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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

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

0.37

Impact Factor

0.22

5-Years IF

16

5-Years H index

[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 IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.090555510.02309926311 (3.3%)0.03
19910.010.0905711220.02100104126413 (3%)0.04
19920.090.015316530.026511226823 (4.6%)0.04
19930.020.10.016322850.02135110226425 (3.7%)0.05
19940.030.110.0348276110.0451116327781 (2%)0.05
19950.020.190.024432090.03110111227653 (2.7%)0.07
19960.080.230.0550370250.07175927265141 (%)0.09
19970.070.270.0845415380.098894725821 (%)0.09
19980.110.270.148463490.11649510250242 (3.1%)0.1
19990.060.310.0947510440.0994936235212 (2.1%)0.13
20000.030.390.0550560270.0560953234111 (1.7%)0.15
20010.080.410.0752612490.0888978240172 (2.3%)10.020.16
20020.030.430.0655667600.09581023242143 (5.2%)10.020.19
20030.060.450.0654721550.08411076252141 (2.4%)10.020.19
20040.060.510.0657778810.1471097258162 (4.3%)10.020.21
20050.040.540.0651829710.09511114268171 (2%)20.040.22
20060.050.520.0651880730.08671085269153 (4.5%)10.020.21
20070.030.450.0451931480.05671023268103 (4.5%)10.020.18
20080.090.480.0658989840.08491029264152 (4.1%)0.2
20090.060.480.08531042770.0748109626821 (%)0.19
20100.050.440.07561098740.0734111526419 (%)0.16
20110.060.530.07471145890.08521096269201 (1.9%)0.21
20120.050.580.055011951000.08721035265132 (2.8%)60.120.22
20130.260.710.145112461590.13439725264362 (4.7%)60.120.25
20140.370.810.225813042210.17391013725756 (%)170.290.28
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:

[Click on heading to sort table]

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

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53
1996Energy shocks and financial markets. (1996). Stoll, Hans R. ; Masulis, Ronald W. ; Huang, Roger D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

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38
1993Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?. (1993). Yang, SeungRyong ; Brorsen, Wade B.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:175-191.

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35
1995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. (1995). Switzer, Lorne N. ; Park, Tae H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:1:p:61-67.

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33
1997Futures market transaction costs. (1997). Venkatesh, P. C. ; Locke, Peter R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:2:p:229-245.

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23
1999Risk arbitrage opportunities in petroleum futures spreads. (1999). Paulson, Albert S. ; Girma, Paul Berhanu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:931-955.

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23
1995Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

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20
1997Searching for fractal structure in agricultural futures markets. (1997). Malliaris, A. G. ; 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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20
1999Price 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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19
1984Memory in commodity futures contracts. (1984). Helms, Billy P. ; Rosenman, Robert E. ; Kaen, Fred R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:4:y:1984:i:4:p:559-567.

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19
1991“Chaos” in futures markets? A nonlinear dynamical analysis. (1991). Blank, Steven C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:6:p:711-728.

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19
1993Cointegration tests of the unbiased expectations hypothesis in metals markets. (1993). Adkins, Lee C. ; Krehbiel, Tim . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:753-763.

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18
1986Price variability and the maturity effect in futures markets. (1986). Milonas, Nikolaos T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:6:y:1986:i:3:p:443-460.

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17
1989Limit moves and price resolution: The case of the treasury bond futures market. (1989). Ma, Christopher K. ; Sears, Stephen R. ; Rao, Ramesh P.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:4:p:321-335.

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17
2006Jumping hedges: An examination of movements in copper spot and futures markets. (2006). Young, Denise ; Chan, Wing H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:2:p:169-188.

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17
1995Long memory in interest rate futures markets: A fractional cointegration analysis. (1995). Booth, Geoffrey G. ; Tse, Yiuman . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:5:p:573-584.

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16
1993The effects of USDA reports in futures and options markets. (1993). Sumner, Daniel A. ; Fortenbery, Randall T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:157-173.

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16
1992Is normal backwardation normal?. (1992). Kolb, Robert W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:12:y:1992:i:1:p:75-91.

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16
1993An examination of cointegration relations between futures and local grain markets. (1993). Zapata, Hector O. ; Fortenbery, Randall T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:8:p:921-932.

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16
1991Futures trading, transaction costs, and stock market volatility. (1991). Brorsen, Wade B.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:2:p:153-163.

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15
1997An evaluation of price linkages between futures and cash markets for cheddar cheese. (1997). Zapata, Hector O. ; Fortenbery, Randall T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:3:p:279-301.

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15
1996Linkages between agricultural commodity futures contracts. (1996). Malliaris, A. G. ; Urrutia, Jorge L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:5:p:595-609.

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15
1998Hedging hard red winter wheat: Kansas City versus Chicago. (1998). Buck, Darren W. ; Brorsen, Wade B. ; Koontz, Stephen R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:18:y:1998:i:4:p:449-466.

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14
2002Measuring 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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14
2007A simplified approach to modeling the co‐movement of asset returns. (2007). Stoja, Evarist ; Richard D. F. Harris, ; Tucker, Jon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:6:p:575-598.

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13
2005Implied correlation index: A new measure of diversification. (2005). Refenes, ApostolosPaul N. ; Skintzi, Vasiliki D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:2:p:171-197.

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13
1991Stock price volatility: Some evidence from an ARCH model. (1991). Baldauf, Brad ; Santoni, G. J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:2:p:191-200.

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12
2001Hedge 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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12
2000Introduction. (2000). Powers, Mark J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:1:p:3-4.

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11
2006Spot‐futures spread, time‐varying correlation, and hedging with currency futures. (2006). Lien, Donald ; Yang, LI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:10:p:1019-1038.

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11
1996Regulatory competition and the efficiency of alternative derivative product margining systems. (1996). White, Patricia A. ; Kupiec, Paul H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:943-968.

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11
2011The performance of VIX option pricing models: Empirical evidence beyond simulation. (2011). Daigler, Robert T. ; Wang, Zhiguang . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:251-281.

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11
1998An analysis of the profiles and motivations of habitual commodity speculators. (1998). CANOLES, Bruce W. ; France, Virginia Grace ; Irwin, Scott ; Thompson, Sarahelen . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:18:y:1998:i:7:p:765-801.

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11
1989Price discovery for feeder cattle. (1989). Oellermann, Charles M. ; Brorsen, Wade B. ; Farris, Paul L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:2:p:113-121.

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10
2007Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models. (2007). Rothig, Andreas ; Chiarella, Carl . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:8:p:719-737.

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10
1985The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian E. ; Torous, Walter N. ; Ball, Clifford A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43.

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10
1997Convenience yields as call options: An empirical analysis. (1997). Milonas, Nikolaos T. ; Thomadakis, Stavros B.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:1:p:1-15.

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10
2014Pricing Multiasset Cross‐Currency Options. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:1:p:1-19.

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10
1998Seasonality in petroleum futures spreads. (1998). Paulson, Albert S. ; Girma, Paul Berhanu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:18:y:1998:i:5:p:581-598.

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10
2003The effect of spot and futures trading on stock index market volatility: A nonparametric approach. (2003). Lafuente, J. A. ; Illueca, M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:23:y:2003:i:9:p:841-858.

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10
1989Liquidity costs and scalping returns in the corn futures market. (1989). Brorsen, Wade B.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:3:p:225-236.

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10
2012Intraday 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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10
1992Memories, heteroscedasticity, and price limit in Currency futures markets. (1992). Ma, Christopher K. ; Kao, Wenchi G.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:12:y:1992:i:6:p:679-692.

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9
1991Measuring seasonalities in commodity markets and the half‐month effect. (1991). Milonas, Nikolaos T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:3:p:331-345.

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9
2001What moves the gold market?. (2001). 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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9
2008Estimation and forecasting of stock volatility with range‐based estimators. (2008). Jacob, Joshy ; Vipul, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:6:p:561-581.

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9
1995Price limits as an explanation of thin‐tailedness in pork bellies futures prices. (1995). Yang, SeungRyong ; Brorsen, Wade B.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:1:p:45-59.

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9
1991The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures. (1991). Malliaris, A. G. ; Urrutia, Jorge L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:3:p:271-289.

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8
1985Public futures funds. (1985). Irwin, Scott H. ; Brorsen, Wade B.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:2:p:149-171.

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8
1989Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures. (1989). HERBST, A. F. ; Caples, S. C. ; Kare, D. D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:3:p:185-197.

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8

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
1996Energy shocks and financial markets. (1996). Stoll, Hans R. ; Masulis, Ronald W. ; Huang, Roger D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

Full description at Econpapers || Download paper

32
1995Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

Full description at Econpapers || Download paper

13
2014Pricing Multiasset Cross‐Currency Options. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:1:p:1-19.

Full description at Econpapers || Download paper

10
2012Intraday 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

9
2001What moves the gold market?. (2001). Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

Full description at Econpapers || Download paper

7
2005Implied correlation index: A new measure of diversification. (2005). Refenes, ApostolosPaul N. ; Skintzi, Vasiliki D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:2:p:171-197.

Full description at Econpapers || Download paper

7
2007A simplified approach to modeling the co‐movement of asset returns. (2007). Stoja, Evarist ; Richard D. F. Harris, ; Tucker, Jon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:6:p:575-598.

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7
2013Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction. (2013). Ryu, Doojin ; Han, Qian . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:7:p:629-652.

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7
1991Futures trading, transaction costs, and stock market volatility. (1991). Brorsen, Wade B.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:2:p:153-163.

Full description at Econpapers || Download paper

7
1992Is normal backwardation normal?. (1992). Kolb, Robert W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:12:y:1992:i:1:p:75-91.

Full description at Econpapers || Download paper

6
2008Estimation and forecasting of stock volatility with range‐based estimators. (2008). Jacob, Joshy ; Vipul, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:6:p:561-581.

Full description at Econpapers || Download paper

6
1993Hedging with stock index futures: Estimation and forecasting with error correction model. (1993). Ghosh, Asim . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:743-752.

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6
1992Variability in soybean futures prices: An integrated framework. (1992). Streeter, Deborah H. ; Tomek, William G.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:12:y:1992:i:6:p:705-728.

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6
2001Investor 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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6
2008Informed 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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6
2002Measuring 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.

Full description at Econpapers || Download paper

6
1999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Moosa, Imad A. ; Silvapulle, Param . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

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6
1991Stock price volatility: Some evidence from an ARCH model. (1991). Baldauf, Brad ; Santoni, G. J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:2:p:191-200.

Full description at Econpapers || Download paper

6
1996Linkages between agricultural commodity futures contracts. (1996). Malliaris, A. G. ; Urrutia, Jorge L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:5:p:595-609.

Full description at Econpapers || Download paper

6
2011The performance of VIX option pricing models: Empirical evidence beyond simulation. (2011). Daigler, Robert T. ; Wang, Zhiguang . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:251-281.

Full description at Econpapers || Download paper

6
2012Are speculators informed?. (2012). Schwarz, Krista. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:1:p:1-23.

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6
2006Transaction tax and market quality of the Taiwan stock index futures. (2006). George H. K. Wang, ; Chou, Robin K.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:12:p:1195-1216.

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5
2004Volatility and commodity price dynamics. (2004). Pindyck, Robert S.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047.

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5
2012Optimal hedging with higher moments. (2012). ern, Ales ; Miffre, Joelle ; Brooks, Chris . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:10:p:909-944.

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5
1996The Fed funds futures rate as a predictor of federal reserve policy. (1996). Krueger, Joel T. ; Kuttner, Kenneth N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:865-879.

Full description at Econpapers || Download paper

5
1993Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?. (1993). Yang, SeungRyong ; Brorsen, Wade B.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:175-191.

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5
2011Volatility 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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5
2012The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated. (2012). Kawaller, Ira G. ; Juhl, Ted ; Koch, Paul D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:9:p:837-876.

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5
2000Trading volume, bid–ask spread, and price volatility in futures markets. (2000). George H. K. Wang, ; Yau, Jot . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:10:p:943-970.

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5
2006Jumping hedges: An examination of movements in copper spot and futures markets. (2006). Young, Denise ; Chan, Wing H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:2:p:169-188.

Full description at Econpapers || Download paper

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

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5
2012The relationship between currency carry trades and U.S. stocks. (2012). Zhao, Lin ; Tse, Yiuman . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:3:p:252-271.

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5
1996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

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5
2015The 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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5
2012Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates. (2012). Tornell, Aaron ; Yuan, Chunming . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:122-151.

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5
2012Causality 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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5
2011Pricing average options on commodities. (2011). Takahashi, Akihiko ; Shiraya, Kenichiro . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:5:p:407-439.

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5
1995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. (1995). Switzer, Lorne N. ; Park, Tae H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:1:p:61-67.

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4
1993A cointegration test for oil futures market efficiency. (1993). Hamed, Anas ; Crowder, William J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:8:p:933-941.

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4
2008Realized 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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4
2009A 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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4
1994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Szakmary, Andrew C. ; Schwarz, Thomas V.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167.

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4
1990South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Sultan, Jahangir ; Melvin, Michael . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111.

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4
1993The effects of USDA reports in futures and options markets. (1993). Sumner, Daniel A. ; Fortenbery, Randall T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:157-173.

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4
2014The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks. (2014). Gao, Lin ; Liu, LU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:1:p:93-101.

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4
2003The effect of spot and futures trading on stock index market volatility: A nonparametric approach. (2003). Lafuente, J. A. ; Illueca, M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:23:y:2003:i:9:p:841-858.

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4
2013Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets. (2013). Westerlund, Joakim ; Narayan, Paresh . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:11:p:1024-1045.

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4
1998Volume and price relationships: Hypotheses and testing for agricultural futures. (1998). Malliaris, A. G. ; Urrutia, Jorge L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:18:y:1998:i:1:p:53-72.

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4
1992Dependence in commodity prices. (1992). Ma, Christopher K. ; Ritchey, Robert J. ; Peterson, Richard L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:12:y:1992:i:4:p:429-446.

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4
1999Risk arbitrage opportunities in petroleum futures spreads. (1999). Paulson, Albert S. ; Girma, Paul Berhanu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:931-955.

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4

Citing documents used to compute impact factor 37:

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YearTitleSee
2014Intraday price dynamics in spot and derivatives markets. (2014). Ryu, Doojin ; Kim, Jun Sik . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:394:y:2014:i:c:p:247-253.

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2014Phase-shifting behaviour revisited: An alternative measure. (2014). Kang, Bo Soo ; Ryu, Doowon . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:401:y:2014:i:c:p:167-173.

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2014Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns. (2014). Lai, Hung-Cheng ; Wang, Kuan-Min . In: Economic Modelling. RePEc:eee:ecmode:v:41:y:2014:i:c:p:156-165.

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2014Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options. (2014). Liu, Qiang ; Guo, Shuxin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:77-89.

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2014The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns. (2014). Li, Steven ; Hou, Yang . In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:319-337.

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2014Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets. (2014). Zhou, Chunyang ; Yang, LI ; Lee, Geul ; Lien, Donald . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:265-272.

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2014The symmetrical and positive relationship between crude oil and nominal exchange rate returns. (2014). Chang, Kuang-Liang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:29:y:2014:i:c:p:266-284.

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[Citation Analysis]
2014Identifying speculators in the FX market: A microstructure approach. (2014). Schreiber, Ben Z.. In: Journal of Economics and Business. RePEc:eee:jebusi:v:73:y:2014:i:c:p:97-119.

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2014Cross-hedging strategies between CDS spreads and option volatility during crises. (2014). da Fonseca, Jose ; Gottschalk, Katrin . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:49:y:2014:i:pb:p:386-400.

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2014Credit Default Swaps: A Survey. (2014). Tang, Dragon Yongjun ; Wang, Sarah Qian ; Augustin, Patrick ; Subrahmanyam, Marti G.. In: Foundations and Trends(R) in Finance. RePEc:now:fntfin:0500000040.

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2014The Return‐Implied Volatility Relation for Commodity ETFs. (2014). Padungsaksawasdi, Chaiyuth ; Daigler, Robert T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:3:p:261-281.

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[Citation Analysis]
2014Hedging and the competitive firm under correlated price and background risk. (2014). Wong, Kit . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:37:y:2014:i:2:p:329-340.

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[Citation Analysis]
2014Production and hedging in futures markets with multiple delivery specifications. (2014). Wong, Kit . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:37:y:2014:i:2:p:413-421.

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2014Applied Econometrics and a Decade of Energy Economics Research. (2014). Narayan, Paresh . In: Monash Economics Working Papers. RePEc:mos:moswps:2014-21.

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2014The impact of information flow and trading activity on gold and oil futures volatility. (2014). Todorova, Neda . In: NCER Working Paper Series. RePEc:qut:auncer:2014_03.

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[Citation Analysis]
2014Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets. (2014). Chen, Cathy ; I-Doun Kuo, . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:43:y:2014:i:2:p:367-391.

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2014Paper oil and physical oil: has speculative pressure in oil futures increased volatility in spot oil prices?. (2014). Fowowe, Babajide . In: OPEC Energy Review. RePEc:bla:opecrv:v:38:y:2014:i:3:p:356-372.

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2014The Optimal Hedging Ratio for Non-Ferrous Metals. (2014). ARMEANU, Daniel ; Dinica, Mihai Cristian . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2014:i:1:p:105-122.

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2014Performance of Utility Based Hedges. (2014). Hanly, Jim ; Cotter, John . In: Working Papers. RePEc:ucd:wpaper:201404.

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2014Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth. (2014). Koziol, Philipp . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:54:y:2014:i:4:p:459-472.

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2014The price discovery of day trading activities in futures market. (2014). Chen, Ming-Hsien ; Tai, Vivian . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:217-239.

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2014Sovereign rating actions and the implied volatility of stock index options. (2014). ap Gwilym, Owain ; Tran, VU ; Alsakka, Rasha . In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:101-113.

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[Citation Analysis]
2014Production and hedging in futures markets with multiple delivery specifications. (2014). Wong, Kit . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:37:y:2014:i:2:p:413-421.

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[Citation Analysis]
2014Institutional Investor Sentiment and Market Returns: Evidence from the Taiwan Futures Market. (2014). Lee, Hsiu-Chuan ; Lu, Ralph Yang-Cheng ; Chiu, Peter . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2014:i:4:p:140-167.

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2014Performance and Relevance of Wheat Futures Market in India – An Exploratory Analysis. (2014). Ramasundaram, P. ; Sendhil, R.. In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota. RePEc:ags:aaea14:174839.

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2014Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales. (2014). Xie, Chi ; Chen, Shou . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:405:y:2014:i:c:p:70-79.

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[Citation Analysis]
2014Intraday price dynamics in spot and derivatives markets. (2014). Ryu, Doojin ; Kim, Jun Sik . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:394:y:2014:i:c:p:247-253.

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[Citation Analysis]
2014Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data. (2014). Cao, Guangxi ; Guo, YU ; Han, Yan ; Cui, Weijun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:414:y:2014:i:c:p:308-320.

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[Citation Analysis]
2014The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns. (2014). Li, Steven ; Hou, Yang . In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:319-337.

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[Citation Analysis]
2014Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection. (2014). Xu, Xiaojie . In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota. RePEc:ags:aaea14:169809.

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2014Fuel hedging, operational hedging and risk exposure — Evidence from the global airline industry. (2014). Lucey, Brian ; Berghofer, Britta . In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:124-139.

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2014Dependence Calibration and Portfolio Fit with FactorBased Time Changes. (2014). Luciano, Elisa ; Semeraro, Patrizia ; Marena, Marina . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:307.

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2014The forecasting performance of implied volatility index: evidence from India VIX. (2014). Shaikh, Imlak ; Padhi, Puja . In: Economic Change and Restructuring. RePEc:kap:ecopln:v:47:y:2014:i:4:p:251-274.

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2014The importance of the volatility risk premium for volatility forecasting. (2014). Simen, Chardin Wese ; Prokopczuk, Marcel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:303-320.

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2014The imprecision of volatility indexes. (2014). Shah, Ajay ; Grover, Rohini . In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2014-031.

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[Citation Analysis]
2014The Return‐Implied Volatility Relation for Commodity ETFs. (2014). Padungsaksawasdi, Chaiyuth ; Daigler, Robert T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:3:p:261-281.

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[Citation Analysis]
2014The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range. (2014). Souek, Michael ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:36:y:2014:i:c:p:332-340.

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Cites in year: CiY

Recent citations received in: 2014

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YearTitleSee
2014Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets. (2014). Grosche, Stephanie ; Heckelei, Thomas . In: Discussion Papers. RePEc:ags:ubfred:166079.

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2014Price dynamics and financialization effects in corn futures markets with heterogeneous traders. (2014). Grosche, Stephanie ; Heckelei, Thomas . In: Discussion Papers. RePEc:ags:ubfred:172077.

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2014Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers. (2014). Algieri, Bernardina ; Kalkuhl, Matthias . In: Discussion Papers. RePEc:ags:ubzefd:187159.

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2014Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data. (2014). Panayi, Efstathios ; Kosmidis, Ioannis ; Peters, Gareth . In: Papers. RePEc:arx:papers:1406.5486.

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2014A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities. (2014). Horst, Enrique ter ; Casarin, Roberto ; Molina, German ; Leisen, Fabrizio . In: Papers. RePEc:arx:papers:1409.1956.

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2014What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets. (2014). Grosche, Stephanie-Carolin . In: Journal of Agricultural Economics. RePEc:bla:jageco:v:65:y:2014:i:2:p:279-302.

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2014Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf336.

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2014Insider trading and information revelation with the introduction of futures markets. (2014). Hsu, Chih-Hsiang ; Lee, Hsiu-Chuan . In: Economic Modelling. RePEc:eee:ecmode:v:43:y:2014:i:c:p:173-182.

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2014The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence. (2014). Rosa, Carlo . In: Energy Economics. RePEc:eee:eneeco:v:45:y:2014:i:c:p:295-303.

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2014Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises. (2014). ULUSOY, Veysel . In: MPRA Paper. RePEc:pra:mprapa:59727.

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[Citation Analysis]
2014Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf913.

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2014Price Impacts of Imperfect Collateralization. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf947.

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2014.

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2014Individual investors and suboptimal early exercises in the fixed-income market. (2014). Wilkens, Marco ; Entrop, Oliver ; Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:14.

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2014What makes individual investors exercise early? Empirical evidence from the fixed-income market. (2014). Wilkens, Marco ; Entrop, Oliver ; Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:15.

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2014Behavioral financial engineering in the fixed-income market: The influence of the coupon structure. (2014). Eickholt, Mathias . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:16.

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2014Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion. (2014). Brandtner, Mario ; Kursten, Wolfgang . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100615.

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[Citation Analysis]

Recent citations received in: 2013

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YearTitleSee
2013Modeling the co-movements between crude oil and refined petroleum markets. (2013). Tong, Bin ; Zhou, Chunyang ; Wu, Chongfeng . In: Energy Economics. RePEc:eee:eneeco:v:40:y:2013:i:c:p:882-897.

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2013A substitution effect between price clustering and size clustering in credit default swaps. (2013). Meng, Lei ; Verousis, Thanos ; ap Gwilym, Owain . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:24:y:2013:i:c:p:139-152.

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2013VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation. (2013). Lin, Yueh-Neng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:11:p:4432-4446.

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2013On the predictability of stock prices: A case for high and low prices. (2013). Ranaldo, Angelo ; de Magistris, Paolo Santucci ; Caporin, Massimiliano . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146.

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2013What types of investors generate the two-phase phenomenon?. (2013). Ryu, Doojin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:23:p:5939-5946.

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2013Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression. (2013). Singh, Abhay K. ; Powell, Robert J. ; McAleer, Michael ; Thomas, Lyn ; Taylor, James ; Allen, David E.. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130020.

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Recent citations received in: 2012

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2012Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets. (2012). Trujillo-Barrera, Andres ; Garcia, Philip ; Mallory, Mindy L.. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:134275.

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2012Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market. (2012). Tian, Jie ; Li, Zhihui ; Zhou, Ying ; Lu, Xinsheng . In: Working Papers. RePEc:aut:wpaper:201208.

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2012A remark on Lin and Changs paper ‘Consistent modeling of S&P 500 and VIX derivatives’. (2012). Zhang, Jin E. ; Ibraimi, Meriton ; Leippold, Markus ; Cheng, Jun . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:5:p:708-715.

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2012Rejoinder to a remark on Lin and Changs paper ‘Consistent modeling of S&P 500 and VIX derivatives’. (2012). Chang, Chien-Hung ; Lin, Yueh-Neng . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:5:p:716-718.

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2012Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process. (2012). Godin, Frederic ; Franois, Pascal ; Gauthier, Genevieve . In: Cahiers de recherche. RePEc:lvl:lacicr:1234.

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2012Downside risk and the energy hedgers horizon. (2012). Cotter, John ; Conlon, Thomas . In: Working Papers. RePEc:ucd:wpaper:201219.

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[Citation Analysis]

Recent citations received in: 2011

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Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.