OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Futures Markets is 3. 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 2020-05-01 to 2024-05-01.)

Article	Citations
Forty years of the Journal of Futures Markets: A bibliometric overview	78
Effects of structural changes on the prediction of downside volatility in futures markets	51
Price discovery in chinese agricultural futures markets: A comprehensive look	40
The impact of net buying pressure on index options prices	24
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate	24
Stock market reactions to different types of oil shocks: Evidence from China	24
Bitcoin spot and futures market microstructure	24
Volatility spillovers in commodity futures markets: A network approach	20
Forecasting bitcoin volatility: Evidence from the options market	20
Night trading and market quality: Evidence from Chinese and US precious metal futures markets	19
The role of textual analysis in oil futures price forecasting based on machine learning approach	19
Informed options trading around holidays	19
Analytically pricing exchange options with stochastic liquidity and regime switching	19
Liquidity shocks, commodity financialization, and market comovements	18
Fractional cointegration in bitcoin spot and futures markets	18
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility	18
Time‐varying pure contagion effect between energy and nonenergy commodity markets	17
Impact of bitcoin futures on the informational efficiency of bitcoin spot market	16
Dynamic term structure models for SOFR futures	15
Valuation of VIX and target volatility options with affine GARCH models	15
Do oil shocks impact stock liquidity?	15
The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets	14
Market uncertainty and sentiment around USDA announcements	12
Valuation of bitcoin options	12
Bitcoin and sentiment	12

Arbitrage, contract design, and market structure in Bitcoin futures markets	12
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets	12
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity	12
Metal prices made in China? A network analysis of industrial metal futures	12
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets	12
Forecasting realized volatility: New evidence from time‐varying jumps in VIX	11
Price discovery in China's crude oil futures markets: An emerging Asian benchmark?	10
Trading behavior in bitcoin futures: Following the “smart money”	10
Do enhanced derivative disclosures work? An informational perspective	10
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach	10
Pricing VIX options with realized volatility	9
Improving liquidity in emission trading schemes	9
The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets	9
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets	9
Warrants in the financial management decisions of innovative firms	8
A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps	8
Volatility‐of‐volatility risk in the crude oil market	8
VIX futures and its closed‐form pricing through an affine GARCH model with realized variance	8
The geopolitical risk premium in the commodity futures market	8
Time‐varying dynamics of expected shortfall in commodity futures markets	7
Benchmarks in the spotlight: The impact on exchange traded markets	7
Multi‐step reflection principle and barrier options	7
Intermediary capital risk and commodity futures volatility	7
Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank	7
On the computation of hedging strategies in affine GARCH models	7
Information contents of intraday SSE 50 ETF options trades	7
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach	6
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure	6
COVID‐19 and tail risk contagion across commodity futures markets	6
Smile‐implied hedging with volatility risk	6
Climate change attention and carbon futures return prediction	6
The implied volatility smirk of commodity options	6
Hedging commodities in times of distress: The case of COVID‐19	6
Financialization, common stochastic trends, and commodity prices	6
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach	6
Price discovery in the CSI 300 Index derivatives markets	6
VIX option‐implied volatility slope and VIX futures returns	6
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?	6
Stock market tail risk, tail risk premia, and return predictability	5
When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests	5
Samuelson hypothesis, arbitrage activity, and futures term premiums	5
The dynamics of commodity return comovements	5
Fundamental questions on central counterparties: A review of the literature	5
Intraday liquidity in soybean complex futures markets	5
Determinants of the WTI‐Brent price spread revisited	5
Are option traders more informed than Twitter users? A PVAR analysis	5
Modeling VXX under jump diffusion with stochastic long‐term mean	5
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market	5
Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility	5
Regional premiums in nonferrous metals markets	5

Can commodity futures risk factors predict economic growth?	5
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns	5
One hundred years of rare disaster concerns and commodity prices	5
Pricing cancellable American put options on the finite time horizon	5
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry	5
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches	5
A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio	5
Stochastic multifactor models in risk management of energy futures	5
Anger in predicting the index futures returns	5
Multistep forecast of the implied volatility surface using deep learning	4
Efficiency in the Atlantic salmon futures market	4
Reporting delays and the information content of off‐market trades	4
Analyst rating matters for index futures	4
How trading in commodity futures option markets impacts commodity futures prices	4
Risk‐neutral skewness and commodity futures pricing	4
Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange	4
The influence of oil price uncertainty on stock liquidity	4
Volatility‐managed commodity futures portfolios	4
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets	4
Who pays the liquidity cost? Central bank announcements and adverse selection	4
Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges	4
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?	4
Hedging operating and financing risk with financial derivatives during the global financial crisis	4
Beta and size equity premia following a high‐VIX threshold	4
A Black–Scholes user's guide to the Bachelier model	4
The pricing mechanism between ETF option and spot markets in China	4
The lead of oil price rises on US equity market beliefs and preferences	3
Dynamic programming for valuing American options under a variance‐gamma process	3
The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread	3
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?	3
Piecewise linear double barrier options	3
Commodity tail risks	3
Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions	3
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock	3
Option features and price discovery in convertible bonds	3
When trading options is not the only option: The effects of single‐stock futures trading on options market quality	3
American strangle options with arbitrary strikes	3
Power‐type derivatives for rough volatility with jumps	3
Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options	3
Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?	3
The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps	3
Speculation or hedging?—Options trading prior to FOMC announcements	3
Overnight volatility, realized volatility, and option pricing	3
Managing volatility in commodity momentum	3
Option pricing with maximum entropy densities: The inclusion of higher‐order moments	3
Recovering subjective probability distributions	3
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions	3
Commodity momentum decomposition	3
Semivariance and semiskew risk premiums in currency markets	3
Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning	3
Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures	3
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective	3
Option pricing with state‐dependent pricing kernel	3
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies	3
Lottery and bubble stocks and the cross‐section of option‐implied tail risks	3
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems	3
Changes in the options contract size and arbitrage opportunities	3