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 2021-09-01 to 2025-09-01.)
ArticleCitations
Bitcoin futures risk premia38
38
37
Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?35
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?31
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?30
Financialization, common stochastic trends, and commodity prices27
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets26
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States26
In Memorium: Jayaram Muthuswamy24
24
Journal of Futures Markets: Volume 42, Number 10, October 202221
A systemic change of measure from central clearing20
Beta and size equity premia following a high‐VIX threshold20
20
Securitization of assets with payment delay risk: A financial innovation in the real estate market19
Journal of Futures Markets: Volume 43, Number 10, October 202317
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market17
Commodity Option Return Predictability16
16
Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model15
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures15
Journal of Futures Markets: Volume 44, Number 2, February 202414
Journal of Futures Markets: Volume 45, Number 5, May 202513
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets13
Pricing VXX options by modeling VIX directly13
Volatility spillovers in commodity futures markets: A network approach12
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach12
Journal of Futures Markets: Volume 44, Number 6, June 202412
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility12
Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach11
10
Forecasting realized volatility: New evidence from time‐varying jumps in VIX10
Recovering subjective probability distributions10
Anger in predicting the index futures returns9
Do enhanced derivative disclosures work? An informational perspective9
Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers9
Investment horizon and option market activity9
Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets9
9
Market uncertainty and sentiment around USDA announcements9
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market9
9
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?9
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?8
Speculation or hedging?—Options trading prior to FOMC announcements8
8
Wisdom of crowds and commodity pricing8
Risk‐neutral skewness and commodity futures pricing8
Journal of Futures Markets: Volume 45, Number 2, February 20258
The role of option‐based information on StockTwits, options trading volume, and stock returns8
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets8
Journal of Futures Markets: Volume 44, Number 3, March 20248
Journal of Futures Markets: Volume 43, Number 4, April 20237
7
Price Discovery and Efficiency in Uniswap Liquidity Pools7
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps7
Editor's Note7
7
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets7
7
EPU spillovers and sovereign CDS spreads: A cross‐country study7
7
Journal of Futures Markets: Volume 45, Number 8, August 20256
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility6
6
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours6
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War6
6
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market6
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach6
6
Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks6
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters6
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach6
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China6
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns6
Journal of Futures Markets: Volume 44, Number 10, October 20246
Derivative disclosures and managerial opportunism6
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets6
Does offshore NDF market influence onshore forex market? Evidence from India5
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions5
Journal of Futures Markets: Volume 42, Number 2, February 20225
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?5
Pricing risky corporate bonds: An empirical study5
Journal of Futures Markets: Volume 43, Number 5, May 20235
Analyst rating matters for index futures5
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX5
Market inefficiencies surrounding energy announcements5
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints5
Editor's Note5
Journal of Futures Markets: Volume 42, Number 6, June 20225
Understanding the Factors Driving the Demand of Structured Investment Products5
Editor's note5
Climate Risks in Main Producing Areas and Realized Volatility in Agricultural Futures: Machine Learning Methods Based on High‐Frequency Data5
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates5
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐195
GARCH pricing and hedging of VIX options5
Journal of Futures Markets: Volume 42, Number 7, July 20225
Optimal Versus Naive Diversification in Commodity Futures Markets5
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach5
Approximate pricing of American exchange options with jumps5
A deep learning‐based financial hedging approach for the effective management of commodity risks5
4
Journal of Futures Markets: Volume 43, Number 6, June 20234
Analytically pricing exchange options with stochastic liquidity and regime switching4
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models4
Petroleum market volatility tracker in China4
Are option traders more informed than Twitter users? A PVAR analysis4
Journal of Futures Markets: Volume 44, Number 5, May 20244
Option features and price discovery in convertible bonds4
Option pricing with state‐dependent pricing kernel4
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
4
Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach4
Option‐Implied Ambiguity and Equity Return Predictability4
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns4
Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models4
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