Journal of Futures Markets

Papers
(The TQCC of Journal of Futures Markets is 4. 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 2022-08-01 to 2026-08-01.)
ArticleCitations
62
50
Predicting Commodity Returns Through Image‐Based Price Patterns47
Bitcoin futures risk premia37
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets37
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States35
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?35
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?34
Journal of Futures Markets: Volume 42, Number 10, October 202230
30
24
Journal of Futures Markets: Volume 43, Number 10, October 202323
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market22
Securitization of assets with payment delay risk: A financial innovation in the real estate market22
20
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures19
Commodity Option Return Predictability19
Day‐of‐the‐Week Effects and Liquidity Dynamics in the Chinese SSE 50 ETF Option Market18
Journal of Futures Markets: Volume 46, Number 7, July 202617
Neural Jumps for Option Pricing17
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model16
Network‐Based Stochastic Volatility Modeling for Interconnected Futures Markets15
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic15
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility14
Journal of Futures Markets: Volume 45, Number 5, May 202514
Journal of Futures Markets: Volume 44, Number 2, February 202414
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach13
Forecasting realized volatility: New evidence from time‐varying jumps in VIX12
Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?12
Journal of Futures Markets: Volume 44, Number 6, June 202412
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets12
Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management12
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?11
11
Journal of Futures Markets: Volume 46, Number 1, January 202611
Why Do Hedgers Hedge? The Role of Ambiguity11
11
Reciprocal Return Risk Premium and Option Returns11
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market11
11
Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures11
Anger in predicting the index futures returns10
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets10
Journal of Futures Markets: Volume 45, Number 2, February 202510
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers10
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets10
Journal of Futures Markets: Volume 44, Number 3, March 202410
The role of option‐based information on StockTwits, options trading volume, and stock returns10
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets9
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?8
8
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours8
Market Maker or Informed Trader: Who Drive the Relationship Between Option Trading and Underlying Returns? Evidence From Shanghai Stock Exchange 50 ETF Options8
8
Journal of Futures Markets: Volume 43, Number 4, April 20238
8
Wisdom of crowds and commodity pricing8
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis8
8
Editor's Note8
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters7
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War7
Journal of Futures Markets: Volume 44, Number 10, October 20247
Virtual Commodities and Futures Markets of Tangible Commodities7
EPU spillovers and sovereign CDS spreads: A cross‐country study7
7
Derivative disclosures and managerial opportunism7
A Comprehensive Analysis of Realized Skewness Trading6
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach6
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market6
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China6
Journal of Futures Markets: Volume 45, Number 8, August 20256
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps6
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets6
6
Understanding the Factors Driving the Demand of Structured Investment Products6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns6
Price Discovery and Efficiency in Uniswap Liquidity Pools6
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks6
6
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?6
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets6
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
A deep learning‐based financial hedging approach for the effective management of commodity risks5
5
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach5
Journal of Futures Markets: Volume 43, Number 5, May 20235
Dynamic Debt With Intensity‐Based Models5
VIX Term Structure in the Rough Heston Model via Markovian Approximation5
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility5
Optimal Versus Naive Diversification in Commodity Futures Markets5
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints5
A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self‐Exciting Jumps5
Pricing risky corporate bonds: An empirical study5
Editor's note5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data4
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach4
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective4
Option features and price discovery in convertible bonds4
Journal of Futures Markets: Volume 44, Number 5, May 20244
Predictability of commodity futures returns with machine learning models4
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions4
Option‐Implied Ambiguity and Equity Return Predictability4
Analytically pricing exchange options with stochastic liquidity and regime switching4
Skewness, Betas, and Commodity Futures Returns4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐194
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates4
Editor's Note4
Investor Attention and Carbon Prices: Evidence From European Union and China4
Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads4
4
Journal of Futures Markets: Volume 43, Number 6, June 20234
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