Journal of Futures Markets

Article	Citations
Forty years of the Journal of Futures Markets: A bibliometric overview	90
Effects of structural changes on the prediction of downside volatility in futures markets	55
Price discovery in chinese agricultural futures markets: A comprehensive look	53
Volatility spillovers in commodity futures markets: A network approach	28
Analytically pricing exchange options with stochastic liquidity and regime switching	27
Stock market reactions to different types of oil shocks: Evidence from China	26
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate	26
The role of textual analysis in oil futures price forecasting based on machine learning approach	23
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility	22
The geopolitical risk premium in the commodity futures market	21
Time‐varying pure contagion effect between energy and nonenergy commodity markets	21
Fractional cointegration in bitcoin spot and futures markets	21
Informed options trading around holidays	21
The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets	17
Climate change attention and carbon futures return prediction	16
Dynamic term structure models for SOFR futures	16
Do oil shocks impact stock liquidity?	16
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	16
Arbitrage, contract design, and market structure in Bitcoin futures markets	15
Valuation of bitcoin options	15
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets	14
Market uncertainty and sentiment around USDA announcements	14
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	14
Trading behavior in bitcoin futures: Following the “smart money”	13
Do enhanced derivative disclosures work? An informational perspective	13

Price discovery in China's crude oil futures markets: An emerging Asian benchmark?	13
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	12
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity	12
Pricing VIX options with realized volatility	11
COVID‐19 and tail risk contagion across commodity futures markets	11
The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets	11
Improving liquidity in emission trading schemes	10
A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps	10
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	10
Information contents of intraday SSE 50 ETF options trades	10
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	9
Multi‐step reflection principle and barrier options	9
Financialization, common stochastic trends, and commodity prices	9
VIX option‐implied volatility slope and VIX futures returns	8
The dynamics of commodity return comovements	8
Fundamental questions on central counterparties: A review of the literature	8
The influence of oil price uncertainty on stock liquidity	8
Who pays the liquidity cost? Central bank announcements and adverse selection	8
Warrants in the financial management decisions of innovative firms	8
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	7
Time‐varying dynamics of expected shortfall in commodity futures markets	7
Price discovery in the CSI 300 Index derivatives markets	7
Pricing cancellable American put options on the finite time horizon	7
Intermediary capital risk and commodity futures volatility	7
Hedging commodities in times of distress: The case of COVID‐19	7
Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank	7
One hundred years of rare disaster concerns and commodity prices	7
On the computation of hedging strategies in affine GARCH models	7
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure	7
Intraday liquidity in soybean complex futures markets	6
A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio	6
A Black–Scholes user's guide to the Bachelier model	6
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	6
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	6
Smile‐implied hedging with volatility risk	6
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach	6
Are option traders more informed than Twitter users? A PVAR analysis	6
Multistep forecast of the implied volatility surface using deep learning	5
Anger in predicting the index futures returns	5
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	5
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets	5
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry	5
Determinants of the WTI‐Brent price spread revisited	5
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	5
Recovering subjective probability distributions	5
How trading in commodity futures option markets impacts commodity futures prices	5
Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility	5
Regional premiums in nonferrous metals markets	5
Risk‐neutral skewness and commodity futures pricing	5
Reporting delays and the information content of off‐market trades	5

Stock market tail risk, tail risk premia, and return predictability	5
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market	5
American strangle options with arbitrary strikes	5
The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps	4
Volatility model applications in China's SSE50 options market	4
Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions	4
Efficiency in the Atlantic salmon futures market	4
Investor sentiment and the market reaction to macroeconomic news	4
Hedging operating and financing risk with financial derivatives during the global financial crisis	4
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	4
The pricing mechanism between ETF option and spot markets in China	4
Power‐type derivatives for rough volatility with jumps	4
Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning	4
Wisdom of crowds and commodity pricing	4
Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange	4
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?	4
Left‐digit biases: Individual and institutional investors	4
Global climate change and commodity markets: A hedging perspective	4
Volatility‐managed commodity futures portfolios	4
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	4
Margin requirements based on a stochastic correlation model	4
Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges	4
Option pricing with state‐dependent pricing kernel	4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	4
Analyst rating matters for index futures	4
Beta and size equity premia following a high‐VIX threshold	4
Commodity momentum decomposition	4
GARCH pricing and hedging of VIX options	3
The lead of oil price rises on US equity market beliefs and preferences	3
Investor sentiment, misreaction, and the skewness‐return relationship	3
EPU spillovers and sovereign CDS spreads: A cross‐country study	3
The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread	3
Speculation or hedging?—Options trading prior to FOMC announcements	3
Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896	3
Managing volatility in commodity momentum	3
Option pricing with maximum entropy densities: The inclusion of higher‐order moments	3
Option features and price discovery in convertible bonds	3
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems	3
Changes in the options contract size and arbitrage opportunities	3
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?	3
The information effect of order flows in foreign currency futures and spot markets	3
Piecewise linear double barrier options	3
Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?	3
Commodity tail risks	3
Oil price analysts' forecasts	3
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies	3
Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?	3
Resiliency in the E‐mini futures market	3
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market	3
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	3
Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks	3
Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options	3
Overnight volatility, realized volatility, and option pricing	3
Nonlinear limits to arbitrage	3
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock	3
Option‐implied moments and the cross‐section of stock returns	3
Lottery and bubble stocks and the cross‐section of option‐implied tail risks	3
Do VIX futures contribute to the valuation of VIX options?	3
Optimal portfolio allocation using option‐implied information	2
Do economic variables forecast commodity futures volatility?	2
The information content of the volatility index options trading volume	2
Off‐market block trades: New evidence on transparency and information efficiency	2
Considering momentum spillover effects via graph neural network in option pricing	2
VIX term structure: The role of jump propagation risks	2
Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market	2
Market inefficiencies surrounding energy announcements	2
Pricing vulnerable options under correlated skew Brownian motions	2
New evidence on commodity stocks	2
Intermediary asset pricing in currency carry trade returns	2
Approximate pricing of American exchange options with jumps	2
Algorithmic trading and market quality: Evidence from the Taiwan index futures market	2
Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures	2
The information content of wheat derivatives regarding the Ukrainian war	2
Revisiting the valuation of deposit insurance	2
Credit risk in derivative securities: A simplified approach	2
Investment horizon and option market activity	2
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	2
Risky times: Seasonality and event risk of commodities	2
How does skewness perform in the Chinese commodity futures market?	2
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	2

The predictability of iron ore futures prices: A product‐material lead–lag effect	2
Estimating real‐world probabilities: A forward‐looking behavioral framework	2
Bitcoin futures risk premia	2
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Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features	2
Discrete variance swap in a rough volatility economy	2
The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns	2
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High–low volatility spillover network between economic policy uncertainty and commodity futures markets	2
Information and the arrival rate of option trading volume	2
Short‐term market impact of Black Sea Grain Initiative on four grain markets	2
When two worlds collide: Using particle physics tools to visualize the limit order book	2
Commodity momentum and reversal: Do they exist, and if so, why?	2
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth	2
Option pricing with overnight and intraday volatility	2
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Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	1
The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns	1
Jumps in foreign exchange spot rates and the informational efficiency of currency forwards	1
Can technical indicators based on underlying assets help to predict implied volatility index	1
Venturing into uncharted territory: An extensible implied volatility surface model	1
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	1
High‐frequency trading and market quality: Evidence from account‐level futures data	1
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Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures	1
Derivative disclosures and managerial opportunism	1
Quantile information share under Markov regime‐switching	1
A tale of two premiums revisited	1
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Belief distortion near 52W high and low: Evidence from Indian equity options market	1
Does offshore NDF market influence onshore forex market? Evidence from India	1
Single stock futures and their impact on market quality: Be careful what you wish for	1
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	1
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Estimation of stochastic volatility and option prices	1
Specification analysis of VXX option pricing models under Lévy processes	1
A deep learning‐based financial hedging approach for the effective management of commodity risks	1
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	1
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Uncertainty and investment: Evidence from domestic oil rigs	1
Estimating risk‐neutral freight rate dynamics: A nonparametric approach	1
Understanding intraday momentum strategies	1
Strategic trading and manipulation in trade at settlement contracts	1
The impact of air pollution on crude oil futures market	1
How do firms hedge in financial distress?	1
Term spreads of implied volatility smirk and variance risk premium	1
The traders' rule and long‐term options	1
Predictability of commodity futures returns with machine learning models	1
Exploring the dynamics of the equity–commodity nexus: A study of base metal futures	1
Commodity network and predictable returns	1
Analyzing interactive call, default, and conversion policies for corporate bonds	1
Industry variance risk premium, cross‐industry correlation, and expected returns	1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets	1
Herd behaviors in index futures trading: Driving factors and impact on market volatility	1
Hedging pressure and liquidity provision in commodity options markets	1
Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis	1
Effects of investor attention in China's commodity futures markets	1
An empirical investigation on risk factors in cryptocurrency futures	1
Resale options and heterogeneous beliefs	1
Forecasting variance swap payoffs	1
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Journal of Futures Markets: Volume 41, Number 1, January 2021	1
Hedging pressure and oil volatility: Insurance versus liquidity demands	1
Kelly trading and option pricing	1
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	1
Realized bipower variation, jump components, and option valuation	1
Connectedness and risk spillover in China's commodity futures sectors	1
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	1
Market‐wide overconfidence and stock returns	1
VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models	1
A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”	1
A Skellam market model for loan prime rate options	1
When it pays to follow the crowd: Strategy conformity and CTA performance	1
Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures	1
Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?	1
The information in global interest rate futures contracts	1
Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets	1
Dynamics in the VIX complex	1
The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century	1
Robust information share measures with an application on the international crude oil markets	1
Pricing risky corporate bonds: An empirical study	1
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