Journal of Futures Markets

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 2020-09-01 to 2024-09-01.)
ArticleCitations
Forty years of the Journal of Futures Markets: A bibliometric overview88
Effects of structural changes on the prediction of downside volatility in futures markets55
Price discovery in chinese agricultural futures markets: A comprehensive look50
Volatility spillovers in commodity futures markets: A network approach29
Analytically pricing exchange options with stochastic liquidity and regime switching26
Stock market reactions to different types of oil shocks: Evidence from China26
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate25
Bitcoin spot and futures market microstructure25
The impact of net buying pressure on index options prices25
The role of textual analysis in oil futures price forecasting based on machine learning approach22
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility21
Fractional cointegration in bitcoin spot and futures markets21
Impact of bitcoin futures on the informational efficiency of bitcoin spot market20
Informed options trading around holidays20
Time‐varying pure contagion effect between energy and nonenergy commodity markets19
The geopolitical risk premium in the commodity futures market18
The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets17
Dynamic term structure models for SOFR futures16
Do oil shocks impact stock liquidity?16
Valuation of VIX and target volatility options with affine GARCH models16
Forecasting realized volatility: New evidence from time‐varying jumps in VIX16
Valuation of bitcoin options15
Arbitrage, contract design, and market structure in Bitcoin futures markets15
Market uncertainty and sentiment around USDA announcements14
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets14
Climate change attention and carbon futures return prediction14
Do enhanced derivative disclosures work? An informational perspective13
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach13
Price discovery in China's crude oil futures markets: An emerging Asian benchmark?12
Trading behavior in bitcoin futures: Following the “smart money”12
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity12
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets12
Pricing VIX options with realized volatility11
A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps10
COVID‐19 and tail risk contagion across commodity futures markets10
The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets10
Improving liquidity in emission trading schemes10
Multi‐step reflection principle and barrier options9
Volatility‐of‐volatility risk in the crude oil market9
Information contents of intraday SSE 50 ETF options trades9
Financialization, common stochastic trends, and commodity prices9
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets9
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches9
The influence of oil price uncertainty on stock liquidity8
Warrants in the financial management decisions of innovative firms8
Fundamental questions on central counterparties: A review of the literature8
The dynamics of commodity return comovements8
Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank7
Who pays the liquidity cost? Central bank announcements and adverse selection7
Time‐varying dynamics of expected shortfall in commodity futures markets7
VIX option‐implied volatility slope and VIX futures returns7
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?7
Can commodity futures risk factors predict economic growth?7
Intermediary capital risk and commodity futures volatility7
Pricing cancellable American put options on the finite time horizon7
The implied volatility smirk of commodity options7
On the computation of hedging strategies in affine GARCH models7
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach6
Intraday liquidity in soybean complex futures markets6
Are option traders more informed than Twitter users? A PVAR analysis6
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure6
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach6
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective6
Price discovery in the CSI 300 Index derivatives markets6
A Black–Scholes user's guide to the Bachelier model6
A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio6
One hundred years of rare disaster concerns and commodity prices6
Hedging commodities in times of distress: The case of COVID‐196
Smile‐implied hedging with volatility risk6
Multistep forecast of the implied volatility surface using deep learning5
Reporting delays and the information content of off‐market trades5
Stock market tail risk, tail risk premia, and return predictability5
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry5
Determinants of the WTI‐Brent price spread revisited5
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns5
Impact of crude oil volatility jumps on sustainable investments: Evidence from India5
How trading in commodity futures option markets impacts commodity futures prices5
American strangle options with arbitrary strikes5
Risk‐neutral skewness and commodity futures pricing5
Anger in predicting the index futures returns5
Recovering subjective probability distributions5
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market5
Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility5
Regional premiums in nonferrous metals markets5
Global climate change and commodity markets: A hedging perspective4
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?4
Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges4
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?4
Investor sentiment and the market reaction to macroeconomic news4
Commodity momentum decomposition4
Hedging operating and financing risk with financial derivatives during the global financial crisis4
Beta and size equity premia following a high‐VIX threshold4
Margin requirements based on a stochastic correlation model4
The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps4
Option pricing with state‐dependent pricing kernel4
Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange4
Volatility‐managed commodity futures portfolios4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐194
Power‐type derivatives for rough volatility with jumps4
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach4
The pricing mechanism between ETF option and spot markets in China4
Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning4
Volatility model applications in China's SSE50 options market4
Efficiency in the Atlantic salmon futures market4
Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions4
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets4
Analyst rating matters for index futures4
Option‐implied moments and the cross‐section of stock returns3
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies3
Lottery and bubble stocks and the cross‐section of option‐implied tail risks3
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market3
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?3
Changes in the options contract size and arbitrage opportunities3
EPU spillovers and sovereign CDS spreads: A cross‐country study3
Piecewise linear double barrier options3
Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?3
Speculation or hedging?—Options trading prior to FOMC announcements3
Nonlinear limits to arbitrage3
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock3
Option pricing with maximum entropy densities: The inclusion of higher‐order moments3
Option features and price discovery in convertible bonds3
GARCH pricing and hedging of VIX options3
The lead of oil price rises on US equity market beliefs and preferences3
Investor sentiment, misreaction, and the skewness‐return relationship3
Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options3
The information effect of order flows in foreign currency futures and spot markets3
Commodity tail risks3
Oil price analysts' forecasts3
Managing volatility in commodity momentum3
Left‐digit biases: Individual and institutional investors3
Resiliency in the E‐mini futures market3
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems3
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions3
Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks3
Semivariance and semiskew risk premiums in currency markets3
The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread3
Overnight volatility, realized volatility, and option pricing3
Wisdom of crowds and commodity pricing3
Pricing vulnerable options under correlated skew Brownian motions2
Intermediary asset pricing in currency carry trade returns2
Approximate pricing of American exchange options with jumps2
Optimal portfolio allocation using option‐implied information2
The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns2
Algorithmic trading and market quality: Evidence from the Taiwan index futures market2
Revisiting the valuation of deposit insurance2
Discrete variance swap in a rough volatility economy2
Credit risk in derivative securities: A simplified approach2
Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–18962
Information and the arrival rate of option trading volume2
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX2
Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?2
New evidence on commodity stocks2
Do VIX futures contribute to the valuation of VIX options?2
Option pricing with overnight and intraday volatility2
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features2
Forecasting equity returns: The role of commodity futures along the supply chain2
Do economic variables forecast commodity futures volatility?2
Bitcoin futures risk premia2
The information content of wheat derivatives regarding the Ukrainian war2
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Investment horizon and option market activity2
Risky times: Seasonality and event risk of commodities2
Market inefficiencies surrounding energy announcements2
When two worlds collide: Using particle physics tools to visualize the limit order book2
The predictability of iron ore futures prices: A product‐material lead–lag effect2
Estimating real‐world probabilities: A forward‐looking behavioral framework2
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth2
The information content of the volatility index options trading volume2
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Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures2
Considering momentum spillover effects via graph neural network in option pricing2
Off‐market block trades: New evidence on transparency and information efficiency2
High–low volatility spillover network between economic policy uncertainty and commodity futures markets2
VIX term structure: The role of jump propagation risks2
Short‐term market impact of Black Sea Grain Initiative on four grain markets2
How does skewness perform in the Chinese commodity futures market?2
The impact of air pollution on crude oil futures market1
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility1
Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures1
How do firms hedge in financial distress?1
VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models1
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers1
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach1
Derivative disclosures and managerial opportunism1
Commodity network and predictable returns1
Pricing risky corporate bonds: An empirical study1
A tale of two premiums revisited1
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Journal of Futures Markets: Volume 40, Number 11, November 20201
The Chinese warrant bubble: A fundamental analysis1
Does offshore NDF market influence onshore forex market? Evidence from India1
Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets1
The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century1
Dynamics in the VIX complex1
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Editor's Note1
Kelly trading and option pricing1
Robust information share measures with an application on the international crude oil markets1
Can technical indicators based on underlying assets help to predict implied volatility index1
Market‐wide overconfidence and stock returns1
Jumps in foreign exchange spot rates and the informational efficiency of currency forwards1
Connectedness and risk spillover in China's commodity futures sectors1
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Predictability of commodity futures returns with machine learning models1
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method1
The information in global interest rate futures contracts1
A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”1
The traders' rule and long‐term options1
Exploring the dynamics of the equity–commodity nexus: A study of base metal futures1
When it pays to follow the crowd: Strategy conformity and CTA performance1
Estimation of stochastic volatility and option prices1
Analyzing interactive call, default, and conversion policies for corporate bonds1
Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?1
Commodity momentum and reversal: Do they exist, and if so, why?1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets1
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach1
Specification analysis of VXX option pricing models under Lévy processes1
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Forecasting variance swap payoffs1
The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns1
Uncertainty and investment: Evidence from domestic oil rigs1
Strategic trading and manipulation in trade at settlement contracts1
Venturing into uncharted territory: An extensible implied volatility surface model1
Understanding intraday momentum strategies1
High‐frequency trading and market quality: Evidence from account‐level futures data1
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns1
Industry variance risk premium, cross‐industry correlation, and expected returns1
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Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures1
Quantile information share under Markov regime‐switching1
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China1
A Skellam market model for loan prime rate options1
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An empirical investigation on risk factors in cryptocurrency futures1
Belief distortion near 52W high and low: Evidence from Indian equity options market1
Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market1
Herd behaviors in index futures trading: Driving factors and impact on market volatility1
Single stock futures and their impact on market quality: Be careful what you wish for1
Hedging pressure and liquidity provision in commodity options markets1
Resale options and heterogeneous beliefs1
Effects of investor attention in China's commodity futures markets1
Journal of Futures Markets: Volume 41, Number 1, January 20211
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Estimating risk‐neutral freight rate dynamics: A nonparametric approach1
Realized bipower variation, jump components, and option valuation1
A deep learning‐based financial hedging approach for the effective management of commodity risks1
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