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

Citation Profile [Updated: 2020-06-03 07:38:54]

5 Years H

Impact Factor

0.63

5 Years IF

0.72

Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0.02	0.08	0.44	0.03	55	55	148	24	24	101	2	265	8		0	1	0.02	0.04
1991	0.04	0.08	0.12	0.03	57	112	270	13	37	106	4	266	7		0		0	0.04
1992	0.01	0.09	0.22	0.03	53	165	209	36	73	112	1	270	7		0		0	0.04
1993	0.02	0.1	0.07	0.01	63	228	355	15	88	110	2	266	2		0		0	0.05
1994	0.04	0.11	0.11	0.05	48	276	213	29	117	116	5	279	14		0	1	0.02	0.06
1995	0.05	0.2	0.15	0.04	44	320	377	48	165	111	5	276	11		0	2	0.05	0.08
1996	0.12	0.22	0.16	0.08	50	370	686	57	223	92	11	265	22	2	3.5		0	0.1
1997	0.09	0.23	0.23	0.11	45	415	215	96	319	94	8	258	28		0	2	0.04	0.1
1998	0.16	0.27	0.24	0.14	48	463	214	113	432	95	15	250	34	8	7.1		0	0.12
1999	0.08	0.29	0.19	0.12	47	510	392	98	530	93	7	235	28	8	8.2		0	0.14
2000	0.03	0.34	0.12	0.08	50	560	251	69	599	95	3	234	19		0	1	0.02	0.15
2001	0.09	0.36	0.18	0.12	52	612	452	111	710	97	9	240	28		0	1	0.02	0.16
2002	0.11	0.4	0.2	0.13	55	667	260	133	844	102	11	242	31		0	3	0.05	0.21
2003	0.09	0.41	0.15	0.1	54	721	217	108	952	107	10	252	25	3	2.8	1	0.02	0.2
2004	0.11	0.46	0.2	0.12	57	778	384	153	1105	109	12	258	31	2	1.3	2	0.04	0.21
2005	0.09	0.47	0.18	0.13	51	829	226	150	1255	111	10	268	34	14	9.3	3	0.06	0.22
2006	0.12	0.47	0.28	0.14	51	880	293	249	1504	108	13	269	39		0	2	0.04	0.21
2007	0.06	0.42	0.16	0.12	51	931	308	150	1654	102	6	268	33	5	3.3	1	0.02	0.19
2008	0.16	0.45	0.22	0.13	58	989	347	218	1873	102	16	264	35	1	0.5	2	0.03	0.21
2009	0.25	0.44	0.27	0.19	53	1042	293	285	2158	109	27	268	51	1	0.4		0	0.21
2010	0.15	0.44	0.26	0.17	56	1098	237	280	2442	111	17	264	46	3	1.1	4	0.07	0.18
2011	0.16	0.46	0.24	0.2	47	1145	302	272	2714	109	17	269	53	16	5.9	1	0.02	0.21
2012	0.16	0.47	0.22	0.16	50	1195	271	258	2979	103	16	265	42	6	2.3	7	0.14	0.19
2013	0.41	0.53	0.35	0.27	51	1246	178	427	3409	97	40	264	71	16	3.7	9	0.18	0.22
2014	0.43	0.55	0.37	0.35	58	1304	275	484	3893	101	43	257	90	15	3.1	23	0.4	0.21
2015	0.61	0.55	0.76	0.57	65	1369	265	1036	4930	109	67	262	150	20	1.9	34	0.52	0.21
2016	0.89	0.56	0.84	0.71	56	1425	218	1199	6129	123	110	271	193	50	4.2	15	0.27	0.2
2017	0.84	0.58	0.78	0.66	57	1482	95	1161	7290	121	102	280	185	20	1.7	7	0.12	0.21
2018	0.75	0.7	0.63	0.6	77	1559	64	986	8276	113	85	287	173	8	0.8	18	0.23	0.28
2019	0.63	0.88	0.66	0.72	81	1640	16	1090	9366	134	84	313	224	45	4.1	15	0.19	0.33

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until 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:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	Year	Title	Cited
1	1996	Energy 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	310
2	1996	The 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. Full description at Econpapers \|\| Download paper	87
3	1995	Predicting 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	86
4	2004	Volatility 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	77
5	2001	What 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	72
6	1995	Bivariate 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. Full description at Econpapers \|\| Download paper	67
7	2001	Asset 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	65
8	1993	Nonlinear 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. Full description at Econpapers \|\| Download paper	59
9	1996	Trading 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	59
10	1999	The 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	57
11	1999	Price 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	55
12	1994	Price 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	51
13	2001	Hedge 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. Full description at Econpapers \|\| Download paper	49
14	2012	Intraday 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	49
15	1985	The 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. Full description at Econpapers \|\| Download paper	45
16	2008	Informed 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	43
17	2002	Measuring and forecasting S&P 500 indexâfutures volatility using highâfrequency data. (2002). Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:22:y:2002:i:6:p:497-518. Full description at Econpapers \|\| Download paper	42
18	2009	The information content of an open limitâorder 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	42
19	1999	Price 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	40
20	2014	The 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	39
21	2000	Efficient 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. Full description at Econpapers \|\| Download paper	38
22	2007	Long 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	36
23	1999	Risk 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. Full description at Econpapers \|\| Download paper	36
24	2009	A 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	35
25	1986	Price 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. Full description at Econpapers \|\| Download paper	35
26	2015	Do MomentumâBased 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. Full description at Econpapers \|\| Download paper	35
27	1997	Futures 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. Full description at Econpapers \|\| Download paper	35
28	2004	Predicting financial volatility: Highâfrequency timeâseries forecasts visâÃ âvis implied volatility. (2004). Zein, Jason ; Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028. Full description at Econpapers \|\| Download paper	34
29	1984	Memory 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. Full description at Econpapers \|\| Download paper	33
30	1990	South 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. Full description at Econpapers \|\| Download paper	33
31	2008	Realized 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	32
32	1997	Searching 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. Full description at Econpapers \|\| Download paper	32
33	2004	Explaining credit default swap premia. (2004). Benkert, Christoph . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:1:p:71-92. Full description at Econpapers \|\| Download paper	30
34	2016	Do 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. Full description at Econpapers \|\| Download paper	30
35	2006	Jumping 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. Full description at Econpapers \|\| Download paper	30
36	2011	Price 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. Full description at Econpapers \|\| Download paper	29
37	1996	Detecting 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. Full description at Econpapers \|\| Download paper	29
38	1999	VaR 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. Full description at Econpapers \|\| Download paper	29
39	2005	Implied 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. Full description at Econpapers \|\| Download paper	29
40	2001	Risk 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. Full description at Econpapers \|\| Download paper	28
41	1993	Price 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. Full description at Econpapers \|\| Download paper	28
42	2008	Forecasting 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. Full description at Econpapers \|\| Download paper	28
43	2015	The 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. Full description at Econpapers \|\| Download paper	27
44	2007	Extreme 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. Full description at Econpapers \|\| Download paper	27
45	1996	Linkages 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. Full description at Econpapers \|\| Download paper	27
46	2000	Trading volume, bidâask spread, and price volatility in futures markets. (2000). George H. K. Wang, ; Yau, Jot. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:10:p:943-970. Full description at Econpapers \|\| Download paper	27
47	2000	Stock 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. Full description at Econpapers \|\| Download paper	27
48	2001	Investor 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. Full description at Econpapers \|\| Download paper	27
49	1985	Some 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. Full description at Econpapers \|\| Download paper	27
50	2010	The 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. Full description at Econpapers \|\| Download paper	27

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

#	Year	Title	Cited
1	1996	Energy 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	89
2	2018	Structural breaks and volatility forecasting in the copper futures market. (2018). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339. Full description at Econpapers \|\| Download paper	20
3	2016	Do 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. Full description at Econpapers \|\| Download paper	19
4	1994	Price 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	19
5	2004	Volatility 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	18
6	2009	A 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	18
7	1996	Trading 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	18
8	1995	Predicting 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	17
9	2014	The 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	17
10	2009	The information content of an open limitâorder 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	17
11	1999	The 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	16
12	2001	What 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
13	2012	Intraday 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	16
14	2009	Do 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. Full description at Econpapers \|\| Download paper	16
15	2016	Who 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. Full description at Econpapers \|\| Download paper	14
16	1999	Price 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	14
17	2009	Tick 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. Full description at Econpapers \|\| Download paper	13
18	2008	Forecasting 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. Full description at Econpapers \|\| Download paper	13
19	1999	VaR 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. Full description at Econpapers \|\| Download paper	13
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Citing documents used to compute impact factor: 84

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2019	Information content of the limit order book for crude oil futures price volatility. (2019). Duong, Huu Nhan ; Tian, Xiao ; Kalev, Petko S. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:584-597. Full description at Econpapers \|\| Download paper
2019	Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange. (2019). Lien, Donald ; Hung, Pi-Hsia . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:60:y:2019:i:c:p:231-251. Full description at Econpapers \|\| Download paper
2019	Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China. (2019). Farnoosh, Arash ; Zhang, Yue. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:678-690. Full description at Econpapers \|\| Download paper
2019	Pricing of vulnerable options with early counterparty credit risk. (2019). Kim, Geonwoo ; Jeon, Junkee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:645-656. Full description at Econpapers \|\| Download paper
2019	Analytical valuation of power exchange options with default risk. (2019). Wang, Xingchun ; Shao, Xinjian ; Xu, Guangli. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:265-274. Full description at Econpapers \|\| Download paper
2019	Valuation of new-designed contracts for catastrophe risk management. (2019). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301032. Full description at Econpapers \|\| Download paper
2019	Time-dependent lead-lag relationships between the VIX and VIX futures markets. (2019). Shao, Ying-Hui ; Yang, Yan-Hong. In: Papers. RePEc:arx:papers:1910.13729. Full description at Econpapers \|\| Download paper
2019	Can ETFs contribute to systemic risk?. (2019). SÃÂ¡nchez Serrano, Antonio ; Pagano, Marco ; Zechner, Jozef. In: Report of the Advisory Scientific Committee. RePEc:srk:srkasc:20199. Full description at Econpapers \|\| Download paper
2019	The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14. Full description at Econpapers \|\| Download paper
2019	No arbitrage and leadâlag relationships. (2019). Koike, Yuta ; Hayashi, Takaki. In: Statistics & Probability Letters. RePEc:eee:stapro:v:154:y:2019:i:c:1. Full description at Econpapers \|\| Download paper
2019	A higher-order Markov chain-modulated model for electricity spot-price dynamics. (2019). Xiong, Heng ; Mamon, Rogemar. In: Applied Energy. RePEc:eee:appene:v:233-234:y:2019:i::p:495-515. Full description at Econpapers \|\| Download paper
2019	The quantile dependence of commodity futures markets on news sentiment. (2019). Todorova, Neda ; Omura, Akihiro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:818-837. Full description at Econpapers \|\| Download paper
2019	Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166. Full description at Econpapers \|\| Download paper
2019	The impacts of overseas market shocks on the CDS-option basis. (2019). Ryu, Doojin ; Kutan, Ali M ; Park, Yuen Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:622-636. Full description at Econpapers \|\| Download paper
2019	Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?. (2019). Ryu, Doojin ; Park, Chanhi ; Cho, Hoon ; Ik, Sang. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:13:p:3718-:d:246434. Full description at Econpapers \|\| Download paper
2019	How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. (2019). Ryu, Doojin ; Lee, Jieun. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:101-119. Full description at Econpapers \|\| Download paper
2019	Who has volatility information in the index options market?. (2019). Yang, Heejin ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:266-270. Full description at Econpapers \|\| Download paper
2019	Firm-specific investor sentiment and daily stock returns. (2019). Ryu, Doojin ; Cho, Hoon ; Ik, Sang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s106294081830158x. Full description at Econpapers \|\| Download paper
2019	Volatility information trading in the index options market: An intraday analysis. (2019). Ryu, Doojin ; Kutan, Ali M ; Yang, Heejin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:412-426. Full description at Econpapers \|\| Download paper
2019	Pricing variance swaps under the Hawkes jumpâdiffusion process. (2019). Zhu, Songping ; Liu, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:635-655. Full description at Econpapers \|\| Download paper
2019	The role of market expectations in commodity price dynamics: Evidence from oil data. (2019). Jin, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:1-18. Full description at Econpapers \|\| Download paper
2019	Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis. (2019). Ferreira, Paulo ; Pereira, Hernane Borges ; da Silva, Marcus Fernandes ; de Area, Eder Johson. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:86-96. Full description at Econpapers \|\| Download paper
2019	Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201917. Full description at Econpapers \|\| Download paper
2019	Determinants of the Long-Term Correlation between Crude Oil and Stock Markets. (2019). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:21:p:4123-:d:281377. Full description at Econpapers \|\| Download paper
2019	Global and regional stock market integration in Asia: A panel convergence approach. (2019). Caporale, Guglielmo Maria ; Chen, Lei ; You, Kefei. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918306665. Full description at Econpapers \|\| Download paper
2019	The diminishing hedging role of crude oil: Evidence from time varying financialization. (2019). Sharma, Shahil ; Rodriguez, Ivan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19301392. Full description at Econpapers \|\| Download paper
2019	Reasonable evaluation of VIX options for the Taiwan stock index. (2019). Wang, Chiu-Ping ; Lin, Shin-Hung ; Huang, Hung-Hsi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:111-130. Full description at Econpapers \|\| Download paper
2019	Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. (2019). Ortega, Juan-Pablo ; Cui, Zhenyu ; Badescu, Alexandru. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2941-9. Full description at Econpapers \|\| Download paper
2019	Forecasting returns in the VIX futures market. (2019). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1193-1210. Full description at Econpapers \|\| Download paper
2019	The Response of European Energy Prices to ECB Monetary Policy. (2019). Torro, Hipolit. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-1. Full description at Econpapers \|\| Download paper
2019	Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007â2015. (2019). Wong, Alfred. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:7-16. Full description at Econpapers \|\| Download paper
2019	Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns. (2019). Huang, Paoyu ; Ni, Yensen ; Day, Min-Yuh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:349-372. Full description at Econpapers \|\| Download paper
2019	Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?. (2019). Bonato, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:184-202. Full description at Econpapers \|\| Download paper
2019	Modeling stock market volatility using new HAR-type models. (2019). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:194-211. Full description at Econpapers \|\| Download paper
2019	Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets. (2019). Li, Weiping ; Teng, Yuxin ; Qiao, Gaoxiu ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:133-151. Full description at Econpapers \|\| Download paper
2019	Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. (2019). Athaley, Chaitaly ; Rastogi, Shailesh . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426. Full description at Econpapers \|\| Download paper
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2019	The EIA WPSR release, OVX and crude oil internet interest. (2019). Nikkinen, Jussi ; Rothovius, Timo . In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:131-141. Full description at Econpapers \|\| Download paper
2019	Energy sector uncertainty decomposition: New approach based on implied volatilities. (2019). Rothovius, Timo ; Nikkinen, Jussi. In: Applied Energy. RePEc:eee:appene:v:248:y:2019:i:c:p:141-148. Full description at Econpapers \|\| Download paper
2019	A global economic policy uncertainty index from principal component analysis. (2019). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:1907.05049. Full description at Econpapers \|\| Download paper
2019	Economic policy uncertainty: A literature review. (2019). Algharabali, Barrak Ghanim ; Al-Thaqeb, Saud Asaad. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300726. Full description at Econpapers \|\| Download paper
2019	Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000. Full description at Econpapers \|\| Download paper
2019	Time-varying effects of international copper price shocks on Chinas producer price index. (2019). Hu, Chunyan ; Zhao, Cong ; Wen, Fenghua. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:507-514. Full description at Econpapers \|\| Download paper
2019	Forecasting downside risk in Chinaâs stock market based on high-frequency data. (2019). Xie, Nan ; Gong, XU ; Chen, Sicen ; Wang, Zongrun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:530-541. Full description at Econpapers \|\| Download paper
2019	Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146. Full description at Econpapers \|\| Download paper
2019	Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563. Full description at Econpapers \|\| Download paper
2019	A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522. Full description at Econpapers \|\| Download paper
2019	Forecasting the Chinese stock volatility across global stock markets. (2019). Zhang, Yaojie ; Ma, Feng ; Liu, Jing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:466-477. Full description at Econpapers \|\| Download paper
2019	Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120. Full description at Econpapers \|\| Download paper
2019	Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62. Full description at Econpapers \|\| Download paper
2019	Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. (2019). Ma, Feng ; Xu, Weiju ; Zhang, Bing ; Chen, Wang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:310-320. Full description at Econpapers \|\| Download paper
2019	Drivers of metal consumption in China: An input-output structural decomposition analysis. (2019). Wang, Zhiping ; Zhang, Yijun ; Huang, Jianbai ; Song, YI. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:25. Full description at Econpapers \|\| Download paper
2019	Predictive analytics of the copper spot price by utilizing complex network and artificial neural network techniques. (2019). Ghadimi, Pezhman ; Lim, Ming K ; Wang, Minggang ; Zhang, Xinyi. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:54. Full description at Econpapers \|\| Download paper
2019	A new online portfolio selection algorithm based on Kalman Filter and anti-correlation. (2019). Zhang, Xiaotao ; Sun, Guofeng ; Chu, Gang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119305412. Full description at Econpapers \|\| Download paper
2019	How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective. (2019). Zhang, Yue-Jun ; Ma, Shu-Jiao. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303573. Full description at Econpapers \|\| Download paper
2019	Risk premia in Chinese commodity markets. (2019). Molyboga, Marat ; Jiang, Cheng ; He, Chaohua . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:15:y:2019:i:c:5. Full description at Econpapers \|\| Download paper
2019	Price discovery in a continuous-time setting. (2019). Fernandes, Marcelo ; Scherrer, Cristina Mabel ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2019_02. Full description at Econpapers \|\| Download paper
2019	Determinants of spatial market efficiency of grain markets in Russia. (2019). Gotz, Linde ; Svanidze, Miranda. In: EconStor Open Access Articles. RePEc:zbw:espost:207027. Full description at Econpapers \|\| Download paper
2019	Determinants of spatial market efficiency of grain markets in Russia. (2019). GÃÂ¶tz, Linde ; Gotz, Linde ; Svanidze, Miranda. In: Food Policy. RePEc:eee:jfpoli:v:89:y:2019:i:c:s0306919219305913. Full description at Econpapers \|\| Download paper
2019	Comparative Study of Two Extensions of Heston Stochastic Volatility Model. (2019). Taneja, H C ; Srivastava, R ; Malhotra, Gifty. In: Papers. RePEc:arx:papers:1912.10237. Full description at Econpapers \|\| Download paper
2019	Calibration of the risk-neutral density function by maximization of a two-parameter entropy. (2019). Malhotra, Gifty ; Taneja, H C ; Srivastava, R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:45-54. Full description at Econpapers \|\| Download paper
2019	The influence of shock signals on the change in volatility term structure. (2019). CHOI, SUN-YONG . In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:29. Full description at Econpapers \|\| Download paper
2019	Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165. Full description at Econpapers \|\| Download paper
2019	The impact of trade reporting and central clearing on CDS price informativeness. (2019). Zhu, LU ; Yu, Fan ; Marra, Miriam . In: Journal of Financial Stability. RePEc:eee:finsta:v:43:y:2019:i:c:p:130-145. Full description at Econpapers \|\| Download paper
2019	Pricing dynamics of natural gas futures. (2019). Li, Bingxin. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:91-108. Full description at Econpapers \|\| Download paper
2019	Dissecting the tracking performance of regular and leveraged VIX ETPs. (2019). Xu, Xiaoqing Eleanor ; Tang, Hongfei. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9149-7. Full description at Econpapers \|\| Download paper
2019	Informed contrarian trades and stock returns. (2019). Chang, Sanders ; Wang, Albert F. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:75-93. Full description at Econpapers \|\| Download paper
2019	The length of the trading day and trading volume. (2019). Aharon, David Y ; Qadan, Mahmoud. In: Eurasian Business Review. RePEc:spr:eurasi:v:9:y:2019:i:2:d:10.1007_s40821-019-00119-8. Full description at Econpapers \|\| Download paper
2019	Asset pricing factors and bank CDS spreads. (2019). Koutmos, Dimitrios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:19-41. Full description at Econpapers \|\| Download paper
2019	Internet Searches, Household Sentiment and Credit Spreads. (2019). BystrÃÂ¶m, Hans ; Bystrom, Hans. In: Working Papers. RePEc:hhs:lunewp:2019_015. Full description at Econpapers \|\| Download paper
2019	Market Illiquidity Premium on Stock Returns: An Empirical Study of Taiwan Stock Markets. (2019). Cho, Yi-Chun ; Tai, Chia-Li ; Chen, Chia-Cheng . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:778-788. Full description at Econpapers \|\| Download paper
2019	A key determinant of commodity price Co-movement: The role of daily market liquidity. (2019). Scheffel, Eric M ; Ding, Shusheng ; Zhang, Yongmin. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:170-180. Full description at Econpapers \|\| Download paper
2019	Efficiency and Forecast Performance of Commodity Futures Markets. (2019). Kalkuhl, Matthias ; Algieri, Bernardina. In: American Journal of Economics and Business Administration. RePEc:abk:jajeba:ajebasp.2019.19.34. Full description at Econpapers \|\| Download paper
2019	The impact of the US stock market opening on price discovery of government bond futures. (2019). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:779-802. Full description at Econpapers \|\| Download paper
2019	Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04. Full description at Econpapers \|\| Download paper
2019	Information or noise: What does algorithmic trading incorporate into the stock prices?. (2019). Elliott, Robert J ; Zhou, Hao ; Kalev, Petko S. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:27-39. Full description at Econpapers \|\| Download paper
2019	Surprise and dispersion: informational impact of USDA announcements. (2019). Frijns, Bart ; TouraniRad, Alireza ; Indriawan, Ivan ; FernandezPerez, Adrian . In: Agricultural Economics. RePEc:bla:agecon:v:50:y:2019:i:1:p:113-126. Full description at Econpapers \|\| Download paper
2019	Investor trading behavior on agricultural future prices. (2019). Huang, Jialiang ; Zhang, Rixin ; Zhou, Liyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:365-379. Full description at Econpapers \|\| Download paper
2019	The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage. (2019). Dionne, Georges ; Breton, Michele ; Ben-Abdallah, Ramzi ; Guesmi, Sahar. In: Working Papers. RePEc:ris:crcrmw:2019_004. Full description at Econpapers \|\| Download paper
2019	The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK. (2019). Gregoriou, Andros ; Zhang, Sijia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:191-200. Full description at Econpapers \|\| Download paper
2019	Expected stock price crash risk and bank loan pricing: Evidence from Chinas listed firms. (2019). Xu, Liping ; Xin, YU ; Gu, Xiaolong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x18306036. Full description at Econpapers \|\| Download paper
2019	Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash. (2019). Hassan, Arshad ; Yousaf, Imran. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s154461231930683x. Full description at Econpapers \|\| Download paper
2019	The economic sources of Chinas CSI 300 spot and futures volatilities before and after the 2015 stock market crisis. (2019). Gong, Yuting ; Chen, Qiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:102-121. Full description at Econpapers \|\| Download paper
2019	Valuation of collateralized debt obligations: An equilibrium model. (2019). Park, Jason ; Hu, May. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:119-135. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2019

Year	Citing document
2019	From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151. Full description at Econpapers \|\| Download paper
2019	From microscopic price dynamics to multidimensional rough volatility models. (2019). Rosenbaum, Mathieu ; Tomas, Mehdi. In: Papers. RePEc:arx:papers:1910.13338. Full description at Econpapers \|\| Download paper
2019	The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2019). Wu, Lixin ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:1911.13123. Full description at Econpapers \|\| Download paper
2019	BitMEX Funding Correlation with Bitcoin Exchange Rate. (2019). Ammanamanchi, Pawan Sasanka ; Nimmagadda, Sai Srikar. In: Papers. RePEc:arx:papers:1912.03270. Full description at Econpapers \|\| Download paper
2019	Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets. (2019). Li, Weiping ; Teng, Yuxin ; Qiao, Gaoxiu ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:133-151. Full description at Econpapers \|\| Download paper
2019	Valuation of new-designed contracts for catastrophe risk management. (2019). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301032. Full description at Econpapers \|\| Download paper
2019	How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. (2019). Ryu, Doojin ; Lee, Jieun. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:101-119. Full description at Econpapers \|\| Download paper
2019	Predicting the volatility of the iShares China Large-Cap ETF: What is the role of the SSE 50 ETF?. (2019). Jin, Xuejun ; Luo, Xingguo ; Zhu, Fangfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19301040. Full description at Econpapers \|\| Download paper
2019	Volatility information trading in the index options market: An intraday analysis. (2019). Ryu, Doojin ; Kutan, Ali M ; Yang, Heejin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:412-426. Full description at Econpapers \|\| Download paper
2019	. Full description at Econpapers \|\| Download paper
2019	When do regulatory interventions work?. (2019). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2019-011. Full description at Econpapers \|\| Download paper
2019	Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41. Full description at Econpapers \|\| Download paper
2019	Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective. (2019). Oxley, Les ; Hou, Yang ; Hu, Yang. In: Working Papers in Economics. RePEc:wai:econwp:19/13. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619. Full description at Econpapers \|\| Download paper
2018	Forecasting 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. Full description at Econpapers \|\| Download paper
2018	The 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. Full description at Econpapers \|\| Download paper
2018	Asymmetric 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. Full description at Econpapers \|\| Download paper
2018	Predictability 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. Full description at Econpapers \|\| Download paper
2018	Forecasting 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. Full description at Econpapers \|\| Download paper
2018	Algorithmic 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. Full description at Econpapers \|\| Download paper
2018	Foreign 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. Full description at Econpapers \|\| Download paper
2018	News 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. Full description at Econpapers \|\| Download paper
2018	Univariate 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. Full description at Econpapers \|\| Download paper
2018	Volatility 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. Full description at Econpapers \|\| Download paper
2018	Does 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. Full description at Econpapers \|\| Download paper
2018	First to Read the News: New Analytics and Algorithmic Trading. (2018). Massa, Massimo ; Keim, Donald B ; von Beschwitz, Bastian. In: International Finance Discussion Papers. RePEc:fip:fedgif:1233. Full description at Econpapers \|\| Download paper
2018	Long- 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. Full description at Econpapers \|\| Download paper
2018	Algorithmic 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. Full description at Econpapers \|\| Download paper
2018	Success 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. Full description at Econpapers \|\| Download paper
2018	Is Trading Fast Dangerous?. (2018). Moinas, Sophie ; Foucault, Thierry. In: TSE Working Papers. RePEc:tse:wpaper:32372. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	What 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. Full description at Econpapers \|\| Download paper
2017	No arbitrage and lead-lag relationships. (2017). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1712.09854. Full description at Econpapers \|\| Download paper
2017	Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763. Full description at Econpapers \|\| Download paper
2017	Do 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. Full description at Econpapers \|\| Download paper
2017	Corporate governance, product-market competition, and stock returns: evidence from the Korean market. (2017). Ho, Joon ; Ryu, Doojin. In: Asian Business & Management. RePEc:pal:abaman:v:16:y:2017:i:1:d:10.1057_s41291-017-0014-6. Full description at Econpapers \|\| Download paper
2017	Effects 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. Full description at Econpapers \|\| Download paper
2017	Do institutions behave rationally in distressed markets?. (2017). Sung, Sangwook ; Ryu, Doojin ; Cho, Hoon. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017103. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	BTP 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. Full description at Econpapers \|\| Download paper
2016	Intertemporal abatement decisions under ambiguity aversion in a cap and trade. (2016). Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1604. Full description at Econpapers \|\| Download paper
2016	Short 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. Full description at Econpapers \|\| Download paper
2016	Forecasting 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. Full description at Econpapers \|\| Download paper
2016	Gold 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. Full description at Econpapers \|\| Download paper
2016	Short 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. Full description at Econpapers \|\| Download paper
2016	Considering 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. Full description at Econpapers \|\| Download paper
2016	Optimal 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. Full description at Econpapers \|\| Download paper
2016	The 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. Full description at Econpapers \|\| Download paper
2016	Global 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. Full description at Econpapers \|\| Download paper
2016	Further 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. Full description at Econpapers \|\| Download paper
2016	Extreme 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. Full description at Econpapers \|\| Download paper
2016	Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105. Full description at Econpapers \|\| Download paper
2016	Price Discovery in the Chinese Gold Market. (2016). Wang, Jianxin ; Li, Youwei ; Jin, Muzhao ; Yang, Yung Chiang . In: MPRA Paper. RePEc:pra:mprapa:71135. Full description at Econpapers \|\| Download paper
2016	The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:80163. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Energy Economics / Elsevier	118	352
2	International Review of Economics & Finance / Elsevier	40	241
3	International Review of Financial Analysis / Elsevier	36	210
4	Economic Modelling / Elsevier	58	193
5	Journal of Futures Markets / John Wiley & Sons, Ltd.	32	187
6	Physica A: Statistical Mechanics and its Applications / Elsevier	54	176
7	Papers / arXiv.org	54	167
8	MPRA Paper / University Library of Munich, Germany	90	166
9	The North American Journal of Economics and Finance / Elsevier	33	140
10	Journal of Banking & Finance / Elsevier	133	139
11	Finance Research Letters / Elsevier	27	138