Journal of Futures Markets

Article	Citations
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Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets	45
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?	43
Predicting Commodity Returns Through Image‐Based Price Patterns	39
Bitcoin futures risk premia	36
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?	35
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States	34
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Journal of Futures Markets: Volume 42, Number 10, October 2022	28
Journal of Futures Markets: Volume 43, Number 10, October 2023	27
Securitization of assets with payment delay risk: A financial innovation in the real estate market	23
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market	23
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Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures	20
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model	18
Commodity Option Return Predictability	17
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic	17
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	16
Journal of Futures Markets: Volume 45, Number 5, May 2025	16
Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?	15
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets	15
Journal of Futures Markets: Volume 44, Number 2, February 2024	15
Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management	15

Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	13
Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures	12
Journal of Futures Markets: Volume 44, Number 6, June 2024	12
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	12
Journal of Futures Markets: Volume 46, Number 1, January 2026	12
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Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets	11
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Anger in predicting the index futures returns	11
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?	11
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets	10
Journal of Futures Markets: Volume 45, Number 2, February 2025	10
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	10
The role of option‐based information on StockTwits, options trading volume, and stock returns	10
Journal of Futures Markets: Volume 44, Number 3, March 2024	10
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market	10
Wisdom of crowds and commodity pricing	10
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets	10
Why Do Hedgers Hedge? The Role of Ambiguity	10
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?	9
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Market Maker or Informed Trader: Who Drive the Relationship Between Option Trading and Underlying Returns? Evidence From Shanghai Stock Exchange 50 ETF Options	9
Editor's Note	9
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis	9
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Journal of Futures Markets: Volume 44, Number 10, October 2024	8
Journal of Futures Markets: Volume 43, Number 4, April 2023	8
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters	8
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours	8
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Virtual Commodities and Futures Markets of Tangible Commodities	7
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks	7
EPU spillovers and sovereign CDS spreads: A cross‐country study	7
Derivative disclosures and managerial opportunism	7
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War	7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps	7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets	7
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach	6
Journal of Futures Markets: Volume 45, Number 8, August 2025	6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	6
Pricing risky corporate bonds: An empirical study	6
Price Discovery and Efficiency in Uniswap Liquidity Pools	6
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Understanding the Factors Driving the Demand of Structured Investment Products	6
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets	6
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets	6

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Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market	6
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 approach	5
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints	5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	5
Dynamic Debt With Intensity‐Based Models	5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions	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
Optimal Versus Naive Diversification in Commodity Futures Markets	5
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective	5
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	5
Journal of Futures Markets: Volume 43, Number 5, May 2023	5
VIX Term Structure in the Rough Heston Model via Markovian Approximation	5
A deep learning‐based financial hedging approach for the effective management of commodity risks	5
Journal of Futures Markets: Volume 42, Number 7, July 2022	5
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	4
Analytically pricing exchange options with stochastic liquidity and regime switching	4
Editor's Note	4
Journal of Futures Markets: Volume 44, Number 5, May 2024	4
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models	4
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Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach	4
Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads	4
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates	4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models	4
Journal of Futures Markets: Volume 43, Number 6, June 2023	4
Option‐Implied Ambiguity and Equity Return Predictability	4
Investor Attention and Carbon Prices: Evidence From European Union and China	4
Option features and price discovery in convertible bonds	4
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets	4
Predictability of commodity futures returns with machine learning models	4
Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements	3
Journal of Futures Markets: Volume 44, Number 11, November 2024	3
Journal of Futures Markets: Volume 46, Number 4, April 2026	3
Geopolitical Risk and the Volatility of the International Grain Futures Market	3
Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization	3
Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis	3
Journal of Futures Markets: Volume 42, Number 9, September 2022	3
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market	3
Stock–Commodity Correlations, Optimal Hedging, and Climate Risks	3
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity	3
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Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	3
Overseas Impact of USDA Reports: Evidence From Chinese Soybean Complex Futures	3
Tighter Bounds for Implied Volatility With the Dirac Delta Family Method	3
Futures Commission Merchants Concentration and Commodity Futures Market Microstructure: Empirical Evidence	3
Journal of Futures Markets: Volume 45, Number 11, November 2025	3
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Connectedness Across Healthcare Cryptocurrencies, DeFi, and NFTs Tokens: Which Global Risk Factors Should Be Given More Attention?	3
Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?	3
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach	3
Downside Risk and Agriculture Commodity Futures Returns: A Study Using Self‐Organizing Maps	3
Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options	3
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Bitcoin Price Direction Forecasting and Market Variables	3
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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
Pricing VIX Futures Under a Markov‐Switching GARCH Framework	3
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery	3
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	2
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras	2
Global climate change and commodity markets: A hedging perspective	2
Temperature, storage, and natural gas futures prices	2
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes	2
Forecasting swap rate volatility with information from swaptions	2
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	2
Predicting Market Returns Using Covariance Asymmetry Risk Premium	2
Skewness Premium for Short‐Term Exposure to Squared Market Returns	2
The Role of Policy on Commodity Markets: From the Perspective of Narrative News Based on NLP	2
Forecasting Crude Oil Volatility With Geopolitical Risk: The RSV–MIDAS–GPR Model and Its Economic Value	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
Trading Games: Beating Passive Strategies in the Bullish Crypto Market	2
Journal of Futures Markets: Volume 45, Number 6, June 2025	2
Harnessing Sunshine: A Dynamic Spillover Analysis of the Diversification Effects of China's Photovoltaic Weather Index	2
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Time‐varying pure contagion effect between energy and nonenergy commodity markets	2
Does Cutting Carbon Emissions Reduce Tail Risk Spillovers? A Quantile LSTM‐KAN‐CoVaR Approach	2
Journal of Futures Markets: Volume 45, Number 10, October 2025	2
Unspanned macro risks in VIX futures	2
Intra‐Industry Transfers of Implied Volatility Information Around Mergers and Acquisitions	2
Journal of Futures Markets: Volume 45, Number 4, April 2025	2
Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India	2
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility	2
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?	2
Option pricing with dynamic conditional skewness	2
Energy‐Related Discussion in Fed Speeches and Options‐Implied Equity Risk Premium	2
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets	2
Quadratic Hedging of American Options Under GARCH Models	2
Journal of Futures Markets: Volume 45, Number 12, December 2025	2
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	2
Probability weighting in commodity futures markets	2
Intraday Liquidity in International Crude Oil Futures Markets: News Impacts, Commonality, and Spillovers	1
Hedging pressure and oil volatility: Insurance versus liquidity demands	1
Journal of Futures Markets: Volume 43, Number 11, November 2023	1
Greeks‐Neutral Option Excess Returns	1
Journal of Futures Markets: Volume 43, Number 9, September 2023	1
The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets	1
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Journal of Futures Markets: Volume 43, Number 3, March 2023	1
Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean‐Linked Futures Markets	1
Calibration in the “real world” of a partially specified stochastic volatility model	1
Forecasting Crude Oil Price Using Secondary Decomposition‐Reconstruction‐Ensemble Model Based on Variational Mode Decomposition	1
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information	1
Leveraging prices from credit and equity option markets for portfolio risk management	1
Watching the FedWatch	1
Volatility Risk and Volatility‐of‐Volatility Risk: State‐Dependent Correlations Between VIX and the S&P 500 Stock Index and Hedging Effectiveness	1
The impact of air pollution on crude oil futures market	1
Hedging performance analysis of energy markets: Evidence from copula quantile regression	1
Enhancing Commodity Futures Price Prediction With Geopolitical Risk Embedding: A Comparative Study of Deep Learning Models	1
The “T+1” Trading Rule and Put‐Call Disparity in China	1
The Impact of Biodiversity Risk on US Agricultural Futures Markets	1
Journal of Futures Markets: Volume 44, Number 4, April 2024	1
Industry variance risk premium, cross‐industry correlation, and expected returns	1
Evaluating Trend‐Based Strategies in Chinese Commodity Futures Markets	1
Left‐digit biases: Individual and institutional investors	1
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula	1
Hedging commodities in times of distress: The case of COVID‐19	1
Appraising Model Complexity in Option Pricing	1
How Does Economic Policy Uncertainty Reshape Option Pricing?	1
The influence of oil price uncertainty on stock liquidity	1
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	1
Editorial	1
Changes in the options contract size and arbitrage opportunities	1
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Term spreads of implied volatility smirk and variance risk premium	1
A Generalized Error Distribution‐Copula Framework for Pricing Chinese Treasury Bond Futures With Embedded Options	1
Connectedness and risk spillover in China's commodity futures sectors	1
Fund Extreme Performance and Heterogeneous Investor Choice: Evidence From Smart Beta ETFs	1
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors	1
Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets	1
Futures Trading and Corporate Financialization: A Quasi‐Natural Experiment From the Launch of China's Crude Oil Futures	1
Algorithmic trading and market quality: Evidence from the Taiwan index futures market	1
Facts and Fantasies About DeFi: Lending, DEX, and Derivatives	1
A tale of two premiums revisited	1
Signature Decomposition Method Applying to Pair Trading	1
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments	1
The Impact of Derivative Use on Default Probability Among Nonfinancial Firms: Evidence From European Firms	1
Futures trading costs and market microstructure invariance: Identifying bet activity	1
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze	1
Measuring Real‐Time Economic Condition With Economic Narratives	1
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Trading Periodicity and Algorithmic Divide in Cryptocurrency Markets	1
Futures Turnover Waves	1
Equity Market Capital Gains Overhang and Crude Oil Volatility Forecasting: A Cross‐Market Analysis	1