Journal of Futures Markets

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 2021-04-01 to 2025-04-01.)
ArticleCitations
124
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The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches37
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Journal of Futures Markets: Volume 43, Number 2, February 202331
Unspanned macro risks in VIX futures31
Journal of Futures Markets: Volume 41, Number 12, December 202130
Cover Image: Volume 41 Issue 1227
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Journal of Futures Markets: Volume 44, Number 11, November 202421
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A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity19
Asymmetric Commodity Tails and Index Futures Returns19
Commodity momentum decomposition18
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Which Way Does the Wind Blow Between SPX Futures and VIX Futures?17
Journal of Futures Markets: Volume 44, Number 4, April 202416
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets15
Understanding intraday momentum strategies15
Jumps in foreign exchange spot rates and the informational efficiency of currency forwards15
The dynamics of commodity return comovements15
Power‐type derivatives for rough volatility with jumps14
Pricing risky corporate bonds: An empirical study13
Who has an edge in trading index derivatives?13
Bitcoin futures risk premia13
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns12
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach12
American strangle options with arbitrary strikes12
Hedging pressure and oil volatility: Insurance versus liquidity demands11
Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity11
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method10
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States10
Revisiting the valuation of deposit insurance10
Lever up! An analysis of options trading in leveraged ETFs10
The Effect of Anti‐Procyclical Central Counterparty Margins On Trading10
Probability weighting in commodity futures markets9
An empirical investigation on risk factors in cryptocurrency futures9
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach8
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?8
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility8
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China8
A model‐free approximation for barrier options in a general stochastic volatility framework8
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features8
Time‐varying pure contagion effect between energy and nonenergy commodity markets8
The lead of oil price rises on US equity market beliefs and preferences7
The information content of the volatility index options trading volume7
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?7
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?7
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets7
The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns7
How do firms hedge in financial distress?7
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions7
Financialization, common stochastic trends, and commodity prices6
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility6
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate6
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Changes in the options contract size and arbitrage opportunities6
Journal of Futures Markets: Volume 42, Number 2, February 20226
Journal of Futures Markets: Volume 45, Number 4, April 20256
Pricing cancellable American put options on the finite time horizon6
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?6
A Black–Scholes user's guide to the Bachelier model6
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration6
Real‐Time Tracking of Public Announcements in the Limit Order Book6
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Journal of Futures Markets: Volume 43, Number 5, May 20235
The real effect of foreign exchange hedging on corporate innovation5
Editor's note5
Journal of Futures Markets: Volume 42, Number 10, October 20225
Journal of Futures Markets: Volume 42, Number 6, June 20225
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One session options: Playing the announcement lottery?5
Journal of Futures Markets: Volume 43, Number 10, October 20235
Approximate pricing of American exchange options with jumps5
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Journal of Futures Markets: Volume 43, Number 7, July 20235
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In Memorium: Jayaram Muthuswamy5
4
The Pay‐for‐Success Contract: A Valuation Note4
Credit default swaps and firm risk4
Securitization of assets with payment delay risk: A financial innovation in the real estate market4
Option pricing with overnight and intraday volatility4
Robust information share measures with an application on the international crude oil markets4
Beta and size equity premia following a high‐VIX threshold4
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems4
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market4
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market4
Commodity premia and risk management4
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula4
Temperature, storage, and natural gas futures prices4
GARCH pricing and hedging of VIX options4
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Do VIX futures contribute to the valuation of VIX options?4
Uncertainty and investment: Evidence from domestic oil rigs4
Option pricing with dynamic conditional skewness4
Modeling skewness in portfolio choice4
Journal of Futures Markets: Volume 43, Number 12, December 20234
How trading in commodity futures option markets impacts commodity futures prices4
A systemic change of measure from central clearing4
The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth4
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach3
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model3
A deep learning‐based financial hedging approach for the effective management of commodity risks3
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets3
The pricing mechanism between ETF option and spot markets in China3
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets3
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras3
Trading commodity ETFs: Price behavior, investment insights, and performance analysis3
The predictability of iron ore futures prices: A product‐material lead–lag effect3
Forecasting variance swap payoffs3
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility3
Resiliency in the E‐mini futures market3
Estimating real‐world probabilities: A forward‐looking behavioral framework3
Journal of Futures Markets: Volume 45, Number 1, January 20253
Drilling and DUCs in the Permian Basin3
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets3
ChatGPT and Commodity Return3
A monetary policy–based explanation of swap spreads in China3
Forecasting swap rate volatility with information from swaptions3
Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion3
Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors3
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets3
Warrants in the financial management decisions of innovative firms3
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Optimal Versus Naive Diversification in Commodity Futures Markets3
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes3
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market3
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