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Citation Profile [Updated: 2020-11-03 07:59:29]
5 Years H
34
Impact Factor
0.53
5 Years IF
0.61
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 0.09 0.44 0.03 55 55 174 24 24 101 2 265 8 0 1 0.02 0.04
1991 0.04 0.08 0.12 0.03 57 112 294 13 37 106 4 266 7 0 0 0.04
1992 0.01 0.09 0.22 0.03 53 165 221 36 73 112 1 270 7 0 0 0.04
1993 0.02 0.11 0.09 0.02 63 228 403 21 94 110 2 266 4 0 0 0.05
1994 0.04 0.12 0.11 0.05 48 276 238 31 125 116 5 279 15 0 1 0.02 0.06
1995 0.05 0.2 0.15 0.04 44 320 406 49 174 111 5 276 11 0 2 0.05 0.09
1996 0.12 0.23 0.16 0.08 50 370 756 57 232 92 11 265 22 2 3.5 0 0.11
1997 0.1 0.23 0.26 0.12 45 415 238 106 338 94 9 258 30 0 2 0.04 0.1
1998 0.17 0.27 0.26 0.14 48 463 236 119 457 95 16 250 35 8 6.7 0 0.13
1999 0.08 0.29 0.2 0.12 47 510 453 102 559 93 7 235 29 8 7.8 0 0.14
2000 0.03 0.34 0.13 0.08 50 560 266 70 629 95 3 234 19 0 1 0.02 0.15
2001 0.09 0.36 0.19 0.12 52 612 502 114 743 97 9 240 29 0 1 0.02 0.16
2002 0.11 0.4 0.2 0.13 55 667 295 134 877 102 11 242 31 0 3 0.05 0.21
2003 0.09 0.41 0.15 0.1 54 721 249 108 985 107 10 252 24 3 2.8 1 0.02 0.2
2004 0.11 0.46 0.19 0.11 57 778 439 151 1136 109 12 258 29 2 1.3 2 0.04 0.2
2005 0.09 0.47 0.19 0.13 51 829 265 160 1296 111 10 268 34 14 8.8 3 0.06 0.22
2006 0.13 0.47 0.29 0.15 51 880 336 251 1547 108 14 269 40 0 2 0.04 0.21
2007 0.09 0.43 0.17 0.13 51 931 369 156 1703 102 9 268 36 5 3.2 1 0.02 0.19
2008 0.16 0.45 0.22 0.14 58 989 402 221 1925 102 16 264 36 1 0.5 2 0.03 0.21
2009 0.25 0.44 0.28 0.21 53 1042 350 293 2218 109 27 268 55 1 0.3 0 0.21
2010 0.15 0.44 0.26 0.18 56 1098 287 284 2506 111 17 264 47 3 1.1 4 0.07 0.18
2011 0.16 0.47 0.24 0.2 47 1145 356 279 2785 109 17 269 54 16 5.7 1 0.02 0.21
2012 0.18 0.47 0.23 0.17 50 1195 330 265 3057 103 19 265 46 6 2.3 7 0.14 0.19
2013 0.4 0.53 0.36 0.28 51 1246 209 439 3500 97 39 264 73 16 3.6 9 0.18 0.22
2014 0.45 0.54 0.38 0.37 58 1304 334 495 3997 101 45 257 96 15 3 23 0.4 0.21
2015 0.62 0.54 0.76 0.58 65 1369 346 1039 5037 109 68 262 151 20 1.9 37 0.57 0.21
2016 0.9 0.54 0.86 0.72 56 1425 292 1229 6267 123 111 271 194 50 4.1 16 0.29 0.19
2017 0.87 0.55 0.8 0.68 57 1482 165 1188 7456 121 105 280 191 20 1.7 7 0.12 0.2
2018 0.9 0.64 0.78 0.73 77 1559 131 1217 8673 113 102 287 209 203 16.7 20 0.26 0.25
2019 0.79 0.74 0.83 0.86 81 1640 53 1368 10041 134 106 313 270 228 16.7 20 0.25 0.27
2020 0.53 0.84 0.63 0.61 88 1728 8 1096 11137 158 84 336 204 277 25.3 8 0.09 0.28
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
#YearTitleCited
11996Energy shocks and financial markets. (1996). masulis, ronald ; Huang, Roger D. ; Stoll, Hans R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

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338
21995Predicting stock market volatility: A new measure. (1995). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

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93
31996The 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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91
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.

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88
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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80
62001Asset 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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75
71996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

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71
81995Bivariate 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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69
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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67
101999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Silvapulle, Param ; Moosa, Imad A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

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62
111993Nonlinear 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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61
121994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Schwarz, Thomas V. ; Szakmary, Andrew C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167.

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59
132012Intraday 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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58
141999Price 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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51
152001Hedge 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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51
162008Informed 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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51
171985The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian ; Ball, Clifford A. ; Torous, Walter N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43.

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47
182009The 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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46
192002Measuring 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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45
202016Do 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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44
212014The 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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43
222009A 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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42
232015Do 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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41
242000Efficient 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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41
251997Futures market transaction costs. (1997). Locke, Peter R. ; Venkatesh, P. C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:2:p:229-245.

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40
262011Price 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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38
271986Price 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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38
282007Long 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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37
292016Who 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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37
301990South 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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36
311999Risk arbitrage opportunities in petroleum futures spreads. (1999). Girma, Paul Berhanu ; Paulson, Albert S.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:931-955.

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36
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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36
332015The 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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35
342008Realized 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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34
351984Memory in commodity futures contracts. (1984). Rosenman, Robert ; Kaen, Fred R. ; Helms, Billy P.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:4:y:1984:i:4:p:559-567.

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34
362005Implied 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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34
371997Searching 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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34
381993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. (1993). Lashgari, Malek ; Wahab, Mahmoud. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:711-742.

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34
391996Detecting 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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33
402008Forecasting 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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32
412006Jumping 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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32
422010The information content of implied volatility: Evidence from Australia. (2010). Tourani-Rad, Alireza ; Frijns, Bart ; Tallau, Christian ; TouraniRad, Alireza . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:2:p:134-155.

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32
431985Some 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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31
442018Structural 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.

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31
452001Investor 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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31
462011Volatility 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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31
472015Does 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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31
482004Explaining 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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31
491999VaR 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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30
502009Do 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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30
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11996Energy shocks and financial markets. (1996). masulis, ronald ; Huang, Roger D. ; Stoll, Hans R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

Full description at Econpapers || Download paper

77
22018Structural 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

25
32016Do 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

23
41999Price 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

21
52004Volatility 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

20
62009A 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

17
71996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

Full description at Econpapers || Download paper

17
81995Predicting stock market volatility: A new measure. (1995). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

Full description at Econpapers || Download paper

16
92009The 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

16
102012Intraday 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
112016Who 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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16
121994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Schwarz, Thomas V. ; Szakmary, Andrew C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167.

Full description at Econpapers || Download paper

15
131999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Silvapulle, Param ; Moosa, Imad A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

Full description at Econpapers || Download paper

15
142015The 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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14
152011Price 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

14
162008Informed trading in the index option market: The case of KOSPI 200 options. (2008). Ryu, Doojin ; Kang, Jangkoo ; Ahn, HeeJoon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146.

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13
172016Fundamentals, Derivatives Market Information and Oil Price Volatility. (2016). Robe, Michel ; Wallen, Jonathan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:4:p:317-344.

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12
182015Does 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.

Full description at Econpapers || Download paper

12
192001Asset 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
202014The 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

12
212001What 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

12
221999Price 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

12
232009Do 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

11
242010The information content of implied volatility: Evidence from Australia. (2010). Tourani-Rad, Alireza ; Frijns, Bart ; Tallau, Christian ; TouraniRad, Alireza . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:2:p:134-155.

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11
252007An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis. (2007). Lien, Donald ; Shrestha, Keshab. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:2:p:127-150.

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11
262010The new market for volatility trading. (2010). Zhang, Jin E. ; Brenner, Menachem ; Shu, Jinghong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:9:p:809-833.

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272018The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach. (2018). Chen, Baizhu ; Fang, Libing ; Qian, Yichuo ; Yu, Honghai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:413-422.

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282012An analytical formula for VIX futures and its applications. (2012). Lian, Guanghua ; Zhu, Songping. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:166-190.

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292015Do 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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302000Efficient 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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312009Tick 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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322015Booms and Busts in Commodity Markets: Bubbles or Fundamentals?. (2015). Prokopczuk, Marcel ; Brooks, Chris ; Wu, Yingying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:10:p:916-938.

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332011Volatility 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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342015Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility. (2015). Fuertes, Ana-Maria ; FernandezPerez, Adrian ; Miffre, Joelle. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:3:p:274-297.

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352010The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets. (2010). Fung, HungGay ; Tse, Yiuman ; Liu, Qingfeng Wilson . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:12:p:1192-1209.

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362017Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model. (2017). Wang, Tianyi ; Huang, Zhuo ; Jiang, Yueting ; Shen, Yiwen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:7:p:641-659.

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372016On the Intraday Relation Between the VIX and its Futures. (2016). Tourani-Rad, Alireza ; Frijns, Bart ; Webb, Robert I ; TouraniRad, Alireza . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:9:p:870-886.

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382012The Term Structure of VIX. (2012). Zhang, Jin E. ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:12:p:1092-1123.

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391999VaR 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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402015A 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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411993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. (1993). Lashgari, Malek ; Wahab, Mahmoud. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:711-742.

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422007Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures. (2007). Lin, YuehNeng . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:12:p:1175-1217.

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432005Implied 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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441985The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian ; Ball, Clifford A. ; Torous, Walter N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43.

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452004Price 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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462019VIX term structure and VIX futures pricing with realized volatility. (2019). Tong, Chen ; Huang, Zhuo ; Wang, Tianyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:72-93.

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472012Causality in the VIX futures market. (2012). Zhang, Jin E. ; Shu, Jinghong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:1:p:24-46.

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482017Option Market Characteristics and Price Monotonicity Violations. (2017). Yang, Hee Jin ; Ryu, Doojin ; Choi, HyungSuk . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:5:p:473-498.

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492016Tests 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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502008Forecasting 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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Citing documents used to compute impact factor: 84
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2020Impact of economic policy uncertainty on exchange rate volatility of China. (2020). Hu, Zhihao ; Du, Ziqing ; Chen, Liming. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319306038.

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2020Oil jump risk. (2020). Ebrahimi, Nima ; Pirrong, Craig. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:8:p:1282-1311.

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2020Cellwise robust M regression. (2020). Verdonck, T ; Serneels, S ; Ortner, I ; Hoppner, S ; Filzmoser, P. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:147:y:2020:i:c:s0167947320300359.

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2020A novel risk management framework for natural gas markets. (2020). Pouliasis, Panos ; Visvikis, Ilias D ; Kryukov, Alexander A ; Papapostolou, Nikos C. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:430-459.

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2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

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2020Optimal futures hedging for energy commodities: An application of the GAS model. (2020). Xu, Yingying ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1090-1108.

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2020Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

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2020GARCH Option Pricing Models and the Variance Risk Premium. (2020). Zhang, Jin E. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:51-:d:330107.

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2020Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:271-285.

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2020Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021.

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2020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness. (2020). Sohn, Sungbin ; Park, Heungju ; Choi, Jaehyuk ; Alexander, Carol. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:23-43.

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2020Price discovery in bitcoin futures. (2020). Fassas, Athanasios ; Koulis, Alexandros ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919305628.

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2020The 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.

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2020Gold, platinum, and expected Bitcoin returns. (2020). Wang, Mei ; Burggraf, Tobias ; Duc, Toan Luu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177.

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2020Volatility as an asset class: Holding VIX in a portfolio. (2020). Doran, James S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:841-859.

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2020Hedging costs and joint determinants of premiums and spreads in structured financial products. (2020). Entrop, Oliver ; Fischer, Georg. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1049-1071.

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2020Discount or premium? Pricing of structured products: An analysis of Chinese market. (2020). Liu, Jia ; Jin, Chenglu ; Zhou, Hanxian ; Chen, Rongda. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s105752192030137x.

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2020Volatility term structures in commodity markets. (2020). Prokopczuk, Marcel ; Hollstein, Fabian ; Wursig, Christoph. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:527-555.

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2020Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks. (2020). Shen, Yifan ; Yang, Mengying ; Zeng, Ting. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:209-220.

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2020Forecasting bitcoin volatility: Evidence from the options market. (2020). Baur, Dirk G ; Hoang, Lai T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602.

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2020Bitcoin futures: An effective tool for hedging cryptocurrencies. (2020). Sebastião, Helder ; Godinho, Pedro ; Sebastio, Helder. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301849.

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2020Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets. (2020). Switzer, Lorne N ; el Meslmani, Nabil ; Lee, Seungho. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309808.

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2020Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. (2020). Wang, Xingchun ; Liang, Gechun. In: Papers. RePEc:arx:papers:2001.09443.

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2020Enhancing managerial equity incentives with moving average payoffs. (2020). Tian, Yisong S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1562-1583.

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2020Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds. (2020). Jurdi, Doureige J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:118-:d:367863.

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2020Volatility and jump risk in option returns. (2020). Lin, Hai ; Guo, Biao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1767-1792.

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2020Metal prices made in China? A network analysis of industrial metal futures. (2020). Siklos, Pierre L ; Wellenreuther, Claudia ; Stefan, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1354-1374.

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2020Informed options trading on the implied volatility surface: A cross‐sectional approach. (2020). Kim, Dahea ; Park, Haehean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:776-803.

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2020Volatility Spillovers between Equity and Green Bond Markets. (2020). Park, Jiyeon ; Ryu, Doojin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3722-:d:353863.

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Recent citations
Recent citations received in 2020

YearCiting document
2020Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data. (2020). Vo, Duc. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:89-:d:404223.

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2020Dynamic jump intensities and news arrival in oil futures markets. (2020). Turnbull, Stuart M ; Ostdiek, Barbara ; Han, YU ; Ensor, Katherine B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00168-z.

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2020Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Discussion Paper. RePEc:tiu:tiucen:1f3bd844-92ab-4104-8f57-9e18c384bd2b.

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2020Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Other publications TiSEM. RePEc:tiu:tiutis:1f3bd844-92ab-4104-8f57-9e18c384bd2b.

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2020Forecasting bitcoin volatility: Evidence from the options market. (2020). Baur, Dirk G ; Hoang, Lai T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602.

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2020Earnings announcement timing, uncertainty, and volatility risk premiums. (2020). Neururer, Thaddeus ; Adams, Tom. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1603-1630.

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2020The untold story of commodity futures in China. (2020). Fan, John Hua ; Zhang, Tingxi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:671-706.

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2020The determinants of price discovery on bitcoin markets. (2020). Frijns, Bart ; Entrop, Oliver ; Seruset, Marco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:816-837.

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Recent citations received in 2019

YearCiting document
2019From 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.

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2019From microscopic price dynamics to multidimensional rough volatility models. (2019). Rosenbaum, Mathieu ; Tomas, Mehdi. In: Papers. RePEc:arx:papers:1910.13338.

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2019BitMEX Funding Correlation with Bitcoin Exchange Rate. (2019). Ammanamanchi, Pawan Sasanka ; Nimmagadda, Sai Srikar. In: Papers. RePEc:arx:papers:1912.03270.

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2019Improving 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.

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2019Valuation 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.

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2019How 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.

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2019Forecasting 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.

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2019Predicting 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.

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2019Modeling 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.

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2019Volatility 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.

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2019.

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2019When 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.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2019Spot 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.

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2019Instantaneous squared VIX and VIX derivatives. (2019). Zhang, Jin E ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1193-1213.

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2019Volatility index and the return–volatility relation: Intraday evidence from Chinese options market. (2019). Yu, Xiaoli ; Li, Jupeng ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1348-1359.

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2019Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models. (2019). Cui, Zhenyu ; Chatterjee, Rupak ; Cao, Hongkai. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:03:n:s2424786319500270.

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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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2018First 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.

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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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2018Is Trading Fast Dangerous?. (2018). Moinas, Sophie ; Foucault, Thierry. In: TSE Working Papers. RePEc:tse:wpaper:32372.

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2018The directional information content of options volumes. (2018). Yang, Hee Jin ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:12:p:1533-1548.

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2018Volatility jumps and macroeconomic news announcements. (2018). Gray, Philip ; Chan, Kam F. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:8:p:881-897.

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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). Koike, Yuta ; Hayashi, Takaki. 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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2017Corporate 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.

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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). Sung, Sangwook ; Ryu, Doojin ; Cho, Hoon. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017103.

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