Journal of Futures Markets

Papers
(The TQCC of Journal of Futures Markets is 4. 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 2021-06-01 to 2025-06-01.)
ArticleCitations
38
Bitcoin futures risk premia35
34
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?33
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?31
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?31
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States29
Financialization, common stochastic trends, and commodity prices28
In Memorium: Jayaram Muthuswamy24
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Journal of Futures Markets: Volume 42, Number 10, October 202221
Beta and size equity premia following a high‐VIX threshold20
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market19
Securitization of assets with payment delay risk: A financial innovation in the real estate market19
A systemic change of measure from central clearing19
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth19
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model18
Journal of Futures Markets: Volume 43, Number 10, October 202318
Journal of Futures Markets: Volume 44, Number 2, February 202417
One session options: Playing the announcement lottery?17
Forecasting realized volatility: New evidence from time‐varying jumps in VIX16
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets16
Journal of Futures Markets: Volume 45, Number 5, May 202514
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility13
Generalized autoregressive score model with high‐frequency data for optimal futures hedging13
Pricing VXX options by modeling VIX directly13
Recovering subjective probability distributions13
Journal of Futures Markets: Volume 44, Number 6, June 202412
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach12
Volatility spillovers in commodity futures markets: A network approach11
Editor's Note11
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach11
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Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets9
One hundred years of rare disaster concerns and commodity prices9
Market uncertainty and sentiment around USDA announcements9
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Do enhanced derivative disclosures work? An informational perspective9
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers9
Journal of Futures Markets: Volume 45, Number 2, February 20258
Anger in predicting the index futures returns8
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market8
Journal of Futures Markets: Volume 44, Number 3, March 20248
Investment horizon and option market activity8
Speculation or hedging?—Options trading prior to FOMC announcements8
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Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?8
The role of option‐based information on StockTwits, options trading volume, and stock returns7
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets7
Editor's Note7
Risk‐neutral skewness and commodity futures pricing7
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 study7
Derivative disclosures and managerial opportunism7
Wisdom of crowds and commodity pricing7
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Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets6
Price Discovery and Efficiency in Uniswap Liquidity Pools6
6
Journal of Futures Markets: Volume 44, Number 10, October 20246
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns6
Journal of Futures Markets: Volume 43, Number 4, April 20236
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Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters6
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Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach6
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The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility5
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach5
Journal of Futures Markets: Volume 42, Number 2, February 20225
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
Pricing risky corporate bonds: An empirical study5
Editor's note5
Optimal Versus Naive Diversification in Commodity Futures Markets5
A deep learning‐based financial hedging approach for the effective management of commodity risks5
Resiliency in the E‐mini futures market5
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China5
Journal of Futures Markets: Volume 43, Number 5, May 20235
Journal of Futures Markets: Volume 42, Number 6, June 20225
GARCH pricing and hedging of VIX options5
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models4
4
Option features and price discovery in convertible bonds4
The real effect of foreign exchange hedging on corporate innovation4
Valuation of bitcoin options4
Approximate pricing of American exchange options with jumps4
Option‐Implied Ambiguity and Equity Return Predictability4
Market inefficiencies surrounding energy announcements4
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 20234
Analyst rating matters for index futures4
Option pricing with state‐dependent pricing kernel4
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐194
Journal of Futures Markets: Volume 41, Number 9, September 20214
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX4
Journal of Futures Markets: Volume 44, Number 5, May 20244
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market4
Are option traders more informed than Twitter users? A PVAR analysis4
4
Does offshore NDF market influence onshore forex market? Evidence from India4
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions4
Journal of Futures Markets: Volume 42, Number 7, July 20224
Editor's Note4
Analytically pricing exchange options with stochastic liquidity and regime switching4
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model4
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