Journal of Futures Markets

Article	Citations
	116
	57
Smile‐implied hedging with volatility risk	34
Journal of Futures Markets: Volume 43, Number 2, February 2023	31
	30
Journal of Futures Markets: Volume 41, Number 12, December 2021	28
Unspanned macro risks in VIX futures	28
Cover Image: Volume 41 Issue 12	27
	27
	23
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	22
	20
Journal of Futures Markets: Volume 44, Number 11, November 2024	19
	18
A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity	17
Asymmetric Commodity Tails and Index Futures Returns	16
Journal of Futures Markets: Volume 44, Number 4, April 2024	16
	16
Jumps in foreign exchange spot rates and the informational efficiency of currency forwards	15
Commodity momentum decomposition	15
Which Way Does the Wind Blow Between SPX Futures and VIX Futures?	15
The information content of the volatility index options trading volume	13
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets	13
Understanding intraday momentum strategies	13

Power‐type derivatives for rough volatility with jumps	12
Bitcoin futures risk premia	11
Pricing risky corporate bonds: An empirical study	11
Changes in the options contract size and arbitrage opportunities	11
Who has an edge in trading index derivatives?	11
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	10
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	10
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	10
American strangle options with arbitrary strikes	10
Lever up! An analysis of options trading in leveraged ETFs	9
Hedging pressure and oil volatility: Insurance versus liquidity demands	9
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States	9
Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity	9
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?	8
An empirical investigation on risk factors in cryptocurrency futures	8
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility	8
Revisiting the valuation of deposit insurance	8
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features	8
Probability weighting in commodity futures markets	8
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	8
The Effect of Anti‐Procyclical Central Counterparty Margins On Trading	8
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	8
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	7
The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns	7
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach	7
A model‐free approximation for barrier options in a general stochastic volatility framework	7
Time‐varying pure contagion effect between energy and nonenergy commodity markets	7
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?	7
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	7
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	6
Journal of Futures Markets: Volume 42, Number 2, February 2022	6
Financialization, common stochastic trends, and commodity prices	6
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?	6
The dynamics of commodity return comovements	6
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Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets	6
How do firms hedge in financial distress?	6
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate	6
Journal of Futures Markets: Volume 42, Number 6, June 2022	6
The lead of oil price rises on US equity market beliefs and preferences	6
The real effect of foreign exchange hedging on corporate innovation	5
Editor's note	5
Journal of Futures Markets: Volume 43, Number 5, May 2023	5
Journal of Futures Markets: Volume 43, Number 12, December 2023	5
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One session options: Playing the announcement lottery?	5
Journal of Futures Markets: Volume 43, Number 10, October 2023	5
Journal of Futures Markets: Volume 42, Number 10, October 2022	5
	5

In Memorium: Jayaram Muthuswamy	5
	5
Journal of Futures Markets: Volume 43, Number 7, July 2023	5
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	5
Option pricing with dynamic conditional skewness	4
Approximate pricing of American exchange options with jumps	4
The Pay‐for‐Success Contract: A Valuation Note	4
Beta and size equity premia following a high‐VIX threshold	4
Modeling skewness in portfolio choice	4
Robust information share measures with an application on the international crude oil markets	4
GARCH pricing and hedging of VIX options	4
Commodity premia and risk management	4
Intermediary asset pricing in currency carry trade returns	4
Securitization of assets with payment delay risk: A financial innovation in the real estate market	4
How trading in commodity futures option markets impacts commodity futures prices	4
Uncertainty and investment: Evidence from domestic oil rigs	4
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula	4
Pricing cancellable American put options on the finite time horizon	4
Credit default swaps and firm risk	4
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems	4
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market	4
Temperature, storage, and natural gas futures prices	4
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth	4
Estimating real‐world probabilities: A forward‐looking behavioral framework	3
COVID‐19 and tail risk contagion across commodity futures markets	3
Forecasting variance swap payoffs	3
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	3
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility	3
Valuation of bitcoin options	3
Option pricing with overnight and intraday volatility	3
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets	3
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market	3
Global climate change and commodity markets: A hedging perspective	3
A systemic change of measure from central clearing	3
The pricing mechanism between ETF option and spot markets in China	3
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	3
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets	3
Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors	3
Do VIX futures contribute to the valuation of VIX options?	3
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model	3
A monetary policy–based explanation of swap spreads in China	3
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes	3
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market	3
Warrants in the financial management decisions of innovative firms	3
A deep learning‐based financial hedging approach for the effective management of commodity risks	3
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	3
A Black–Scholes user's guide to the Bachelier model	3
Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion	3
Resiliency in the E‐mini futures market	3
Forecasting swap rate volatility with information from swaptions	3
The predictability of iron ore futures prices: A product‐material lead–lag effect	3
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Trading commodity ETFs: Price behavior, investment insights, and performance analysis	3
Optimal Versus Naive Diversification in Commodity Futures Markets	3
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets	2
Journal of Futures Markets: Volume 43, Number 8, August 2023	2
New evidence on commodity stocks	2
Journal of Futures Markets: Volume 42, Number 8, August 2022	2
Effects of investor attention in China's commodity futures markets	2
Journal of Futures Markets: Volume 42, Number 12, December 2022	2
Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks	2
	2
Journal of Futures Markets: Volume 41, Number 4, April 2021	2
The influence of oil price uncertainty on stock liquidity	2
Recovering subjective probability distributions	2
Lottery and bubble stocks and the cross‐section of option‐implied tail risks	2
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	2
Journal of Futures Markets: Volume 41, Number 9, September 2021	2
	2
Journal of Futures Markets: Volume 44, Number 2, February 2024	2
Trading behavior in bitcoin futures: Following the “smart money”	2
Journal of Futures Markets: Volume 41, Number 10, October 2021	2
ChatGPT and Commodity Return	2
Drilling and DUCs in the Permian Basin	2
Editor's Note	2
Journal of Futures Markets: Volume 42, Number 7, July 2022	2
Herd behaviors in index futures trading: Driving factors and impact on market volatility	2
How does skewness perform in the Chinese commodity futures market?	2
Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets	2

Journal of Futures Markets: Volume 42, Number 5, May 2022	2
Journal of Futures Markets: Volume 41, Number 5, May 2021	2
Dynamics in the VIX complex	2
Journal of Futures Markets: Volume 44, Number 6, June 2024	2
Dynamic term structure models for SOFR futures	2
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras	2
Journal of Futures Markets: Volume 45, Number 1, January 2025	2
Generalized autoregressive score model with high‐frequency data for optimal futures hedging	2
	2
Hedging commodities in times of distress: The case of COVID‐19	2
Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?	2
Predictive power of the implied volatility term structure in the fixed‐income market	2
Pricing vulnerable options under correlated skew Brownian motions	1
	1
Option features and price discovery in convertible bonds	1
Journal of Futures Markets: Volume 41, Number 6, June 2021	1
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	1
When two worlds collide: Using particle physics tools to visualize the limit order book	1
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions	1
Short‐term market impact of Black Sea Grain Initiative on four grain markets	1
Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market	1
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments	1
Calibration in the “real world” of a partially specified stochastic volatility model	1
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Commodity momentum and reversal: Do they exist, and if so, why?	1
Left‐digit biases: Individual and institutional investors	1
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Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	1
Financially constrained index futures arbitrage	1
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Risky times: Seasonality and event risk of commodities	1
Pricing VXX options by modeling VIX directly	1
Journal of Futures Markets: Volume 44, Number 5, May 2024	1
Stock market tail risk, tail risk premia, and return predictability	1
Journal of Futures Markets: Volume 44, Number 9, September 2024	1
Volatility spillovers in commodity futures markets: A network approach	1
Journal of Futures Markets: Volume 43, Number 1, January 2023	1
Does offshore NDF market influence onshore forex market? Evidence from India	1
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure	1
Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk	1
Leveraging prices from credit and equity option markets for portfolio risk management	1
A New Index of Option Implied Absolute Deviation	1
Option pricing with maximum entropy densities: The inclusion of higher‐order moments	1
Petroleum market volatility tracker in China	1
Early exercise, implied volatility spread and future stock return: Jumps bind them all	1
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Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets	1
Arbitrage, contract design, and market structure in Bitcoin futures markets	1
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Market inefficiencies surrounding energy announcements	1
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze	1
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VIX option‐implied volatility slope and VIX futures returns	1
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Corporate credit default swap systematic factors	1
Journal of Futures Markets: Volume 43, Number 6, June 2023	1
Improving liquidity in emission trading schemes	1
Analyst rating matters for index futures	1
Hedging pressure and liquidity provision in commodity options markets	1
Forty years of the Journal of Futures Markets: A bibliometric overview	1
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates	1
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	1
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	1
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	1
Analytically pricing exchange options with stochastic liquidity and regime switching	1
Investor sentiment and the market reaction to macroeconomic news	1
Functional Oil Price Expectations Shocks and Inflation	1
Editor's Note	1
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information	1
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	1
Editor's Note	1
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?	1
Option‐Implied Ambiguity and Equity Return Predictability	1
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