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 2020-04-01 to 2024-04-01.)

Article	Citations
Forty years of the Journal of Futures Markets: A bibliometric overview	76
Effects of structural changes on the prediction of downside volatility in futures markets	51
Price discovery in chinese agricultural futures markets: A comprehensive look	40
The impact of net buying pressure on index options prices	24
Stock market reactions to different types of oil shocks: Evidence from China	23
Bitcoin spot and futures market microstructure	23
A revisit to the hedge and safe haven properties of gold: New evidence from China	23
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate	23
Forecasting bitcoin volatility: Evidence from the options market	20
Informed options trading around holidays	19
Optimal futures hedging for energy commodities: An application of the GAS model	19
Volatility spillovers in commodity futures markets: A network approach	19
The role of textual analysis in oil futures price forecasting based on machine learning approach	18
Liquidity shocks, commodity financialization, and market comovements	18
Fractional cointegration in bitcoin spot and futures markets	18
Night trading and market quality: Evidence from Chinese and US precious metal futures markets	18
Analytically pricing exchange options with stochastic liquidity and regime switching	17
Time‐varying pure contagion effect between energy and nonenergy commodity markets	16
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility	16
Impact of bitcoin futures on the informational efficiency of bitcoin spot market	16
Valuation of VIX and target volatility options with affine GARCH models	14
The market quality of commodity futures markets	14
Dynamic term structure models for SOFR futures	14
The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets	14
Do oil shocks impact stock liquidity?	13

Metal prices made in China? A network analysis of industrial metal futures	12
Arbitrage, contract design, and market structure in Bitcoin futures markets	12
Valuation of bitcoin options	12
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	11
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity	11
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets	11
Market uncertainty and sentiment around USDA announcements	11
Bitcoin and sentiment	11
The role of financial investors in determining the commodity futures risk premium	10
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	10
Do enhanced derivative disclosures work? An informational perspective	9
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	9
Trading behavior in bitcoin futures: Following the “smart money”	9
Improving liquidity in emission trading schemes	9
A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps	8
Pricing VIX options with realized volatility	8
The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets	8
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	8
Price discovery in China's crude oil futures markets: An emerging Asian benchmark?	8
Warrants in the financial management decisions of innovative firms	8
VIX futures and its closed‐form pricing through an affine GARCH model with realized variance	7
Intermediary capital risk and commodity futures volatility	7
The geopolitical risk premium in the commodity futures market	7
Information contents of intraday SSE 50 ETF options trades	7
Benchmarks in the spotlight: The impact on exchange traded markets	7
Multi‐step reflection principle and barrier options	7
Time‐varying dynamics of expected shortfall in commodity futures markets	7
Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank	7
On the computation of hedging strategies in affine GARCH models	6
COVID‐19 and tail risk contagion across commodity futures markets	6
Smile‐implied hedging with volatility risk	6
Hedging commodities in times of distress: The case of COVID‐19	6
Volatility‐of‐volatility risk in the crude oil market	6
VIX option‐implied volatility slope and VIX futures returns	6
Financialization, common stochastic trends, and commodity prices	6
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	5
Regional premiums in nonferrous metals markets	5
Can commodity futures risk factors predict economic growth?	5
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach	5
Are option traders more informed than Twitter users? A PVAR analysis	5
Stock market tail risk, tail risk premia, and return predictability	5
When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests	5
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry	5
Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility	5
A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio	5
Stochastic multifactor models in risk management of energy futures	5
The implied volatility smirk of commodity options	5
Price discovery in the CSI 300 Index derivatives markets	5
Volatility forecasts embedded in the prices of crude‐oil options	5
Pricing cancellable American put options on the finite time horizon	5

Samuelson hypothesis, arbitrage activity, and futures term premiums	5
The dynamics of commodity return comovements	5
Fundamental questions on central counterparties: A review of the literature	5
Intraday liquidity in soybean complex futures markets	5
Determinants of the WTI‐Brent price spread revisited	5
Anger in predicting the index futures returns	5
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure	5
Modeling VXX under jump diffusion with stochastic long‐term mean	5
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market	5
The pricing mechanism between ETF option and spot markets in China	4
Who pays the liquidity cost? Central bank announcements and adverse selection	4
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	4
Reporting delays and the information content of off‐market trades	4
One hundred years of rare disaster concerns and commodity prices	4
Beta and size equity premia following a high‐VIX threshold	4
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets	4
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	4
Risk‐neutral skewness and commodity futures 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
Analyst rating matters for index futures	4
How trading in commodity futures option markets impacts commodity futures prices	4
Climate change attention and carbon futures return prediction	4
Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges	4
Efficiency in the Atlantic salmon futures market	4
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	4
A Black–Scholes user's guide to the Bachelier model	4
Commodity tail risks	3
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock	3
Lottery and bubble stocks and the cross‐section of option‐implied tail risks	3
Volatility‐managed commodity futures portfolios	3
The lead of oil price rises on US equity market beliefs and preferences	3
American strangle options with arbitrary strikes	3
Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?	3
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	3
Piecewise linear double barrier options	3
Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions	3
The influence of oil price uncertainty on stock liquidity	3
Recovering subjective probability distributions	3
When trading options is not the only option: The effects of single‐stock futures trading on options market quality	3
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	3
Commodity momentum decomposition	3
Dynamic programming for valuing American options under a variance‐gamma process	3
The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread	3
The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps	3
Multistep forecast of the implied volatility surface using deep learning	3
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies	3
Option pricing with maximum entropy densities: The inclusion of higher‐order moments	3
Hedging operating and financing risk with financial derivatives during the global financial crisis	3
Power‐type derivatives for rough volatility with jumps	3
Changes in the options contract size and arbitrage opportunities	3
Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options	3
Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning	3
Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures	3