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 2021-11-01 to 2025-11-01.)
ArticleCitations
Bitcoin futures risk premia43
43
39
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets33
Predicting Commodity Returns Through Image‐Based Price Patterns31
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?31
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?28
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States27
26
25
Journal of Futures Markets: Volume 42, Number 10, October 202225
Journal of Futures Markets: Volume 43, Number 10, October 202324
Securitization of assets with payment delay risk: A financial innovation in the real estate market23
A systemic change of measure from central clearing20
18
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market17
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures17
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic17
Beta and size equity premia following a high‐VIX threshold17
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model16
Commodity Option Return Predictability15
Journal of Futures Markets: Volume 45, Number 5, May 202514
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach13
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility13
Journal of Futures Markets: Volume 44, Number 2, February 202413
Pricing VXX options by modeling VIX directly13
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets12
Journal of Futures Markets: Volume 44, Number 6, June 202412
Forecasting realized volatility: New evidence from time‐varying jumps in VIX11
Recovering subjective probability distributions11
11
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach11
10
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?10
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market9
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets9
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets9
Market Maker or Informed Trader: Who Drive the Relationship Between Option Trading and Underlying Returns? Evidence From Shanghai Stock Exchange 50 ETF Options9
Market uncertainty and sentiment around USDA announcements9
9
Investment horizon and option market activity9
Journal of Futures Markets: Volume 45, Number 2, February 20259
9
Anger in predicting the index futures returns9
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers9
Journal of Futures Markets: Volume 44, Number 3, March 20249
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?9
Wisdom of crowds and commodity pricing8
Editor's Note8
8
EPU spillovers and sovereign CDS spreads: A cross‐country study8
The role of option‐based information on StockTwits, options trading volume, and stock returns8
8
8
Risk‐neutral skewness and commodity futures pricing8
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets8
8
Journal of Futures Markets: Volume 43, Number 4, April 20238
7
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks7
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War7
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours7
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters7
Virtual Commodities and Futures Markets of Tangible Commodities7
Derivative disclosures and managerial opportunism7
Journal of Futures Markets: Volume 44, Number 10, October 20247
Price Discovery and Efficiency in Uniswap Liquidity Pools7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps7
6
Journal of Futures Markets: Volume 45, Number 8, August 20256
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China6
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?6
Understanding the Factors Driving the Demand of Structured Investment Products6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets6
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach6
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets6
Pricing risky corporate bonds: An empirical study6
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach6
6
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility6
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market6
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective5
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX5
Optimal Versus Naive Diversification in Commodity Futures Markets5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data5
Journal of Futures Markets: Volume 42, Number 2, February 20225
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints5
Editor's note5
Journal of Futures Markets: Volume 42, Number 7, July 20225
Editor's Note5
Option‐Implied Ambiguity and Equity Return Predictability5
Journal of Futures Markets: Volume 43, Number 5, May 20235
Approximate pricing of American exchange options with jumps5
A deep learning‐based financial hedging approach for the effective management of commodity risks5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions5
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach5
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates5
Journal of Futures Markets: Volume 42, Number 6, June 20225
GARCH pricing and hedging of VIX options5
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns5
4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐194
4
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach4
Pricing VIX Futures Under a Markov‐Switching GARCH Framework4
Petroleum market volatility tracker in China4
Option features and price discovery in convertible bonds4
Analytically pricing exchange options with stochastic liquidity and regime switching4
Journal of Futures Markets: Volume 44, Number 5, May 20244
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models4
Journal of Futures Markets: Volume 43, Number 6, June 20234
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models4
Analyst rating matters for index futures4
Does offshore NDF market influence onshore forex market? Evidence from India4
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model4
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity4
Are option traders more informed than Twitter users? A PVAR analysis4
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market4
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