
- Nabil M. Chaherli and Robert Hauser. "Delivery Systems Versus Cash Settlement in Corn and Soybean Futures Contracts." January 1995.
- 95-01
- Peter R. Locke, Asani Sarkar and Lifan Wu. "Did the Good Guys Lose? Regulatory Restrictions of Dual Trading." January 1995.
- 94-12
- Richard Lu and Raymond M. Leuthold. "Cointegration Relations between Spot and Futures Prices for Storable Commodities: Implications for Hedging and Forecasting." December 1994.
- 94-11
- Philip Garcia and Dwight R. Sanders. "Ex Ante Basis Risk in the Live Hog Futures Contract: Has Hedgers' Risk Increased?" December 1994.
- 94-10
- Viswanath Tirupattur, Philip Garcia, and Raymond M. Leuthold. "Price Linkages in Selected Agricultural, Industrial, Financial and Foreign Exchange Futures Markets Using Daily Data." November 1994.
- 94-09
- Hun Y. Park, Asani Sarkar. " Measuring Changes in Liquidity of the Futures Market." November 1994.
- 94-08
- Hun Y. Park, Asani Sarkar, and Lifan Wu. "The Costs and Benefits of Endogenous Marketmaking: The Case of Dual Trading." October 1994.
- 94-07
- Dwight R. Sanders. "Overreaction in the Future-Implied Petroleum Refining Margin?" October 1994.
- 94-06
- Sarahelen Thompson, Philip Garcia, and Lynne Dallafior "The Demise of the High Fructose Corn Syrup Contract: A Case Study." June 1994.
- 94-05
- Hun Y. Park, Edward F. Pierzak, and Hsiu-Lang Chen. "Do Stock Index Futures Prices Overreact?" May 1994.
- 94-04
- Philip Garcia, Scott H.. Irwin, Raymond M. Leuthold, and Li Yang. "New Evidence on the Value of Public Information in Commodity Markets." May 1994.
- 94-03
- Nachiappan Narayanan, Steven T. Sonka, Raymond M. Leuthold, and John S. Chandler. " Artificially Intelligent DSS - Application to Futures Markets and Its Effects." March 1994.
- 94-02
- Kent G. Becker and Joseph E. Finnerty. "Indexed Commodity Futures and the Risk and Return of Institutional Portfolios."
- 94-01
- Phelim P. Boyle and Hun Y. Park. " Implied Volatility in Option Prices and the Lead-Lag Relation Between Stock and Option Prices." February 1994.
- 93-04
- Thomas E. Jackson, Carl R. Zulauf, and S. Irwin. "Mean Reversion in Agricultural Prices?" October 1993.
- 93-03
- Don R. Rich. "The Valuation of Black-Scholes Options Subject to Intertemporal Default Risk." September 1993.
- 93-02
- P. Boyle and I. Lee. "Deposit Insurance and Changing Volatility." October 1993
- 93-01
- P. Gore and R. Leuthold. "Selective Hedging Opportunities and Strategies in Livestock Futures and Options Markets." July 1993.
Updated 12/19/2003