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 2021-05-01 to 2025-05-01.)
ArticleCitations
57
Bitcoin futures risk premia37
34
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?33
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States33
Financialization, common stochastic trends, and commodity prices31
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
In Memorium: Jayaram Muthuswamy27
One session options: Playing the announcement lottery?24
Journal of Futures Markets: Volume 42, Number 10, October 202223
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Beta and size equity premia following a high‐VIX threshold21
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth19
A systemic change of measure from central clearing19
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market18
Securitization of assets with payment delay risk: A financial innovation in the real estate market18
Journal of Futures Markets: Volume 43, Number 10, October 202317
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach17
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model17
Journal of Futures Markets: Volume 44, Number 2, February 202416
Generalized autoregressive score model with high‐frequency data for optimal futures hedging16
Journal of Futures Markets: Volume 45, Number 5, May 202515
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets15
Forecasting realized volatility: New evidence from time‐varying jumps in VIX14
Pricing VXX options by modeling VIX directly13
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach13
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility13
Volatility spillovers in commodity futures markets: A network approach13
Editor's Note12
Journal of Futures Markets: Volume 44, Number 6, June 202412
Recovering subjective probability distributions12
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Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers10
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One hundred years of rare disaster concerns and commodity prices10
Market uncertainty and sentiment around USDA announcements9
Investment horizon and option market activity9
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets9
Do enhanced derivative disclosures work? An informational perspective9
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Speculation or hedging?—Options trading prior to FOMC announcements8
The role of option‐based information on StockTwits, options trading volume, and stock returns8
Journal of Futures Markets: Volume 44, Number 3, March 20248
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets8
Anger in predicting the index futures returns8
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?8
Journal of Futures Markets: Volume 45, Number 2, February 20258
Fractional cointegration in bitcoin spot and futures markets7
Editor's Note7
EPU spillovers and sovereign CDS spreads: A cross‐country study7
Wisdom of crowds and commodity pricing7
Specification analysis of VXX option pricing models under Lévy processes7
Derivative disclosures and managerial opportunism7
Risk‐neutral skewness and commodity futures pricing7
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Investor sentiment, misreaction, and the skewness‐return relationship6
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters6
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Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets6
Journal of Futures Markets: Volume 43, Number 4, April 20236
Journal of Futures Markets: Volume 44, Number 10, October 20246
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns6
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Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets6
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility5
Pricing risky corporate bonds: An empirical study5
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach5
How trading in commodity futures option markets impacts commodity futures prices5
Journal of Futures Markets: Volume 42, Number 6, June 20225
A deep learning‐based financial hedging approach for the effective management of commodity risks5
5
Editor's note5
The real effect of foreign exchange hedging on corporate innovation5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
Journal of Futures Markets: Volume 42, Number 2, February 20225
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach5
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China5
Resiliency in the E‐mini futures market5
Journal of Futures Markets: Volume 43, Number 5, May 20235
Optimal Versus Naive Diversification in Commodity Futures Markets5
GARCH pricing and hedging of VIX options5
Journal of Futures Markets: Volume 42, Number 7, July 20224
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
Market inefficiencies surrounding energy announcements4
Does offshore NDF market influence onshore forex market? Evidence from India4
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates4
Valuation of bitcoin options4
4
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock4
Option pricing with state‐dependent pricing kernel4
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX4
Approximate pricing of American exchange options with jumps4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐194
Journal of Futures Markets: Volume 41, Number 9, September 20214
Editor's Note4
Option‐Implied Ambiguity and Equity Return Predictability4
Journal of Futures Markets: Volume 43, Number 6, June 20234
4
Petroleum market volatility tracker in China4
Analyst rating matters for index futures4
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions4
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