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 2021-12-01 to 2025-12-01.)
ArticleCitations
Bitcoin futures risk premia46
45
39
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets35
Predicting Commodity Returns Through Image‐Based Price Patterns33
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?29
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States29
Journal of Futures Markets: Volume 42, Number 10, October 202226
26
25
Journal of Futures Markets: Volume 43, Number 10, October 202325
Securitization of assets with payment delay risk: A financial innovation in the real estate market19
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures17
17
Beta and size equity premia following a high‐VIX threshold17
A systemic change of measure from central clearing17
Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic16
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market15
Commodity Option Return Predictability15
Pricing VXX options by modeling VIX directly14
Journal of Futures Markets: Volume 45, Number 5, May 202514
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model14
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets13
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility13
Journal of Futures Markets: Volume 44, Number 6, June 202413
Journal of Futures Markets: Volume 44, Number 2, February 202413
Recovering subjective probability distributions12
Forecasting realized volatility: New evidence from time‐varying jumps in VIX12
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach11
11
11
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?11
Investment horizon and option market activity10
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market10
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers10
Anger in predicting the index futures returns10
Journal of Futures Markets: Volume 45, Number 2, February 20259
9
The role of option‐based information on StockTwits, options trading volume, and stock returns9
Risk‐neutral skewness and commodity futures pricing9
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets9
Journal of Futures Markets: Volume 44, Number 3, March 20249
Wisdom of crowds and commodity pricing9
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?9
9
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets9
Market Maker or Informed Trader: Who Drive the Relationship Between Option Trading and Underlying Returns? Evidence From Shanghai Stock Exchange 50 ETF Options9
8
An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets8
8
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours8
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters8
Editor's Note8
Journal of Futures Markets: Volume 43, Number 4, April 20238
Journal of Futures Markets: Volume 44, Number 10, October 20248
8
8
8
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks7
Derivative disclosures and managerial opportunism7
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets7
Virtual Commodities and Futures Markets of Tangible Commodities7
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War7
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach7
Price Discovery and Efficiency in Uniswap Liquidity Pools7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets7
EPU spillovers and sovereign CDS spreads: A cross‐country study7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps7
6
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach6
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market6
What the Night Tells the Day: Forecasting Realized Volatility in Chinese Commodity Markets6
Journal of Futures Markets: Volume 45, Number 8, August 20256
Pricing risky corporate bonds: An empirical study6
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?6
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China6
6
Understanding the Factors Driving the Demand of Structured Investment Products6
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns6
Option features and price discovery in convertible bonds5
Journal of Futures Markets: Volume 42, Number 7, July 20225
Approximate pricing of American exchange options with jumps5
Journal of Futures Markets: Volume 43, Number 5, May 20235
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions5
Analyst rating matters for index futures5
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
Optimal Versus Naive Diversification in Commodity Futures Markets5
A deep learning‐based financial hedging approach for the effective management of commodity risks5
Journal of Futures Markets: Volume 42, Number 6, June 20225
Journal of Futures Markets: Volume 42, Number 2, February 20225
Editor's Note5
Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective5
Option‐Implied Ambiguity and Equity Return Predictability5
GARCH pricing and hedging of VIX options5
Dynamic Debt With Intensity‐Based Models5
Editor's note5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data5
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach5
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates4
Investor Attention and Carbon Prices: Evidence From European Union and China4
4
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market4
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models4
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐194
Does offshore NDF market influence onshore forex market? Evidence from India4
Are option traders more informed than Twitter users? A PVAR analysis4
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models4
Journal of Futures Markets: Volume 43, Number 6, June 20234
Analytically pricing exchange options with stochastic liquidity and regime switching4
4
Journal of Futures Markets: Volume 44, Number 5, May 20244
Petroleum market volatility tracker in China4
Predictability of commodity futures returns with machine learning models4
0.56746697425842