Journal of Futures Markets

Article	Citations
Bitcoin futures risk premia	38
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Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?	35
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
Financialization, common stochastic trends, and commodity prices	27
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States	26
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets	26
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In Memorium: Jayaram Muthuswamy	24
Journal of Futures Markets: Volume 42, Number 10, October 2022	21
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A systemic change of measure from central clearing	20
Beta and size equity premia following a high‐VIX threshold	20
Securitization of assets with payment delay risk: A financial innovation in the real estate market	19
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market	17
Journal of Futures Markets: Volume 43, Number 10, October 2023	17
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Commodity Option Return Predictability	16
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model	15
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures	15
Journal of Futures Markets: Volume 44, Number 2, February 2024	14
Pricing VXX options by modeling VIX directly	13
Journal of Futures Markets: Volume 45, Number 5, May 2025	13

Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets	13
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	12
Volatility spillovers in commodity futures markets: A network approach	12
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	12
Journal of Futures Markets: Volume 44, Number 6, June 2024	12
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	11
Recovering subjective probability distributions	10
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Forecasting realized volatility: New evidence from time‐varying jumps in VIX	10
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market	9
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Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?	9
Anger in predicting the index futures returns	9
Do enhanced derivative disclosures work? An informational perspective	9
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	9
Investment horizon and option market activity	9
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets	9
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Market uncertainty and sentiment around USDA announcements	9
The role of option‐based information on StockTwits, options trading volume, and stock returns	8
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets	8
Journal of Futures Markets: Volume 44, Number 3, March 2024	8
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?	8
Speculation or hedging?—Options trading prior to FOMC announcements	8
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Wisdom of crowds and commodity pricing	8
Risk‐neutral skewness and commodity futures pricing	8
Journal of Futures Markets: Volume 45, Number 2, February 2025	8
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EPU spillovers and sovereign CDS spreads: A cross‐country study	7
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Journal of Futures Markets: Volume 43, Number 4, April 2023	7
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Price Discovery and Efficiency in Uniswap Liquidity Pools	7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps	7
Editor's Note	7
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Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets	7
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	6
Journal of Futures Markets: Volume 44, Number 10, October 2024	6
Derivative disclosures and managerial opportunism	6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets	6
Journal of Futures Markets: Volume 45, Number 8, August 2025	6
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	6
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Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours	6
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War	6
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Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market	6

Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	6
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Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks	6
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters	6
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach	6
Pricing risky corporate bonds: An empirical study	5
Journal of Futures Markets: Volume 43, Number 5, May 2023	5
Analyst rating matters for index futures	5
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates	5
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	5
Journal of Futures Markets: Volume 42, Number 7, July 2022	5
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints	5
Journal of Futures Markets: Volume 42, Number 6, June 2022	5
Understanding the Factors Driving the Demand of Structured Investment Products	5
Editor's note	5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data	5
Does offshore NDF market influence onshore forex market? Evidence from India	5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions	5
GARCH pricing and hedging of VIX options	5
Optimal Versus Naive Diversification in Commodity Futures Markets	5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	5
Approximate pricing of American exchange options with jumps	5
A deep learning‐based financial hedging approach for the effective management of commodity risks	5
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	5
Market inefficiencies surrounding energy announcements	5
Editor's Note	5
Journal of Futures Markets: Volume 42, Number 2, February 2022	5
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?	5
Journal of Futures Markets: Volume 44, Number 5, May 2024	4
Option features and price discovery in convertible bonds	4
Option pricing with state‐dependent pricing kernel	4
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market	4
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach	4
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Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach	4
Option‐Implied Ambiguity and Equity Return Predictability	4
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	4
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models	4
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Journal of Futures Markets: Volume 43, Number 6, June 2023	4
Analytically pricing exchange options with stochastic liquidity and regime switching	4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models	4
Petroleum market volatility tracker in China	4
Are option traders more informed than Twitter users? A PVAR analysis	4
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach	3
Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements	3
Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization	3
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets	3
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?	3
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model	3
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Realized bipower variation, jump components, and option valuation	3
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery	3
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Predictability of commodity futures returns with machine learning models	3
Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis	3
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Nonlinear limits to arbitrage	3
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	3
Journal of Futures Markets: Volume 42, Number 9, September 2022	3
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity	3
Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?	3
Stock–Commodity Correlations, Optimal Hedging, and Climate Risks	3
Option pricing with dynamic conditional skewness	2
Global climate change and commodity markets: A hedging perspective	2
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility	2
Do VIX futures contribute to the valuation of VIX options?	2
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes	2
The Role of Policy on Commodity Markets: From the Perspective of Narrative News Based on NLP	2
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Forecasting swap rate volatility with information from swaptions	2
The information content of the volatility index options trading volume	2
Tighter Bounds for Implied Volatility With the Dirac Delta Family Method	2
Bitcoin Price Direction Forecasting and Market Variables	2
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Power‐type derivatives for rough volatility with jumps	2
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	2
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	2
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Drilling and DUCs in the Permian Basin	2
Warrants in the financial management decisions of innovative firms	2
Temperature, storage, and natural gas futures prices	2
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	2
Skewness Premium for Short‐Term Exposure to Squared Market Returns	2
Journal of Futures Markets: Volume 45, Number 4, April 2025	2
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets	2
Unspanned macro risks in VIX futures	2
Geopolitical Risk and the Volatility of the International Grain Futures Market	2
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Time‐varying pure contagion effect between energy and nonenergy commodity markets	2
Probability weighting in commodity futures markets	2
Intra‐Industry Transfers of Implied Volatility Information Around Mergers and Acquisitions	2
Journal of Futures Markets: Volume 42, Number 5, May 2022	2
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	2
Journal of Futures Markets: Volume 45, Number 6, June 2025	2
Trading Games: Beating Passive Strategies in the Bullish Crypto Market	2
Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India	2
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras	2
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	2
Overseas Impact of USDA Reports: Evidence From Chinese Soybean Complex Futures	2
Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options	2
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Journal of Futures Markets: Volume 44, Number 11, November 2024	2
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	2
The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets	1
Journal of Futures Markets: Volume 44, Number 4, April 2024	1
Measuring Real‐Time Economic Condition With Economic Narratives	1
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	1
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Journal of Futures Markets: Volume 43, Number 3, March 2023	1
Sheep in wolves' clothing: Using false signals of demand to execute a market power manipulation	1
Connectedness and risk spillover in China's commodity futures sectors	1
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula	1
Futures Turnover Waves	1
Journal of Futures Markets: Volume 43, Number 9, September 2023	1
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?	1
Journal of Futures Markets: Volume 43, Number 11, November 2023	1
Left‐digit biases: Individual and institutional investors	1
Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean‐Linked Futures Markets	1
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments	1
Hedging pressure and liquidity provision in commodity options markets	1
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	1
Price discovery in the CSI 300 Index derivatives markets	1
Journal of Futures Markets: Volume 41, Number 12, December 2021	1
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Appraising Model Complexity in Option Pricing	1
A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”	1
Editor's Note	1
Journal of Futures Markets: Volume 42, Number 4, April 2022	1
The impact of air pollution on crude oil futures market	1
Journal of Futures Markets: Volume 42, Number 3, March 2022	1
Reporting delays and the information content of off‐market trades	1
Editorial	1
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information	1
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	1
Dynamics in the VIX complex	1
Calibration in the “real world” of a partially specified stochastic volatility model	1
Intraday liquidity in soybean complex futures markets	1
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Industry variance risk premium, cross‐industry correlation, and expected returns	1
Hedging pressure and oil volatility: Insurance versus liquidity demands	1
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze	1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets	1
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Futures Trading and Corporate Financialization: A Quasi‐Natural Experiment From the Launch of China's Crude Oil Futures	1
Information and the arrival rate of option trading volume	1
A tale of two premiums revisited	1
Algorithmic trading and market quality: Evidence from the Taiwan index futures market	1
Term spreads of implied volatility smirk and variance risk premium	1
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors	1
Hedging commodities in times of distress: The case of COVID‐19	1
Hedging performance analysis of energy markets: Evidence from copula quantile regression	1
The influence of oil price uncertainty on stock liquidity	1
Forecasting Crude Oil Price Using Secondary Decomposition‐Reconstruction‐Ensemble Model Based on Variational Mode Decomposition	1
Arbitrage, contract design, and market structure in Bitcoin futures markets	1
Leveraging prices from credit and equity option markets for portfolio risk management	1
Futures trading costs and market microstructure invariance: Identifying bet activity	1
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies	1