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

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

0.54

Impact Factor

0.64

5-Years IF

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
1990	0.02	0.1	0.03	55	55	9	0.16	64	99	2	263	9	1 (1.6%)			0.04
1991	0.01	0.09	0.01	57	112	3	0.03	142	104	1	264	2	3 (2.1%)			0.04
1992		0.1	0.02	53	165	7	0.04	98	112		268	5	3 (3.1%)			0.04
1993	0.02	0.11	0.01	63	228	11	0.05	200	110	2	264	2	7 (3.5%)			0.05
1994	0.03	0.12	0.03	48	276	12	0.04	89	116	3	277	8	1 (1.1%)			0.05
1995	0.03	0.19	0.03	44	320	28	0.09	186	111	3	276	7	4 (2.2%)	2	0.05	0.07
1996	0.08	0.22	0.06	50	370	28	0.08	294	92	7	265	15	2 (%)			0.09
1997	0.07	0.27	0.09	45	415	47	0.11	121	94	7	258	24	1 (%)	1	0.02	0.09
1998	0.14	0.27	0.12	48	463	59	0.13	103	95	13	250	29	2 (1.9%)			0.1
1999	0.06	0.31	0.11	47	510	62	0.12	179	93	6	235	25	3 (1.7%)			0.13
2000	0.03	0.4	0.09	50	560	53	0.09	99	95	3	234	20	3 (3%)	1	0.02	0.15
2001	0.08	0.4	0.08	52	612	54	0.09	173	97	8	240	18	3 (1.7%)	1	0.02	0.15
2002	0.04	0.42	0.07	55	667	67	0.1	109	102	4	242	17	3 (2.8%)	1	0.02	0.18
2003	0.06	0.44	0.06	54	721	59	0.08	96	107	6	252	14	2 (2.1%)	1	0.02	0.18
2004	0.06	0.49	0.07	57	778	89	0.11	151	109	7	258	18	4 (2.6%)	1	0.02	0.2
2005	0.04	0.53	0.07	51	829	83	0.1	92	111	4	268	18	3 (3.3%)	3	0.06	0.21
2006	0.05	0.51	0.09	51	880	95	0.11	141	108	5	269	24	5 (3.5%)	1	0.02	0.2
2007	0.03	0.44	0.06	51	931	70	0.08	129	102	3	268	15	4 (3.1%)	1	0.02	0.18
2008	0.09	0.47	0.08	58	989	127	0.13	153	102	9	264	22	2 (1.3%)	1	0.02	0.2
2009	0.15	0.47	0.14	53	1042	121	0.12	105	109	16	268	38	1 (1%)			0.19
2010	0.06	0.44	0.09	56	1098	125	0.11	96	111	7	264	24	2 (2.1%)	3	0.05	0.16
2011	0.12	0.51	0.17	47	1145	174	0.15	124	109	13	269	47	2 (1.6%)			0.2
2012	0.13	0.56	0.12	50	1195	181	0.15	118	103	13	265	33	3 (2.5%)	6	0.12	0.21
2013	0.36	0.66	0.23	51	1246	291	0.23	79	97	35	264	61	4 (5.1%)	7	0.14	0.23
2014	0.43	0.67	0.3	58	1304	301	0.23	89	101	43	257	76	(%)	20	0.34	0.22
2015	0.54	0.82	0.64	65	1369	855	0.62	71	109	59	262	167	1 (1.4%)	22	0.34	0.27

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:

#	Year	Title	Cited
1	1996	Energy shocks and financial markets. (1996). masulis, ronald ; Stoll, Hans R. ; Huang, Roger D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27. Full description at Econpapers \|\| Download paper	97
2	1996	The 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	60
3	1995	Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. (1995). Switzer, Lorne ; Park, Tae H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:1:p:61-67. Full description at Econpapers \|\| Download paper	47
4	1993	Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?. (1993). Brorsen, B ; Yang, SeungRyong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:175-191. Full description at Econpapers \|\| Download paper	44
5	1995	Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302. Full description at Econpapers \|\| Download paper	39
6	1999	Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643. Full description at Econpapers \|\| Download paper	29
7	2004	Volatility and commodity price dynamics. (2004). Pindyck, Robert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047. Full description at Econpapers \|\| Download paper	29
8	1999	Risk arbitrage opportunities in petroleum futures spreads. (1999). Paulson, Albert S. ; Girma, Paul Berhanu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:931-955. Full description at Econpapers \|\| Download paper	28
9	1997	Searching for fractal structure in agricultural futures markets. (1997). Malliaris, Anastasios ; Corazza, Marco ; Nardelli, Carla. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:4:p:433-473. Full description at Econpapers \|\| Download paper	27
10	1997	Futures market transaction costs. (1997). Venkatesh, P. C. ; Locke, Peter R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:2:p:229-245. Full description at Econpapers \|\| Download paper	27
11	1984	Memory in commodity futures contracts. (1984). Rosenman, Robert ; Helms, Billy P. ; Kaen, Fred R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:4:y:1984:i:4:p:559-567. Full description at Econpapers \|\| Download paper	26
12	2006	Jumping hedges: An examination of movements in copper spot and futures markets. (2006). Young, Denise ; Chan, Wing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:2:p:169-188. Full description at Econpapers \|\| Download paper	25
13	2001	Risk premiums on inventory assets: the case of crude oil and natural gas. (2001). Larson, Donald ; Considine, Timothy J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:2:p:109-126. Full description at Econpapers \|\| Download paper	25
14	1986	Price variability and the maturity effect in futures markets. (1986). Milonas, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:6:y:1986:i:3:p:443-460. Full description at Econpapers \|\| Download paper	23
15	2002	Measuring and forecasting S&P 500 indexâfutures volatility using highâfrequency data. (2002). Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:22:y:2002:i:6:p:497-518. Full description at Econpapers \|\| Download paper	22
16	1999	The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Moosa, Imad A. ; Silvapulle, Param . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193. Full description at Econpapers \|\| Download paper	22
17	1991	âChaosâ in futures markets? A nonlinear dynamical analysis. (1991). Blank, Steven. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:6:p:711-728. Full description at Econpapers \|\| Download paper	21
18	2001	What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278. Full description at Econpapers \|\| Download paper	20
19	1996	Linkages between agricultural commodity futures contracts. (1996). Malliaris, Anastasios ; Urrutia, Jorge L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:5:p:595-609. Full description at Econpapers \|\| Download paper	20
20	2001	Hedge Fund Performance and Manager Skill. (2001). Edwards, Franklin R. ; Caglayan, Mustafa Onur . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1003-1028. Full description at Econpapers \|\| Download paper	19
21	1996	Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387. Full description at Econpapers \|\| Download paper	19
22	1993	Cointegration tests of the unbiased expectations hypothesis in metals markets. (1993). Adkins, Lee ; Krehbiel, Tim . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:753-763. Full description at Econpapers \|\| Download paper	19
23	2008	Realized volatility and correlation in energy futures markets. (2008). Yang, Jian ; Wang, Tao ; Wu, Jingtao . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:10:p:993-1011. Full description at Econpapers \|\| Download paper	18
24	1995	Long 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. Full description at Econpapers \|\| Download paper	18
25	1993	The effects of USDA reports in futures and options markets. (1993). Sumner, Daniel ; Fortenbery, T. Randall. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:157-173. Full description at Econpapers \|\| Download paper	18
26	2012	Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. (2012). Yang, Jian ; Zhou, Yinggang . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:99-121. Full description at Econpapers \|\| Download paper	18
27	2011	The performance of VIX option pricing models: Empirical evidence beyond simulation. (2011). Wang, Zhiguang ; Daigler, Robert T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:251-281. Full description at Econpapers \|\| Download paper	18
28	2005	Implied correlation index: A new measure of diversification. (2005). Skintzi, Vasiliki ; Refenes, ApostolosPaul N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:2:p:171-197. Full description at Econpapers \|\| Download paper	18
29	1993	An examination of cointegration relations between futures and local grain markets. (1993). Fortenbery, T. Randall ; Zapata, Hector O.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:8:p:921-932. Full description at Econpapers \|\| Download paper	18
30	2006	Spotâfutures spread, timeâvarying correlation, and hedging with currency futures. (2006). Yang, Li ; Lien, Donald . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:10:p:1019-1038. Full description at Econpapers \|\| Download paper	18
31	1992	Is 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	17
32	2015	Do MomentumâBased Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Paresh ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891. Full description at Econpapers \|\| Download paper	17
33	1989	Limit moves and price resolution: The case of the treasury bond futures market. (1989). Rao, Ramesh ; Ma, Christopher K. ; Sears, Stephen R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:4:p:321-335. Full description at Econpapers \|\| Download paper	17
34	2008	Informed trading in the index option market: The case of KOSPI 200 options. (2008). Ryu, Doojin ; Kang, Jangkoo ; Ahn, HeeJoon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146. Full description at Econpapers \|\| Download paper	16
35	1985	The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian ; Torous, Walter N. ; Ball, Clifford A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43. Full description at Econpapers \|\| Download paper	16
36	1997	An evaluation of price linkages between futures and cash markets for cheddar cheese. (1997). Fortenbery, T. Randall ; Zapata, Hector O.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:3:p:279-301. Full description at Econpapers \|\| Download paper	16
37	1991	Futures trading, transaction costs, and stock market volatility. (1991). Brorsen, B. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:2:p:153-163. Full description at Econpapers \|\| Download paper	16
38	1990	South 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. Full description at Econpapers \|\| Download paper	16
39	1994	Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Szakmary, Andrew C. ; Schwarz, Thomas V.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167. Full description at Econpapers \|\| Download paper	15
40	2000	Efficient use of commodity futures in diversified portfolios. (2000). Jensen, Gerald R. ; Johnson, Robert R. ; Mercer, Jeffrey M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-506. Full description at Econpapers \|\| Download paper	15
41	2006	Transaction 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. Full description at Econpapers \|\| Download paper	15
42	2007	A simplified approach to modeling the coâmovement of asset returns. (2007). Stoja, Evarist ; Harris, Richard ; Richard D. F. Harris, ; Tucker, Jon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:6:p:575-598. Full description at Econpapers \|\| Download paper	14
43	1998	Hedging hard red winter wheat: Kansas City versus Chicago. (1998). Brorsen, B ; Buck, Darren W. ; Koontz, Stephen R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:18:y:1998:i:4:p:449-466. Full description at Econpapers \|\| Download paper	14
44	2007	Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets. (2007). Switzer, Lorne ; ElKhoury, Mario . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:1:p:61-84. Full description at Econpapers \|\| Download paper	14
45	2007	Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, YoungWook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668. Full description at Econpapers \|\| Download paper	14
46	2008	The information content in implied idiosyncratic volatility and the crossâsection of stock returns: Evidence from the option markets. (2008). Doran, James ; Peterson, David R. ; Diavatopoulos, Dean . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:11:p:1013-1039. Full description at Econpapers \|\| Download paper	14
47	2007	Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models. (2007). Chiarella, Carl ; Rothig, Andreas . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:8:p:719-737. Full description at Econpapers \|\| Download paper	13
48	2006	VIX futures. (2006). Zhang, Jin E. ; Zhu, Yingzi . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:6:p:521-531. Full description at Econpapers \|\| Download paper	13
49	1989	Price discovery for feeder cattle. (1989). Brorsen, B ; Oellermann, Charles M. ; Farris, Paul L.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:9:y:1989:i:2:p:113-121. Full description at Econpapers \|\| Download paper	13
50	1998	An analysis of the profiles and motivations of habitual commodity speculators. (1998). Thompson, Sarahelen ; CANOLES, Bruce W. ; France, Virginia Grace ; Irwin, Scott . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:18:y:1998:i:7:p:765-801. Full description at Econpapers \|\| Download paper	12

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

#	Year	Title	Cited
1	1996	Energy shocks and financial markets. (1996). masulis, ronald ; Stoll, Hans R. ; Huang, Roger D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27. Full description at Econpapers \|\| Download paper	76
2	1995	Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302. Full description at Econpapers \|\| Download paper	23
3	2004	Volatility and commodity price dynamics. (2004). Pindyck, Robert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047. Full description at Econpapers \|\| Download paper	22
4	1996	Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387. Full description at Econpapers \|\| Download paper	17
5	2015	Do MomentumâBased Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Paresh ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891. Full description at Econpapers \|\| Download paper	17
6	1999	The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Moosa, Imad A. ; Silvapulle, Param . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193. Full description at Econpapers \|\| Download paper	16
7	2001	What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278. Full description at Econpapers \|\| Download paper	16
8	1990	South 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. Full description at Econpapers \|\| Download paper	15
9	2012	Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. (2012). Yang, Jian ; Zhou, Yinggang . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:99-121. Full description at Econpapers \|\| Download paper	14
10	2008	Informed trading in the index option market: The case of KOSPI 200 options. (2008). Ryu, Doojin ; Kang, Jangkoo ; Ahn, HeeJoon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146. Full description at Econpapers \|\| Download paper	13
11	1999	Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643. Full description at Econpapers \|\| Download paper	13
12	2008	Realized volatility and correlation in energy futures markets. (2008). Yang, Jian ; Wang, Tao ; Wu, Jingtao . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:10:p:993-1011. Full description at Econpapers \|\| Download paper	13
13	2014	The Predictive Content of Commodity Futures. (2014). Coibion, Olivier ; Chinn, Menzie ; MenzieD. Chinn, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636. Full description at Econpapers \|\| Download paper	12
14	2001	Investor Sentiment and Return Predictability in Agricultural Futures Markets. (2001). Wang, Changyun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:10:p:929-952. Full description at Econpapers \|\| Download paper	11
15	2000	Efficient use of commodity futures in diversified portfolios. (2000). Jensen, Gerald R. ; Johnson, Robert R. ; Mercer, Jeffrey M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-506. Full description at Econpapers \|\| Download paper	11
16	2006	VIX futures. (2006). Zhang, Jin E. ; Zhu, Yingzi . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:6:p:521-531. Full description at Econpapers \|\| Download paper	11
17	2009	The information content of an open limitâorder book. (2009). Cao, Charles ; Wang, Xiaoxin ; Hansch, Oliver . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41. Full description at Econpapers \|\| Download paper	11
18	2013	Testing 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. Full description at Econpapers \|\| Download paper	11
19	2014	Pricing Multiasset CrossâCurrency 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
20	2011	Volatility spillover effects and cross hedging in corn and crude oil futures. (2011). Myers, Robert J. ; Guan, Zhengfei . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-1075. Full description at Econpapers \|\| Download paper	10
21	2006	Transaction 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. Full description at Econpapers \|\| Download paper	10
22	2011	The performance of VIX option pricing models: Empirical evidence beyond simulation. (2011). Wang, Zhiguang ; Daigler, Robert T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:251-281. Full description at Econpapers \|\| Download paper	10
23	2007	Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, YoungWook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668. Full description at Econpapers \|\| Download paper	10
24	1995	Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. (1995). Switzer, Lorne ; Park, Tae H.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:1:p:61-67. Full description at Econpapers \|\| Download paper	10
25	1994	Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Szakmary, Andrew C. ; Schwarz, Thomas V.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167. Full description at Econpapers \|\| Download paper	10
26	2001	S&P futures returns and contrary sentiment indicators. (2001). Simon, David P. ; Wiggins, Roy A. ; Webb, Robert I.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:5:p:447-462. Full description at Econpapers \|\| Download paper	9
27	2006	Jumping hedges: An examination of movements in copper spot and futures markets. (2006). Young, Denise ; Chan, Wing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:2:p:169-188. Full description at Econpapers \|\| Download paper	9
28	2002	Measuring and forecasting S&P 500 indexâfutures volatility using highâfrequency data. (2002). Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:22:y:2002:i:6:p:497-518. Full description at Econpapers \|\| Download paper	9
29	2015	The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives. (2015). Ryu, Doojin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:3:p:201-221. Full description at Econpapers \|\| Download paper	9
30	2011	Price discovery and investor structure in stock index futures. (2011). Salm, Christian A. ; Schuppli, Michael ; Bohl, Martin T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:282-306. Full description at Econpapers \|\| Download paper	9
31	2004	Predicting financial volatility: Highâfrequency timeâseries forecasts visâÃ âvis implied volatility. (2004). Zein, Jason ; Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028. Full description at Econpapers \|\| Download paper	9
32	1993	Hedging 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. Full description at Econpapers \|\| Download paper	9
33	2008	Volatility dynamics of NYMEX natural gas futures prices. (2008). Smith, Aaron ; Williams, Jeffrey ; Suenaga, Hiroaki . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:5:p:438-463. Full description at Econpapers \|\| Download paper	9
34	1993	Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?. (1993). Brorsen, B ; Yang, SeungRyong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:175-191. Full description at Econpapers \|\| Download paper	8
35	1991	Futures trading, transaction costs, and stock market volatility. (1991). Brorsen, B. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:2:p:153-163. Full description at Econpapers \|\| Download paper	8
36	2009	A new information share measure. (2009). Lien, Donald . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395. Full description at Econpapers \|\| Download paper	8
37	1997	Futures market transaction costs. (1997). Venkatesh, P. C. ; Locke, Peter R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:2:p:229-245. Full description at Econpapers \|\| Download paper	8
38	2009	Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange. (2009). Chou, Robin K. ; Wang, Yunyi . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:12:p:1102-1129. Full description at Econpapers \|\| Download paper	8
39	2012	Are speculators informed?. (2012). Schwarz, Krista. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:1:p:1-23. Full description at Econpapers \|\| Download paper	8
40	2013	Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction. (2013). guo, biao ; Ryu, Doojin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:7:p:629-652. Full description at Econpapers \|\| Download paper	8
41	2012	Speculation 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. Full description at Econpapers \|\| Download paper	8
42	2004	A Markov regime switching approach for hedging stock indices. (2004). Alizadeh, Amir ; Nomikos, Nikos . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:7:p:649-674. Full description at Econpapers \|\| Download paper	8
43	2001	Hedge Fund Performance and Manager Skill. (2001). Edwards, Franklin R. ; Caglayan, Mustafa Onur . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1003-1028. Full description at Econpapers \|\| Download paper	8
44	2004	Natural gas prices and the gas storage report: Public news and volatility in energy futures markets. (2004). Zhu, Zhen ; Linn, Scott C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:3:p:283-313. Full description at Econpapers \|\| Download paper	8
45	2000	Trading volume, bidâask spread, and price volatility in futures markets. (2000). George H. K. Wang, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:10:p:943-970. Full description at Econpapers \|\| Download paper	8
46	2011	Pricing 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. Full description at Econpapers \|\| Download paper	7
47	2009	Reverse convertible bonds analyzed. (2009). Veld, Chris ; Szymanowska, Marta ; Horst, Jenke Ter . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:10:p:895-919. Full description at Econpapers \|\| Download paper	7
48	2009	Analyst forecasts and price discovery in futures markets: The case of natural gas storage. (2009). Simkins, Betty J. ; Turac, Marian ; Gay, Gerald D.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:5:p:451-477. Full description at Econpapers \|\| Download paper	7
49	2010	The information content of implied volatility: Evidence from Australia. (2010). Tourani-Rad, Alireza ; Frijns, Bart ; Tallau, Christian ; TouraniRad, Alireza . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:2:p:134-155. Full description at Econpapers \|\| Download paper	7
50	2011	Intraday price formation and bidâask spread components: A new approach using a crossâmarket model. (2011). Ryu, Doojin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:12:p:1142-1169. Full description at Econpapers \|\| Download paper	7

Citing documents used to compute impact factor 59:

Year	Title
2015	Time-variations in commodity price jumps. (2015). Prokopczuk, Marcel ; Simen, Chardin Wese ; Diewald, Laszlo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:31:y:2015:i:c:p:72-84. Full description at Econpapers \|\| Download paper
2015	Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices. (2015). Wang, Zhiguang ; Myers, Robert J ; Guan, Zhengfei . In: Journal of Empirical Finance. RePEc:eee:empfin:v:34:y:2015:i:c:p:260-274. Full description at Econpapers \|\| Download paper
2015	Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets. (2015). Gentle, James E. ; Wang, George H. K., ; Bjursell, Johan . In: Energy Economics. RePEc:eee:eneeco:v:48:y:2015:i:c:p:336-349. Full description at Econpapers \|\| Download paper
2015	Supply and Demand Determinants of Natural Gas Price Volatility in the U.K.: A Vector Autoregression Approach. (2015). Misund, BÃÂ¥rd ; Oglend, Atle . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2015_010. Full description at Econpapers \|\| Download paper
2015	High and low or close to close prices? Evidence from the multifractal volatility. (2015). Ma, Feng ; Liu, Zhichao ; Long, Yujia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:427:y:2015:i:c:p:50-61. Full description at Econpapers \|\| Download paper
2015	Price Impacts of Imperfect Collateralization. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf355. Full description at Econpapers \|\| Download paper
2015	Asymptotic Expansion Approach in Finance. (2015). Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf356. Full description at Econpapers \|\| Download paper
2015	An Approximation Formula for Basket Option Prices under Local Stochastic Volatility with Jumps: an Application to Commodity Markets. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2015cf973. Full description at Econpapers \|\| Download paper
2015	An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf361. Full description at Econpapers \|\| Download paper
2015	Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models. (2015). Shiraya, Kenichiro ; Takahashi, Yakihiko . In: CIRJE F-Series. RePEc:tky:fseres:2015cf980. Full description at Econpapers \|\| Download paper
2015	Pricing Average and Spread Options on Commodities under Local-Stochastic Volatility with Jumps Models. (2015). Shiraya, Kenichiro ; Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf365. Full description at Econpapers \|\| Download paper
2015	Forecasting the daily outbreak of topic-level political risk from social media using hidden Markov model-based techniques. (2015). Suh, Jong Hwan . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:94:y:2015:i:c:p:115-132. Full description at Econpapers \|\| Download paper
2015	Information shares of two parallel currency options markets: Trading costs versus transparency/tradability. (2015). Schreiber, Ben ; Piccotti, Louis R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:210-229. Full description at Econpapers \|\| Download paper
2015	Are the KOSPI 200 implied volatilities useful in value-at-risk models?. (2015). Ryu, Doojin ; Kim, Jun Sik . In: Emerging Markets Review. RePEc:eee:ememar:v:22:y:2015:i:c:p:43-64. Full description at Econpapers \|\| Download paper
2015	An inverted U-shaped crude oil price return-implied volatility relationship. (2015). Agbeyegbe, Terence D. In: Review of Financial Economics. RePEc:eee:revfin:v:27:y:2015:i:c:p:28-45. Full description at Econpapers \|\| Download paper
2015	Hurricanes as News? A Comparison of the Impact of Hurricanes on Stock Returns of Energy Companies. (2015). Karali, Berna ; Liu, Haiyan . In: 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia. RePEc:ags:saea15:196845. Full description at Econpapers \|\| Download paper
2015	Evaluation of realized multi-power variations in minimum variance hedging. (2015). Hung, Jui-Cheng . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:672-679. Full description at Econpapers \|\| Download paper
2015	Pricing annuity guarantees under a double regime-switching model. (2015). Siu, Tak Kuen ; Fan, Kun ; Wang, Rongming . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:62-78. Full description at Econpapers \|\| Download paper
2015	Valuing commodity options and futures options with changing economic conditions. (2015). Siu, Tak Kuen ; Fan, Kun ; Wang, Rongming . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:524-533. Full description at Econpapers \|\| Download paper
2015	The financial economics of gold â A survey. (2015). Batten, Jonathan ; Baur, Dirk G ; O'Connor, Fergal A. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:186-205. Full description at Econpapers \|\| Download paper
2015	Global information distribution in the gold OTC markets. (2015). Wang, Jianxin ; Lee, Adrian. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:206-217. Full description at Econpapers \|\| Download paper
2015	On the efficiency of the global gold markets. (2015). Ntim, Collins ; Wang, Yan ; Nwachukwu, Jacinta ; English, John . In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:218-236. Full description at Econpapers \|\| Download paper
2015	The importance of belief dispersion in the response of gold futures to macroeconomic announcements. (2015). Smales, Lee A ; Yang, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:292-302. Full description at Econpapers \|\| Download paper
2015	Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers \|\| Download paper
2015	Extension and calibration of a Hawkes-based optimal execution model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1506.08740. Full description at Econpapers \|\| Download paper
2015	LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Working Papers. RePEc:hal:wpaper:hal-01121711. Full description at Econpapers \|\| Download paper
2015	LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Post-Print. RePEc:hal:journl:hal-01121711. Full description at Econpapers \|\| Download paper
2015	Liquidity provision and informed trading by individual investors. (2015). Do, Binh ; Kalev, Petko S ; Tian, Xiao . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:35:y:2015:i:pa:p:143-162. Full description at Econpapers \|\| Download paper
2015	Oil Price Forecasting Using Crack Spread Futures and Oil Exchange Traded Funds. (2015). Sukcharoen, Kunlapath ; Choi, Hankyeung ; Leatham, David J.. In: Contemporary Economics. RePEc:wyz:journl:id:385. Full description at Econpapers \|\| Download paper
2015	Dynamic relationships between spot and futures prices. The case of energy and gold commodities. (2015). Palomba, Giulio ; Nicolau, Mihaela. In: Resources Policy. RePEc:eee:jrpoli:v:45:y:2015:i:c:p:130-143. Full description at Econpapers \|\| Download paper
2015	Dynamic spillovers between commodity and currency markets. (2015). Antonakakis, Nikolaos. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:303-319. Full description at Econpapers \|\| Download paper
2015	Option pricing under GARCH models with Hansens skewed-t distributed innovations. (2015). Ng, Andrew Cheuk-Yin ; Liu, Yanxin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:31:y:2015:i:c:p:108-125. Full description at Econpapers \|\| Download paper
2015	VIX forecasting and variance risk premium: A new GARCH approach. (2015). Liu, Qiang ; Qiao, Gaoxiu ; Guo, Shuxin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:34:y:2015:i:c:p:314-322. Full description at Econpapers \|\| Download paper
2015	Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis. (2015). El Ouadghiri, Imane. In: EconomiX Working Papers. RePEc:drm:wpaper:2015-17. Full description at Econpapers \|\| Download paper
2015	The importance of belief dispersion in the response of gold futures to macroeconomic announcements. (2015). Smales, Lee A ; Yang, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:292-302. Full description at Econpapers \|\| Download paper
2015	Model-free volatility indexes in the financial literature: A review. (2015). Gonzalez-Perez, Maria T. In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:141-159. Full description at Econpapers \|\| Download paper
2015	. Full description at Econpapers \|\| Download paper
2015	A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier. (2015). Hertrich, Markus. In: Swiss Journal of Economics and Statistics (SJES). RePEc:ses:arsjes:2015-iii-2. Full description at Econpapers \|\| Download paper
2015	Common deviation and regime-dependent dynamics in the index derivatives markets. (2015). Lee, Jaeram ; Ryu, Doojin ; Kang, Jangkoo . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:33:y:2015:i:c:p:1-22. Full description at Econpapers \|\| Download paper
2015	Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH. (2015). Dark, Jonathan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s269-s285. Full description at Econpapers \|\| Download paper
2015	Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market. (2015). Lopez, Raquel . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:292-303. Full description at Econpapers \|\| Download paper
2015	High Frequency Trading in the Korean Index Futures Market. (2015). . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:1:p:31-51. Full description at Econpapers \|\| Download paper
2015	Double-jump stochastic volatility model for VIX: evidence from VVIX. (2015). Zang, Xin ; Wu, Lan ; Huang, Jing-Zhi ; Ni, Jun . In: Papers. RePEc:arx:papers:1506.07554. Full description at Econpapers \|\| Download paper
2015	A model-free test for contagion between crude oil and stock markets. (2015). Zheng, Xu ; Pan, Zhiyuan ; Gong, Yuting . In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:1-4. Full description at Econpapers \|\| Download paper
2015	Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector. (2015). Tong, Bin ; Wu, Chongfeng ; Diao, Xundi . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:366-382. Full description at Econpapers \|\| Download paper
2015	Information shares of two parallel currency options markets: Trading costs versus transparency/tradability. (2015). Schreiber, Ben ; Piccotti, Louis R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:210-229. Full description at Econpapers \|\| Download paper
2015	A Simple Econometric Approach for Modeling Stress Event Intensities. (2015). Scheule, Harald ; Rosch, Daniel ; Jobst, Rainer ; Schmelzle, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:4:p:300-320. Full description at Econpapers \|\| Download paper
2015	Local volatility calibration during turbulent periods. (2015). Lo, Chia ; Skindilias, Konstantinos . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:44:y:2015:i:3:p:425-444. Full description at Econpapers \|\| Download paper
2015	An inverted U-shaped crude oil price return-implied volatility relationship. (2015). Agbeyegbe, Terence D. In: Review of Financial Economics. RePEc:eee:revfin:v:27:y:2015:i:c:p:28-45. Full description at Econpapers \|\| Download paper
2015	Implied volatility transmissions between Thai and selected advanced stock markets. (2015). Sethapramote, Yuthana ; Jiranyakul, Komain ; Thakolsri, Supachok . In: MPRA Paper. RePEc:pra:mprapa:65901. Full description at Econpapers \|\| Download paper
2015	Futures hedging with basis risk and expectation dependence. (2015). Welzel, Peter ; Wong, Kit ; Broll, Udo . In: International Review of Economics. RePEc:spr:inrvec:v:62:y:2015:i:3:p:213-221. Full description at Econpapers \|\| Download paper
2015	Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach. (2015). Boubaker, Heni ; Sghaier, Nadia . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:254-265. Full description at Econpapers \|\| Download paper
2015	Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. (2015). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Taylor, A. M. Robert, . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:557-579. Full description at Econpapers \|\| Download paper
2015	The role of financial speculation in the energy future markets: A new time-varying coefficient approach. (2015). Park, Sung Y. ; Kim, Hyung-Gun ; Li, Haiqi . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:112-122. Full description at Econpapers \|\| Download paper
2015	A unit root model for trending time-series energy variables. (2015). Narayan, Paresh ; Liu, Ruipeng. In: Energy Economics. RePEc:eee:eneeco:v:50:y:2015:i:c:p:391-402. Full description at Econpapers \|\| Download paper
2015	The impact of inflation risk on forward trading and production. (2015). Wong, Kit ; Broll, Udo . In: Portuguese Economic Journal. RePEc:spr:portec:v:14:y:2015:i:1:p:65-73. Full description at Econpapers \|\| Download paper
2015	Modeling and predicting the market volatility index: The case of VKOSPI. (2015). Kutan, Ali ; Han, Heejoon ; Ryu, Doojin . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20157. Full description at Econpapers \|\| Download paper
2015	Are the KOSPI 200 implied volatilities useful in value-at-risk models?. (2015). Ryu, Doojin ; Kim, Jun Sik . In: Emerging Markets Review. RePEc:eee:ememar:v:22:y:2015:i:c:p:43-64. Full description at Econpapers \|\| Download paper
2015	Effects of the US stock market return and volatility on the VKOSPI. (2015). Kutan, Ali ; Han, Heejoon ; Ryu, Doojin . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201535. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	Forecasting the term structure of crude oil futures prices with neural networks. (2015). BarunÃÂk, Jozef ; Malinska, Barbora . In: Papers. RePEc:arx:papers:1504.04819. Full description at Econpapers \|\| Download paper
2015	Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Wong, Wing-Keung ; HOANG, Thi Hong Van ; Zhu, Zhenzhen . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211. Full description at Econpapers \|\| Download paper
2015	Is there a structural change in the persistence of WTIâBrent oil price spreads in the post-2010 period?. (2015). Huang, Zhuo ; Yi, Yanping ; Chen, Wei . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:64-71. Full description at Econpapers \|\| Download paper
2015	The role of financial speculation in the energy future markets: A new time-varying coefficient approach. (2015). Park, Sung Y. ; Kim, Hyung-Gun ; Li, Haiqi . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:112-122. Full description at Econpapers \|\| Download paper
2015	Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector. (2015). Tong, Bin ; Wu, Chongfeng ; Diao, Xundi . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:366-382. Full description at Econpapers \|\| Download paper
2015	Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets. (2015). Changqing, Luo ; Yan, Xu ; Cong, Yu ; Chi, Xie . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:657-671. Full description at Econpapers \|\| Download paper
2015	Are the KOSPI 200 implied volatilities useful in value-at-risk models?. (2015). Ryu, Doojin ; Kim, Jun Sik . In: Emerging Markets Review. RePEc:eee:ememar:v:22:y:2015:i:c:p:43-64. Full description at Econpapers \|\| Download paper
2015	FX funding risks and exchange rate volatility. (2015). Joo, Jack ; Park, Hail ; Yoon, Kyoungsoo . In: Emerging Markets Review. RePEc:eee:ememar:v:25:y:2015:i:c:p:163-175. Full description at Econpapers \|\| Download paper
2015	Interactions between oil and financial markets â Do conditions of financial stress matter?. (2015). Kao, Chung-Wei ; Wan, Jer-Yuh . In: Energy Economics. RePEc:eee:eneeco:v:52:y:2015:i:pa:p:160-175. Full description at Econpapers \|\| Download paper
2015	A cost-benefit analysis of alternatively fueled buses with special considerations for V2G technology. (2015). Shirazi, Yosef ; Knapp, Lauren ; Carr, Edward . In: Energy Policy. RePEc:eee:enepol:v:87:y:2015:i:c:p:591-603. Full description at Econpapers \|\| Download paper
2015	The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393. Full description at Econpapers \|\| Download paper
2015	Combining momentum with reversal in commodity futures. (2015). Bianchi, Robert J ; Fan, John Hua ; Drew, Michael E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:423-444. Full description at Econpapers \|\| Download paper
2015	Common deviation and regime-dependent dynamics in the index derivatives markets. (2015). Lee, Jaeram ; Ryu, Doojin ; Kang, Jangkoo . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:33:y:2015:i:c:p:1-22. Full description at Econpapers \|\| Download paper
2015	Phase transition phenomenon: A compound measure analysis. (2015). Song, Wonho ; Kang, Bo Soo ; Ryu, Doojin ; Park, Chanhi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:428:y:2015:i:c:p:383-395. Full description at Econpapers \|\| Download paper
2015	Production Risk and the Futures Price Risk Premium?. (2015). Misund, BÃÂ¥rd ; Asche, Frank ; Oglend, Atle . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2015_013. Full description at Econpapers \|\| Download paper
2015	The Spot-Forward Relationship in the Atlantic Salmon Market. (2015). Misund, BÃÂ¥rd ; Asche, Frank ; Oglend, Atle . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2015_016. Full description at Econpapers \|\| Download paper
2015	The Financial Econometrics of Price Discovery and Predictability. (2015). Smyth, Russell ; Narayan, Seema . In: Monash Economics Working Papers. RePEc:mos:moswps:2015-06. Full description at Econpapers \|\| Download paper
2015	Exchange rate fluctuations and the margins of exports. (2015). Sanderson, Lynda ; Fabling, Richard. In: Working Papers. RePEc:mtu:wpaper:15_05. Full description at Econpapers \|\| Download paper
2015	Exchange rate fluctuations and the margins of exports. (2015). Sanderson, Lynda ; Fabling, Richard. In: Treasury Working Paper Series. RePEc:nzt:nztwps:15/08. Full description at Econpapers \|\| Download paper
2015	Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market. (2015). Hossfeld, Oliver ; Rothig, Andreas . In: Discussion Papers. RePEc:zbw:bubdps:412015. Full description at Econpapers \|\| Download paper
2015	Modeling and predicting the market volatility index: The case of VKOSPI. (2015). Kutan, Ali ; Han, Heejoon ; Ryu, Doojin . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20157. Full description at Econpapers \|\| Download paper
2015	Effects of the US stock market return and volatility on the VKOSPI. (2015). Kutan, Ali ; Han, Heejoon ; Ryu, Doojin . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201535. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets. (2014). Heckelei, Thomas ; Grosche, Stephanie . In: Discussion Papers. RePEc:ags:ubfred:166079. Full description at Econpapers \|\| Download paper
2014	Price dynamics and financialization effects in corn futures markets with heterogeneous traders. (2014). Heckelei, Thomas ; Grosche, Stephanie . In: Discussion Papers. RePEc:ags:ubfred:172077. Full description at Econpapers \|\| Download paper
2014	Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers. (2014). Kalkuhl, Matthias ; Algieri, Bernardina . In: Discussion Papers. RePEc:ags:ubzefd:187159. Full description at Econpapers \|\| Download paper
2014	Liquidity 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. Full description at Econpapers \|\| Download paper
2014	A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities. (2014). Casarin, Roberto ; Leisen, Fabrizio ; Molina, German . In: Papers. RePEc:arx:papers:1409.1956. Full description at Econpapers \|\| Download paper
2014	What 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. Full description at Econpapers \|\| Download paper
2014	Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf336. Full description at Econpapers \|\| Download paper
2014	An optimal stochastic control framework for determining the cost of hedging of variable annuities. (2014). Vetzal, Kenneth ; Forsyth, Peter . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:44:y:2014:i:c:p:29-53. Full description at Econpapers \|\| Download paper
2014	Insider 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. Full description at Econpapers \|\| Download paper
2014	The 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. Full description at Econpapers \|\| Download paper
2014	Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps. (2014). Wong, Hoi Ying ; Chung, Shing Fung . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:44:y:2014:i:c:p:130-140. Full description at Econpapers \|\| Download paper
2014	The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production. (2014). Zhu, Zhen ; Linn, Scott ; Chiou-Wei, Song-Zan . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:42:y:2014:i:c:p:156-173. Full description at Econpapers \|\| Download paper
2014	Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises. (2014). demiralay, sercan ; Ulusoy, Veysel . In: MPRA Paper. RePEc:pra:mprapa:59727. Full description at Econpapers \|\| Download paper
2014	Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf913. Full description at Econpapers \|\| Download paper
2014	Price Impacts of Imperfect Collateralization. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf947. Full description at Econpapers \|\| Download paper
2014	. Full description at Econpapers \|\| Download paper
2014	Individual 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. Full description at Econpapers \|\| Download paper
2014	What 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. Full description at Econpapers \|\| Download paper
2014	Behavioral 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. Full description at Econpapers \|\| Download paper
2014	Decision 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	Modeling 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. Full description at Econpapers \|\| Download paper
2013	A substitution effect between price clustering and size clustering in credit default swaps. (2013). Verousis, Thanos ; ap Gwilym, Owain ; Meng, Lei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:24:y:2013:i:c:p:139-152. Full description at Econpapers \|\| Download paper
2013	VIX 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. Full description at Econpapers \|\| Download paper
2013	On the predictability of stock prices: A case for high and low prices. (2013). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146. Full description at Econpapers \|\| Download paper
2013	What 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. Full description at Econpapers \|\| Download paper
2013	Does FX Volatility Affect the Distributions of Commodity Futures Returns?. (2013). Grieb, Terrance . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:4:y:2013:i:4:p:1-10. Full description at Econpapers \|\| Download paper
2013	Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression. (2013). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Thomas, Lyn ; Taylor, James . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130020. Full description at Econpapers \|\| Download paper

Recent citations received in 2012

Year	Citing document
2012	Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets. (2012). Mallory, Mindy ; Trujillo-Barrera, Andres ; Garcia, Philip . In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:134275. Full description at Econpapers \|\| Download paper
2012	Multifractal 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. Full description at Econpapers \|\| Download paper
2012	A remark on Lin and Changs paper âConsistent modeling of S&P 500 and VIX derivativesâ. (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. Full description at Econpapers \|\| Download paper
2012	Rejoinder to a remark on Lin and Changs paper âConsistent modeling of S&P 500 and VIX derivativesâ. (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. Full description at Econpapers \|\| Download paper
2012	Optimal 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. Full description at Econpapers \|\| Download paper
2012	Downside risk and the energy hedgers horizon. (2012). cotter, john ; Conlon, Thomas . In: Working Papers. RePEc:ucd:wpaper:201219. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Energy Economics / Elsevier	39
2	Journal of Banking & Finance / Elsevier	32
3	Economic Modelling / Elsevier	25
4	International Review of Economics & Finance / Elsevier	21
5	Pacific-Basin Finance Journal / Elsevier	19
6	The North American Journal of Economics and Finance / Elsevier	18
7	MPRA Paper / University Library of Munich, Germany	17
8	Journal of Empirical Finance / Elsevier	17
9	Journal of Futures Markets / John Wiley & Sons, Ltd.	14
10	Emerging Markets Finance and Trade / Taylor & Francis Journals	13
11	International Review of Financial Analysis / Elsevier	12

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.