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 2022-06-01 to 2026-06-01.)
ArticleCitations
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Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets45
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?43
Predicting Commodity Returns Through Image‐Based Price Patterns39
Bitcoin futures risk premia36
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?35
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States34
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Journal of Futures Markets: Volume 42, Number 10, October 202228
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Journal of Futures Markets: Volume 43, Number 10, October 202327
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market23
Securitization of assets with payment delay risk: A financial innovation in the real estate market23
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Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures20
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model18
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic17
Commodity Option Return Predictability17
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility16
Journal of Futures Markets: Volume 45, Number 5, May 202516
Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?15
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets15
Journal of Futures Markets: Volume 44, Number 2, February 202415
Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management15
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach13
Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures12
Journal of Futures Markets: Volume 44, Number 6, June 202412
Forecasting realized volatility: New evidence from time‐varying jumps in VIX12
Journal of Futures Markets: Volume 46, Number 1, January 202612
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?11
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Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets11
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Anger in predicting the index futures returns11
Wisdom of crowds and commodity pricing10
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets10
Why Do Hedgers Hedge? The Role of Ambiguity10
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets10
Journal of Futures Markets: Volume 45, Number 2, February 202510
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers10
The role of option‐based information on StockTwits, options trading volume, and stock returns10
Journal of Futures Markets: Volume 44, Number 3, March 202410
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market10
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis9
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?9
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Market Maker or Informed Trader: Who Drive the Relationship Between Option Trading and Underlying Returns? Evidence From Shanghai Stock Exchange 50 ETF Options9
Editor's Note9
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Journal of Futures Markets: Volume 44, Number 10, October 20248
Journal of Futures Markets: Volume 43, Number 4, April 20238
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters8
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours8
Virtual Commodities and Futures Markets of Tangible Commodities7
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks7
EPU spillovers and sovereign CDS spreads: A cross‐country study7
Derivative disclosures and managerial opportunism7
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets7
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets6
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Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market6
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?6
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach6
Journal of Futures Markets: Volume 45, Number 8, August 20256
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns6
Pricing risky corporate bonds: An empirical study6
Price Discovery and Efficiency in Uniswap Liquidity Pools6
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Understanding the Factors Driving the Demand of Structured Investment Products6
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets6
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China6
A deep learning‐based financial hedging approach for the effective management of commodity risks5
Journal of Futures Markets: Volume 42, Number 7, July 20225
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach5
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
Dynamic Debt With Intensity‐Based Models5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions5
Editor's note5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data5
Optimal Versus Naive Diversification in Commodity Futures Markets5
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective5
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility5
Journal of Futures Markets: Volume 43, Number 5, May 20235
VIX Term Structure in the Rough Heston Model via Markovian Approximation5
Option‐Implied Ambiguity and Equity Return Predictability4
Investor Attention and Carbon Prices: Evidence From European Union and China4
Option features and price discovery in convertible bonds4
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets4
Predictability of commodity futures returns with machine learning models4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐194
Analytically pricing exchange options with stochastic liquidity and regime switching4
Editor's Note4
Journal of Futures Markets: Volume 44, Number 5, May 20244
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models4
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Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach4
Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads4
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models4
Journal of Futures Markets: Volume 43, Number 6, June 20234
Bitcoin Price Direction Forecasting and Market Variables3
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A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model3
Pricing VIX Futures Under a Markov‐Switching GARCH Framework3
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery3
Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements3
Journal of Futures Markets: Volume 44, Number 11, November 20243
Journal of Futures Markets: Volume 46, Number 4, April 20263
Geopolitical Risk and the Volatility of the International Grain Futures Market3
Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization3
Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis3
Journal of Futures Markets: Volume 42, Number 9, September 20223
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market3
Stock–Commodity Correlations, Optimal Hedging, and Climate Risks3
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity3
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Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective3
Overseas Impact of USDA Reports: Evidence From Chinese Soybean Complex Futures3
Tighter Bounds for Implied Volatility With the Dirac Delta Family Method3
Futures Commission Merchants Concentration and Commodity Futures Market Microstructure: Empirical Evidence3
Journal of Futures Markets: Volume 45, Number 11, November 20253
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Connectedness Across Healthcare Cryptocurrencies, DeFi, and NFTs Tokens: Which Global Risk Factors Should Be Given More Attention?3
Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?3
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach3
Downside Risk and Agriculture Commodity Futures Returns: A Study Using Self‐Organizing Maps3
Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options3
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