Journal of Futures Markets

Papers
(The TQCC of Journal of Futures Markets is 3. 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 2021-02-01 to 2025-02-01.)
ArticleCitations
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?103
55
30
A model‐free approximation for barrier options in a general stochastic volatility framework28
Lever up! An analysis of options trading in leveraged ETFs27
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach26
Smile‐implied hedging with volatility risk26
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?23
The lead of oil price rises on US equity market beliefs and preferences22
Journal of Futures Markets: Volume 43, Number 2, February 202321
Unspanned macro risks in VIX futures19
19
Cover Image: Volume 41 Issue 1216
Journal of Futures Markets: Volume 41, Number 12, December 202116
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions16
15
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets15
The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns14
14
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method14
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China13
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?13
Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity13
12
Pricing risky corporate bonds: An empirical study12
Power‐type derivatives for rough volatility with jumps11
Revisiting the valuation of deposit insurance11
An empirical investigation on risk factors in cryptocurrency futures10
10
Probability weighting in commodity futures markets10
Who has an edge in trading index derivatives?10
10
Journal of Futures Markets: Volume 44, Number 11, November 20249
Journal of Futures Markets: Volume 41, Number 3, March 20218
How do firms hedge in financial distress?8
8
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility8
The Effect of Anti‐Procyclical Central Counterparty Margins On Trading8
Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures8
Understanding intraday momentum strategies7
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States7
American strangle options with arbitrary strikes7
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets7
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns7
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach7
Bitcoin futures risk premia7
Journal of Futures Markets: Volume 44, Number 4, April 20247
Commodity momentum decomposition6
Which Way Does the Wind Blow Between SPX Futures and VIX Futures?6
The information content of the volatility index options trading volume6
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility6
Jumps in foreign exchange spot rates and the informational efficiency of currency forwards6
Financialization, common stochastic trends, and commodity prices6
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?6
Changes in the options contract size and arbitrage opportunities6
Hedging pressure and oil volatility: Insurance versus liquidity demands6
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model5
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches5
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features5
Journal of Futures Markets: Volume 42, Number 2, February 20225
Modeling skewness in portfolio choice5
Time‐varying pure contagion effect between energy and nonenergy commodity markets5
Erratum to “An analytical perturbative solution to the Merton Garman model using symmetries”5
GARCH pricing and hedging of VIX options5
Asymmetric Commodity Tails and Index Futures Returns5
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate5
The dynamics of commodity return comovements5
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market5
4
Pricing cancellable American put options on the finite time horizon4
Uncertainty and investment: Evidence from domestic oil rigs4
Credit default swaps and firm risk4
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets4
Journal of Futures Markets: Volume 42, Number 6, June 20224
Journal of Futures Markets: Volume 42, Number 10, October 20224
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes4
Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors4
Forecasting swap rate volatility with information from swaptions4
Temperature, storage, and natural gas futures prices4
Approximate pricing of American exchange options with jumps4
4
Securitization of assets with payment delay risk: A financial innovation in the real estate market4
The pricing mechanism between ETF option and spot markets in China4
A monetary policy–based explanation of swap spreads in China4
Journal of Futures Markets: Volume 43, Number 7, July 20234
COVID‐19 and tail risk contagion across commodity futures markets4
4
Journal of Futures Markets: Volume 43, Number 5, May 20234
3
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market3
3
In Memorium: Jayaram Muthuswamy3
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula3
The predictability of iron ore futures prices: A product‐material lead–lag effect3
A Black–Scholes user's guide to the Bachelier model3
The Pay‐for‐Success Contract: A Valuation Note3
Intermediary asset pricing in currency carry trade returns3
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras3
3
Journal of Futures Markets: Volume 43, Number 12, December 20233
Journal of Futures Markets: Volume 43, Number 10, October 20233
3
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market3
One session options: Playing the announcement lottery?3
Valuation of bitcoin options3
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets3
Option pricing with dynamic conditional skewness3
Forecasting variance swap payoffs3
Warrants in the financial management decisions of innovative firms3
Beta and size equity premia following a high‐VIX threshold3
How trading in commodity futures option markets impacts commodity futures prices3
A systemic change of measure from central clearing3
The real effect of foreign exchange hedging on corporate innovation3
Editor's note3
Commodity premia and risk management3
Do VIX futures contribute to the valuation of VIX options?3
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth3
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems3
Estimating real‐world probabilities: A forward‐looking behavioral framework3
Trading commodity ETFs: Price behavior, investment insights, and performance analysis3
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