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

Citation Profile [Updated: 2024-03-05 07:42:34]
5 Years H Index
45
Impact Factor (IF)
0.69
5 Years IF
0.63
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
1981 0 44 44 0 0
1982 0 39 83 0 2 0 1
1983 0 41 124 0 1 0
1984 0 41 165 0 6 0
1985 0 54 219 0 12 0
1986 0 53 272 0 10 0 1
1987 0 57 329 0 34 0 1
1988 0 50 379 0 22 0 1
1989 0 51 430 0 12 0 1
1990 0.02 0.11 0.05 0.03 55 485 276 25 25 101 2 265 8 0 1 0.02 0.05
1991 0.04 0.1 0.02 0.03 57 542 408 13 38 106 4 266 7 0 0 0.05
1992 0.02 0.11 0.07 0.03 53 595 323 44 82 112 2 270 9 0 1 0.02 0.05
1993 0.03 0.13 0.04 0.02 63 658 521 26 108 110 3 266 5 0 0 0.06
1994 0.06 0.14 0.05 0.06 48 706 316 38 146 116 7 279 18 0 1 0.02 0.07
1995 0.05 0.22 0.07 0.05 44 750 518 54 200 111 5 276 13 0 2 0.05 0.1
1996 0.13 0.25 0.08 0.1 50 800 1021 64 265 92 12 265 26 2 3.1 1 0.02 0.12
1997 0.11 0.24 0.15 0.14 45 845 314 124 389 94 10 258 35 0 2 0.04 0.11
1998 0.17 0.28 0.14 0.15 48 893 315 126 515 95 16 250 38 8 6.3 0 0.13
1999 0.09 0.31 0.14 0.14 47 940 624 134 649 93 8 235 32 8 6 0 0.15
2000 0.06 0.36 0.09 0.1 50 990 365 94 743 95 6 234 24 0 1 0.02 0.16
2001 0.09 0.38 0.12 0.12 52 1042 673 126 869 97 9 240 29 0 1 0.02 0.17
2002 0.13 0.41 0.15 0.15 55 1097 395 160 1029 102 13 242 36 0 2 0.04 0.21
2003 0.11 0.44 0.12 0.12 54 1151 345 135 1164 107 12 252 29 3 2.2 1 0.02 0.22
2004 0.12 0.49 0.15 0.12 57 1208 581 183 1347 109 13 258 31 2 1.1 2 0.04 0.22
2005 0.1 0.51 0.17 0.16 51 1259 374 215 1562 111 11 268 42 14 6.5 3 0.06 0.23
2006 0.16 0.5 0.22 0.16 51 1310 449 290 1852 108 17 269 42 0 2 0.04 0.22
2007 0.1 0.46 0.13 0.15 51 1361 483 181 2033 102 10 268 40 5 2.8 1 0.02 0.2
2008 0.17 0.49 0.19 0.14 58 1419 522 264 2297 102 17 264 38 1 0.4 2 0.03 0.23
2009 0.26 0.48 0.24 0.22 53 1472 497 347 2645 109 28 268 58 1 0.3 0 0.24
2010 0.16 0.48 0.2 0.2 56 1528 404 297 2946 111 18 264 52 3 1 4 0.07 0.21
2011 0.19 0.52 0.2 0.21 47 1575 508 309 3255 109 21 269 56 16 5.2 0 0.24
2012 0.17 0.52 0.18 0.17 50 1625 479 279 3541 103 18 265 46 6 2.2 7 0.14 0.22
2013 0.43 0.56 0.29 0.29 51 1676 305 486 4031 97 42 264 76 16 3.3 9 0.18 0.24
2014 0.47 0.55 0.3 0.37 58 1734 532 524 4558 101 47 257 96 15 2.9 21 0.36 0.23
2015 0.62 0.55 0.59 0.59 65 1799 537 1069 5628 109 68 262 154 20 1.9 36 0.55 0.23
2016 0.9 0.53 0.66 0.7 56 1855 555 1222 6851 123 111 271 191 50 4.1 18 0.32 0.21
2017 0.88 0.55 0.66 0.7 57 1912 387 1259 8112 121 106 280 195 20 1.6 8 0.14 0.21
2018 0.91 0.56 0.64 0.74 77 1989 463 1282 9394 113 103 287 211 206 16.1 21 0.27 0.24
2019 0.81 0.58 0.69 0.88 81 2070 349 1435 10829 134 109 313 274 228 15.9 20 0.25 0.23
2020 0.75 0.7 0.71 0.86 93 2163 355 1525 12354 158 119 336 289 287 18.8 26 0.28 0.33
2021 1.01 0.84 0.73 0.88 93 2256 224 1656 14011 174 176 364 321 346 20.9 38 0.41 0.31
2022 1.02 0.93 0.68 0.94 96 2352 96 1590 15601 186 190 401 378 281 17.7 20 0.21 0.28
2023 0.69 1.04 0.49 0.63 69 2421 18 1187 16788 189 131 440 277 219 18.4 12 0.17 0.28
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years 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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478
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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143
32004Volatility 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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113
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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110
52001Asset 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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107
61996Trading 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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107
71996The 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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106
82001What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

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102
92018Structural 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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92
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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88
112016Do 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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80
122009A 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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80
132014The 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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78
142012Intraday 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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77
151999Price 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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77
161994Price 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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77
171995Bivariate 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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76
182000Efficient 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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70
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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70
202018The 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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70
212001Hedge 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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65
222009The 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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65
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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65
241993Nonlinear 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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59
252011Volatility 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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59
261985The 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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58
271990South 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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57
282011Price 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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57
292015Does 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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56
302016Who 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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56
311997Futures 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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55
321991Price discovery and cointegration for live hogs. (1991). Schroeder, Ted ; Goodwin, Barry. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:6:p:685-696.

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55
332002Measuring 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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53
342019Price 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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53
352013Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation. (2013). Badshah, Ihsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:3:p:235-265.

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51
361993Price 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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51
371999Risk 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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50
382001Investor 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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50
391993Cointegration and error correction models: Intertemporal causality between index and futures prices. (1993). Ghosh, Asim. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:193-198.

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49
402004Predicting 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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49
412015The 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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49
422009Do 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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46
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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46
442000Stock index futures trading and volatility in international equity markets. (2000). Gulen, Huseyin ; Mayhew, Stewart . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:7:p:661-685.

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45
451999VaR 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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45
462017Oil and stock markets before and after financial crises: A local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:12:p:1179-1204.

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44
472010The 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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44
482007An 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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44
492008Realized 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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43
502012An 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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43
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

67
22018The 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.

Full description at Econpapers || Download paper

36
32021Effects of structural changes on the prediction of downside volatility in futures markets. (2021). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1124-1153.

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31
42018Structural 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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25
52009A 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

23
62019Price 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.

Full description at Econpapers || Download paper

22
71995Predicting 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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20
82020Estimating the connectedness of commodity futures using a network approach. (2020). Yu, Honghai ; Fang, Libing ; Ding, Sifang ; Xiao, Binqing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:598-616.

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19
92014The Predictive Content of Commodity Futures. (2014). Coibion, Olivier ; Chinn, Menzie ; MenzieD. Chinn, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636.

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18
102020Return 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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18
112020The 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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17
121999Price 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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17
132016Do 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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16
142001What 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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15
152017Oil and stock markets before and after financial crises: A local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:12:p:1179-1204.

Full description at Econpapers || Download paper

15
162015Does 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

15
172000Efficient 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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15
182020BitMEX 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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14
192021Stock market reactions to different types of oil shocks: Evidence from China. (2021). Wong, Jin Boon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:179-193.

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13
202018Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2018). Xu, Ke ; Nielsen, Morten ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:2:p:219-242.

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13
212014Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes. (2014). Wang, Xingchun ; Tian, Lihui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:10:p:957-979.

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12
222011Volatility 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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12
231996Trading 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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242004Volatility 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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12
252019The impacts of public news announcements on intraday implied volatility dynamics. (2019). Ryu, Doojin ; Lee, Jieun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:656-685.

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262021The impact of net buying pressure on index options prices. (2021). Ryu, Doowon ; Yang, Heejin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:27-45.

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272021Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate. (2021). Vo, Xuan Vinh ; Umar, Zaghum ; Zhao, Yanping. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1843-1860.

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282017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach. (2017). Huang, Zhuo ; Hansen, Peter Reinhard ; Wang, Tianyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:4:p:328-358.

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292015A 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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302016The Return–Volatility Relation in Commodity Futures Markets. (2016). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:2:p:127-152.

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312008Informed 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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322015Do 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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331999The 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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342016Fundamentals, 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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352017Pricing 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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362020Optimal 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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372019Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model. (2019). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:744-776.

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382012An 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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392019Economic policy uncertainty, CDS spreads, and CDS liquidity provision. (2019). Xu, Weike ; Wang, Xinjie ; Zhong, Zhaodong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:4:p:461-480.

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402009The 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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412018Price discovery dynamics in European agricultural markets. (2018). Bohl, Martin T ; Admmer, Philipp. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:5:p:549-562.

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422020Impact 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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432019VIX 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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442001Asset 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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452021Price discovery in chinese agricultural futures markets: A comprehensive look. (2021). Wang, Tao ; Li, Zheng ; Yang, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:536-555.

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462013Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation. (2013). Badshah, Ihsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:3:p:235-265.

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472021Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; McMillan, David G ; Kambouroudis, Dimos S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639.

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482017Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash. (2017). Han, Qian ; Liang, Jufang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:4:p:411-428.

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492017Pricing Vulnerable Options with Jump Clustering. (2017). Ma, Yong ; Xu, Weidong ; Shrestha, Keshab. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:12:p:1155-1178.

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502012Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates. (2012). Yuan, Chunming ; Tornell, Aaron. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:122-151.

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2023Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Zhang, Jin E ; Ruan, Xinfeng ; Jia, Xiaolan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247.

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2023Exchange Rate Risk Management using Currency Derivatives: The Case of Exposures to Japanese Yen. (2023). Ho, Taek ; Bae, Sung C. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09391-7.

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2023Price discovery in Chinas crude oil futures markets: An emerging Asian benchmark?. (2023). Webb, Robert I ; Yang, Jian ; Yu, Ziliang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:297-324.

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2023Positive and negative price bubbles of Chinese agricultural commodity futures. (2023). Chang, Chiu-Lan ; Lin, Yizhou ; Fang, Ming. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:456-471.

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2023Chinese agricultural futures volatility: New insights from potential domestic and global predictors. (2023). Huang, Dengshi ; Su, Yuandong ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003022.

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2023Modeling Tail Dependence Using Stochastic Volatility Model. (2023). Necula, Ciprian ; Ma, Yong-Ki ; Kim, See-Woo. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10271-5.

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2023Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities. (2023). Teplova, Tamara ; Bossman, Ahmed ; Umar, Zaghum ; Agyei, Samuel Kwaku. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000547.

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2023Fair-washing in the market for structured retail products? Voluntary self-regulation versus government regulation. (2023). Tallau, Christian ; Shkel, David ; Munchhalfen, Patrick ; Baule, Rainer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003296.

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2023Current State, Development and Future Directions of Medical Waste Valorization. (2023). Ren, Jingzheng ; Liu, Yue ; Wang, Yuan ; Zhou, Jianzhao ; Chu, Yin Ting. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1074-:d:1040102.

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2023How far have we come and where should we go after 30+ years of research on Africas emerging financial markets? A systematic review and a bibliometric network analysis. (2023). Tiwari, Aviral ; Abakah, Emmanuel ; Hammoudeh, Shawkat ; Aikins, Emmanuel Joel ; Adeabah, David. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000353.

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2023Understanding the Evolution of Environment, Social and Governance Research: Novel Implications From Bibliometric and Network Analysis. (2023). , Anu ; Zhang, Yifang ; Singh, Amit Kumar. In: Evaluation Review. RePEc:sae:evarev:v:47:y:2023:i:2:p:350-386.

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2023Managing Document Management Systems’ Life Cycle in Relation to an Organization’s Maturity for Digital Transformation. (2023). Jordan, Sandra ; Zabukovek, Simona Sternad ; Bobek, Samo. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:21:p:15212-:d:1266187.

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2023Does digital finance matter for corporate green investment? Evidence from heavily polluting industries in China. (2023). Chen, Jinyu ; Huang, Jianbai ; Ding, Qian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006053.

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2023Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045.

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2023Dynamic interaction of risk–return trade-offs between oil market and China’s stock market: An analysis from the risk preferences perspective. (2023). Yin, Zhujia ; Yang, Xin ; Chen, Jiaqi ; Sun, Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000645.

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2023The slow-release effect of recycling on rapid demand growth of critical metals from EV batteries up to 2050: Evidence from China. (2023). Dong, Xuesong ; Huang, Jianbai ; Zeng, Anqi ; Chen, Jinyu. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s030142072300212x.

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2023Oil price uncertainty and audit fees: Evidence from the energy industry. (2023). Miao, Xiao ; Zhang, Yun ; Chen, Meng ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s014098832300350x.

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2023Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

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2023Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks. (2023). Bouri, Elie ; Wang, Cheng ; Zhang, Dingsheng ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323006199.

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2023Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach. (2023). Agarwalla, Sobhesh Kumar ; Kumar, Sudarshan ; Virmani, Vineet ; Varma, Jayanth R. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644.

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2023Analyzing quantile spillover effects among international financial markets. (2023). Pan, NA ; Liu, Tangyong ; Wang, Jie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000049.

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2023A Review of the Global Climate Finance Literature. (2023). Zheng, Chenglong ; Kouwenberg, Roy. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:2:p:1255-:d:1030153.

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2023Option features and price discovery in convertible bonds. (2023). Lian, Feng ; Xu, Hailun ; Peiran, LI ; Yuan, Xianghui ; Jin, Liwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:384-403.

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2023Relations among Bitcoin Futures, Bitcoin Spot, Investor Attention, and Sentiment. (2023). Panta, Humnath ; Narayanasamy, Arun ; Agarwal, Rohit. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:11:p:474-:d:1273906.

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2023Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures. (2023). Yang, Jimmy J ; Chang, Yung Ting ; Chen, Yu-Lun. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003276.

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2023Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378.

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2023
2023Climate change attention and carbon futures return prediction. (2023). Sun, Chuanwang ; Guan, Keqin ; Li, Mengjie ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1261-1288.

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2023Transformer-based forecasting for intraday trading in the Shanghai crude oil market: Analyzing open-high-low-close prices. (2023). Gao, Tianxiao ; Huang, Wenyang ; Wang, Xiuqing ; Hao, Yun. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323006047.

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2023The impact of carbon markets on the financial performance of power producers: Evidence based on China. (2023). Zhang, Qianqian ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323006175.

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2023Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach. (2023). , Mohamed. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002694.

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2023Connectedness and portfolio management between renewable energy tokens and metals: Evidence from TVP-VAR approach. (2023). Ijaz, Muhammad Shahzad ; Ali, Shoaib ; Yousaf, Imran. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323006011.

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2023Anger in predicting the index futures returns. (2023). Zhang, Qunzi ; Wei, Xinbei ; Shen, Jiancheng ; Cao, Zhen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:437-454.

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2023Tail comovements of implied volatility indices and global index futures returns predictability. (2023). Nguyen, Cuong ; Lee, Yun-Huan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001634.

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2023The predictability of skewness risk premium on stock returns: Evidence from Chinese market. (2023). Wang, Linyu ; Ni, Zhongxin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:576-594.

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2023Min–max multi-step barrier options and their variants. (2023). Song, Seongjoo ; Lee, Gaeun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000670.

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2023COVID-19, a blessing in disguise for the Tech sector: Evidence from stock price crash risk. (2023). Xu, Jian ; Masum, Abdullah-Al ; Hossain, Ashrafee T. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000648.

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2023A new PIN model with application of the change-point detection method. (2023). Lin, Emily ; Kao, Chu-Lan Michael. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:4:d:10.1007_s11156-023-01194-9.

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2023Does online interaction between firms and investors reduce stock price crash risk?. (2023). Zhang, Wei ; Wang, Pengfei ; Li, YI. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838922001081.

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2023
2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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2023How do investors react to overnight returns? Evidence from Korea. (2023). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin ; Ham, Hyuna. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001526.

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2023Short interest and the stock market relation with news sentiment from traditional and social media sources. (2023). Smales, Lee ; Liu, Zhangxin ; Chamberlain, Ben. In: Australian Economic Papers. RePEc:bla:ausecp:v:62:y:2023:i:2:p:321-334.

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2023Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041.

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2023Fundamentals of Perpetual Futures. (2022). von Wachter, Victor ; Ross, Omri ; Manela, Asaf ; He, Songrun. In: Papers. RePEc:arx:papers:2212.06888.

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2023Is there an expiration effect in the bitcoin market?. (2023). Satrustegui, N ; Corredor, P ; Blasco, N. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:647-663.

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2023Market conditions and order-type preference. (2023). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000753.

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2023.

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2023Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities. (2023). Guterding, Daniel. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:83-:d:1135421.

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2023VIX to S&P 500 Correlation Over the Weekend: Are Market Makers Using S&P 500 Weekend Returns to Price VIX on Monday Morning?. (2023). Lin, Wan Jia. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:10:y:2023:i:1:p:3843.

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2023Option pricing with overnight and intraday volatility. (2023). Du, Lingshan ; Liang, Fang ; Huang, Zhuo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1576-1614.

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2023.

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2023Role of hedging on crypto returns predictability: A new habit-based explanation. (2023). Dunbar, Kwamie ; Owusu-Amoako, Johnson. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003811.

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2023Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320.

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2023Predictability of crypto returns: The impact of trading behavior. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000266.

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2023The stumbling block in ‘the race of our lives’: transition-critical materials, financial risks and the NGFS climate scenarios. (2023). Dees, Stephane ; Svartzman, Romain ; Dikau, Simon ; Miller, Hugh. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118094.

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2023The stumbling block in ‘the race of our lives’: transition-critical materials, financial risks and the NGFS climate scenarios. (2023). Dees, Stephane ; Svartzman, Romain ; Dikau, Simon ; Miller, Hugh. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118095.

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2023The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century. (2023). Teo, Jiajun ; Go, Youhow ; Chan, Kam Fong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1559-1575.

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2023Belief distortion near 52W high and low: Evidence from Indian equity options market. (2023). Agarwalla, Sobhesh Kumar ; Saurav, Sumit ; Varma, Jayanth R. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1531-1558.

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2023Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571.

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2023Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach. (2023). Yang, Xiao Guang ; Cui, Zhenyu ; Ding, Kailin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:217-241.

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2023Application of Volatility-Managed Portfolios in the Context of a Volatility Index. (2023). Kayal, Parthajit ; Subramanian, Abhishek. In: Working Papers. RePEc:mad:wpaper:2023-242.

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2023Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix. (2023). Guinea, Laurentiu ; Ruiz, Jesus ; Perez, Rafaela. In: UC3M Working papers. Economics. RePEc:cte:werepe:36916.

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2023The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511.

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2023Pricing VIX futures: A framework with random level shifts. (2023). Wang, Tianyi ; Feng, Jianfen ; Chen, Xiaoyi. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006778.

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2023VIX futures pricing based on high?frequency VIX: A hybrid approach combining SVR with parametric models. (2023). Jiang, Gongyue ; Qiao, Gaoxiu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1238-1260.

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2023Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x.

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2023The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319.

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2023Information Theory and the Pricing of Contingent Claims: An Alternative Derivation of the Black–Scholes–Merton Formula. (2023). Davis, Thomas P. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:501-:d:1294197.

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2023Coherent measure of portfolio risk. (2023). Ardakani, Omid. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005949.

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2023Analyzing pure contagion between crude oil and agricultural futures markets. (2023). Liu, Tangyong ; Jin, Yujing ; Gong, XU. In: Energy. RePEc:eee:energy:v:269:y:2023:i:c:s0360544223001512.

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2023Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach. (2023). Xia, Xiao-Hua ; Xu, Yushi ; Chen, Baifan ; Huang, Jionghao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000089.

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2023Optimum combination of heterogeneous environmental policy instruments and market for green transformation: Empirical evidence from Chinas metal sector. (2023). Zhang, Tao ; Zhu, Xuehong ; Li, Shuangmei. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002335.

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2023Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Yang, Yan-Hong ; Shao, Ying-Hui. In: Papers. RePEc:arx:papers:2310.18903.

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2023Did U.S. and Chinese investors respond differently to the exogenous shocks from COVID-19 and the war in Ukraine?. (2023). Sun, Yiru ; Zhang, Yongmin. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002260.

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2023Evidence of the internationalization of Chinas crude oil futures: Asymmetric linkages to global financial risks. (2023). Guo, Songlin ; Zhang, Jiaming ; Xie, Bingyuan ; Dou, Bin. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005819.

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2023Intelligent design: stablecoins (in)stability and collateral during market turbulence. (2023). Galati, Luca ; Webb, Alexander ; Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00492-4.

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2023Economic evaluation of dynamic hedging strategies using high-frequency data. (2023). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006025.

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2023A multi-criteria framework for critical infrastructure systems resilience. (2023). Daclin, Nicolas ; Bony-Dandrieux, Aurelia ; Weppe, Alexandre ; Laffrechine, Katia ; Barroca, Bruno ; Yang, Zhuyu. In: International Journal of Critical Infrastructure Protection. RePEc:eee:ijocip:v:42:y:2023:i:c:s187454822300029x.

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2023Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model. (2023). Lee, Hsiang-Tai. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028323000030.

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2023
2023Safe haven for crude oil: Gold or currencies?. (2023). Dong, Minyi ; Yang, Shenggang ; Tian, Xinyi ; Ming, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001666.

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2023Option-Implied Skewness and the Value of Financial Intermediaries. (2023). Weissensteiner, Alex ; Bressan, Silvia. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:2:d:10.1007_s10693-022-00387-y.

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2023Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets. (2023). Vagnani, Gianluca ; Marchetti, Fabio Massimo ; Nappo, Giovanna. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000387.

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2023
2023The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index. (2023). Apergis, Nicholas ; Malik, Shafaq ; Mustafa, Ghulam. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:27-35.

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2023Set-valued stochastic integrals for convoluted L\{e}vy processes. (2023). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.01730.

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2023Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets. (2023). Yin, Anwen ; Procasky, William J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002121.

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Recent citations received in 2023
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2023The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots. (2023). Dai, Yun-Shi ; Zhou, Wei-Xing ; Duong, Kiet Tuan. In: Papers. RePEc:arx:papers:2310.16850.

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2023Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks. (2023). Lin, Sha ; He, Xin-Jiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000414.

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2023Central bank swap arrangements and exchange rate volatility: Evidence from China. (2023). Li, Yang ; Liu, Zhuqing ; Yu, Ziliang. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000493.

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2023Impacts of COVID-19 pandemic on corporate cash holdings: Evidence from Korea. (2023). Ryu, Doojin ; Jhang, Hogyu ; Chung, Hae Jin. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000602.

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2023Managerial performance and oil price shocks. (2023). Zhang, Qin ; Wong, Jin Boon. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002621.

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2023Which is more important in stock market forecasting: Attention or sentiment?. (2023). Wu, Ji George ; Zou, Gaofeng ; Li, Yishuo ; Zhang, Xiaotao. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300248x.

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2023
2023Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market. (2023). Gabauer, David ; Balli, Faruk ; Nhat, Tam Hoang. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005408.

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2023Economic evaluation of dynamic hedging strategies using high-frequency data. (2023). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006025.

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2023Can convertible bond trading predict stock returns? Evidence from China. (2023). Wang, YU ; Xu, Yun ; Chen, Zhiyu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000926.

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2023
2023Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:951-967.

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2022.

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2022Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach. (2022). Yang, Ben-Zhang ; Hu, Zhihao ; Lin, Sha. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:163:y:2022:i:c:s0960077922007718.

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2022When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis. (2022). Wang, Deqing ; Lv, Tao ; Ding, Zhihua ; Zhang, Huiying ; Liu, Zhenhua. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001870.

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2022Multi-step barrier products and static hedging. (2022). Lee, Gaeun ; Ho, Yang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000316.

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2022Scheduled macroeconomic news announcements and intraday market sentiment. (2022). Ryu, Doojin ; Cho, Hoon ; Seok, Sangik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000882.

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2022Oil shocks and corporate social responsibility. (2022). al Mamun, Mohammed Abdullah ; Wong, Jin Boon ; Hasan, Mostafa Monzur. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000639.

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2022How connected is the agricultural commodity market to the news-based investor sentiment?. (2022). Uddin, Gazi Salah ; Pham, Linh ; Cepni, Oguzhan ; Akyildirim, Erdinc. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003279.

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2022A regime-switching real-time copula GARCH model for optimal futures hedging. (2022). Lee, Chien-Chiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003453.

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2022Multi-step double barrier options. (2022). Lee, Minha ; Jeong, Himchan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005365.

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2022Climate impact on the USDA ending stocks forecast errors. (2022). Li, Ziran ; Zhang, Tengfei. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001799.

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2022Improving hedging performance by using high–low range. (2022). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002240.

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2022Regime-switching angular correlation diversification. (2022). Lee, Hsiang-Tai. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004330.

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2022ESG reputational risks and board monitoring committees. (2022). Wong, Jin Boon ; Zhang, Qin. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322005049.

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2022The information content of ETF options. (2022). Yang, Dongxiao ; Ramchander, Sanjay ; Miao, Hong ; Lockwood, Larry . In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000278.

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2022How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method. (2022). Chen, Shenglan ; Lu, Tuantuan ; Zhu, Pengfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:607:y:2022:i:c:s0378437122007750.

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2022Circularity and life cycle environmental impact assessment of batteries for electric vehicles: Industrial challenges, best practices and research guidelines. (2022). Manuel, Joan ; Justel, Daniel ; Picatoste, Aitor. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:169:y:2022:i:c:s136403212200822x.

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2022.

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2022Bitcoin futures risk premia. (2022). Shi, Shimeng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2190-2217.

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2022Information contents of intraday SSE 50 ETF options trades. (2022). Ryu, Doojin ; Cai, Wenye ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:580-604.

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Recent citations received in 2021
YearCiting document
2021Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform. (2021). Belmonte, Alessandro ; Saggese, Pietro ; Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola. In: Papers. RePEc:arx:papers:2109.10958.

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2021Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2021Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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2021What do we know about business strategy and environmental research? Insights from Business Strategy and the Environment. (2021). Lim, Weng Marc ; Sureka, Riya ; Kumar, Satish ; Goyal, Nisha ; Mangla, Sachin Kumar. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:8:p:3454-3469.

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2021Dynamic price discovery in Chinese agricultural futures markets. (2021). Xiong, Tao ; Li, Miao. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000993.

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2021Stakeholder orientation and cost stickiness. (2021). Hasan, Mostafa Monzur ; Wong, Jin Boon ; Xin, Xianyang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001362.

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2021Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?. (2021). Ishida, Ryo ; Hattori, Takahiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302096.

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2021Does vega-neutral options trading contain information?. (2021). Yang, Heejin ; Ryu, Doojin ; Lee, Jaeram. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:294-314.

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2021How does low-carbon energy transition alleviate energy poverty in China? A nonparametric panel causality analysis. (2021). Dong, Kangyin ; Zhao, Jun ; Ren, Xiaohang. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004850.

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2021Global temperature, R&D expenditure, and growth. (2021). Jüppner, Marcus ; Kizys, Renatas ; Juppner, Marcus ; Gruning, Patrick ; Donadelli, Michael. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004758.

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2021Impacts of oil shocks on the EU carbon emissions allowances under different market conditions. (2021). Wen, Fenghua ; Liu, Wenhua ; Zhou, Min ; Yin, Hua ; Zheng, Yan. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005387.

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2021Oil shocks and corporate payouts. (2021). Hasan, Mostafa Monzur ; Wong, Jin Boon. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002218.

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2021Multilayer financial networks and systemic importance: Evidence from China. (2021). Wang, Xiong ; Stanley, Eugene H ; Wen, Fenghua ; Cao, Jie. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002106.

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2021International review of financial analysis: A retrospective evaluation between 1992 and 2020. (2021). Sharma, Anuj ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002672.

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2021Price volatilities of bitcoin futures. (2021). Guo, Zi-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001033.

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2021How to conduct a bibliometric analysis: An overview and guidelines. (2021). Kumar, Satish ; Donthu, Naveen ; Lim, Weng Marc ; Pandey, Nitesh ; Mukherjee, Debmalya. In: Journal of Business Research. RePEc:eee:jbrese:v:133:y:2021:i:c:p:285-296.

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2021What drives oil prices? — A Markov switching VAR approach. (2021). Fu, Chengbo ; Liu, Tangyong ; Chen, Liqing ; Guan, Keqin ; Gong, XU. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003263.

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2021How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin. (2021). , Walid. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001748.

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2021Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil. (2021). Yao, Yanyan ; Li, Zhenghui ; Liu, Yanqiong ; Dong, Hao. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:13:p:4063-:d:589038.

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2021.

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2021.

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2021The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (2021). Wang, Yue ; Shen, Xiaohong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:5049179.

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2021Thrown off track? Adjustments of Asian business to shock events. (2021). Sekiguchi, Tomoki ; Horn, Sierk ; Weiss, Matthias. In: Asian Business & Management. RePEc:pal:abaman:v:20:y:2021:i:4:d:10.1057_s41291-021-00158-y.

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2021Forecasting Stock Market Dynamics using Bidirectional Long Short-Term Memory. (2021). Ryu, Doojin ; Park, Daehyeon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:22-34.

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2021Deep Learning Market Microstructure: Dual-Stage Attention-Based Recurrent Neural Networks. (2021). Park, Sukjin ; Chung, Chaeshick. In: Working Papers. RePEc:sgo:wpaper:2108.

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2021Research evolution in banking performance: a bibliometric analysis. (2021). Abdul, Dzuljastri Bin ; Matin, Mohammad Abdul ; Shamsul, S M. In: Future Business Journal. RePEc:spr:futbus:v:7:y:2021:i:1:d:10.1186_s43093-021-00111-7.

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2021Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform. (2021). Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola ; Belmonte, Alessandro ; Saggese, Pietro. In: Department of Economics University of Siena. RePEc:usi:wpaper:860.

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2021The dynamics of cross?boundary fire—Financial contagion between the oil and stock markets. (2021). Wang, Tianyang ; Yuan, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1655-1673.

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2021Informed options trading around holidays. (2021). Yu, Jinyoung ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:658-685.

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2021Managing volatility in commodity momentum. (2021). Wang, Ying ; Xu, QI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:758-782.

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2021Pricing VIX options with realized volatility. (2021). Huang, Zhuo ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1180-1200.

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2021Intermediary asset pricing in currency carry trade returns. (2021). Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1241-1267.

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2021Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets. (2021). Lin, Boqiang ; Liu, Tangyong ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1375-1396.

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2021Specification analysis of VXX option pricing models under Lévy processes. (2021). Ruan, Xinfeng ; Cao, Jiling ; Zhang, Wenjun ; Su, Shu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1456-1477.

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2021Fractional cointegration in bitcoin spot and futures markets. (2021). Xu, KE ; Wu, Jinghong ; Chen, Jian ; Zheng, Xinwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1478-1494.

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Recent citations received in 2020
YearCiting document
2020A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402.

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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). Wang, Qian ; Zhang, Jizhou ; Guo, Peidong . 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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2020.

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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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2020Investor Sentiment in an Artificial Limit Order Market. (2020). Wei, Lijian ; Jianwei, LI ; Shi, Lei. In: Complexity. RePEc:hin:complx:8581793.

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2020A Scientometric Review of Digital Currency and Electronic Payment Research: A Network Perspective. (2020). Sun, Xiaoqi ; Shi, Qing. In: Complexity. RePEc:hin:complx:8876017.

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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). Huruta, Andrian Dolfriandra ; Handriani, Eka ; Nugroho, Bayu Adi ; Robiyanto, Robiyanto. 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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2020The impact of US macroeconomic news announcements on Chinese commodity futures. (2020). Liu, Xiaoquan ; Jiang, Ying ; Ahmed, Shamim ; Cai, Haidong. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:12:p:1927-1966.

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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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