Journal of Futures Markets

Article	Citations
	38
Bitcoin futures risk premia	35
	34
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?	31
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States	29
Financialization, common stochastic trends, and commodity prices	28
In Memorium: Jayaram Muthuswamy	24
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Journal of Futures Markets: Volume 42, Number 10, October 2022	21
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
A systemic change of measure from central clearing	19
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth	19
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market	19
Journal of Futures Markets: Volume 43, Number 10, October 2023	18
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model	18
Journal of Futures Markets: Volume 44, Number 2, February 2024	17
One session options: Playing the announcement lottery?	17
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets	16
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	16
Journal of Futures Markets: Volume 45, Number 5, May 2025	14
Pricing VXX options by modeling VIX directly	13

Recovering subjective probability distributions	13
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	13
Generalized autoregressive score model with high‐frequency data for optimal futures hedging	13
Journal of Futures Markets: Volume 44, Number 6, June 2024	12
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach	12
Editor's Note	11
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	11
Volatility spillovers in commodity futures markets: A network approach	11
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One hundred years of rare disaster concerns and commodity prices	9
Market uncertainty and sentiment around USDA announcements	9
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Do enhanced derivative disclosures work? An informational perspective	9
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers	9
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets	9
Anger in predicting the index futures returns	8
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market	8
Journal of Futures Markets: Volume 44, Number 3, March 2024	8
Investment horizon and option market activity	8
Speculation or hedging?—Options trading prior to FOMC announcements	8
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Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?	8
Journal of Futures Markets: Volume 45, Number 2, February 2025	8
Risk‐neutral skewness and commodity futures pricing	7
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?	7
EPU spillovers and sovereign CDS spreads: A cross‐country study	7
Derivative disclosures and managerial opportunism	7
Wisdom of crowds and commodity pricing	7
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The role of option‐based information on StockTwits, options trading volume, and stock returns	7
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets	7
Editor's Note	7
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Journal of Futures Markets: Volume 44, Number 10, October 2024	6
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War	6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns	6
Journal of Futures Markets: Volume 43, Number 4, April 2023	6
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Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters	6
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Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach	6
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Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets	6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets	6
Price Discovery and Efficiency in Uniswap Liquidity Pools	6
Journal of Futures Markets: Volume 42, Number 2, February 2022	5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach	5

Pricing risky corporate bonds: An empirical study	5
Editor's note	5
Optimal Versus Naive Diversification in Commodity Futures Markets	5
A deep learning‐based financial hedging approach for the effective management of commodity risks	5
Resiliency in the E‐mini futures market	5
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China	5
Journal of Futures Markets: Volume 43, Number 5, May 2023	5
Journal of Futures Markets: Volume 42, Number 6, June 2022	5
GARCH pricing and hedging of VIX options	5
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The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility	5
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach	5
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Does offshore NDF market influence onshore forex market? Evidence from India	4
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions	4
Journal of Futures Markets: Volume 42, Number 7, July 2022	4
Option pricing with state‐dependent pricing kernel	4
Editor's Note	4
Analytically pricing exchange options with stochastic liquidity and regime switching	4
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model	4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models	4
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Option features and price discovery in convertible bonds	4
The real effect of foreign exchange hedging on corporate innovation	4
Valuation of bitcoin options	4
Approximate pricing of American exchange options with jumps	4
Option‐Implied Ambiguity and Equity Return Predictability	4
Market inefficiencies surrounding energy announcements	4
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?	4
Journal of Futures Markets: Volume 43, Number 6, June 2023	4
Analyst rating matters for index futures	4
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates	4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19	4
Journal of Futures Markets: Volume 41, Number 9, September 2021	4
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX	4
Journal of Futures Markets: Volume 44, Number 5, May 2024	4
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market	4
Are option traders more informed than Twitter users? A PVAR analysis	4
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	3
Nonlinear limits to arbitrage	3
Journal of Futures Markets: Volume 41, Number 8, August 2021	3
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach	3
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Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach	3
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	3
Single stock futures and their impact on market quality: Be careful what you wish for	3
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery	3
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Journal of Futures Markets: Volume 42, Number 9, September 2022	3
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models	3
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Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis	3
Realized bipower variation, jump components, and option valuation	3
Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization	3
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Predictability of commodity futures returns with machine learning models	3
Petroleum market volatility tracker in China	3
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets	3
Left‐digit biases: Individual and institutional investors	2
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments	2
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze	2
Calibration in the “real world” of a partially specified stochastic volatility model	2
Option pricing with dynamic conditional skewness	2
Global climate change and commodity markets: A hedging perspective	2
Time‐varying pure contagion effect between energy and nonenergy commodity markets	2
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	2
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method	2
Journal of Futures Markets: Volume 45, Number 6, June 2025	2
Probability weighting in commodity futures markets	2
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Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility	2
Drilling and DUCs in the Permian Basin	2
Warrants in the financial management decisions of innovative firms	2
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets	2
Impact of crude oil volatility jumps on sustainable investments: Evidence from India	2
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information	2
Hedging pressure and liquidity provision in commodity options markets	2

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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
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	2
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	2
The information content of the volatility index options trading volume	2
Unspanned macro risks in VIX futures	2
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USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras	2
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility	2
The influence of oil price uncertainty on stock liquidity	2
Dynamics in the VIX complex	2
Leveraging prices from credit and equity option markets for portfolio risk management	2
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Estimating real‐world probabilities: A forward‐looking behavioral framework	2
Journal of Futures Markets: Volume 42, Number 5, May 2022	2
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	2
Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India	2
Power‐type derivatives for rough volatility with jumps	2
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?	2
The lead of oil price rises on US equity market beliefs and preferences	2
Journal of Futures Markets: Volume 44, Number 11, November 2024	2
Journal of Futures Markets: Volume 45, Number 4, April 2025	2
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	2
Forecasting swap rate volatility with information from swaptions	2
Do VIX futures contribute to the valuation of VIX options?	2
Futures trading costs and market microstructure invariance: Identifying bet activity	1
Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?	1
Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean‐Linked Futures Markets	1
Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single‐Stock Futures Market	1
Journal of Futures Markets: Volume 43, Number 11, November 2023	1
A New Index of Option Implied Absolute Deviation	1
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors	1
Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors	1
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies	1
Journal of Futures Markets: Volume 43, Number 12, December 2023	1
The impact of air pollution on crude oil futures market	1
Appraising Model Complexity in Option Pricing	1
Reporting delays and the information content of off‐market trades	1
Journal of Futures Markets: Volume 44, Number 4, April 2024	1
Changes in the options contract size and arbitrage opportunities	1
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Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets	1
Sheep in wolves' clothing: Using false signals of demand to execute a market power manipulation	1
Journal of Futures Markets: Volume 43, Number 9, September 2023	1
The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets	1
Discrete variance swap in a rough volatility economy	1
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Estimating risk‐neutral freight rate dynamics: A nonparametric approach	1
Financially constrained index futures arbitrage	1
Journal of Futures Markets: Volume 42, Number 3, March 2022	1
Stock market tail risk, tail risk premia, and return predictability	1
Algorithmic trading and market quality: Evidence from the Taiwan index futures market	1
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A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”	1
Commodity premia and risk management	1
Term spreads of implied volatility smirk and variance risk premium	1
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems	1
Connectedness and risk spillover in China's commodity futures sectors	1
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	1
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The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets	1
Revisiting the valuation of deposit insurance	1
Arbitrage, contract design, and market structure in Bitcoin futures markets	1
Hedging pressure and oil volatility: Insurance versus liquidity demands	1
Industry variance risk premium, cross‐industry correlation, and expected returns	1
Editorial	1
Journal of Futures Markets: Volume 43, Number 3, March 2023	1
Hedging performance analysis of energy markets: Evidence from copula quantile regression	1
Editor's note	1
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula	1
Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets	1
Journal of Futures Markets: Volume 42, Number 4, April 2022	1
Corporate credit default swap systematic factors	1
Intraday liquidity in soybean complex futures markets	1
Journal of Futures Markets: Volume 42, Number 12, December 2022	1
Futures Trading and Corporate Financialization: A Quasi‐Natural Experiment From the Launch of China's Crude Oil Futures	1
The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns	1
Price discovery in the CSI 300 Index derivatives markets	1
Editor's Note	1
Information and the arrival rate of option trading volume	1
Journal of Futures Markets: Volume 41, Number 12, December 2021	1
Greeks‐Neutral Option Excess Returns	1
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Hedging commodities in times of distress: The case of COVID‐19	1
A tale of two premiums revisited	1
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	1
Journal of Futures Markets: Volume 44, Number 9, September 2024	1