Journal of Futures Markets

Article	Citations
	43
Bitcoin futures risk premia	43
	39
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets	33
Predicting Commodity Returns Through Image‐Based Price Patterns	31
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?	28
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States	27
	26
Journal of Futures Markets: Volume 42, Number 10, October 2022	25
	25
Journal of Futures Markets: Volume 43, Number 10, October 2023	24
Securitization of assets with payment delay risk: A financial innovation in the real estate market	23
A systemic change of measure from central clearing	20
	18
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic	17
Beta and size equity premia following a high‐VIX threshold	17
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market	17
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures	17
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model	16
Commodity Option Return Predictability	15
Journal of Futures Markets: Volume 45, Number 5, May 2025	14
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	13
Journal of Futures Markets: Volume 44, Number 2, February 2024	13
Pricing VXX options by modeling VIX directly	13

The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	13
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets	12
Journal of Futures Markets: Volume 44, Number 6, June 2024	12
Recovering subjective probability distributions	11
	11
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	11
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	11
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?	10
	10
Market uncertainty and sentiment around USDA announcements	9
	9
Investment horizon and option market activity	9
Journal of Futures Markets: Volume 45, Number 2, February 2025	9
	9
Anger in predicting the index futures returns	9
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	9
Journal of Futures Markets: Volume 44, Number 3, March 2024	9
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?	9
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market	9
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets	9
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets	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
The role of option‐based information on StockTwits, options trading volume, and stock returns	8
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	8
Risk‐neutral skewness and commodity futures pricing	8
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets	8
	8
Journal of Futures Markets: Volume 43, Number 4, April 2023	8
Wisdom of crowds and commodity pricing	8
Editor's Note	8
	8
EPU spillovers and sovereign CDS spreads: A cross‐country study	8
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours	7
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters	7
Virtual Commodities and Futures Markets of Tangible Commodities	7
Derivative disclosures and managerial opportunism	7
Journal of Futures Markets: Volume 44, Number 10, October 2024	7
Price Discovery and Efficiency in Uniswap Liquidity Pools	7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets	7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps	7
	7
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks	7
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War	7
Understanding the Factors Driving the Demand of Structured Investment Products	6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets	6
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	6
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets	6
Pricing risky corporate bonds: An empirical study	6
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach	6

	6
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	6
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market	6
	6
Journal of Futures Markets: Volume 45, Number 8, August 2025	6
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	6
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?	6
Editor's Note	5
Option‐Implied Ambiguity and Equity Return Predictability	5
Journal of Futures Markets: Volume 43, Number 5, May 2023	5
Approximate pricing of American exchange options with jumps	5
A deep learning‐based financial hedging approach for the effective management of commodity risks	5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions	5
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach	5
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates	5
Journal of Futures Markets: Volume 42, Number 6, June 2022	5
GARCH pricing and hedging of VIX options	5
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	5
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective	5
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	5
Optimal Versus Naive Diversification in Commodity Futures Markets	5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data	5
Journal of Futures Markets: Volume 42, Number 2, February 2022	5
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints	5
Editor's note	5
Journal of Futures Markets: Volume 42, Number 7, July 2022	5
Option features and price discovery in convertible bonds	4
Analytically pricing exchange options with stochastic liquidity and regime switching	4
Journal of Futures Markets: Volume 44, Number 5, May 2024	4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models	4
Journal of Futures Markets: Volume 43, Number 6, June 2023	4
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models	4
Analyst rating matters for index futures	4
Does offshore NDF market influence onshore forex market? Evidence from India	4
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model	4
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity	4
Are option traders more informed than Twitter users? A PVAR analysis	4
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market	4
	4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	4
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Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach	4
Pricing VIX Futures Under a Markov‐Switching GARCH Framework	4
Petroleum market volatility tracker in China	4
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?	3
Predictability of commodity futures returns with machine learning models	3
Journal of Futures Markets: Volume 42, Number 9, September 2022	3
Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements	3
Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization	3
	3
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	3
Stock–Commodity Correlations, Optimal Hedging, and Climate Risks	3
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	3
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets	3
Nonlinear limits to arbitrage	3
	3
Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis	3
	3
Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?	3
Option pricing with state‐dependent pricing kernel	3
	3
Journal of Futures Markets: Volume 45, Number 11, November 2025	3
	3
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery	3
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets	2
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes	2
Drilling and DUCs in the Permian Basin	2
The Role of Policy on Commodity Markets: From the Perspective of Narrative News Based on NLP	2
Journal of Futures Markets: Volume 45, Number 4, April 2025	2
Journal of Futures Markets: Volume 45, Number 10, October 2025	2
Probability weighting in commodity futures markets	2
	2
Bitcoin Price Direction Forecasting and Market Variables	2
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	2
	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
Intra‐Industry Transfers of Implied Volatility Information Around Mergers and Acquisitions	2
Option pricing with dynamic conditional skewness	2

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	2
Forecasting swap rate volatility with information from swaptions	2
The information content of the volatility index options trading volume	2
Temperature, storage, and natural gas futures prices	2
Skewness Premium for Short‐Term Exposure to Squared Market Returns	2
Journal of Futures Markets: Volume 44, Number 11, November 2024	2
Geopolitical Risk and the Volatility of the International Grain Futures Market	2
Unspanned macro risks in VIX futures	2
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras	2
	2
Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India	2
Global climate change and commodity markets: A hedging perspective	2
Power‐type derivatives for rough volatility with jumps	2
Trading Games: Beating Passive Strategies in the Bullish Crypto Market	2
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	2
	2
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	2
Tighter Bounds for Implied Volatility With the Dirac Delta Family Method	2
Overseas Impact of USDA Reports: Evidence From Chinese Soybean Complex Futures	2
Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options	2
Time‐varying pure contagion effect between energy and nonenergy commodity markets	2
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	2
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility	2
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments	1
Futures trading costs and market microstructure invariance: Identifying bet activity	1
Calibration in the “real world” of a partially specified stochastic volatility model	1
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?	1
Price discovery in the CSI 300 Index derivatives markets	1
The impact of air pollution on crude oil futures market	1
The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets	1
Journal of Futures Markets: Volume 42, Number 4, April 2022	1
Forecasting Crude Oil Price Using Secondary Decomposition‐Reconstruction‐Ensemble Model Based on Variational Mode Decomposition	1
Connectedness and risk spillover in China's commodity futures sectors	1
Hedging performance analysis of energy markets: Evidence from copula quantile regression	1
	1
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information	1
Intraday liquidity in soybean complex futures markets	1
Left‐digit biases: Individual and institutional investors	1
Information and the arrival rate of option trading volume	1
Dynamics in the VIX complex	1
Leveraging prices from credit and equity option markets for portfolio risk management	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
Appraising Model Complexity in Option Pricing	1
A tale of two premiums revisited	1
Journal of Futures Markets: Volume 42, Number 3, March 2022	1
Futures Trading and Corporate Financialization: A Quasi‐Natural Experiment From the Launch of China's Crude Oil Futures	1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets	1
Reporting delays and the information content of off‐market trades	1
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	1
Term spreads of implied volatility smirk and variance risk premium	1
Hedging commodities in times of distress: The case of COVID‐19	1
Journal of Futures Markets: Volume 43, Number 9, September 2023	1
The influence of oil price uncertainty on stock liquidity	1
Futures Turnover Waves	1
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze	1
Journal of Futures Markets: Volume 42, Number 5, May 2022	1
Arbitrage, contract design, and market structure in Bitcoin futures markets	1
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors	1
Journal of Futures Markets: Volume 43, Number 3, March 2023	1
Editor's Note	1
Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean‐Linked Futures Markets	1
Measuring Real‐Time Economic Condition With Economic Narratives	1
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula	1
	1
Editorial	1
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	1
Hedging pressure and liquidity provision in commodity options markets	1
Journal of Futures Markets: Volume 43, Number 11, November 2023	1
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Journal of Futures Markets: Volume 45, Number 1, January 2025	0
Robust information share measures with an application on the international crude oil markets	0
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features	0
Journal of Futures Markets: Volume 43, Number 2, February 2023	0
Patent Portfolios and Uncertainty	0
Journal of Futures Markets: Volume 45, Number 9, September 2025	0
Forecasting variance swap payoffs	0
Credit default swaps and firm risk	0
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration	0
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Piecewise linear boundary crossing probabilities, barrier options, and variable annuities	0
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Understanding intraday momentum strategies	0
Climate change attention and carbon futures return prediction	0
Equilibrium Pricing of Bitcoin Options With Stochastic Volatility, Jumps, and Liquidity Risk	0
Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion	0
Real‐Time Tracking of Public Announcements in the Limit Order Book	0
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Cover Image: Volume 41 Issue 12	0
The Effect of Anti‐Procyclical Central Counterparty Margins On Trading	0
A model‐free approximation for barrier options in a general stochastic volatility framework	0
Prices of Risk Estimation for Commodity Factors	0
Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks	0
ChatGPT and Commodity Return	0