OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Futures Markets is 1. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2022-05-01 to 2026-05-01.)

Article	Citations
	51
	50
Spillovers Into the German Electricity Market From the Gas, Coal, and CO₂ Emissions Markets	45
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?	42
Predicting Commodity Returns Through Image‐Based Price Patterns	39
Bitcoin futures risk premia	36
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States	35
	33
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?	33
	28
Journal of Futures Markets: Volume 42, Number 10, October 2022	28
Journal of Futures Markets: Volume 43, Number 10, October 2023	27
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market	23
Securitization of assets with payment delay risk: A financial innovation in the real estate market	22
	20
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic	20
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures	18
Beta and size equity premia following a high‐VIX threshold	17
Commodity Option Return Predictability	17
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model	16
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets	15
Journal of Futures Markets: Volume 45, Number 5, May 2025	15
Journal of Futures Markets: Volume 44, Number 2, February 2024	15
Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?	15
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	15

Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management	14
Journal of Futures Markets: Volume 44, Number 6, June 2024	13
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	12
Journal of Futures Markets: Volume 46, Number 1, January 2026	12
Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures	12
	11
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	11
	11
Anger in predicting the index futures returns	11
	11
Why Do Hedgers Hedge? The Role of Ambiguity	10
Journal of Futures Markets: Volume 44, Number 3, March 2024	10
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?	10
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market	10
Journal of Futures Markets: Volume 45, Number 2, February 2025	10
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets	10
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets	10
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	10
Editor's Note	9
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?	9
The role of option‐based information on StockTwits, options trading volume, and stock returns	9
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis	9
Wisdom of crowds and commodity pricing	9
	9
Market Maker or Informed Trader: Who Drive the Relationship Between Option Trading and Underlying Returns? Evidence From Shanghai Stock Exchange 50 ETF Options	9
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets	9
	8
Journal of Futures Markets: Volume 43, Number 4, April 2023	8
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks	8
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours	8
	8
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters	8
	8
	8
Journal of Futures Markets: Volume 44, Number 10, October 2024	8
Virtual Commodities and Futures Markets of Tangible Commodities	8
Price Discovery and Efficiency in Uniswap Liquidity Pools	7
EPU spillovers and sovereign CDS spreads: A cross‐country study	7
Derivative disclosures and managerial opportunism	7
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War	7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps	7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets	7
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets	6
	6
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	6
Editor's note	6
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	6
Journal of Futures Markets: Volume 42, Number 6, June 2022	6
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach	6
Journal of Futures Markets: Volume 45, Number 8, August 2025	6

Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market	6
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?	6
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	6
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints	6
	6
Understanding the Factors Driving the Demand of Structured Investment Products	6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	6
Pricing risky corporate bonds: An empirical study	6
Journal of Futures Markets: Volume 43, Number 5, May 2023	6
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets	6
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions	5
Option‐Implied Ambiguity and Equity Return Predictability	5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data	5
Optimal Versus Naive Diversification in Commodity Futures Markets	5
Journal of Futures Markets: Volume 42, Number 7, July 2022	5
Editor's Note	5
Analyst rating matters for index futures	5
VIX Term Structure in the Rough Heston Model via Markovian Approximation	5
A deep learning‐based financial hedging approach for the effective management of commodity risks	5
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective	5
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach	5
Analytically pricing exchange options with stochastic liquidity and regime switching	5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	5
Dynamic Debt With Intensity‐Based Models	5
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	4
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates	4
Investor Attention and Carbon Prices: Evidence From European Union and China	4
Pricing VIX Futures Under a Markov‐Switching GARCH Framework	4
Stock–Commodity Correlations, Optimal Hedging, and Climate Risks	4
Journal of Futures Markets: Volume 44, Number 5, May 2024	4
Option features and price discovery in convertible bonds	4
	4
Journal of Futures Markets: Volume 43, Number 6, June 2023	4
Option pricing with state‐dependent pricing kernel	4
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity	4
Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads	4
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models	4
Predictability of commodity futures returns with machine learning models	4
Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?	4
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models	4
Journal of Futures Markets: Volume 46, Number 4, April 2026	3
Bitcoin Price Direction Forecasting and Market Variables	3
Overseas Impact of USDA Reports: Evidence From Chinese Soybean Complex Futures	3
Journal of Futures Markets: Volume 45, Number 11, November 2025	3
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets	3
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market	3
	3
	3
Geopolitical Risk and the Volatility of the International Grain Futures Market	3
Journal of Futures Markets: Volume 44, Number 11, November 2024	3
	3
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery	3
	3
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model	3
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach	3
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	3
Probability weighting in commodity futures markets	3
Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options	3
	3
Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization	3
Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis	3
Journal of Futures Markets: Volume 42, Number 9, September 2022	3
Connectedness Across Healthcare Cryptocurrencies, DeFi, and NFTs Tokens: Which Global Risk Factors Should Be Given More Attention?	3
Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements	3
Tighter Bounds for Implied Volatility With the Dirac Delta Family Method	3
Downside Risk and Agriculture Commodity Futures Returns: A Study Using Self‐Organizing Maps	3
Global climate change and commodity markets: A hedging perspective	2
Drilling and DUCs in the Permian Basin	2
Temperature, storage, and natural gas futures prices	2
Option pricing with dynamic conditional skewness	2
Harnessing Sunshine: A Dynamic Spillover Analysis of the Diversification Effects of China's Photovoltaic Weather Index	2
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes	2
Journal of Futures Markets: Volume 45, Number 10, October 2025	2
Forecasting Crude Oil Volatility With Geopolitical Risk: The RSV–MIDAS–GPR Model and Its Economic Value	2
Time‐varying pure contagion effect between energy and nonenergy commodity markets	2
Unspanned macro risks in VIX futures	2
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	2
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras	2
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility	2

Trading Games: Beating Passive Strategies in the Bullish Crypto Market	2
Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India	2
Forecasting swap rate volatility with information from swaptions	2
Power‐type derivatives for rough volatility with jumps	2
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	2
Intra‐Industry Transfers of Implied Volatility Information Around Mergers and Acquisitions	2
Journal of Futures Markets: Volume 45, Number 12, December 2025	2
Energy‐Related Discussion in Fed Speeches and Options‐Implied Equity Risk Premium	2
Predicting Market Returns Using Covariance Asymmetry Risk Premium	2
	2
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	2
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets	2
Journal of Futures Markets: Volume 45, Number 6, June 2025	2
Quadratic Hedging of American Options Under GARCH Models	2
	2
Does Cutting Carbon Emissions Reduce Tail Risk Spillovers? A Quantile LSTM‐KAN‐CoVaR Approach	2
The Role of Policy on Commodity Markets: From the Perspective of Narrative News Based on NLP	2
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	2
Skewness Premium for Short‐Term Exposure to Squared Market Returns	2
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	2
Journal of Futures Markets: Volume 45, Number 4, April 2025	2
Left‐digit biases: Individual and institutional investors	1
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula	1
Futures Trading and Corporate Financialization: A Quasi‐Natural Experiment From the Launch of China's Crude Oil Futures	1
The “T+1” Trading Rule and Put‐Call Disparity in China	1
Evaluating Trend‐Based Strategies in Chinese Commodity Futures Markets	1
Greeks‐Neutral Option Excess Returns	1
	1
	1
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors	1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets	1
The impact of air pollution on crude oil futures market	1
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	1
Connectedness and risk spillover in China's commodity futures sectors	1
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?	1
Watching the FedWatch	1
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments	1
Forecasting Crude Oil Price Using Secondary Decomposition‐Reconstruction‐Ensemble Model Based on Variational Mode Decomposition	1
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	1
Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean‐Linked Futures Markets	1
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze	1
The influence of oil price uncertainty on stock liquidity	1
Editorial	1
A Generalized Error Distribution‐Copula Framework for Pricing Chinese Treasury Bond Futures With Embedded Options	1
Journal of Futures Markets: Volume 44, Number 4, April 2024	1
Industry variance risk premium, cross‐industry correlation, and expected returns	1
Algorithmic trading and market quality: Evidence from the Taiwan index futures market	1
Reporting delays and the information content of off‐market trades	1
Appraising Model Complexity in Option Pricing	1
Intraday Liquidity in International Crude Oil Futures Markets: News Impacts, Commonality, and Spillovers	1
Journal of Futures Markets: Volume 43, Number 3, March 2023	1
Futures Turnover Waves	1
	1
Hedging performance analysis of energy markets: Evidence from copula quantile regression	1
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information	1
Signature Decomposition Method Applying to Pair Trading	1
Measuring Real‐Time Economic Condition With Economic Narratives	1
A tale of two premiums revisited	1
Leveraging prices from credit and equity option markets for portfolio risk management	1
Journal of Futures Markets: Volume 43, Number 11, November 2023	1
Changes in the options contract size and arbitrage opportunities	1
Hedging pressure and oil volatility: Insurance versus liquidity demands	1
	1
The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets	1
Enhancing Commodity Futures Price Prediction With Geopolitical Risk Embedding: A Comparative Study of Deep Learning Models	1
The Impact of Derivative Use on Default Probability Among Nonfinancial Firms: Evidence From European Firms	1
Term spreads of implied volatility smirk and variance risk premium	1
Journal of Futures Markets: Volume 43, Number 9, September 2023	1
The Impact of Biodiversity Risk on US Agricultural Futures Markets	1
Facts and Fantasies About DeFi: Lending, DEX, and Derivatives	1
How Does Economic Policy Uncertainty Reshape Option Pricing?	1
Hedging commodities in times of distress: The case of COVID‐19	1
Trading Periodicity and Algorithmic Divide in Cryptocurrency Markets	1
Calibration in the “real world” of a partially specified stochastic volatility model	1
Futures trading costs and market microstructure invariance: Identifying bet activity	1