OOIR: Observatory of International Research

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 2020-11-01 to 2024-11-01.)

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
Informed options trading around holidays	21
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
The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets	17
Do oil shocks impact stock liquidity?	16
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	16
Climate change attention and carbon futures return prediction	16
Dynamic term structure models for SOFR futures	16
Arbitrage, contract design, and market structure in Bitcoin futures markets	15
Valuation of bitcoin options	15
Market uncertainty and sentiment around USDA announcements	14
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	14
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets	14
Do enhanced derivative disclosures work? An informational perspective	13
Price discovery in China's crude oil futures markets: An emerging Asian benchmark?	13

Trading behavior in bitcoin futures: Following the “smart money”	13
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity	12
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	12
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
Pricing VIX options with realized volatility	11
Information contents of intraday SSE 50 ETF options trades	10
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
Financialization, common stochastic trends, and commodity prices	9
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
Who pays the liquidity cost? Central bank announcements and adverse selection	8
Warrants in the financial management decisions of innovative firms	8
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
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
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
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
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
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
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
Left‐digit biases: Individual and institutional investors	4
Global climate change and commodity markets: A hedging perspective	4
Volatility‐managed commodity futures portfolios	4
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
Analyst rating matters for index futures	4
Beta and size equity premia following a high‐VIX threshold	4
Commodity momentum decomposition	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
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
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
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
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