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 2021-08-01 to 2025-08-01.)
ArticleCitations
38
35
Bitcoin futures risk premia35
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?33
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?30
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States26
Financialization, common stochastic trends, and commodity prices25
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets24
In Memorium: Jayaram Muthuswamy23
22
Journal of Futures Markets: Volume 42, Number 10, October 202221
Beta and size equity premia following a high‐VIX threshold20
20
A systemic change of measure from central clearing19
Securitization of assets with payment delay risk: A financial innovation in the real estate market19
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market17
Journal of Futures Markets: Volume 43, Number 10, October 202316
Commodity Option Return Predictability16
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures15
14
One session options: Playing the announcement lottery?14
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model13
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets13
Journal of Futures Markets: Volume 44, Number 2, February 202413
Pricing VXX options by modeling VIX directly12
Journal of Futures Markets: Volume 45, Number 5, May 202512
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach11
Generalized autoregressive score model with high‐frequency data for optimal futures hedging11
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility11
Journal of Futures Markets: Volume 44, Number 6, June 202410
Volatility spillovers in commodity futures markets: A network approach10
Do enhanced derivative disclosures work? An informational perspective9
Recovering subjective probability distributions9
9
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach9
9
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers9
Forecasting realized volatility: New evidence from time‐varying jumps in VIX9
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?9
9
Market uncertainty and sentiment around USDA announcements8
One hundred years of rare disaster concerns and commodity prices8
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market8
Anger in predicting the index futures returns8
8
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets8
Investment horizon and option market activity8
7
Wisdom of crowds and commodity pricing7
Speculation or hedging?—Options trading prior to FOMC announcements7
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?7
7
Editor's Note7
The role of option‐based information on StockTwits, options trading volume, and stock returns7
Journal of Futures Markets: Volume 44, Number 3, March 20247
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets7
EPU spillovers and sovereign CDS spreads: A cross‐country study7
Journal of Futures Markets: Volume 45, Number 2, February 20257
Risk‐neutral skewness and commodity futures pricing7
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters6
6
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks6
Derivative disclosures and managerial opportunism6
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets6
6
Journal of Futures Markets: Volume 44, Number 10, October 20246
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps6
Price Discovery and Efficiency in Uniswap Liquidity Pools6
6
Journal of Futures Markets: Volume 43, Number 4, April 20236
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War6
6
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market5
Editor's note5
Journal of Futures Markets: Volume 42, Number 2, February 20225
Optimal Versus Naive Diversification in Commodity Futures Markets5
Journal of Futures Markets: Volume 45, Number 8, August 20255
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach5
Understanding the Factors Driving the Demand of Structured Investment Products5
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach5
GARCH pricing and hedging of VIX options5
Journal of Futures Markets: Volume 42, Number 6, June 20225
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility5
Pricing risky corporate bonds: An empirical study5
5
Resiliency in the E‐mini futures market5
The real effect of foreign exchange hedging on corporate innovation5
Approximate pricing of American exchange options with jumps5
Journal of Futures Markets: Volume 43, Number 5, May 20235
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China5
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets5
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns5
Does offshore NDF market influence onshore forex market? Evidence from India4
Option features and price discovery in convertible bonds4
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints4
Market inefficiencies surrounding energy announcements4
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX4
4
Option‐Implied Ambiguity and Equity Return Predictability4
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
Analytically pricing exchange options with stochastic liquidity and regime switching4
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach4
Journal of Futures Markets: Volume 44, Number 5, May 20244
A deep learning‐based financial hedging approach for the effective management of commodity risks4
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions4
Journal of Futures Markets: Volume 42, Number 7, July 20224
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates4
Analyst rating matters for index futures4
4
Journal of Futures Markets: Volume 43, Number 6, June 20234
0.32813215255737