Journal of Futures Markets

Article	Citations
Forty years of the Journal of Futures Markets: A bibliometric overview	88
Effects of structural changes on the prediction of downside volatility in futures markets	55
Price discovery in chinese agricultural futures markets: A comprehensive look	50
Volatility spillovers in commodity futures markets: A network approach	29
Analytically pricing exchange options with stochastic liquidity and regime switching	26
Stock market reactions to different types of oil shocks: Evidence from China	26
Bitcoin spot and futures market microstructure	25
The impact of net buying pressure on index options prices	25
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate	25
The role of textual analysis in oil futures price forecasting based on machine learning approach	22
Fractional cointegration in bitcoin spot and futures markets	21
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility	21
Informed options trading around holidays	20
Impact of bitcoin futures on the informational efficiency of bitcoin spot market	20
Time‐varying pure contagion effect between energy and nonenergy commodity markets	19
The geopolitical risk premium in the commodity futures market	18
The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets	17
Dynamic term structure models for SOFR futures	16
Do oil shocks impact stock liquidity?	16
Valuation of VIX and target volatility options with affine GARCH models	16
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	16
Valuation of bitcoin options	15
Arbitrage, contract design, and market structure in Bitcoin futures markets	15
Market uncertainty and sentiment around USDA announcements	14
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets	14

Climate change attention and carbon futures return prediction	14
Do enhanced derivative disclosures work? An informational perspective	13
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	13
Price discovery in China's crude oil futures markets: An emerging Asian benchmark?	12
Trading behavior in bitcoin futures: Following the “smart money”	12
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity	12
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	12
Pricing VIX options with realized volatility	11
A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps	10
COVID‐19 and tail risk contagion across commodity futures markets	10
The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets	10
Improving liquidity in emission trading schemes	10
Information contents of intraday SSE 50 ETF options trades	9
Financialization, common stochastic trends, and commodity prices	9
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	9
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	9
Multi‐step reflection principle and barrier options	9
Volatility‐of‐volatility risk in the crude oil market	9
Warrants in the financial management decisions of innovative firms	8
Fundamental questions on central counterparties: A review of the literature	8
The dynamics of commodity return comovements	8
The influence of oil price uncertainty on stock liquidity	8
Who pays the liquidity cost? Central bank announcements and adverse selection	7
Time‐varying dynamics of expected shortfall in commodity futures markets	7
VIX option‐implied volatility slope and VIX futures returns	7
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	7
Can commodity futures risk factors predict economic growth?	7
Intermediary capital risk and commodity futures volatility	7
Pricing cancellable American put options on the finite time horizon	7
The implied volatility smirk of commodity options	7
On the computation of hedging strategies in affine GARCH models	7
Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank	7
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	6
Intraday liquidity in soybean complex futures markets	6
Are option traders more informed than Twitter users? A PVAR analysis	6
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure	6
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach	6
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	6
Price discovery in the CSI 300 Index derivatives markets	6
A Black–Scholes user's guide to the Bachelier model	6
A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio	6
One hundred years of rare disaster concerns and commodity prices	6
Hedging commodities in times of distress: The case of COVID‐19	6
Smile‐implied hedging with volatility risk	6
Determinants of the WTI‐Brent price spread revisited	5
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	5
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	5
How trading in commodity futures option markets impacts commodity futures prices	5
American strangle options with arbitrary strikes	5
Risk‐neutral skewness and commodity futures pricing	5

Anger in predicting the index futures returns	5
Recovering subjective probability distributions	5
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market	5
Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility	5
Regional premiums in nonferrous metals markets	5
Multistep forecast of the implied volatility surface using deep learning	5
Reporting delays and the information content of off‐market trades	5
Stock market tail risk, tail risk premia, and return predictability	5
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry	5
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	4
Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges	4
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?	4
Investor sentiment and the market reaction to macroeconomic news	4
Hedging operating and financing risk with financial derivatives during the global financial crisis	4
Commodity momentum decomposition	4
Beta and size equity premia following a high‐VIX threshold	4
Margin requirements based on a stochastic correlation model	4
The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps	4
Option pricing with state‐dependent pricing kernel	4
Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange	4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	4
Volatility‐managed commodity futures portfolios	4
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	4
Power‐type derivatives for rough volatility with jumps	4
The pricing mechanism between ETF option and spot markets in China	4
Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning	4
Volatility model applications in China's SSE50 options market	4
Efficiency in the Atlantic salmon futures market	4
Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions	4
Analyst rating matters for index futures	4
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets	4
Global climate change and commodity markets: A hedging perspective	4
EPU spillovers and sovereign CDS spreads: A cross‐country study	3
Piecewise linear double barrier options	3
Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?	3
Speculation or hedging?—Options trading prior to FOMC announcements	3
Nonlinear limits to arbitrage	3
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock	3
Option pricing with maximum entropy densities: The inclusion of higher‐order moments	3
Option features and price discovery in convertible bonds	3
GARCH pricing and hedging of VIX options	3
The lead of oil price rises on US equity market beliefs and preferences	3
Investor sentiment, misreaction, and the skewness‐return relationship	3
Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options	3
The information effect of order flows in foreign currency futures and spot markets	3
Commodity tail risks	3
Oil price analysts' forecasts	3
Managing volatility in commodity momentum	3
Left‐digit biases: Individual and institutional investors	3
Resiliency in the E‐mini futures market	3
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems	3
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	3
Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks	3
Semivariance and semiskew risk premiums in currency markets	3
The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread	3
Overnight volatility, realized volatility, and option pricing	3
Wisdom of crowds and commodity pricing	3
Option‐implied moments and the cross‐section of stock returns	3
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies	3
Lottery and bubble stocks and the cross‐section of option‐implied tail risks	3
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market	3
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?	3
Changes in the options contract size and arbitrage opportunities	3
Credit risk in derivative securities: A simplified approach	2
Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896	2
Information and the arrival rate of option trading volume	2
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	2
Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?	2
New evidence on commodity stocks	2
Do VIX futures contribute to the valuation of VIX options?	2
Option pricing with overnight and intraday volatility	2
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features	2
Do economic variables forecast commodity futures volatility?	2
Forecasting equity returns: The role of commodity futures along the supply chain	2
The information content of wheat derivatives regarding the Ukrainian war	2
Bitcoin futures risk premia	2
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Investment horizon and option market activity	2
Risky times: Seasonality and event risk of commodities	2
Market inefficiencies surrounding energy announcements	2

When two worlds collide: Using particle physics tools to visualize the limit order book	2
The predictability of iron ore futures prices: A product‐material lead–lag effect	2
Estimating real‐world probabilities: A forward‐looking behavioral framework	2
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth	2
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The information content of the volatility index options trading volume	2
Considering momentum spillover effects via graph neural network in option pricing	2
Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures	2
Off‐market block trades: New evidence on transparency and information efficiency	2
High–low volatility spillover network between economic policy uncertainty and commodity futures markets	2
VIX term structure: The role of jump propagation risks	2
Short‐term market impact of Black Sea Grain Initiative on four grain markets	2
How does skewness perform in the Chinese commodity futures market?	2
Pricing vulnerable options under correlated skew Brownian motions	2
Intermediary asset pricing in currency carry trade returns	2
Approximate pricing of American exchange options with jumps	2
Optimal portfolio allocation using option‐implied information	2
Algorithmic trading and market quality: Evidence from the Taiwan index futures market	2
The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns	2
Discrete variance swap in a rough volatility economy	2
Revisiting the valuation of deposit insurance	2
High‐frequency trading and market quality: Evidence from account‐level futures data	1
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	1
Industry variance risk premium, cross‐industry correlation, and expected returns	1
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Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures	1
Quantile information share under Markov regime‐switching	1
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	1
A Skellam market model for loan prime rate options	1
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An empirical investigation on risk factors in cryptocurrency futures	1
Belief distortion near 52W high and low: Evidence from Indian equity options market	1
Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market	1
Herd behaviors in index futures trading: Driving factors and impact on market volatility	1
Single stock futures and their impact on market quality: Be careful what you wish for	1
Hedging pressure and liquidity provision in commodity options markets	1
Resale options and heterogeneous beliefs	1
Effects of investor attention in China's commodity futures markets	1
Journal of Futures Markets: Volume 41, Number 1, January 2021	1
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Estimating risk‐neutral freight rate dynamics: A nonparametric approach	1
Realized bipower variation, jump components, and option valuation	1
A deep learning‐based financial hedging approach for the effective management of commodity risks	1
The impact of air pollution on crude oil futures market	1
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	1
Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures	1
How do firms hedge in financial distress?	1
VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models	1
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	1
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	1
Derivative disclosures and managerial opportunism	1
Commodity network and predictable returns	1
Pricing risky corporate bonds: An empirical study	1
A tale of two premiums revisited	1
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Journal of Futures Markets: Volume 40, Number 11, November 2020	1
Does offshore NDF market influence onshore forex market? Evidence from India	1
The Chinese warrant bubble: A fundamental analysis	1
Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets	1
The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century	1
Dynamics in the VIX complex	1
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Editor's Note	1
Kelly trading and option pricing	1
Robust information share measures with an application on the international crude oil markets	1
Can technical indicators based on underlying assets help to predict implied volatility index	1
Market‐wide overconfidence and stock returns	1
Jumps in foreign exchange spot rates and the informational efficiency of currency forwards	1
Connectedness and risk spillover in China's commodity futures sectors	1
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Predictability of commodity futures returns with machine learning models	1
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	1
The information in global interest rate futures contracts	1
A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”	1
The traders' rule and long‐term options	1
Exploring the dynamics of the equity–commodity nexus: A study of base metal futures	1
When it pays to follow the crowd: Strategy conformity and CTA performance	1
Estimation of stochastic volatility and option prices	1
Analyzing interactive call, default, and conversion policies for corporate bonds	1
Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?	1
Commodity momentum and reversal: Do they exist, and if so, why?	1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets	1
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	1
Specification analysis of VXX option pricing models under Lévy processes	1
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Forecasting variance swap payoffs	1
The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns	1
Strategic trading and manipulation in trade at settlement contracts	1
Uncertainty and investment: Evidence from domestic oil rigs	1
Venturing into uncharted territory: An extensible implied volatility surface model	1
Understanding intraday momentum strategies	1