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 2022-05-01 to 2026-05-01.)
ArticleCitations
51
50
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets45
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?42
Predicting Commodity Returns Through Image‐Based Price Patterns39
Bitcoin futures risk premia36
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States35
33
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?33
28
Journal of Futures Markets: Volume 42, Number 10, October 202228
Journal of Futures Markets: Volume 43, Number 10, October 202327
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market23
Securitization of assets with payment delay risk: A financial innovation in the real estate market22
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic20
20
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures18
Commodity Option Return Predictability17
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
Journal of Futures Markets: Volume 44, Number 2, February 202415
Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?15
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility15
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets15
Journal of Futures Markets: Volume 45, Number 5, May 202515
Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management14
Journal of Futures Markets: Volume 44, Number 6, June 202413
Journal of Futures Markets: Volume 46, Number 1, January 202612
Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures12
Forecasting realized volatility: New evidence from time‐varying jumps in VIX12
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach11
11
Anger in predicting the index futures returns11
11
11
Why Do Hedgers Hedge? The Role of Ambiguity10
Journal of Futures Markets: Volume 44, Number 3, March 202410
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?10
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market10
Journal of Futures Markets: Volume 45, Number 2, February 202510
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets10
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets10
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers10
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis9
Wisdom of crowds and commodity pricing9
9
Market Maker or Informed Trader: Who Drive the Relationship Between Option Trading and Underlying Returns? Evidence From Shanghai Stock Exchange 50 ETF Options9
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets9
Editor's Note9
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?9
The role of option‐based information on StockTwits, options trading volume, and stock returns9
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours8
8
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters8
8
8
Journal of Futures Markets: Volume 44, Number 10, October 20248
Virtual Commodities and Futures Markets of Tangible Commodities8
8
Journal of Futures Markets: Volume 43, Number 4, April 20238
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks8
Derivative disclosures and managerial opportunism7
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets7
Price Discovery and Efficiency in Uniswap Liquidity Pools7
EPU spillovers and sovereign CDS spreads: A cross‐country study7
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility6
Journal of Futures Markets: Volume 42, Number 6, June 20226
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach6
Journal of Futures Markets: Volume 45, Number 8, August 20256
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market6
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?6
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach6
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints6
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
Pricing risky corporate bonds: An empirical study6
Journal of Futures Markets: Volume 43, Number 5, May 20236
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets6
6
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China6
Editor's note6
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
Dynamic Debt With Intensity‐Based Models5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions5
Analyst rating matters for index futures5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data5
Optimal Versus Naive Diversification in Commodity Futures Markets5
Journal of Futures Markets: Volume 42, Number 7, July 20225
Editor's Note5
Analytically pricing exchange options with stochastic liquidity and regime switching5
VIX Term Structure in the Rough Heston Model via Markovian Approximation5
A deep learning‐based financial hedging approach for the effective management of commodity risks5
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective5
Option‐Implied Ambiguity and Equity Return Predictability5
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach5
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models4
Predictability of commodity futures returns with machine learning models4
Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?4
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump 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
Investor Attention and Carbon Prices: Evidence From European Union and China4
Pricing VIX Futures Under a Markov‐Switching GARCH Framework4
Stock–Commodity Correlations, Optimal Hedging, and Climate Risks4
Journal of Futures Markets: Volume 44, Number 5, May 20244
Option features and price discovery in convertible bonds4
4
Journal of Futures Markets: Volume 43, Number 6, June 20234
Option pricing with state‐dependent pricing kernel4
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity4
Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads4
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX4
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