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


0.66

Impact Factor

0.64

5-Years IF

28

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.030.10.075555230.421291013265193 (2.3%)10.020.04
19910.050.10.0457112130.122491065266106 (2.4%)0.04
19920.020.090.0653165360.221881122270174 (2.1%)0.04
19930.020.110.0163228150.07309110226629 (2.9%)0.05
19940.050.120.0648276280.11791166279172 (1.1%)10.020.04
19950.050.20.0544320470.153161115276159 (2.8%)20.050.07
19960.120.230.150370560.155879211265276 (1%)0.09
19970.10.260.1445415790.19179949258371 (%)10.020.09
19980.150.280.18484631100.241939514250452 (1%)0.1
19990.060.320.1347510950.19327936235316 (1.8%)0.13
20000.030.390.0950560660.12202953234225 (2.5%)10.020.15
20010.090.390.11526121030.17357979240267 (2%)10.020.14
20020.080.40.12556671070.162161028242298 (3.7%)20.040.17
20030.060.430.0954721950.131841076252233 (1.6%)10.020.18
20040.10.480.12577781350.1731610911258307 (2.2%)20.040.19
20050.090.520.13518291270.1519311110268356 (3.1%)30.060.2
20060.110.510.15518802400.2725010812269417 (2.8%)20.040.2
20070.060.440.12519311390.152511026268326 (2.4%)10.020.17
20080.110.480.14589892020.228110211264365 (1.8%)20.030.2
20090.260.490.245310422640.2523210928268644 (1.7%)0.19
20100.120.470.195610982480.2319111113264514 (2.1%)40.070.17
20110.170.490.224711452450.2125110918269602 (%)10.020.19
20120.170.520.185011952320.1922010318265476 (2.7%)60.120.19
20130.430.580.35112464050.331509742264796 (4%)90.180.2
20140.480.60.395813044640.3621210148257995 (2.4%)230.40.2
20150.650.610.7365136910180.74190109712621923 (1.6%)260.40.19
20160.960.680.956142511750.821241231182712431 (%)160.290.2
20170.830.720.7657148210800.7332121100280213 (%)60.110.21
20180.660.940.647715598930.572011375287184 (%)150.190.31
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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252
21996The Fed funds futures rate as a predictor of federal reserve policy. (1996). Kuttner, Kenneth ; Krueger, Joel T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:865-879.

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82
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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70
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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62
52001What 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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62
62004Volatility 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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61
71993Nonlinear 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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56
81996Trading 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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48
91999Price 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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46
101999The 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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45
112001Hedge 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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42
122012Intraday 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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39
132008Informed 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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36
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.

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35
151985The 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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35
161986Price 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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35
171999Risk 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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34
181984Memory 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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34
191997Futures 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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33
202002Measuring 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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33
211999Price 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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32
222007Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, Young Wook ; 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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32
232001Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Leatham, David ; Bessler, David. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300.

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31
242014The 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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29
252009The 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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29
261990South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Melvin, Michael ; Sultan, Jahangir . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111.

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29
271997Searching 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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29
282001Risk 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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28
292000Efficient 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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28
302015Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Seema ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891.

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28
312006Jumping 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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28
322004Predicting 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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27
331996Linkages 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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26
341985Some determinants of the volatility of futures prices. (1985). Anderson, Ronald W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:3:p:331-348.

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26
352008Realized 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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26
361996Detecting volatility changes across the oil sector. (1996). Inclan, Carla ; Wilson, Berry ; Aggarwal, Reena . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:3:p:313-330.

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26
372005Implied 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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25
382004Explaining credit default swap premia. (2004). Benkert, Christoph . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:1:p:71-92.

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24
392001Investor 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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24
401991“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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24
412009A new information share measure. (2009). Lien, Donald ; Shrestha, Keshab. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

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24
422011Price 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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23
431993An 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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23
441989Limit 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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22
451991Futures market efficiency: Evidence from cointegration tests. (1991). Chowdhury, Abdur R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:5:p:577-589.

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22
462007Extreme 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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22
471991Cointegration: Some results on U.S. cattle prices. (1991). Bessler, David ; Covey, Ted . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:4:p:461-474.

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22
481997An 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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22
491989Price discovery for feeder cattle. (1989). Brorsen, B ; Oellermann, Charles M. ; Farris, Paul L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:2:p:113-121.

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22
501993Cointegration tests of the unbiased expectations hypothesis in metals markets. (1993). Krehbiel, Tim ; Adkins, Lee. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:753-763.

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22

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

73
21995Predicting 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
32012Intraday 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.

Full description at Econpapers || Download paper

19
42004Volatility 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

17
51996Trading 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

17
62008Informed 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.

Full description at Econpapers || Download paper

17
72001What 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

16
82007Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, Young Wook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668.

Full description at Econpapers || Download paper

15
92014The 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.

Full description at Econpapers || Download paper

15
101999Price 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.

Full description at Econpapers || Download paper

15
112009The 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

14
121999The 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

14
131999Price 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

12
142001Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Leatham, David ; Bessler, David. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300.

Full description at Econpapers || Download paper

12
152009A new information share measure. (2009). Lien, Donald ; Shrestha, Keshab. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

Full description at Econpapers || Download paper

12
162006An N‐factor Gaussian model of oil futures prices. (2006). Cortazar, Gonzalo ; Naranjo, Lorenzo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:3:p:243-268.

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11
172004Explaining credit default swap premia. (2004). Benkert, Christoph . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:1:p:71-92.

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11
182012An 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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11
192016The Return–Volatility Relation in Commodity Futures Markets. (2016). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:2:p:127-152.

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11
202015Does Futures Speculation Destabilize Commodity Markets?. (2015). Kim, Abby . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:8:p:696-714.

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11
211994Price 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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11
221999VaR without correlations for portfolios of derivative securities. (1999). BaroneAdesi, Giovanni ; Vosper, Les ; Giannopoulos, Kostas . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:5:p:583-602.

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11
232000Efficient 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
242016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets. (2016). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:8:p:758-792.

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11
252011Price 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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11
262015Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Seema ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891.

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10
272011Volatility spillover effects and cross hedging in corn and crude oil futures. (2011). Wu, Feng ; Guan, Zhengfei ; Myers, Robert J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-1075.

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10
282015The 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
291996The Fed funds futures rate as a predictor of federal reserve policy. (1996). Kuttner, Kenneth ; Krueger, Joel T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:865-879.

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10
302009Rolling over stock index futures contracts. (2009). Pardo, Angel ; Carchano, Oscar . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:7:p:684-694.

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9
312009Do futures lead price discovery in electronic foreign exchange markets?. (2009). Yang, Jian ; Wang, Tao ; Cabrera, Juan . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:2:p:137-156.

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322013Quantile 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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331990South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Melvin, Michael ; Sultan, Jahangir . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111.

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342016Who Sets the Price of Gold? London or New York. (2016). Putnins, Talis ; Hauptfleisch, Martin ; Lucey, Brian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:6:p:564-586.

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352009Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange. (2009). Gau, Yin-Feng ; Chen, YuLun . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:74-93.

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362005Information transmission in electronic versus open‐outcry trading systems: An analysis of U.S. equity index futures markets. (2005). Ates, Aysegul ; George H. K. Wang, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:7:p:679-715.

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372015The Impact of Monetary Policy Surprises on Energy Prices. (2015). Kurov, Alexander ; Basistha, Arabinda. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:1:p:87-103.

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382004Predicting 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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9
392011Intraday 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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402004Price discovery in the hang seng index markets: Index, futures, and the tracker fund. (2004). So, Raymond W. ; Tse, Yiuman. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:9:p:887-907.

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411993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. (1993). Wahab, Mahmoud ; Lashgari, Malek . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:711-742.

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422015Implied Pricing Kernels: An Alternative Approach for Option Valuation. (2015). Suh, Sangwon ; Ryu, Doojin ; Kang, Jangkoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:2:p:127-147.

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8
432013Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices. (2013). Tourani-Rad, Alireza ; Frijns, Bart ; Badshah, Ihsan ; TouraniRad, Alireza . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:6:p:555-572.

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442015A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets. (2015). Nielsen, Morten ; Xu, KE ; Dolatabadi, Sepideh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:4:p:339-356.

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8
452000Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract. (2000). Kavussanos, Manolis ; Nomikos, Nikos K.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:8:p:775-801.

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462007Realized bond—stock correlation: Macroeconomic announcement effects. (2007). Ranaldo, Angelo ; Christiansen, Charlotte. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:5:p:439-469.

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472016Tests on the Monotonicity Properties of KOSPI 200 Options Prices. (2016). Sim, Myounghwa ; Ryu, Doojin ; Yang, Heejin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:7:p:625-646.

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482014Hawkes 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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7
492008Forecasting oil price movements: Exploiting the information in the futures market. (2008). Coppola, Andrea. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:1:p:34-56.

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7
501995Bivariate 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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7

Citing documents used to compute impact factor 75:


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2018Herding behavior of Dutch pension funds in asset class investments. (2018). Bikker, Jacob ; Koetsier, Ian. In: DNB Working Papers. RePEc:dnb:dnbwpp:602.

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2018Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk. (2018). Hsu, Wen-Chung ; Lee, Hsiang-Tai . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:44-:d:141779.

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2018Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600.

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2018Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Peng, Huan ; Diao, Xiaohua ; Mei, Dexiang ; Chen, Ruoxun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85.

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2018Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2018Oil market volatility and stock market volatility. (2018). Molnár, Peter ; Molnar, Peter ; Bata, Milan. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:204-214.

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2018Cross-correlations and influence in world gold markets. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:504-512.

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2018Global Commodity Prices and Global Stock Volatility Shocks. (2018). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: MPRA Paper. RePEc:pra:mprapa:84250.

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2018Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Rego, Arthur T ; Dos, Thiago R. In: Papers. RePEc:arx:papers:1809.01501.

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2018The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices. (2018). Bohl, Martin T ; Sulewski, Christoph. In: CQE Working Papers. RePEc:cqe:wpaper:7718.

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2018Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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2018The volatility-volume relationship in the LME futures market for industrial metals. (2018). Clements, Adam ; Todorova, Neda. In: Resources Policy. RePEc:eee:jrpoli:v:58:y:2018:i:c:p:111-124.

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2018Target volatility option pricing in lognormal fractional SABR model. (2018). Alos, Elisa ; Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak. In: Papers. RePEc:arx:papers:1801.08215.

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2018Comparing different methods for the estimation of interbank intraday yield curves. (2018). Jeleskovic, Vahidin ; Demertzidis, Anastasios . In: MAGKS Papers on Economics. RePEc:mar:magkse:201839.

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2018The impact of commodity benchmarks on derivatives markets: The case of the dated Brent assessment and Brent futures. (2018). Frino, Alex ; Steffen, Tom ; Mollica, Vito ; Ibikunle, Gbenga. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:27-43.

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2018Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (2018). Lai, Yu-Sheng . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-018-9142-1.

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2018Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. (2018). Wang, Shixuan ; Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:297-307.

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2018Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis. (2018). Labidi, Chiaz ; Bekiros, Stelios ; Uddin, Gazi Salah ; Hedstrom, Axel ; Lutfur, MD. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:179-211.

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2018Directional predictability of implied volatility: From crude oil to developed and emerging stock markets. (2018). Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David ; Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:65-79.

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2018Monetary policy uncertainty and the market reaction to macroeconomic news. (2018). Kurov, Alexander ; Stan, Raluca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:127-142.

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2018Relief Rallies after FOMC Announcements as a Resolution of Uncertainty. (2018). Kurov, Alexander ; Wolfe, Marketa Halova ; Gu, Chen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:1-18.

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2018Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets. (2018). Zhu, Fangfei ; Luo, Xingguo ; Jin, Xuejun. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:25-33.

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2018Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach. (2018). Lee, Jaeram ; Ryu, Doojin. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201868.

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2018Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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2018The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs. (2018). Jitmaneeroj, Boonlert. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:282-298.

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2018Positive liquidity spillovers from sovereign bond-backed securities. (2018). Dunne, Peter. In: ESRB Working Paper Series. RePEc:srk:srkwps:201867.

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2018Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2018). Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/18.

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2018Entrepreneurs and internationalization: A study of Western immigrants in an emerging market. (2018). , Joyce ; Welch, Denice E. In: International Business Review. RePEc:eee:iburev:v:27:y:2018:i:1:p:93-101.

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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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2018Local volatility and the recovery rate of credit default swaps. (2018). Jansen, Jeroen ; Fabozzi, Frank J ; Das, Sanjiv R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:1-29.

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2018Hedging spark spread risk with futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:731-746.

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2018Competitive Permit Storage and Market Design: An Application to the EU-ETS. (2018). Trotignon, Raphael ; Quemin, Simon. In: Working Papers. RePEc:fae:wpaper:2018.19.

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2018Regime Switching Rough Heston Model. (2018). Alfeus, Mesias ; Overbeck, Ludger. In: Research Paper Series. RePEc:uts:rpaper:387.

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2018OPEC in the News. (2018). Plante, Michael. In: Working Papers. RePEc:fip:feddwp:1802.

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2018The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments. (2018). Lopez, Raquel . In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:356-364.

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2018The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review. (2018). Zavadska, Miroslava ; Coughlan, Joseph ; Morales, Lucia. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:4:p:89-:d:179491.

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2018The components of the bid†ask spread: Evidence from the corn futures market. (2018). Garcia, Philip ; Mallory, Mindy ; Shang, Quanbiao . In: Agricultural Economics. RePEc:bla:agecon:v:49:y:2018:i:3:p:381-393.

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2018Speculation, risk aversion, and risk premiums in the crude oil market. (2018). Li, Bingxin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:64-81.

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2018Oil prices implied volatility or direction: Which matters more to financial markets?. (2018). Dupoyet, Brice V ; Shank, Corey A. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:3:d:10.1007_s11408-018-0314-7.

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2018Economic cycles and downside commodities risk. (2018). Vo, Duc ; Powell, Robert ; Pham, Thach. In: Applied Economics Letters. RePEc:taf:apeclt:v:25:y:2018:i:4:p:258-263.

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2018What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets. (2018). Dąbrowski, Marek ; Fijorek, Kamil ; Dbrowski, Marek A ; Papie, Monika ; Miech, Sawomir. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201855.

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2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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Recent citations (cites in year: CiY)


Recent citations received in 2018

YearCiting document
2018Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619.

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2018Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index. (2018). Xiao, Jihong ; Wen, Fenghua ; Zhou, Min. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:777-786.

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2018Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018Algorithmic trading and liquidity: Long term evidence from Austria. (2018). Theissen, Erik ; Mestel, Roland ; Murg, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:198-203.

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2018Foreign currency risk hedging and firm value in China. (2018). Luo, Hang ; Wang, Rui. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:129-143.

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2018News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets. (2018). Gupta, Rangan ; Wohar, Mark E ; Papadamou, Stephanos ; Kollias, Christos . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:76-90.

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2018Univariate dependence among sectors in Chinese stock market and systemic risk implication. (2018). Hao, Jing ; He, Feng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:355-364.

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2018Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323.

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2018Does US Economic Policy Uncertainty matter for European stock markets volatility?. (2018). Mei, Dexiang ; Hou, Wenjing ; Zhang, Yaojie ; Zeng, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:215-221.

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2018Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis. (2018). Conrad, Christian ; Ghysels, Eric ; Custovic, Anessa . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:23-:d:145629.

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2018Algorithmic Trading and Liquidity: Long Term Evidence from Austria. (2018). Theissen, Erik ; Mestel, Roland ; Murg, Michael. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2018-03.

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2018Success Factors of Financial Derivatives Markets in Asia. (2018). Sittisawad, Trin ; Sukcharoensin, Pariyada . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:2:d:10.1007_s10690-018-9239-4.

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Recent citations received in 2017

YearCiting document
2017What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Adjemian, Michael ; Wallen, Jonathan ; Bruno, Valentina. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452.

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2017No arbitrage and lead-lag relationships. (2017). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1712.09854.

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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763.

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2017Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market. (2017). Chung, Chune Young ; Ryu, Doojin ; Lee, Yunjae. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:4:d:10.1007_s10690-017-9235-0.

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2017Effects of intraday weather changes on asset returns and volatilities. (2017). Shim, Hyein ; Ryu, Doojin ; Kim, Maria H. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:35:y:2017:i:2:p:301-330.

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2017Do institutions behave rationally in distressed markets?. (2017). Cho, Hoon ; Sung, Sangwook ; Ryu, Doojin. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017103.

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Recent citations received in 2016

YearCiting document
2016BTP futures and cash relationships: a high frequency data analysis. (2016). Puorro, Alfonso ; Potente, Francesco ; Panzarino, Onofrio . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1083_16.

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2016Intertemporal abatement decisions under ambiguity aversion in a cap and trade. (2016). Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1604.

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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: CQE Working Papers. RePEc:cqe:wpaper:4516.

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2016Forecasting volatility of wind power production. (2016). Shen, Zhiwei ; Ritter, Matthias. 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 ; Peat, Maurice. 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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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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2016Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty. (2016). Robe, Michel ; Wallen, Jonathan ; Covindassamy, Genevre. In: IDB Publications (Working Papers). RePEc:idb:brikps:8588.

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2016Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105.

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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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2016The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:80163.

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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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2015A SMOOTH AMBIGUITY MODEL OF THE COMPETITIVE FIRM. (2015). Wong, Kit Pong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:67:y:2015:i:s1:p:s97-s110.

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2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Zhenzhen, Zhu ; 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. ; Kim, Hyung-Gun ; Li, Haiqi. 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). Drew, Michael ; Bianchi, Robert ; Fan, John Hua . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:423-444.

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2015The incentive to trade under ambiguity aversion. (2015). Broll, Udo ; Wong, Kit Pong. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:12:y:2015:i:2:p:190-196.

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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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2015Information content of inter-transaction time: A structural approach. (2015). Ryu, Doojin. In: Journal of Business Economics and Management. RePEc:taf:jbemgt:v:16:y:2015:i:4:p:697-711.

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2015FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS. (2015). Zeng, Pingping ; Zheng, Wendong ; Kwok, Yue Kuen. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500466.

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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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