Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

Journal of Futures Markets / John Wiley & Sons, Ltd.

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.09000000.04
19910.09000000.04
19920.09000000.04
19930.1000000.05
19940.11000000.05
19950.2000000.08
19960.24000000.1
19970.3000000.11
19980.29000000.11
19990.34000000.15
20000.42000000.16
20010.44000000.17
20020.45000000.2
20030.47000000.2
20040.53000000.22
20050.56000000.23
20060.55000000.22
20070.47000000.19
20080.5000000.21
20090.51000000.21
20100.47000000.17
20110.55000000.22
20120.675050140.28340060.120.26
20130.440.9251101310.31205022070.140.34
20140.120.6810111200.18410112040.40.24
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Most cited documents in this series:

YearTitleCited
2013Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation. (2013). Badshah, Ihsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:3:p:235-265.

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6
2012Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. (2012). YANG, JIAN ; Zhou, Yinggang . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:99-121.

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5
2012An analytical formula for VIX futures and its applications. (2012). Lian, GuangHua ; Zhu, SongPing . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:166-190.

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4
2013A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges. (2013). Santucci de Magistris, Paolo ; Rossi, Eduardo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:1:p:77-102.

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4
2012Optimal hedging with higher moments. (2012). Brooks, Chris ; ern, Ales ; Miffre, Joelle . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:10:p:909-944.

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3
2013Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction. (2013). guo, biao ; Han, Qian ; Ryu, Doojin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:7:p:629-652.

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3
2012Are speculators informed?. (2012). Schwarz, Krista. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:1:p:1-23.

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3
2012The relationship between currency carry trades and U.S. stocks. (2012). Zhao, Lin ; Tse, Yiuman . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:3:p:252-271.

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3
2012Causality in the VIX futures market. (2012). Zhang, Jin E. ; Shu, Jinghong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:1:p:24-46.

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3
2014The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks. (2014). Gao, Lin ; Liu, Lu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:1:p:93-101.

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2
2012Time‐varying jump risk premia in stock index futures returns. (2012). Chan, Wing ; Feng, Liling . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:7:p:639-659.

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2
2014Pricing Multiasset Cross‐Currency Options. (2014). Shiraya, Kenichiro ; Takahashi, Akihiko . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:1:p:1-19.

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2
2012Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates. (2012). Tornell, Aaron ; Yuan, Chunming . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:122-151.

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2
2012The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated. (2012). Kawaller, Ira G. ; Juhl, Ted ; Koch, Paul D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:9:p:837-876.

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2
2012Does the price of crude oil respond to macroeconomic news?. (2012). Miao, Hong ; Chatrath, Arjun ; Ramchander, Sanjay . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:6:p:536-559.

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2
2013Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies. (2013). Lien, Donald ; Zhou, Chunyang ; YANG, Li ; Wu, Chongfeng . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:8:p:696-723.

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2
2012A note on the performance of regime switching hedge strategy. (2012). Lien, Donald . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:4:p:389-396.

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1
2013Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level. (2013). Verousis, Thanos ; ap Gwilym, Owain. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:1:p:55-76.

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1
2012Variance risk premiums and predictive power of alternative forward variances in the corn market. (2012). Wang, Zhiguang ; fausti, scott ; Qasmi, Bashir A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:6:p:587-608.

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1
2013A Term Structure Model for VIX Futures. (2013). Huskaj, Bujar ; Nossman, Marcus . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:5:p:421-442.

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1
2012The Term Structure of VIX. (2012). Zhang, Jin E. ; Luo, Xingguo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:12:p:1092-1123.

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1
2012Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market. (2012). Ok, Soonchan ; Choi, Youngsoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:4:p:360-388.

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1
2013Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets. (2013). Narayan, Paresh ; Westerlund, Joakim . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:11:p:1024-1045.

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1
2013Bid–Ask Spreads and Implied Volatilities of Key Players in a FX Options Market. (2013). Galai, Dan ; Schreiber, Ben Z.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:8:p:774-794.

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1
2012A comparative study of range‐based stock return volatility estimators for the German market. (2012). Todorova, Neda ; Husmann, Sven . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:6:p:560-586.

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1
2012A cointegrated commodity pricing model. (2012). Nakajima, Katsushi ; Ohashi, Kazuhiko . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:11:p:995-1033.

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1
2012An empirical analysis of dynamic multiscale hedging using wavelet decomposition. (2012). cotter, john ; Conlon, Thomas . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:3:p:272-299.

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1
2013Exogenous Shocks and Information Transmission in Global Copper Futures Markets. (2013). Yin, Libo ; Han, Liyan . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:8:p:724-751.

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1
2012A note on utility‐based futures hedging performance measure. (2012). Lien, Donald . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:1:p:92-97.

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1
2013Canonical Distribution, Implied Binomial Tree, and the Pricing of American Options. (2013). Liu, Qiang ; Guo, Shuxin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:2:p:183-198.

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1
2012Production and hedging under state‐dependent preferences. (2012). Wong, Kit Pong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:10:p:945-963.

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1
2012The Information Content of Model‐Free Implied Volatility. (2012). Joseph K. W. Fung, ; CHENG, Xin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:8:p:792-806.

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1
2012Multivariate downside risk: Normal versus Variance Gamma. (2012). Diethelm, Martin ; Wallmeier, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:5:p:431-458.

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1

Citing documents used to compute impact factor 12:

YearTitleSee
2014Intraday price dynamics in spot and derivatives markets. (2014). Kim, Jun Sik ; Ryu, Doojin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:394:y:2014:i:c:p:247-253.

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[Citation Analysis]
2014Phase-shifting behaviour revisited: An alternative measure. (2014). Kang, Bo Soo ; Ryu, Doowon . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:401:y:2014:i:c:p:167-173.

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[Citation Analysis]
2014Applied Econometrics and a Decade of Energy Economics Research. (2014). Smyth, Russell ; Narayan, Paresh . In: Monash Economics Working Papers. RePEc:mos:moswps:2014-21.

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[Citation Analysis]
2014Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options. (2014). Liu, Qiang ; Guo, Shuxin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:77-89.

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[Citation Analysis]
2014Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets. (2014). Lee, Geul ; Zhou, Chunyang ; YANG, Li ; Lien, Donald . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:265-272.

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[Citation Analysis]
2014Identifying speculators in the FX market: A microstructure approach. (2014). Schreiber, Ben Z.. In: Journal of Economics and Business. RePEc:eee:jebusi:v:73:y:2014:i:c:p:97-119.

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[Citation Analysis]
2014[Citation Analysis]
2014The importance of the volatility risk premium for volatility forecasting. (2014). Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:303-320.

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[Citation Analysis]
2014The Optimal Hedging Ratio for Non-Ferrous Metals. (2014). armeanu, dan ; Dinica, Mihai Cristian . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2014:i:1:p:105-122.

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[Citation Analysis]
2014Performance of Utility Based Hedges. (2014). cotter, john ; Hanly, Jim . In: Working Papers. RePEc:ucd:wpaper:201404.

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[Citation Analysis]
2014The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range. (2014). Soucek, Michael ; Souek, Michael ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:36:y:2014:i:c:p:332-340.

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[Citation Analysis]
2014Intraday price dynamics in spot and derivatives markets. (2014). Kim, Jun Sik ; Ryu, Doojin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:394:y:2014:i:c:p:247-253.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2014

YearTitleSee
2014Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets. (2014). Grosche, Stephanie ; Heckelei, Thomas . In: Discussion Papers. RePEc:ags:ubfred:166079.

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[Citation Analysis]
2014Price dynamics and financialization effects in corn futures markets with heterogeneous traders. (2014). Grosche, Stephanie ; Heckelei, Thomas . In: Discussion Papers. RePEc:ags:ubfred:172077.

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[Citation Analysis]
2014.

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[Citation Analysis]
2014.

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[Citation Analysis]

Recent citations received in: 2013

YearTitleSee
2013Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression. (2013). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Thomas, Lyn ; Taylor, James . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20130020.

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[Citation Analysis]
2013Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression. (2013). Singh, Abhay K. ; Powell, Robert J. ; Thomas, Lyn ; Taylor, James ; Allen, David E.. In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:2013020.

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[Citation Analysis]
2013Modeling the co-movements between crude oil and refined petroleum markets. (2013). Tong, Bin ; Zhou, Chunyang ; Wu, Chongfeng . In: Energy Economics. RePEc:eee:eneeco:v:40:y:2013:i:c:p:882-897.

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[Citation Analysis]
2013A substitution effect between price clustering and size clustering in credit default swaps. (2013). Meng, Lei ; ap Gwilym, Owain ; Verousis, Thanos . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:24:y:2013:i:c:p:139-152.

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[Citation Analysis]
2013VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation. (2013). Lin, Yueh-Neng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:11:p:4432-4446.

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[Citation Analysis]
2013On the predictability of stock prices: A case for high and low prices. (2013). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146.

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[Citation Analysis]
2013What types of investors generate the two-phase phenomenon?. (2013). Ryu, Doojin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:23:p:5939-5946.

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[Citation Analysis]

Recent citations received in: 2012

YearTitleSee
2012Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets. (2012). Mallory, Mindy ; Trujillo-Barrera, Andres ; Garcia, Philip . In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:134275.

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[Citation Analysis]
2012Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market. (2012). Tian, Jie ; Li, Zhihui ; Zhou, Ying ; Lu, Xinsheng . In: Working Papers. RePEc:aut:wpaper:201208.

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[Citation Analysis]
2012A remark on Lin and Changs paper ‘Consistent modeling of S&P 500 and VIX derivatives’. (2012). Zhang, Jin E. ; Ibraimi, Meriton ; Leippold, Markus ; Cheng, Jun . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:5:p:708-715.

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[Citation Analysis]
2012Rejoinder to a remark on Lin and Changs paper ‘Consistent modeling of S&P 500 and VIX derivatives’. (2012). Chang, Chien-Hung ; Lin, Yueh-Neng . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:5:p:716-718.

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[Citation Analysis]
2012Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process. (2012). Godin, Frederic ; Franois, Pascal ; Gauthier, Genevieve . In: Cahiers de recherche. RePEc:lvl:lacicr:1234.

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[Citation Analysis]
2012Downside risk and the energy hedgers horizon. (2012). cotter, john ; Conlon, Thomas . In: Working Papers. RePEc:ucd:wpaper:201219.

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[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.