Journal of Futures Markets

Article	Citations
	124
	57
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	37
	32
Journal of Futures Markets: Volume 43, Number 2, February 2023	31
Unspanned macro risks in VIX futures	31
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Journal of Futures Markets: Volume 41, Number 12, December 2021	30
Cover Image: Volume 41 Issue 12	27
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Journal of Futures Markets: Volume 44, Number 11, November 2024	21
	20
Asymmetric Commodity Tails and Index Futures Returns	19
A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity	19
	18
Commodity momentum decomposition	18
Which Way Does the Wind Blow Between SPX Futures and VIX Futures?	17
Journal of Futures Markets: Volume 44, Number 4, April 2024	16
Understanding intraday momentum strategies	15
Jumps in foreign exchange spot rates and the informational efficiency of currency forwards	15
The dynamics of commodity return comovements	15
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets	15
Power‐type derivatives for rough volatility with jumps	14

Pricing risky corporate bonds: An empirical study	13
Who has an edge in trading index derivatives?	13
Bitcoin futures risk premia	13
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	12
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	12
American strangle options with arbitrary strikes	12
Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity	11
Hedging pressure and oil volatility: Insurance versus liquidity demands	11
Revisiting the valuation of deposit insurance	10
Lever up! An analysis of options trading in leveraged ETFs	10
The Effect of Anti‐Procyclical Central Counterparty Margins On Trading	10
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	10
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States	10
Probability weighting in commodity futures markets	9
An empirical investigation on risk factors in cryptocurrency futures	9
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	8
A model‐free approximation for barrier options in a general stochastic volatility framework	8
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features	8
Time‐varying pure contagion effect between energy and nonenergy commodity markets	8
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach	8
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?	8
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	8
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	7
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?	7
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets	7
The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns	7
How do firms hedge in financial distress?	7
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	7
The lead of oil price rises on US equity market beliefs and preferences	7
The information content of the volatility index options trading volume	7
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate	6
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Changes in the options contract size and arbitrage opportunities	6
Journal of Futures Markets: Volume 42, Number 2, February 2022	6
Journal of Futures Markets: Volume 45, Number 4, April 2025	6
Pricing cancellable American put options on the finite time horizon	6
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?	6
A Black–Scholes user's guide to the Bachelier model	6
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration	6
Real‐Time Tracking of Public Announcements in the Limit Order Book	6
Financialization, common stochastic trends, and commodity prices	6
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility	6
Journal of Futures Markets: Volume 42, Number 10, October 2022	5
Journal of Futures Markets: Volume 42, Number 6, June 2022	5
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One session options: Playing the announcement lottery?	5
Journal of Futures Markets: Volume 43, Number 10, October 2023	5
Approximate pricing of American exchange options with jumps	5
	5
Journal of Futures Markets: Volume 43, Number 7, July 2023	5

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In Memorium: Jayaram Muthuswamy	5
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Journal of Futures Markets: Volume 43, Number 5, May 2023	5
The real effect of foreign exchange hedging on corporate innovation	5
Editor's note	5
GARCH pricing and hedging of VIX options	4
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Uncertainty and investment: Evidence from domestic oil rigs	4
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market	4
Commodity premia and risk management	4
Modeling skewness in portfolio choice	4
Journal of Futures Markets: Volume 43, Number 12, December 2023	4
How trading in commodity futures option markets impacts commodity futures prices	4
A systemic change of measure from central clearing	4
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Credit default swaps and firm risk	4
Do VIX futures contribute to the valuation of VIX options?	4
Option pricing with dynamic conditional skewness	4
Option pricing with overnight and intraday volatility	4
Robust information share measures with an application on the international crude oil markets	4
Beta and size equity premia following a high‐VIX threshold	4
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems	4
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market	4
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth	4
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula	4
The Pay‐for‐Success Contract: A Valuation Note	4
Securitization of assets with payment delay risk: A financial innovation in the real estate market	4
Temperature, storage, and natural gas futures prices	4
A monetary policy–based explanation of swap spreads in China	3
Forecasting swap rate volatility with information from swaptions	3
Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion	3
Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors	3
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	3
Warrants in the financial management decisions of innovative firms	3
	3
Optimal Versus Naive Diversification in Commodity Futures Markets	3
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes	3
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market	3
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	3
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model	3
A deep learning‐based financial hedging approach for the effective management of commodity risks	3
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets	3
The pricing mechanism between ETF option and spot markets in China	3
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	3
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras	3
Trading commodity ETFs: Price behavior, investment insights, and performance analysis	3
The predictability of iron ore futures prices: A product‐material lead–lag effect	3
Forecasting variance swap payoffs	3
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility	3
Resiliency in the E‐mini futures market	3
Estimating real‐world probabilities: A forward‐looking behavioral framework	3
Journal of Futures Markets: Volume 45, Number 1, January 2025	3
Drilling and DUCs in the Permian Basin	3
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets	3
ChatGPT and Commodity Return	3
Generalized autoregressive score model with high‐frequency data for optimal futures hedging	2
Commodity momentum and reversal: Do they exist, and if so, why?	2
Global climate change and commodity markets: A hedging perspective	2
Dynamic term structure models for SOFR futures	2
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Dynamics in the VIX complex	2
Stock market tail risk, tail risk premia, and return predictability	2
VIX option‐implied volatility slope and VIX futures returns	2
Lottery and bubble stocks and the cross‐section of option‐implied tail risks	2
Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?	2
Journal of Futures Markets: Volume 41, Number 9, September 2021	2
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	2
Journal of Futures Markets: Volume 41, Number 5, May 2021	2
Journal of Futures Markets: Volume 43, Number 8, August 2023	2
Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks	2
Journal of Futures Markets: Volume 44, Number 2, February 2024	2
Journal of Futures Markets: Volume 42, Number 8, August 2022	2
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments	2
Option‐Implied Ambiguity and Equity Return Predictability	2
Analyst rating matters for index futures	2
Journal of Futures Markets: Volume 41, Number 10, October 2021	2
Journal of Futures Markets: Volume 44, Number 6, June 2024	2
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Investor sentiment and the market reaction to macroeconomic news	2

Journal of Futures Markets: Volume 42, Number 7, July 2022	2
Valuation of bitcoin options	2
COVID‐19 and tail risk contagion across commodity futures markets	2
Editor's Note	2
Journal of Futures Markets: Volume 42, Number 12, December 2022	2
A New Index of Option Implied Absolute Deviation	2
Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets	2
Journal of Futures Markets: Volume 42, Number 5, May 2022	2
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Leveraging prices from credit and equity option markets for portfolio risk management	1
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Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market	1
High‐frequency trading and market quality: Evidence from account‐level futures data	1
Hedging pressure and liquidity provision in commodity options markets	1
Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?	1
The influence of oil price uncertainty on stock liquidity	1
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	1
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models	1
Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk	1
Journal of Futures Markets: Volume 43, Number 6, June 2023	1
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure	1
Petroleum market volatility tracker in China	1
Financially constrained index futures arbitrage	1
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information	1
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	1
Calibration in the “real world” of a partially specified stochastic volatility model	1
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	1
Pricing VXX options by modeling VIX directly	1
The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns	1
Corporate credit default swap systematic factors	1
Trading behavior in bitcoin futures: Following the “smart money”	1
Forty years of the Journal of Futures Markets: A bibliometric overview	1
Predictive power of the implied volatility term structure in the fixed‐income market	1
Asymptotic Dependence and Its Impact on Hedging Effectiveness: An Examination of Stock, Currency, and Commodity Futures	1
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates	1
Option pricing with state‐dependent pricing kernel	1
Does offshore NDF market influence onshore forex market? Evidence from India	1
Are option traders more informed than Twitter users? A PVAR analysis	1
Herd behaviors in index futures trading: Driving factors and impact on market volatility	1
Do enhanced derivative disclosures work? An informational perspective	1
Commodity Futures Characteristics and Asset Pricing Models	1
Hedging commodities in times of distress: The case of COVID‐19	1
Market uncertainty and sentiment around USDA announcements	1
When two worlds collide: Using particle physics tools to visualize the limit order book	1
Pricing vulnerable options under correlated skew Brownian motions	1
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?	1
Left‐digit biases: Individual and institutional investors	1
Volatility spillovers in commodity futures markets: A network approach	1
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	1
Market inefficiencies surrounding energy announcements	1
Risky times: Seasonality and event risk of commodities	1
Analytically pricing exchange options with stochastic liquidity and regime switching	1
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	1
Journal of Futures Markets: Volume 44, Number 9, September 2024	1
Short‐term market impact of Black Sea Grain Initiative on four grain markets	1
Market‐wide overconfidence and stock returns	1
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	1
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	1
Improving liquidity in emission trading schemes	1
Connectivity costs and price efficiency: An event study	1
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models	1
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets	1
Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets	1
Early exercise, implied volatility spread and future stock return: Jumps bind them all	1
Journal of Futures Markets: Volume 43, Number 1, January 2023	1
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze	1
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	1
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Functional Oil Price Expectations Shocks and Inflation	1
Arbitrage, contract design, and market structure in Bitcoin futures markets	1
Option pricing with maximum entropy densities: The inclusion of higher‐order moments	1
Option features and price discovery in convertible bonds	1
Recovering subjective probability distributions	1
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions	1