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Citation Profile [Updated: 2021-02-02 17:32:57]
5 Years H
36
Impact Factor
0.7
5 Years IF
0.79
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 55 186 24 24 101 2 265 8 0 1 0.02 0.04
1991 0.04 0.08 0.12 0.03 57 112 303 13 37 106 4 266 7 0 0 0.04
1992 0.02 0.09 0.25 0.03 53 165 228 41 78 112 2 270 8 0 0 0.04
1993 0.02 0.1 0.09 0.02 63 228 415 21 99 110 2 266 4 0 0 0.05
1994 0.04 0.12 0.11 0.05 48 276 243 31 130 116 5 279 15 0 1 0.02 0.06
1995 0.05 0.19 0.16 0.04 44 320 425 51 181 111 5 276 11 0 2 0.05 0.08
1996 0.12 0.22 0.16 0.08 50 370 782 57 239 92 11 265 22 2 3.5 0 0.1
1997 0.1 0.22 0.26 0.12 45 415 249 108 347 94 9 258 31 0 2 0.04 0.09
1998 0.17 0.26 0.26 0.14 48 463 255 119 466 95 16 250 35 8 6.7 0 0.12
1999 0.08 0.27 0.2 0.12 47 510 476 102 568 93 7 235 29 8 7.8 0 0.13
2000 0.03 0.32 0.13 0.08 50 560 272 71 639 95 3 234 19 0 1 0.02 0.14
2001 0.09 0.34 0.19 0.12 52 612 519 114 753 97 9 240 29 0 1 0.02 0.15
2002 0.11 0.37 0.2 0.13 55 667 307 134 887 102 11 242 31 0 3 0.05 0.19
2003 0.1 0.39 0.17 0.11 54 721 262 124 1011 107 11 252 28 3 2.4 1 0.02 0.19
2004 0.11 0.44 0.21 0.12 57 778 451 162 1173 109 12 258 30 2 1.2 2 0.04 0.2
2005 0.09 0.46 0.22 0.14 51 829 279 181 1354 111 10 268 38 14 7.7 3 0.06 0.21
2006 0.15 0.46 0.3 0.16 51 880 347 267 1621 108 16 269 42 0 2 0.04 0.21
2007 0.09 0.42 0.17 0.14 51 931 381 161 1782 102 9 268 37 5 3.1 1 0.02 0.18
2008 0.16 0.44 0.24 0.14 58 989 412 233 2016 102 16 264 37 1 0.4 2 0.03 0.2
2009 0.27 0.43 0.29 0.21 53 1042 369 303 2319 109 29 268 57 1 0.3 0 0.21
2010 0.16 0.43 0.27 0.19 56 1098 304 288 2611 111 18 264 49 3 1 4 0.07 0.18
2011 0.16 0.45 0.25 0.2 47 1145 375 281 2892 109 17 269 55 16 5.7 1 0.02 0.2
2012 0.18 0.45 0.23 0.17 50 1195 339 265 3164 103 19 265 46 6 2.3 7 0.14 0.19
2013 0.41 0.51 0.36 0.28 51 1246 218 440 3608 97 40 264 73 16 3.6 9 0.18 0.21
2014 0.45 0.53 0.38 0.37 58 1304 350 497 4107 101 45 257 96 15 3 23 0.4 0.2
2015 0.62 0.53 0.76 0.58 65 1369 362 1041 5149 109 68 262 152 20 1.9 37 0.57 0.2
2016 0.9 0.52 0.86 0.72 56 1425 318 1228 6378 123 111 271 195 50 4.1 16 0.29 0.19
2017 0.87 0.53 0.81 0.68 57 1482 183 1201 7580 121 105 280 191 20 1.7 8 0.14 0.19
2018 0.92 0.6 0.79 0.73 77 1559 155 1228 8808 113 104 287 210 205 16.7 20 0.26 0.24
2019 0.79 0.68 0.83 0.86 81 1640 78 1369 10177 134 106 313 269 228 16.7 20 0.25 0.25
2020 0.7 0.99 0.81 0.79 93 1733 28 1408 11585 158 111 336 267 287 20.4 21 0.23 0.38
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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348
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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99
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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93
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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91
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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81
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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77
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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74
81999Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643.

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72
91995Bivariate 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
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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65
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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60
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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57
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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53
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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52
172016Do 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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49
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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49
192009A 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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47
201985The 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
212002Measuring 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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46
222015Do 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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44
232014The 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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44
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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44
252016Who 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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43
261997Futures 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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41
272011Price 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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41
281986Price 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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39
291993Price 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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38
301999Risk 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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37
312007Long 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
321997Searching 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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36
332004Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility. (2004). Zein, Jason ; Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028.

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36
342005Implied 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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36
351990South 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
362015The 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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36
372001Investor 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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35
381996Detecting 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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35
392018Structural 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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35
401984Memory 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
412010The 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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34
422008Realized 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
432009Do 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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33
442006Jumping 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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33
452011Volatility 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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33
462004Explaining 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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32
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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32
481999VaR 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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32
491985Some 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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32
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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32
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

87
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

28
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

27
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.

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26
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

22
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

22
72016Who 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

22
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

21
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

19
101996Trading 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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19
112011Price 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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17
121999Price 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

17
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

17
141994Price 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

16
152012Intraday 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
162015The 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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15
172001Asset 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

14
182015Do 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.

Full description at Econpapers || Download paper

14
192008Informed 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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14
202019Price discovery in bitcoin spot or futures?. (2019). Dimpfl, Thomas ; Baur, Dirk G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:803-817.

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14
212000Efficient 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

14
222001What 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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13
232009Tick 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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13
242012An 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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13
252010The 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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13
262014The 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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272009Do 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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282018The 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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292010The 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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302015Commodity 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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312011Volatility 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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321999VaR 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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331993Price 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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342017Pricing 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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352015Does 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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362007Pricing 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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372016Fundamentals, 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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382005Implied 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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392019VIX 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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402010The 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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412011Oil volatility and the option value of waiting: An analysis of the G‐7. (2011). Fountas, Stilianos ; Elder, John ; Bredin, Don. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:7:p:679-702.

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422012The 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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432007An 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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442015Booms 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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452016On 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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462017Option 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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472007An examination of momentum strategies in commodity futures markets. (2007). Szakmary, Andrew C. ; Sharma, Subhash C. ; Shen, Qian . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:3:p:227-256.

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482016Tests 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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492015A 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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502012Causality 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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Citing documents used to compute impact factor: 111
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2020Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment. (2020). Huang, Jialiang ; Zhou, Liyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301649.

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2020The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838.

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2020Intermediary asset pricing in commodity futures returns. (2020). Han, Liyan ; Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1711-1730.

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2020Forecasting Chinese industry return volatilities with RMB/USD exchange rate. (2020). Dong, Xiaodi ; Zhu, Huan ; Dai, Zhifeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316929.

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2020Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect. (2020). He, Zhifang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:131-153.

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2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

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2020Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Dash, Saumya Ranjan ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303615.

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2020Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective. (2020). Rubaszek, Michał ; Kwas, Marek ; Karolak, Zuzanna. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305379.

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2020Systemic importance of financial institutions: A complex network perspective. (2020). Wen, Shigang ; Yang, Xin ; Huang, Chuangxia ; Zhao, Xian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119319223.

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2020Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Wang, Jiqian ; Ma, Feng ; Huang, Yisu. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302371.

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2020Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test. (2020). Chou, Ray Y ; Chang, Tzu-Pu ; Torun, Erdost. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919300455.

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2020The Predictive Power of NZX Dairy Futures. (2020). Fernandez-Perez, Adrian ; Schoen, Tilman ; Scott, Ayesha. In: 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia. RePEc:ags:aare20:305230.

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2020The market response to government crop news under different release regimes. (2020). Irwin, Scott H ; Adjemian, Michael K. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300753.

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2020Price discovery in Bitcoin: The impact of unregulated markets. (2020). Heck, Daniel F ; Alexander, Carol. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759.

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2020Return and volatility transmission between Chinas and international crude oil futures markets: A first look. (2020). Yang, Jian ; Zhou, Yinggang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:860-884.

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2020When trading options is not the only option: The effects of single‐stock futures trading on options market quality. (2020). Jiang, George J ; Strong, Cuyler ; Shimizu, Yoshiki. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1398-1419.

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2020Modeling VXX under jump diffusion with stochastic long‐term mean. (2020). Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1508-1534.

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2020Heterogeneity and netting efficiency under central clearing: A stochastic network analysis. (2020). Kim, Baeho ; Hwang, Injun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:192-208.

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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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2020Night trading and market quality: Evidence from Chinese and US precious metal futures markets. (2020). Liu, Xiaoquan ; Kellard, Neil ; Jiang, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1486-1507.

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2020Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets. (2020). Mishra, Sibanjan ; Mohanty, Sunil K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918308109.

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2020The impact of net buying pressure on VIX option prices. (2020). Tsai, Weiche ; Chuang, Yiwei ; Wu, Minghung. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:209-227.

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2020A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques. (2020). Salisu, Afees ; Ebuh, Godday U ; Tule, Moses K. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:225-237.

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2020Forecasting commodity prices out-of-sample: Can technical indicators help?. (2020). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:666-683.

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2020A fractional cointegration var analysis of exchange rate dynamics. (2020). Gil-Alana, Luis ; Carcel, Hector. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302547.

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2020A fractional cointegration VAR analysis of Islamic stocks: A global perspective. (2020). Salisu, Afees ; Ndako, Umar ; Adediran, Idris ; Swaray, Raymond. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306636.

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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2020Return predictability of variance differences: A fractionally cointegrated approach. (2020). Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1072-1089.

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2020Understanding corporate debt from the oil market perspective. (2020). Nasiri, Maryam Akbari ; Narayan, Paresh Kumar. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302863.

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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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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838.

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2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

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2020Valuation of VIX and target volatility options with affine GARCH models. (2020). Jayaraman, Sarath Kumar ; Cui, Zhenyu ; Badescu, Alexandru ; Cao, Hongkai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:12:p:1880-1917.

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2020Cross market predictions for commodity prices. (2020). Zhang, Yongmin ; Ding, Shusheng. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:455-462.

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2020The role of uncertainty on agricultural futures markets momentum trading and volatility. (2020). Czudaj, Robert ; Robert, Czudaj. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:3:p:39:n:3.

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2020A revisit to the hedge and safe haven properties of gold: New evidence from China. (2020). Ming, Lei ; Yang, Shenggang ; Liu, Qianqiu ; Zhang, Xinran . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1442-1456.

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2020Internationalization of futures markets: Lessons from China. (2020). Fernandez-Perez, Adrian ; Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302560.

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2020The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives. (2020). Zhang, Yunyu. In: PLOS ONE. RePEc:plo:pone00:0229737.

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2020Asymmetric effects of oil price uncertainty on corporate investment. (2020). Abdoh, Hussein ; Maghyereh, Aktham. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304190.

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2020Impact of international energy prices on Chinas industries. (2020). Zhang, Qin ; Wong, Jin Boon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:722-748.

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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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2020Pricing and integration of credit default swap index tranches. (2020). Luo, Dan ; Carverhill, Andrew. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:503-526.

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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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2020Hedging with commodity futures and the end of normal Backwardation. (2020). Güntner, Jochen ; Guntner, Jochen ; Karner, Benjamin. In: Economics working papers. RePEc:jku:econwp:2020-21.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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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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2020Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification. (2020). Oglend, Atle ; Straume, Hansmartin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:617-631.

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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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2020Show me the money: Option moneyness concentration and future stock returns. (2020). Csapi, Vivien ; Bergsma, Kelley ; Fodor, Andy ; Diavatopoulos, Dean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:761-775.

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2020A rare move: The effects of switching from a closing call auction to a continuous trading. (2020). Chou, Robin K ; Chang, Yakai ; Yang, Jimmy J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:308-328.

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2020The impact of weather on order submissions and trading performance. (2020). Tsai, Wei-Che ; Chuang, Yi-Wei ; Weng, Pei-Shih. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306685.

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2020Determining the information share of liquidity and order flows in extreme price movements. (2020). Long, Yunshen ; Liu, Chang ; Wu, Liang. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:559-575.

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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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2020Non-Normal Identification for Price Discovery in High-Frequency Financial Markets. (2020). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2020/28.

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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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2020A note on the option price and Mass at zero in the uncorrelated SABR model and implied volatility asymptotics. (2020). Wu, Lixin ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2011.00557.

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2020Insurance activity, real output, and geopolitical risk: Fresh evidence from BRICS. (2020). Lee, Chien-Chiang. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:207-215.

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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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2020The influence of economic policy uncertainty on corporate trade credit and firm value. (2020). Phan, Hieu V ; Ngo, Thanh N ; Khieu, Hinh D ; Jory, Surendranath R. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301152.

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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). el Meslmani, Nabil ; Lee, Seungho ; Switzer, Lorne N. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309808.

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2020Price discovery and microstructure in ether spot and derivative markets. (2020). Choi, Jaehyuk ; Alexander, Carol ; Sohn, Sungbin. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301502.

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2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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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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2020The Law of One Price in Equity Volatility Markets. (2020). Van Tassel, Peter. In: Staff Reports. RePEc:fip:fednsr:89214.

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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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2020High-frequency dynamics of the implied volatility surface. (2020). Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.10875.

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2020Hybrid bond issuances by insurance firms. (2020). Yu, Jinyoung ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:45:y:2020:i:c:s156601412030203x.

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2020A Review of the Post-Earnings-Announcement Drift. (2020). Fink, Josef. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2020-04.

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2020Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis. (2020). Meng, Liang ; Zhu, Huiming ; Hau, Liya ; Ge, Yajing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301534.

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Recent citations
Recent citations received in 2020

YearCiting document
2020Is the leadership of the Brent-WTI threatened by China’s new crude oil futures market?. (2020). Roig, Marta ; Pardo, Angel ; Palao, Fernando. In: Journal of Asian Economics. RePEc:eee:asieco:v:70:y:2020:i:c:s1049007820301172.

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2020Path-dependent game options with Asian features. (2020). Zhang, Jizhou ; Guo, Peidong ; Wang, Qian. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308055.

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2020Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650.

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2020Price discovery and microstructure in ether spot and derivative markets. (2020). Choi, Jaehyuk ; Alexander, Carol ; Sohn, Sungbin. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301502.

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2020Identifying the comovement of price between Chinas and international crude oil futures: A time-frequency perspective. (2020). Huang, Shupei. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302064.

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2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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2020Price discovery in Bitcoin: The impact of unregulated markets. (2020). Heck, Daniel F ; Alexander, Carol. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759.

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2020Internationalization of futures markets: Lessons from China. (2020). Fernandez-Perez, Adrian ; Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302560.

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2020Valuation of Asian options with default risk under GARCH models. (2020). Wang, Xingchun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:27-40.

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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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2020Forecasting Mid-price Movement of Bitcoin Futures Using Machine Learning. (2020). Uddin, Gazi ; Corbet, Shaen ; Cepni, Oguzhan ; Akyildirim, Erdinc. In: Working Papers. RePEc:hhs:cbsnow:2020_020.

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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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2020Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities. (2020). Nugroho, Bayu Adi ; Robiyanto, Robiyanto ; Huruta, Andrian Dolfriandra ; Handriani, Eka. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00199-w.

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2020Non-Normal Identification for Price Discovery in High-Frequency Financial Markets. (2020). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2020/28.

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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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2017Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash. (2017). Nartea, Gilbert ; Hou, Yang. In: MPRA Paper. RePEc:pra:mprapa:81995.

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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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