Journal of Futures Markets

Papers
(The median citation count of Journal of Futures Markets is 0. 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 2022-01-01 to 2026-01-01.)
ArticleCitations
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Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets39
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?36
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?36
Predicting Commodity Returns Through Image‐Based Price Patterns32
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States31
Bitcoin futures risk premia29
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Journal of Futures Markets: Volume 42, Number 10, October 202227
Journal of Futures Markets: Volume 43, Number 10, October 202325
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Less disagreement, better forecasts: Adjusted risk measures in the energy futures market24
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic19
Securitization of assets with payment delay risk: A financial innovation in the real estate market17
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures17
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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
Commodity Option Return Predictability16
Journal of Futures Markets: Volume 45, Number 5, May 202515
Pricing VXX options by modeling VIX directly15
Journal of Futures Markets: Volume 44, Number 2, February 202414
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets14
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility14
Recovering subjective probability distributions14
Journal of Futures Markets: Volume 46, Number 1, January 202613
Journal of Futures Markets: Volume 44, Number 6, June 202413
Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?13
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach13
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Forecasting realized volatility: New evidence from time‐varying jumps in VIX11
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?11
Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management11
Anger in predicting the index futures returns10
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Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers10
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Investment horizon and option market activity10
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets9
Journal of Futures Markets: Volume 45, Number 2, February 20259
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets9
Wisdom of crowds and commodity pricing9
Journal of Futures Markets: Volume 44, Number 3, March 20249
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market9
The role of option‐based information on StockTwits, options trading volume, and stock returns9
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets9
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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 Options8
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Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?8
Journal of Futures Markets: Volume 43, Number 4, April 20238
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Risk‐neutral skewness and commodity futures pricing8
Editor's Note8
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Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters7
Virtual Commodities and Futures Markets of Tangible Commodities7
EPU spillovers and sovereign CDS spreads: A cross‐country study7
Journal of Futures Markets: Volume 44, Number 10, October 20247
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets7
Derivative disclosures and managerial opportunism7
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Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps7
Price Discovery and Efficiency in Uniswap Liquidity Pools7
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours7
Journal of Futures Markets: Volume 45, Number 8, August 20256
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Understanding the Factors Driving the Demand of Structured Investment Products6
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market6
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets6
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War6
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns6
Pricing risky corporate bonds: An empirical study6
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach6
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A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China6
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets6
Analytically pricing exchange options with stochastic liquidity and regime switching5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions5
Journal of Futures Markets: Volume 43, Number 5, May 20235
Approximate pricing of American exchange options with jumps5
A deep learning‐based financial hedging approach for the effective management of commodity risks5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
Dynamic Debt With Intensity‐Based Models5
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach5
Investor Attention and Carbon Prices: Evidence From European Union and China5
Journal of Futures Markets: Volume 42, Number 7, July 20225
Journal of Futures Markets: Volume 42, Number 6, June 20225
GARCH pricing and hedging of VIX options5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data5
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective5
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates5
Editor's Note5
Editor's note5
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach5
Journal of Futures Markets: Volume 42, Number 2, February 20225
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints5
Optimal Versus Naive Diversification in Commodity Futures Markets5
Does offshore NDF market influence onshore forex market? Evidence from India5
Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads5
Option‐Implied Ambiguity and Equity Return Predictability4
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Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market4
Journal of Futures Markets: Volume 44, Number 5, May 20244
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐194
Option features and price discovery in convertible bonds4
Petroleum market volatility tracker in China4
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models4
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX4
Analyst rating matters for index futures4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models4
Journal of Futures Markets: Volume 43, Number 6, June 20234
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets3
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model3
Pricing VIX Futures Under a Markov‐Switching GARCH Framework3
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Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements3
Geopolitical Risk and the Volatility of the International Grain Futures Market3
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The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery3
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach3
Predictability of commodity futures returns with machine learning models3
Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?3
The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity3
Journal of Futures Markets: Volume 45, Number 11, November 20253
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Nonlinear limits to arbitrage3
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns3
Stock–Commodity Correlations, Optimal Hedging, and Climate Risks3
Option pricing with state‐dependent pricing kernel3
Journal of Futures Markets: Volume 42, Number 9, September 20223
Tighter Bounds for Implied Volatility With the Dirac Delta Family Method3
Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization3
Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis3
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective3
Forecasting swap rate volatility with information from swaptions2
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras2
Journal of Futures Markets: Volume 45, Number 12, December 20252
Journal of Futures Markets: Volume 45, Number 10, October 20252
Skewness Premium for Short‐Term Exposure to Squared Market Returns2
Probability weighting in commodity futures markets2
Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options2
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches2
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?2
Journal of Futures Markets: Volume 45, Number 6, June 20252
Option pricing with dynamic conditional skewness2
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A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions2
Intra‐Industry Transfers of Implied Volatility Information Around Mergers and Acquisitions2
Power‐type derivatives for rough volatility with jumps2
Overseas Impact of USDA Reports: Evidence From Chinese Soybean Complex Futures2
Journal of Futures Markets: Volume 44, Number 11, November 20242
Bitcoin Price Direction Forecasting and Market Variables2
Drilling and DUCs in the Permian Basin2
Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India2
Temperature, storage, and natural gas futures prices2
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets2
Journal of Futures Markets: Volume 45, Number 4, April 20252
The Role of Policy on Commodity Markets: From the Perspective of Narrative News Based on NLP2
Trading Games: Beating Passive Strategies in the Bullish Crypto Market2
Predicting Market Returns Using Covariance Asymmetry Risk Premium2
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method2
Does Cutting Carbon Emissions Reduce Tail Risk Spillovers? A Quantile LSTM‐KAN‐CoVaR Approach2
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Unspanned macro risks in VIX futures2
Time‐varying pure contagion effect between energy and nonenergy commodity markets2
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets2
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes2
Global climate change and commodity markets: A hedging perspective1
Journal of Futures Markets: Volume 43, Number 9, September 20231
Hedging performance analysis of energy markets: Evidence from copula quantile regression1
Forecasting Crude Oil Price Using Secondary Decomposition‐Reconstruction‐Ensemble Model Based on Variational Mode Decomposition1
Calibration in the “real world” of a partially specified stochastic volatility model1
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?1
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets1
Measuring Real‐Time Economic Condition With Economic Narratives1
The impact of air pollution on crude oil futures market1
Futures Trading and Corporate Financialization: A Quasi‐Natural Experiment From the Launch of China's Crude Oil Futures1
Arbitrage, contract design, and market structure in Bitcoin futures markets1
Algorithmic trading and market quality: Evidence from the Taiwan index futures market1
Left‐digit biases: Individual and institutional investors1
Watching the FedWatch1
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The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets1
The influence of oil price uncertainty on stock liquidity1
Connectedness and risk spillover in China's commodity futures sectors1
Editorial1
Hedging pressure and liquidity provision in commodity options markets1
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula1
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach1
Leveraging prices from credit and equity option markets for portfolio risk management1
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Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility1
Futures Turnover Waves1
The Impact of Derivative Use on Default Probability Among Nonfinancial Firms: Evidence From European Firms1
Appraising Model Complexity in Option Pricing1
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze1
Journal of Futures Markets: Volume 42, Number 4, April 20221
Term spreads of implied volatility smirk and variance risk premium1
Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean‐Linked Futures Markets1
Reporting delays and the information content of off‐market trades1
Intraday liquidity in soybean complex futures markets1
Hedging commodities in times of distress: The case of COVID‐191
Journal of Futures Markets: Volume 43, Number 11, November 20231
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors1
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments1
Journal of Futures Markets: Volume 42, Number 5, May 20221
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Price discovery in the CSI 300 Index derivatives markets1
A tale of two premiums revisited1
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets1
Industry variance risk premium, cross‐industry correlation, and expected returns1
Journal of Futures Markets: Volume 43, Number 3, March 20231
Impact of crude oil volatility jumps on sustainable investments: Evidence from India1
Journal of Futures Markets: Volume 42, Number 3, March 20221
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Signature Decomposition Method Applying to Pair Trading1
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information1
Futures trading costs and market microstructure invariance: Identifying bet activity1
Forecasting variance swap payoffs0
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Journal of Futures Markets: Volume 45, Number 1, January 20250
Understanding intraday momentum strategies0
Prices of Risk Estimation for Commodity Factors0
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COVID‐19 and tail risk contagion across commodity futures markets0
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Real‐Time Tracking of Public Announcements in the Limit Order Book0
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Crash Risk Matters: An Option‐Implied Approach to the Expected Market Return0
Patent Portfolios and Uncertainty0
Journal of Futures Markets: Volume 43, Number 2, February 20230
A model‐free approximation for barrier options in a general stochastic volatility framework0
Price Discovery in China's Crude Oil Derivatives Market0
A Black–Scholes user's guide to the Bachelier model0
Credit default swaps and firm risk0
A monetary policy–based explanation of swap spreads in China0
Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion0
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features0
Journal of Futures Markets: Volume 45, Number 9, September 20250
The Effect of Anti‐Procyclical Central Counterparty Margins On Trading0
Pricing cancellable American put options on the finite time horizon0
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