Journal of Futures Markets

Article	Citations
Forty years of the Journal of Futures Markets: A bibliometric overview	70
Effects of structural changes on the prediction of downside volatility in futures markets	51
Price discovery in chinese agricultural futures markets: A comprehensive look	39
The impact of net buying pressure on index options prices	23
Stock market reactions to different types of oil shocks: Evidence from China	23
Bitcoin spot and futures market microstructure	22
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate	22
A revisit to the hedge and safe haven properties of gold: New evidence from China	22
Forecasting bitcoin volatility: Evidence from the options market	20
Informed options trading around holidays	19
Volatility spillovers in commodity futures markets: A network approach	19
Night trading and market quality: Evidence from Chinese and US precious metal futures markets	18
Liquidity shocks, commodity financialization, and market comovements	18
Optimal futures hedging for energy commodities: An application of the GAS model	18
The effect of oil price shocks on asset markets: Evidence from oil inventory news	17
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility	16
Fractional cointegration in bitcoin spot and futures markets	16
Impact of bitcoin futures on the informational efficiency of bitcoin spot market	16
Analytically pricing exchange options with stochastic liquidity and regime switching	15
The role of textual analysis in oil futures price forecasting based on machine learning approach	15
Dynamic term structure models for SOFR futures	14
The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets	14
Time‐varying pure contagion effect between energy and nonenergy commodity markets	14
Valuation of VIX and target volatility options with affine GARCH models	14
The market quality of commodity futures markets	13

Metal prices made in China? A network analysis of industrial metal futures	12
Arbitrage, contract design, and market structure in Bitcoin futures markets	12
Do oil shocks impact stock liquidity?	12
Uncertainty and the volatility forecasting power of option‐implied volatility	12
Valuation of bitcoin options	11
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity	11
Bitcoin and sentiment	11
The theory of storage in the crude oil futures market, the role of financial conditions	11
The role of financial investors in determining the commodity futures risk premium	10
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	10
Market uncertainty and sentiment around USDA announcements	10
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	10
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	9
Do enhanced derivative disclosures work? An informational perspective	9
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets	9
The impact of trading restrictions and margin requirements on stock index futures	9
Warrants in the financial management decisions of innovative firms	8
Pricing VIX options with realized volatility	8
Improving liquidity in emission trading schemes	8
A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps	7
Time‐varying dynamics of expected shortfall in commodity futures markets	7
Benchmarks in the spotlight: The impact on exchange traded markets	7
Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank	7
Multi‐step reflection principle and barrier options	7
The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets	7
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	7
Intermediary capital risk and commodity futures volatility	7
Information contents of intraday SSE 50 ETF options trades	7
Trading behavior in bitcoin futures: Following the “smart money”	7
VIX futures and its closed‐form pricing through an affine GARCH model with realized variance	6
Hedging commodities in times of distress: The case of COVID‐19	6
Volatility‐of‐volatility risk in the crude oil market	6
Price discovery in China's crude oil futures markets: An emerging Asian benchmark?	6
VIX option‐implied volatility slope and VIX futures returns	6
Skewness and index futures return	6
On the computation of hedging strategies in affine GARCH models	6
COVID‐19 and tail risk contagion across commodity futures markets	6
Smile‐implied hedging with volatility risk	6
Fundamental questions on central counterparties: A review of the literature	5
Determinants of the WTI‐Brent price spread revisited	5
The implied volatility smirk of commodity options	5
Modeling VXX under jump diffusion with stochastic long‐term mean	5
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry	5
Financialization, common stochastic trends, and commodity prices	5
Regional premiums in nonferrous metals markets	5
Can commodity futures risk factors predict economic growth?	5
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach	5
Price discovery in the CSI 300 Index derivatives markets	5
Pricing cancellable American put options on the finite time horizon	5
Samuelson hypothesis, arbitrage activity, and futures term premiums	5

The dynamics of commodity return comovements	5
The geopolitical risk premium in the commodity futures market	5
Stochastic multifactor models in risk management of energy futures	5
Anger in predicting the index futures returns	5
Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares	5
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market	5
Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility	5
Risk‐neutral skewness and commodity futures pricing	4
A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio	4
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?	4
Analyst rating matters for index futures	4
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets	4
A Black–Scholes user's guide to the Bachelier model	4
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	4
Who pays the liquidity cost? Central bank announcements and adverse selection	4
Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges	4
Reporting delays and the information content of off‐market trades	4
Are option traders more informed than Twitter users? A PVAR analysis	4
Volatility and jump risk in option returns	4
Stock market tail risk, tail risk premia, and return predictability	4
The pricing mechanism between ETF option and spot markets in China	4
Intraday liquidity in soybean complex futures markets	4
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	4
Efficiency in the Atlantic salmon futures market	4
One hundred years of rare disaster concerns and commodity prices	4
How trading in commodity futures option markets impacts commodity futures prices	4
Volatility forecasts embedded in the prices of crude‐oil options	4
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	4
Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options	3
Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning	3
Commodity tail risks	3
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	3
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock	3
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure	3
Recovering subjective probability distributions	3
When trading options is not the only option: The effects of single‐stock futures trading on options market quality	3
American strangle options with arbitrary strikes	3
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	3
The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps	3
Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange	3
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies	3
Option pricing with maximum entropy densities: The inclusion of higher‐order moments	3
The influence of oil price uncertainty on stock liquidity	3
Beta and size equity premia following a high‐VIX threshold	3
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	3
Commodity momentum decomposition	3
Dynamic programming for valuing American options under a variance‐gamma process	3
Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures	3
The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread	3
Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions	3
Return predictability of variance differences: A fractionally cointegrated approach	3
Lottery and bubble stocks and the cross‐section of option‐implied tail risks	3
Hedging operating and financing risk with financial derivatives during the global financial crisis	3
Volatility‐managed commodity futures portfolios	3
The lead of oil price rises on US equity market beliefs and preferences	3
Changes in the options contract size and arbitrage opportunities	3
Power‐type derivatives for rough volatility with jumps	2
Semivariance and semiskew risk premiums in currency markets	2
Overnight volatility, realized volatility, and option pricing	2
Speculation or hedging?—Options trading prior to FOMC announcements	2
Option pricing with state‐dependent pricing kernel	2
Oil price analysts' forecasts	2
When two worlds collide: Using particle physics tools to visualize the limit order book	2
Pricing vulnerable options under correlated skew Brownian motions	2
Forecasting variance swap payoffs	2
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market	2
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?	2
Climate change attention and carbon futures return prediction	2
Forecasting equity returns: The role of commodity futures along the supply chain	2
Piecewise linear double barrier options	2
Optimal portfolio allocation using option‐implied information	2
Margin requirements based on a stochastic correlation model	2
Off‐market block trades: New evidence on transparency and information efficiency	2
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Managing volatility in commodity momentum	2
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	2
Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?	2
New evidence on commodity stocks	2
Estimating real‐world probabilities: A forward‐looking behavioral framework	2
Resiliency in the E‐mini futures market	2

Oil jump risk	2
Investor sentiment, misreaction, and the skewness‐return relationship	2
Earnings announcement timing, uncertainty, and volatility risk premiums	2
Do economic variables forecast commodity futures volatility?	2
Discrete variance swap in a rough volatility economy	2
Credit risk in derivative securities: A simplified approach	2
Option‐implied moments and the cross‐section of stock returns	2
VIX term structure: The role of jump propagation risks	2
Investor sentiment and the market reaction to macroeconomic news	2
Option features and price discovery in convertible bonds	2
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems	2
When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests	2
The information content of the volatility index options trading volume	2
Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures	2
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The Chinese warrant bubble: A fundamental analysis	1
Industry variance risk premium, cross‐industry correlation, and expected returns	1
Belief distortion near 52W high and low: Evidence from Indian equity options market	1
Market inefficiencies surrounding energy announcements	1
Effects of investor attention in China's commodity futures markets	1
Analyzing interactive call, default, and conversion policies for corporate bonds	1
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Bid and ask prices of index put options: Which predicts the underlying stock returns?	1
Multistep forecast of the implied volatility surface using deep learning	1
Robust information share measures with an application on the international crude oil markets	1
Resale options and heterogeneous beliefs	1
Approximate pricing of American exchange options with jumps	1
Estimating risk‐neutral freight rate dynamics: A nonparametric approach	1
Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures	1
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	1
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A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”	1
Revisiting the valuation of deposit insurance	1
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	1
Information and the arrival rate of option trading volume	1
A Skellam market model for loan prime rate options	1
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Enhancing managerial equity incentives with moving average payoffs	1
Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?	1
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	1
Editor's Note	1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets	1
How does skewness perform in the Chinese commodity futures market?	1
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Specification analysis of VXX option pricing models under Lévy processes	1
Intermediary asset pricing in currency carry trade returns	1
Volatility model applications in China's SSE50 options market	1
Realized bipower variation, jump components, and option valuation	1
Global climate change and commodity markets: A hedging perspective	1
Predictability of commodity futures returns with machine learning models	1
How do firms hedge in financial distress?	1
The traders' rule and long‐term options	1
When it pays to follow the crowd: Strategy conformity and CTA performance	1
The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns	1
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	1
Journal of Futures Markets: Volume 40, Number 8, August 2020	1
Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896	1
The information in global interest rate futures contracts	1
Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market	1
A tale of two premiums revisited	1
Hedging pressure and liquidity provision in commodity options markets	1
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	1
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Dynamics in the VIX complex	1
Kelly trading and option pricing	1
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	1
Nonlinear limits to arbitrage	1
GARCH pricing and hedging of VIX options	1
Journal of Futures Markets: Volume 41, Number 1, January 2021	1
Wisdom of crowds and commodity pricing	1
Pricing risky corporate bonds: An empirical study	1
A simple method for extracting the probability of default from American put option prices	1
Journal of Futures Markets: Volume 40, Number 11, November 2020	1
Estimation of stochastic volatility and option prices	1
Quantile information share under Markov regime‐switching	1
An empirical investigation on risk factors in cryptocurrency futures	1
Exploring the dynamics of the equity–commodity nexus: A study of base metal futures	1
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