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


0.79

Impact Factor

0.76

5-Years IF

21

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.020.10.03555590.167399226391 (1.4%)0.04
19910.010.10.015711230.03152104126423 (2%)0.04
19920.10.025316590.0510711226853 (2.8%)0.04
19930.020.110.0163228110.05211110226427 (3.3%)0.06
19940.030.120.0348276120.04100116327781 (1%)0.05
19950.030.20.0344320290.09204111327674 (2%)20.050.07
19960.10.240.0850370400.11325929265214 (1.2%)0.09
19970.10.280.1145415610.15130949258291 (%)10.020.1
19980.150.290.1248463680.151139514250312 (1.8%)0.11
19990.060.330.1147510710.14193936235264 (2.1%)0.14
20000.030.410.0950560580.1109953234213 (2.8%)10.020.15
20010.080.410.0852612580.09216978240203 (1.4%)10.020.15
20020.060.430.0855667740.111261026242194 (3.2%)20.040.18
20030.060.450.0654721610.081051076252142 (1.9%)10.020.19
20040.080.50.0957778980.131781099258224 (2.2%)10.020.2
20050.050.530.0851829890.111041115268225 (4.8%)30.060.21
20060.050.520.1518801840.211501085269265 (3.3%)10.020.21
20070.030.460.0651931740.081471023268175 (3.4%)10.020.18
20080.090.490.09589891390.141681029264233 (1.8%)10.020.2
20090.170.490.175310421410.1412010918268451 (%)0.19
20100.080.470.135610981460.131091119264332 (1.8%)30.050.17
20110.120.540.184711451870.1613310913269482 (1.5%)0.21
20120.130.570.125011951850.1513110313265333 (2.3%)60.120.21
20130.360.640.235112462950.24869735264624 (4.7%)70.140.23
20140.450.70.335813043630.281031014525785 (%)210.360.23
20150.560.790.656513698690.6386109612621711 (1.2%)220.340.25
20160.791.110.765614259940.71812397271205 (%)130.230.34
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
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
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%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

 

50 most cited documents in this series:


#YearTitleCited
11996Energy shocks and financial markets. (1996). masulis, ronald ; Stoll, Hans R. ; Huang, Roger D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

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109
21996The Fed funds futures rate as a predictor of federal reserve policy. (1996). Krueger, Joel T. ; Kuttner, Kenneth N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:865-879.

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64
31995Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

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48
41995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. (1995). Switzer, Lorne ; Park, Tae H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:1:p:61-67.

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47
51993Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?. (1993). Brorsen, B ; Yang, SeungRyong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:175-191.

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45
62001What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

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41
72004Volatility and commodity price dynamics. (2004). Pindyck, Robert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047.

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40
81999Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643.

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30
91999Risk arbitrage opportunities in petroleum futures spreads. (1999). Paulson, Albert S. ; Girma, Paul Berhanu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:931-955.

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29
102001Risk premiums on inventory assets: the case of crude oil and natural gas. (2001). Larson, Donald ; Considine, Timothy J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:2:p:109-126.

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27
111984Memory in commodity futures contracts. (1984). Rosenman, Robert ; Helms, Billy P. ; Kaen, Fred R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:4:y:1984:i:4:p:559-567.

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27
121997Searching for fractal structure in agricultural futures markets. (1997). Malliaris, Anastasios ; Corazza, Marco ; Nardelli, Carla. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:4:p:433-473.

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27
131997Futures market transaction costs. (1997). Venkatesh, P. C. ; Locke, Peter R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:2:p:229-245.

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27
142002Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data. (2002). Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:22:y:2002:i:6:p:497-518.

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25
151986Price variability and the maturity effect in futures markets. (1986). Milonas, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:6:y:1986:i:3:p:443-460.

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25
162006Jumping hedges: An examination of movements in copper spot and futures markets. (2006). Young, Denise ; Chan, Wing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:2:p:169-188.

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25
172001Hedge Fund Performance and Manager Skill. (2001). Edwards, Franklin R. ; Caglayan, Mustafa Onur . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1003-1028.

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24
181999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Moosa, Imad A. ; Silvapulle, Param . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

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23
191996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

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23
202008Realized volatility and correlation in energy futures markets. (2008). Yang, Jian ; Wang, Tao ; Wu, Jingtao . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:10:p:993-1011.

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21
211991“Chaos” in futures markets? A nonlinear dynamical analysis. (1991). Blank, Steven. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:6:p:711-728.

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21
221996Linkages between agricultural commodity futures contracts. (1996). Malliaris, Anastasios ; Urrutia, Jorge L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:5:p:595-609.

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20
232015Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Paresh ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891.

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19
241985The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian ; Torous, Walter N. ; Ball, Clifford A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43.

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19
252005Implied correlation index: A new measure of diversification. (2005). Skintzi, Vasiliki ; Refenes, ApostolosPaul N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:2:p:171-197.

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19
262012Intraday 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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19
271993Cointegration tests of the unbiased expectations hypothesis in metals markets. (1993). Adkins, Lee ; Krehbiel, Tim . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:753-763.

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19
282011The performance of VIX option pricing models: Empirical evidence beyond simulation. (2011). Wang, Zhiguang ; Daigler, Robert T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:251-281.

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18
292006Spot‐futures spread, time‐varying correlation, and hedging with currency futures. (2006). Yang, Li ; Lien, Donald . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:10:p:1019-1038.

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18
301993The effects of USDA reports in futures and options markets. (1993). Sumner, Daniel ; Fortenbery, T. Randall. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:157-173.

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18
311990South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Sultan, Jahangir ; Melvin, Michael . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111.

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18
321995Long memory in interest rate futures markets: A fractional cointegration analysis. (1995). Booth, Geoffrey G. ; Tse, Yiuman . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:5:p:573-584.

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18
331993An examination of cointegration relations between futures and local grain markets. (1993). Fortenbery, T. Randall ; Zapata, Hector O.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:8:p:921-932.

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18
341989Limit moves and price resolution: The case of the treasury bond futures market. (1989). Rao, Ramesh ; Ma, Christopher K. ; Sears, Stephen R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:4:p:321-335.

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18
352009The information content of an open limit‐order book. (2009). Cao, Charles ; Wang, Xiaoxin ; Hansch, Oliver . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41.

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17
362008Informed trading in the index option market: The case of KOSPI 200 options. (2008). Ryu, Doojin ; Kang, Jangkoo ; Ahn, HeeJoon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146.

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17
371997An evaluation of price linkages between futures and cash markets for cheddar cheese. (1997). Fortenbery, T. Randall ; Zapata, Hector O.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:3:p:279-301.

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17
381992Is normal backwardation normal?. (1992). Kolb, Robert W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:12:y:1992:i:1:p:75-91.

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17
391994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Szakmary, Andrew C. ; Schwarz, Thomas V.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167.

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17
402000Efficient use of commodity futures in diversified portfolios. (2000). Jensen, Gerald R. ; Johnson, Robert R. ; Mercer, Jeffrey M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-506.

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16
412008The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets. (2008). Doran, James ; Peterson, David R. ; Diavatopoulos, Dean . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:11:p:1013-1039.

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16
421991Futures trading, transaction costs, and stock market volatility. (1991). Brorsen, B. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:2:p:153-163.

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16
432001Investor Sentiment and Return Predictability in Agricultural Futures Markets. (2001). Wang, Changyun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:10:p:929-952.

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15
442007Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, YoungWook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668.

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15
452006VIX futures. (2006). Zhang, Jin E. ; Zhu, Yingzi . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:6:p:521-531.

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15
462007A simplified approach to modeling the co‐movement of asset returns. (2007). Stoja, Evarist ; Harris, Richard ; Richard D. F. Harris, ; Tucker, Jon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:6:p:575-598.

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15
472006Transaction tax and market quality of the Taiwan stock index futures. (2006). George H. K. Wang, ; Chou, Robin K.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:12:p:1195-1216.

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15
482007Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets. (2007). Switzer, Lorne ; ElKhoury, Mario . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:1:p:61-84.

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15
492004Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility. (2004). Zein, Jason ; Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028.

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14
502001Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Bessler, David ; Leatham, David J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300.

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14

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
11996Energy shocks and financial markets. (1996). masulis, ronald ; Stoll, Hans R. ; Huang, Roger D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

Full description at Econpapers || Download paper

72
22004Volatility and commodity price dynamics. (2004). Pindyck, Robert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047.

Full description at Econpapers || Download paper

29
31995Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

Full description at Econpapers || Download paper

21
42015Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Paresh ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891.

Full description at Econpapers || Download paper

19
51990South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Sultan, Jahangir ; Melvin, Michael . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111.

Full description at Econpapers || Download paper

16
61996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

Full description at Econpapers || Download paper

16
71999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Moosa, Imad A. ; Silvapulle, Param . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

Full description at Econpapers || Download paper

15
82001What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

Full description at Econpapers || Download paper

14
92008Realized volatility and correlation in energy futures markets. (2008). Yang, Jian ; Wang, Tao ; Wu, Jingtao . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:10:p:993-1011.

Full description at Econpapers || Download paper

14
102009The information content of an open limit‐order book. (2009). Cao, Charles ; Wang, Xiaoxin ; Hansch, Oliver . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41.

Full description at Econpapers || Download paper

13
112008Informed trading in the index option market: The case of KOSPI 200 options. (2008). Ryu, Doojin ; Kang, Jangkoo ; Ahn, HeeJoon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146.

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13
122004Natural gas prices and the gas storage report: Public news and volatility in energy futures markets. (2004). Zhu, Zhen ; Linn, Scott C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:3:p:283-313.

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12
132006VIX futures. (2006). Zhang, Jin E. ; Zhu, Yingzi . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:6:p:521-531.

Full description at Econpapers || Download paper

12
141994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Szakmary, Andrew C. ; Schwarz, Thomas V.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167.

Full description at Econpapers || Download paper

11
151999Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643.

Full description at Econpapers || Download paper

11
162000Efficient use of commodity futures in diversified portfolios. (2000). Jensen, Gerald R. ; Johnson, Robert R. ; Mercer, Jeffrey M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-506.

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11
172014The Predictive Content of Commodity Futures. (2014). Coibion, Olivier ; Chinn, Menzie ; MenzieD. Chinn, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636.

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11
182001Investor Sentiment and Return Predictability in Agricultural Futures Markets. (2001). Wang, Changyun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:10:p:929-952.

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11
192015The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives. (2015). Ryu, Doojin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:3:p:201-221.

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10
202001Hedge Fund Performance and Manager Skill. (2001). Edwards, Franklin R. ; Caglayan, Mustafa Onur . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1003-1028.

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10
212011Price discovery and investor structure in stock index futures. (2011). Salm, Christian A. ; Schuppli, Michael ; Bohl, Martin T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:282-306.

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10
222012Intraday 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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10
232001S&P futures returns and contrary sentiment indicators. (2001). Simon, David P. ; Wiggins, Roy A. ; Webb, Robert I.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:5:p:447-462.

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9
242010The information content of implied volatility: Evidence from Australia. (2010). Tourani-Rad, Alireza ; Frijns, Bart ; Tallau, Christian ; TouraniRad, Alireza . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:2:p:134-155.

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9
252011The performance of VIX option pricing models: Empirical evidence beyond simulation. (2011). Wang, Zhiguang ; Daigler, Robert T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:251-281.

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9
262007Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, YoungWook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668.

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9
272011Volatility spillover effects and cross hedging in corn and crude oil futures. (2011). Myers, Robert J. ; Guan, Zhengfei . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-1075.

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9
282013Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets. (2013). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:11:p:1024-1045.

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9
291995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. (1995). Switzer, Lorne ; Park, Tae H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:1:p:61-67.

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8
302015Futures Market Volatility: What Has Changed?. (2015). , Nicolas ; Whaley, Robert E. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:5:p:426-454.

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312011Intraday price formation and bid–ask spread components: A new approach using a cross‐market model. (2011). Ryu, Doojin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:12:p:1142-1169.

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322006Transaction tax and market quality of the Taiwan stock index futures. (2006). George H. K. Wang, ; Chou, Robin K.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:12:p:1195-1216.

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332004Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility. (2004). Zein, Jason ; Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028.

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342014Noisy Inventory Announcements and Energy Prices. (2014). Kurov, Alexander ; Wolfe, Marketa ; Kucher, Oleg . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:10:p:911-933.

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352008Volatility dynamics of NYMEX natural gas futures prices. (2008). Smith, Aaron ; Williams, Jeffrey ; Suenaga, Hiroaki . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:5:p:438-463.

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362010The incremental value of a futures hedge using realized volatility. (2010). Sheu, HerJiun ; Lai, YuSheng . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:9:p:874-896.

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372014Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit. (2014). DA FONSECA, José ; Zaatour, Riadh . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:6:p:548-579.

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382004A Markov regime switching approach for hedging stock indices. (2004). Alizadeh, Amir ; Nomikos, Nikos . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:7:p:649-674.

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392014Pricing Multiasset Cross‐Currency Options. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:1:p:1-19.

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402000Stock index futures trading and volatility in international equity markets. (2000). Gulen, Huseyin ; Mayhew, Stewart . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:7:p:661-685.

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412009A new information share measure. (2009). Lien, Donald . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

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421993Hedging with stock index futures: Estimation and forecasting with error correction model. (1993). Ghosh, Asim . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:743-752.

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432005The forecast quality of CBOE implied volatility indexes. (2005). Corrado, Charles J. ; Thomas W. Miller, Jr., . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:4:p:339-373.

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442012An 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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451999Price discovery and volatility spillovers in the DJIA index and futures markets. (1999). Tse, Yiuman . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:911-930.

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462001Rational speculative bubbles in the gold futures market: An application of dynamic factor analysis. (2001). Stanhouse, Bryan ; Bertus, Mark . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:1:p:79-108.

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472011Long memory and structural breaks in commodity futures markets. (2011). Coakley, Jerry ; Kellard, Neil ; Dollery, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1076-1113.

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482002Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data. (2002). Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:22:y:2002:i:6:p:497-518.

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492015A Factor Analytical Approach to the Efficient Futures Market Hypothesis. (2015). Westerlund, Joakim ; Narayan, Paresh ; Norkute, Milda . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:4:p:357-370.

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501985The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian ; Torous, Walter N. ; Ball, Clifford A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43.

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Citing documents used to compute impact factor 97:


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2016Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Nazirah, Teh Raihana ; Cao, Jiling ; Zhang, Wenjun . In: Papers. RePEc:arx:papers:1610.09714.

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2016Market makers’ optimal price-setting policy for exchange-traded certificates. (2016). Wilkens, Marco ; Entrop, Oliver ; Baller, Stefanie ; McKenzie, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:206-226.

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2016Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:183-218.

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2016Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0282-y.

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2016Detection of intensity bursts using Hawkes processes: an application to high frequency financial data. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1610.05383.

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2016Do Investors Buy Lotteries in China’s Stock Market?. (2016). Liang, YU ; Zhang, Weiqiang . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:6:y:2016:i:5:f:6_5_5.

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2016Latency reduction and market quality: The case of the Australian Stock Exchange. (2016). Murray, Hamish ; Singh, Harminder . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:257-265.

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2016Risk Premia and Seasonality in Commodity Futures. (2016). Sola, Martin ; Petrella, Ivan ; Hevia, Constantino . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11169.

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2016Risk premia and seasonality in commodity futures. (2016). Sola, Martin ; Petrella, Ivan ; Hevia, Constantino . In: Bank of England working papers. RePEc:boe:boeewp:0591.

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2016Does the S&P500 index lead the crude oil dynamics? A complexity-based approach. (2016). Kyrtsou, Catherine ; Papana, Angeliki ; Mikropoulou, Christina . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:239-246.

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2016The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability. (2016). Ubilava, David. In: Working Papers. RePEc:syd:wpaper:2016-10.

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2016The exceedance and cross-correlations between the gold spot and futures markets. (2016). Jiang, Wei ; Ruan, Qingsong ; Huang, Ying . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:463:y:2016:i:c:p:139-151.

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2016Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets. (2016). Triandaru, Sigit ; Handika, Rangga . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-04-19.

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2016The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36.

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2016EMERGING ECONOMIES BUSINESS CYCLES: THE ROLE OF THE TERMS OF TRADE REVISITED. (2016). Vicondoa, Alejandro ; Ben-Zeev, Nadav ; Pappa, Evi . In: Working Papers. RePEc:bgu:wpaper:1610.

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2016Informed trading in oil-futures market. (2016). Sévi, Benoît ; Rousse, O. In: Working Papers. RePEc:gbl:wpaper:2016-07.

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2016Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach. (2016). Ergen, Ibrahim ; Rizvanoghlu, Islam . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:64-74.

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2016The informational content of inventory announcements: Intraday evidence from crude oil futures market. (2016). Karali, Berna ; Ye, Shiyu . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:349-364.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: Working Papers. RePEc:fem:femwpa:2016.70.

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2016Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach. (2016). Misund, Brd ; Oglend, Atle . In: Energy. RePEc:eee:energy:v:111:y:2016:i:c:p:178-189.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Short selling constraints and stock returns volatility: empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:4516.

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2016Forecasting volatility of wind power production. (2016). Ritter, Matthias ; Shen, Zhiwei . In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

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2016Gold and silver manipulation: What can be empirically verified?. (2016). Batten, Jonathan ; Lucey, Brian M. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:168-176.

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2016Short selling constraints and stock returns volatility: Empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:159-166.

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2016Considering all microstructure effects: The extension of a trade indicator model. (2016). Ryu, Doojin . In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:107-110.

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2016Optimal conditional hedge ratio: A simple shrinkage estimation approach. (2016). Park, Sung Y. ; Kim, Myeong Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:139-156.

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2016MASCEM: Optimizing the performance of a multi-agent system. (2016). Pinto, Tiago ; Santos, Gabriel ; Vale, Zita ; Praa, Isabel . In: Energy. RePEc:eee:energy:v:111:y:2016:i:c:p:513-524.

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2016The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market. (2016). Luo, Xingguo ; Ye, Zinan ; Qin, Shihua . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:105-111.

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2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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2016Further evidence on the relationship between spot and futures prices. (2016). Fernandez, Viviana. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:368-371.

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2016Extreme risk spillover effects in world gold markets and the global financial crisis. (2016). Wang, Gang-Jin ; Stanley, Eugene H ; Jiang, Zhi-Qiang ; Xie, Chi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:46:y:2016:i:c:p:55-77.

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2016The Business Models and Economics of Peer-to-Peer Lending. (2016). Parboteeah, Paul . In: ECRI Papers. RePEc:eps:ecriwp:11594.

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2016Price Discovery in the Chinese Gold Market. (2016). Wang, Jianxin ; Li, Youwei ; Jin, Muzhao ; Yang, Yung Chiang . In: MPRA Paper. RePEc:pra:mprapa:71135.

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Recent citations received in 2015

YearCiting document
2015Forecasting the term structure of crude oil futures prices with neural networks. (2015). Baruník, Jozef ; Malinska, Barbora . In: Papers. RePEc:arx:papers:1504.04819.

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2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Wong, Wing-Keung ; HOANG, Thi Hong Van ; Zhu, Zhenzhen . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211.

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2015Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period?. (2015). Huang, Zhuo ; Yi, Yanping ; Chen, Wei . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:64-71.

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2015The role of financial speculation in the energy future markets: A new time-varying coefficient approach. (2015). Park, Sung Y. ; Li, Haiqi ; Kim, Hyung-Gun . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:112-122.

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2015Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector. (2015). Tong, Bin ; Wu, Chongfeng ; Diao, Xundi . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:366-382.

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2015Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets. (2015). Changqing, Luo ; Yan, Xu ; Cong, Yu ; Chi, Xie . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:657-671.

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2015Are the KOSPI 200 implied volatilities useful in value-at-risk models?. (2015). Ryu, Doojin ; Kim, Jun Sik . In: Emerging Markets Review. RePEc:eee:ememar:v:22:y:2015:i:c:p:43-64.

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2015FX funding risks and exchange rate volatility. (2015). Joo, Jack ; Park, Hail ; Yoon, Kyoungsoo . In: Emerging Markets Review. RePEc:eee:ememar:v:25:y:2015:i:c:p:163-175.

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2015Interactions between oil and financial markets — Do conditions of financial stress matter?. (2015). Kao, Chung-Wei ; Wan, Jer-Yuh . In: Energy Economics. RePEc:eee:eneeco:v:52:y:2015:i:pa:p:160-175.

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2015A cost-benefit analysis of alternatively fueled buses with special considerations for V2G technology. (2015). Shirazi, Yosef ; Knapp, Lauren ; Carr, Edward . In: Energy Policy. RePEc:eee:enepol:v:87:y:2015:i:c:p:591-603.

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2015The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

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2015Combining momentum with reversal in commodity futures. (2015). Bianchi, Robert ; Fan, John Hua ; Drew, Michael E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:423-444.

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2015Common deviation and regime-dependent dynamics in the index derivatives markets. (2015). Lee, Jaeram ; Ryu, Doojin ; Kang, Jangkoo . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:33:y:2015:i:c:p:1-22.

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2015Phase transition phenomenon: A compound measure analysis. (2015). Song, Wonho ; Kang, Bo Soo ; Ryu, Doojin ; Park, Chanhi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:428:y:2015:i:c:p:383-395.

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2015Production Risk and the Futures Price Risk Premium?. (2015). Misund, BÃ¥rd ; Asche, Frank ; Oglend, Atle . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2015_013.

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2015The Spot-Forward Relationship in the Atlantic Salmon Market. (2015). Misund, BÃ¥rd ; Asche, Frank ; Oglend, Atle . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2015_016.

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2015The Financial Econometrics of Price Discovery and Predictability. (2015). Smyth, Russell ; Narayan, Seema . In: Monash Economics Working Papers. RePEc:mos:moswps:2015-06.

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2015Exchange rate fluctuations and the margins of exports. (2015). Sanderson, Lynda ; Fabling, Richard. In: Working Papers. RePEc:mtu:wpaper:15_05.

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2015Exchange rate fluctuations and the margins of exports. (2015). Sanderson, Lynda ; Fabling, Richard. In: Treasury Working Paper Series. RePEc:nzt:nztwps:15/08.

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2015Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market. (2015). Hossfeld, Oliver ; Rothig, Andreas . In: Discussion Papers. RePEc:zbw:bubdps:412015.

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2015Modeling and predicting the market volatility index: The case of VKOSPI. (2015). Kutan, Ali ; Han, Heejoon ; Ryu, Doojin . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20157.

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2015Effects of the US stock market return and volatility on the VKOSPI. (2015). Kutan, Ali ; Han, Heejoon ; Ryu, Doojin . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201535.

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Recent citations received in 2014

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

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

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2014Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers. (2014). Kalkuhl, Matthias ; Algieri, Bernardina . In: Discussion Papers. RePEc:ags:ubzefd:187159.

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2014Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data. (2014). Panayi, Efstathios ; Kosmidis, Ioannis ; Peters, Gareth . In: Papers. RePEc:arx:papers:1406.5486.

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2014A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities. (2014). Casarin, Roberto ; Leisen, Fabrizio ; Molina, German . In: Papers. RePEc:arx:papers:1409.1956.

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2014What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets. (2014). Grosche, Stephanie-Carolin . In: Journal of Agricultural Economics. RePEc:bla:jageco:v:65:y:2014:i:2:p:279-302.

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2014Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf336.

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2014An optimal stochastic control framework for determining the cost of hedging of variable annuities. (2014). Vetzal, Kenneth ; Forsyth, Peter . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:44:y:2014:i:c:p:29-53.

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2014Insider trading and information revelation with the introduction of futures markets. (2014). Hsu, Chih-Hsiang ; Lee, Hsiu-Chuan . In: Economic Modelling. RePEc:eee:ecmode:v:43:y:2014:i:c:p:173-182.

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2014The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence. (2014). Rosa, Carlo . In: Energy Economics. RePEc:eee:eneeco:v:45:y:2014:i:c:p:295-303.

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2014Understanding recent oil price dynamics: A novel empirical approach. (2014). Montalbano, Pierluigi ; Magrini, Emiliano ; Triulzi, Umberto ; D'Ecclesia, Rita L.. In: Energy Economics. RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s11-s17.

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2014Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps. (2014). Wong, Hoi Ying ; Chung, Shing Fung . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:44:y:2014:i:c:p:130-140.

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2014The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production. (2014). Zhu, Zhen ; Linn, Scott ; Chiou-Wei, Song-Zan . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:42:y:2014:i:c:p:156-173.

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2014Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises. (2014). Ulusoy, Veysel ; demiralay, sercan. In: MPRA Paper. RePEc:pra:mprapa:59727.

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2014Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf913.

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2014Price Impacts of Imperfect Collateralization. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf947.

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2014.

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2014Individual investors and suboptimal early exercises in the fixed-income market. (2014). Wilkens, Marco ; Entrop, Oliver ; Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:14.

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2014What makes individual investors exercise early? Empirical evidence from the fixed-income market. (2014). Wilkens, Marco ; Entrop, Oliver ; Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:15.

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2014Behavioral financial engineering in the fixed-income market: The influence of the coupon structure. (2014). Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:16.

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2014Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion. (2014). Brandtner, Mario ; Kursten, Wolfgang . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100615.

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Recent citations received in 2013

YearCiting document
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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2013A substitution effect between price clustering and size clustering in credit default swaps. (2013). Verousis, Thanos ; ap Gwilym, Owain ; Meng, Lei . 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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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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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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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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2013Does FX Volatility Affect the Distributions of Commodity Futures Returns?. (2013). Grieb, Terrance . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:4:y:2013:i:4:p:1-10.

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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:tin:wpaper:20130020.

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