Journal of Futures Markets

Article	Citations
	38
Bitcoin futures risk premia	35
	35
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?	33
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?	31
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?	30
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States	26
Financialization, common stochastic trends, and commodity prices	25
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets	24
In Memorium: Jayaram Muthuswamy	23
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Journal of Futures Markets: Volume 42, Number 10, October 2022	21
Beta and size equity premia following a high‐VIX threshold	20
	20
Securitization of assets with payment delay risk: A financial innovation in the real estate market	19
A systemic change of measure from central clearing	19
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market	17
Commodity Option Return Predictability	16
Journal of Futures Markets: Volume 43, Number 10, October 2023	16
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures	15
One session options: Playing the announcement lottery?	14
	14
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets	13
Journal of Futures Markets: Volume 44, Number 2, February 2024	13
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model	13

Journal of Futures Markets: Volume 45, Number 5, May 2025	12
Pricing VXX options by modeling VIX directly	12
Generalized autoregressive score model with high‐frequency data for optimal futures hedging	11
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	11
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	11
Volatility spillovers in commodity futures markets: A network approach	10
Journal of Futures Markets: Volume 44, Number 6, June 2024	10
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	9
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Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	9
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	9
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?	9
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Do enhanced derivative disclosures work? An informational perspective	9
Recovering subjective probability distributions	9
	9
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market	8
Anger in predicting the index futures returns	8
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Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets	8
Investment horizon and option market activity	8
Market uncertainty and sentiment around USDA announcements	8
One hundred years of rare disaster concerns and commodity prices	8
Editor's Note	7
The role of option‐based information on StockTwits, options trading volume, and stock returns	7
Journal of Futures Markets: Volume 44, Number 3, March 2024	7
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets	7
EPU spillovers and sovereign CDS spreads: A cross‐country study	7
Journal of Futures Markets: Volume 45, Number 2, February 2025	7
Risk‐neutral skewness and commodity futures pricing	7
	7
Wisdom of crowds and commodity pricing	7
Speculation or hedging?—Options trading prior to FOMC announcements	7
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?	7
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Journal of Futures Markets: Volume 44, Number 10, October 2024	6
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps	6
Price Discovery and Efficiency in Uniswap Liquidity Pools	6
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Journal of Futures Markets: Volume 43, Number 4, April 2023	6
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War	6
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Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters	6
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Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks	6
Derivative disclosures and managerial opportunism	6
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets	6
GARCH pricing and hedging of VIX options	5
Journal of Futures Markets: Volume 42, Number 6, June 2022	5

Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	5
Journal of Futures Markets: Volume 45, Number 8, August 2025	5
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach	5
	5
Resiliency in the E‐mini futures market	5
The real effect of foreign exchange hedging on corporate innovation	5
Approximate pricing of American exchange options with jumps	5
Journal of Futures Markets: Volume 43, Number 5, May 2023	5
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	5
Pricing risky corporate bonds: An empirical study	5
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	5
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market	5
Editor's note	5
Journal of Futures Markets: Volume 42, Number 2, February 2022	5
Optimal Versus Naive Diversification in Commodity Futures Markets	5
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	5
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets	5
Understanding the Factors Driving the Demand of Structured Investment Products	5
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	5
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints	4
Market inefficiencies surrounding energy announcements	4
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	4
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Option‐Implied Ambiguity and Equity Return Predictability	4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	4
Journal of Futures Markets: Volume 41, Number 9, September 2021	4
Editor's Note	4
Analytically pricing exchange options with stochastic liquidity and regime switching	4
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach	4
Journal of Futures Markets: Volume 44, Number 5, May 2024	4
A deep learning‐based financial hedging approach for the effective management of commodity risks	4
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions	4
Journal of Futures Markets: Volume 42, Number 7, July 2022	4
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates	4
Analyst rating matters for index futures	4
	4
Journal of Futures Markets: Volume 43, Number 6, June 2023	4
Does offshore NDF market influence onshore forex market? Evidence from India	4
Option features and price discovery in convertible bonds	4
Option pricing with state‐dependent pricing kernel	3
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market	3
Are option traders more informed than Twitter users? A PVAR analysis	3
Stock–Commodity Correlations, Optimal Hedging, and Climate Risks	3
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets	3
	3
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach	3
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?	3
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity	3
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models	3
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	3
Predictability of commodity futures returns with machine learning models	3
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Journal of Futures Markets: Volume 42, Number 9, September 2022	3
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Realized bipower variation, jump components, and option valuation	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
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models	3
Petroleum market volatility tracker in China	3
Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?	3
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Single stock futures and their impact on market quality: Be careful what you wish for	3
Nonlinear limits to arbitrage	3
Journal of Futures Markets: Volume 44, Number 11, November 2024	2
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	2
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Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization	2
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery	2
	2
Skewness Premium for Short‐Term Exposure to Squared Market Returns	2
Drilling and DUCs in the Permian Basin	2
Temperature, storage, and natural gas futures prices	2
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets	2
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	2
Journal of Futures Markets: Volume 45, Number 4, April 2025	2
Unspanned macro risks in VIX futures	2
Warrants in the financial management decisions of innovative firms	2
Geopolitical Risk and the Volatility of the International Grain Futures Market	2
Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements	2
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Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis	2
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	2
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	2
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	2
Journal of Futures Markets: Volume 45, Number 6, June 2025	2
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes	2
Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options	2
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras	2
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	2
Time‐varying pure contagion effect between energy and nonenergy commodity markets	2
Bitcoin Price Direction Forecasting and Market Variables	2
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Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	2
Power‐type derivatives for rough volatility with jumps	2
The information content of the volatility index options trading volume	2
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility	2
Option pricing with dynamic conditional skewness	2
Do VIX futures contribute to the valuation of VIX options?	2
	2
Probability weighting in commodity futures markets	2
Forecasting swap rate volatility with information from swaptions	2
Left‐digit biases: Individual and institutional investors	1
Journal of Futures Markets: Volume 42, Number 3, March 2022	1
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments	1
Journal of Futures Markets: Volume 43, Number 11, November 2023	1
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze	1
Futures trading costs and market microstructure invariance: Identifying bet activity	1
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?	1
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula	1
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	1
Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India	1
Industry variance risk premium, cross‐industry correlation, and expected returns	1
Revisiting the valuation of deposit insurance	1
Arbitrage, contract design, and market structure in Bitcoin futures markets	1
Journal of Futures Markets: Volume 44, Number 4, April 2024	1
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Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	1
Information and the arrival rate of option trading volume	1
Journal of Futures Markets: Volume 43, Number 3, March 2023	1
The influence of oil price uncertainty on stock liquidity	1
Sheep in wolves' clothing: Using false signals of demand to execute a market power manipulation	1
Journal of Futures Markets: Volume 42, Number 5, May 2022	1
Journal of Futures Markets: Volume 42, Number 4, April 2022	1
Calibration in the “real world” of a partially specified stochastic volatility model	1
Editorial	1
Hedging pressure and liquidity provision in commodity options markets	1
Journal of Futures Markets: Volume 43, Number 9, September 2023	1
	1
Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean‐Linked Futures Markets	1
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies	1
Editor's Note	1
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information	1
Changes in the options contract size and arbitrage opportunities	1
	1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets	1
Connectedness and risk spillover in China's commodity futures sectors	1
Appraising Model Complexity in Option Pricing	1
Term spreads of implied volatility smirk and variance risk premium	1
Price discovery in the CSI 300 Index derivatives markets	1
A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”	1
Journal of Futures Markets: Volume 41, Number 12, December 2021	1
Dynamics in the VIX complex	1
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors	1
Leveraging prices from credit and equity option markets for portfolio risk management	1
Hedging performance analysis of energy markets: Evidence from copula quantile regression	1
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Forecasting Crude Oil Price Using Secondary Decomposition‐Reconstruction‐Ensemble Model Based on Variational Mode Decomposition	1
Global climate change and commodity markets: A hedging perspective	1
Intraday liquidity in soybean complex futures markets	1
Hedging commodities in times of distress: The case of COVID‐19	1
Futures Trading and Corporate Financialization: A Quasi‐Natural Experiment From the Launch of China's Crude Oil Futures	1
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	1
Hedging pressure and oil volatility: Insurance versus liquidity demands	1
	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
The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets	1
The impact of air pollution on crude oil futures market	1
A tale of two premiums revisited	1