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

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

0.85

Impact Factor

0.79

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	10	0.18	91	99	2	263	9	2 (2.2%)			0.04
1991	0.01	0.09	0.02	57	112	7	0.06	179	104	1	264	4	5 (2.8%)			0.04
1992	0.02	0.09	0.05	53	165	30	0.18	127	112	2	268	13	4 (3.1%)			0.04
1993	0.02	0.1	0.01	63	228	13	0.06	235	110	2	264	2	9 (3.8%)			0.05
1994	0.03	0.11	0.04	48	276	18	0.07	119	116	4	277	11	2 (1.7%)	1	0.02	0.05
1995	0.04	0.2	0.04	44	320	35	0.11	238	111	4	276	10	8 (3.4%)	2	0.05	0.07
1996	0.12	0.23	0.09	50	370	44	0.12	449	92	11	265	23	6 (1.3%)			0.09
1997	0.1	0.27	0.11	45	415	62	0.15	141	94	9	258	29	1 (%)	1	0.02	0.09
1998	0.15	0.29	0.14	48	463	79	0.17	137	95	14	250	35	2 (1.5%)			0.1
1999	0.06	0.32	0.12	47	510	80	0.16	228	93	6	235	29	4 (1.8%)			0.13
2000	0.03	0.4	0.09	50	560	61	0.11	134	95	3	234	22	4 (3%)	1	0.02	0.15
2001	0.1	0.4	0.1	52	612	68	0.11	255	97	10	240	24	5 (2%)	1	0.02	0.15
2002	0.06	0.42	0.08	55	667	74	0.11	155	102	6	242	20	6 (3.9%)	2	0.04	0.18
2003	0.06	0.44	0.06	54	721	71	0.1	128	107	6	252	16	3 (2.3%)	1	0.02	0.19
2004	0.09	0.49	0.1	57	778	119	0.15	221	109	10	258	27	6 (2.7%)	2	0.04	0.2
2005	0.08	0.53	0.1	51	829	103	0.12	129	111	9	268	27	6 (4.7%)	3	0.06	0.21
2006	0.08	0.51	0.13	51	880	197	0.22	191	108	9	269	34	7 (3.7%)	2	0.04	0.2
2007	0.04	0.45	0.07	51	931	85	0.09	176	102	4	268	20	6 (3.4%)	1	0.02	0.18
2008	0.09	0.48	0.09	58	989	141	0.14	200	102	9	264	24	4 (2%)	1	0.02	0.2
2009	0.17	0.47	0.17	53	1042	159	0.15	150	109	18	268	46	3 (2%)			0.19
2010	0.1	0.45	0.14	56	1098	163	0.15	144	111	11	264	36	4 (2.8%)	3	0.05	0.16
2011	0.16	0.52	0.2	47	1145	220	0.19	160	109	17	269	53	2 (1.3%)			0.2
2012	0.16	0.55	0.14	50	1195	204	0.17	165	103	16	265	38	4 (2.4%)	6	0.12	0.2
2013	0.38	0.62	0.27	51	1246	324	0.26	105	97	37	264	71	5 (4.8%)	7	0.14	0.22
2014	0.46	0.64	0.33	58	1304	378	0.29	138	101	46	257	86	2 (1.4%)	21	0.36	0.21
2015	0.61	0.69	0.69	65	1369	927	0.68	116	109	66	262	181	1 (%)	22	0.34	0.22
2016	0.85	0.85	0.79	56	1425	1051	0.74	49	123	104	271	214	(%)	15	0.27	0.26

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	190
2	1996	The Fed funds futures rate as a predictor of federal reserve policy. (1996). Kuttner, Kenneth ; Krueger, Joel T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:865-879. Full description at Econpapers \|\| Download paper	67
3	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	56
4	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	50
5	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	48
6	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	46
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	45
8	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	39
9	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	32
10	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	31
11	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	30
12	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	30
13	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	29
14	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	29
15	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	28
16	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	28
17	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	27
18	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	26
19	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	26
20	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	26
21	2007	Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, Young Wook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668. Full description at Econpapers \|\| Download paper	25
22	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	25
23	1996	Detecting volatility changes across the oil sector. (1996). Inclan, Carla ; Wilson, Berry ; Aggarwal, Reena . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:3:p:313-330. Full description at Econpapers \|\| Download paper	24
24	1990	South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Melvin, Michael ; Sultan, Jahangir . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111. Full description at Econpapers \|\| Download paper	24
25	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	23
26	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	23
27	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	23
28	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	22
29	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	22
30	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	22
31	1999	Price discovery and volatility spillovers in the DJIA index and futures markets. (1999). Tse, Yiuman . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:911-930. Full description at Econpapers \|\| Download paper	21
32	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	21
33	2001	Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Bessler, David ; Leatham, David J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300. Full description at Econpapers \|\| Download paper	21
34	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	20
35	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	20
36	1993	Cointegration tests of the unbiased expectations hypothesis in metals markets. (1993). Krehbiel, Tim ; Adkins, Lee. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:753-763. Full description at Econpapers \|\| Download paper	20
37	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	20
38	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	20
39	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	20
40	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	19
41	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	19
42	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	19
43	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	19
44	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	18
45	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	18
46	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
47	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
48	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
49	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	17
50	2004	Explaining credit default swap premia. (2004). Benkert, Christoph . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:1:p:71-92. Full description at Econpapers \|\| Download paper	17

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	101
2	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	34
3	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	30
4	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	23
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	23
6	1990	South African political unrest, oil prices, and the time varying risk premium in the gold futures market. (1990). Melvin, Michael ; Sultan, Jahangir . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:10:y:1990:i:2:p:103-111. Full description at Econpapers \|\| Download paper	22
7	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	22
8	2007	Long memory models for daily and high frequency commodity futures returns. (2007). Song, Jeongseok ; Han, Young Wook ; Myers, Robert J. ; Baillie, Richard T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:7:p:643-668. Full description at Econpapers \|\| Download paper	19
9	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	19
10	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	19
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	19
12	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	18
13	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	18
14	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	17
15	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	16
16	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	16
17	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	16
18	1999	Price discovery and volatility spillovers in the DJIA index and futures markets. (1999). Tse, Yiuman . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:911-930. Full description at Econpapers \|\| Download paper	15
19	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
20	2006	An Nâfactor Gaussian model of oil futures prices. (2006). Cortazar, Gonzalo ; Naranjo, Lorenzo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:26:y:2006:i:3:p:243-268. Full description at Econpapers \|\| Download paper	13
21	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	13
22	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	13
23	2004	Natural gas prices and the gas storage report: Public news and volatility in energy futures markets. (2004). Zhu, Zhen ; Linn, Scott. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:3:p:283-313. Full description at Econpapers \|\| Download paper	13
24	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	13
25	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	12
26	2012	An empirical analysis of dynamic multiscale hedging using wavelet decomposition. (2012). cotter, john ; Conlon, Thomas . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:3:p:272-299. Full description at Econpapers \|\| Download paper	12
27	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	12
28	2009	Rolling over stock index futures contracts. (2009). Pardo, Angel ; Carchano, Oscar . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:7:p:684-694. Full description at Econpapers \|\| Download paper	12
29	2011	Volatility 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. Full description at Econpapers \|\| Download paper	12
30	2014	Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit. (2014). DA FONSECA, JosÃÂ© ; Zaatour, Riadh . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:6:p:548-579. Full description at Econpapers \|\| Download paper	11
31	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
32	2004	Explaining credit default swap premia. (2004). Benkert, Christoph . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:1:p:71-92. Full description at Econpapers \|\| Download paper	11
33	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	11
34	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	11
35	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	11
36	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
37	2009	A new information share measure. (2009). Lien, Donald ; Shrestha, Keshab . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395. Full description at Econpapers \|\| Download paper	10
38	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
39	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
40	2001	Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Bessler, David ; Leatham, David J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300. Full description at Econpapers \|\| Download paper	10
41	1999	VaR without correlations for portfolios of derivative securities. (1999). BaroneAdesi, Giovanni ; Vosper, Les ; Giannopoulos, Kostas . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:5:p:583-602. Full description at Econpapers \|\| Download paper	9
42	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
43	2013	Quantile Regression Analysis of the Asymmetric ReturnâVolatility Relation. (2013). Badshah, Ihsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:3:p:235-265. Full description at Econpapers \|\| Download paper	9
44	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	9
45	2015	Implied Pricing Kernels: An Alternative Approach for Option Valuation. (2015). Suh, Sangwon ; Ryu, Doojin ; Kang, Jangkoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:2:p:127-147. Full description at Econpapers \|\| Download paper	9
46	1996	Detecting volatility changes across the oil sector. (1996). Inclan, Carla ; Wilson, Berry ; Aggarwal, Reena . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:3:p:313-330. Full description at Econpapers \|\| Download paper	9
47	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	9
48	2010	The incremental value of a futures hedge using realized volatility. (2010). Sheu, HerJiun ; Lai, YuSheng . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:30:y:2010:i:9:p:874-896. Full description at Econpapers \|\| Download paper	9
49	2004	Price discovery in the hang seng index markets: Index, futures, and the tracker fund. (2004). So, Raymond W. ; Tse, Yiuman . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:9:p:887-907. Full description at Econpapers \|\| Download paper	9
50	1996	The Fed funds futures rate as a predictor of federal reserve policy. (1996). Kuttner, Kenneth ; Krueger, Joel T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:8:p:865-879. Full description at Econpapers \|\| Download paper	9

Citing documents used to compute impact factor 104:

Year	Title
2016	Firm-level effects of asymmetric intervention in foreign exchange markets: Evidence from the Swiss currency floor. (2016). Streit, Daniel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:289-312. Full description at Econpapers \|\| Download paper
2016	Swiss francs one-sided target zone during 2011â2015. (2016). Hui, Cho-Hoi ; Lo, Chi-Fai . In: International Review of Economics & Finance. RePEc:eee:reveco:v:44:y:2016:i:c:p:54-67. Full description at Econpapers \|\| Download paper
2016	Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions. (2016). SÃÂ¶derlind, Paul ; Pozdeev, Igor ; Mirkov, Nikola. In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:14. Full description at Econpapers \|\| Download paper
2016	Derivative markets in emerging economies: A survey. (2016). Atilgan, Yigit ; Simsek, Koray D ; Demirtas, Ozgur K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:88-102. Full description at Econpapers \|\| Download paper
2016	Concentrated Production and Conditional Heavy Tails in Commodity Returns. (2016). Merener, Nicolas. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:1:p:46-65. Full description at Econpapers \|\| Download paper
2016	Informed trading in oil-futures market. (2016). SÃÂ©vi, BenoÃÂ®t ; Rousse, O. In: Working Papers. RePEc:gbl:wpaper:2016-07. Full description at Econpapers \|\| Download paper
2016	Informed Trading in Oil-Futures Market. (2016). SÃÂ©vi, BenoÃÂ®t ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788. Full description at Econpapers \|\| Download paper
2016	Informed Trading in Oil-Futures Market. (2016). SÃÂ©vi, BenoÃÂ®t ; Rousse, Olivier . In: Working Papers. RePEc:fem:femwpa:2016.70. Full description at Econpapers \|\| Download paper
2016	Common dynamic factors in driving commodity prices: Implications of a generalized dynamic factor model. (2016). Kagraoka, Yusho . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:609-617. Full description at Econpapers \|\| Download paper
2016	The short-term persistence of international mutual fund performance. (2016). Uddin, Gazi ; Boubaker, Sabri ; Vidal, Marta ; Vidal-Garcia, Javier . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:926-938. Full description at Econpapers \|\| Download paper
2016	Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach. (2016). Lahiani, Amine ; HOANG, Thi Hong Van ; Heller, David ; van Hoang, Thi Hong . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:54-66. Full description at Econpapers \|\| Download paper
2016	Interpreting the movement of oil prices: Driven by fundamentals or bubbles?. (2016). Zhang, Yue-Jun ; Yao, Ting . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:226-240. Full description at Econpapers \|\| Download paper
2016	Gold returns: Do business cycle asymmetries matter? Evidence from an international country sample. (2016). Apergis, Nicholas ; Eleftheriou, Sofia . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:164-170. Full description at Econpapers \|\| Download paper
2016	The price impact of futures trades and their intraday seasonality. (2016). Webb, Robert I ; Han, Joongho ; Ryu, Doowon . In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:80-98. Full description at Econpapers \|\| Download paper
2016	The impact of investor sentiment on returns and conditional volatility in U.S. futures markets. (2016). Bahloul, Walid ; Bouri, Abdelfettah . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:36:y:2016:i:c:p:89-102. Full description at Econpapers \|\| Download paper
2016	Optimization of assigning passengers to seats on airplanes based on their carry-on luggage. (2016). Milne, John R ; Salari, Mostafa . In: Journal of Air Transport Management. RePEc:eee:jaitra:v:54:y:2016:i:c:p:104-110. Full description at Econpapers \|\| Download paper
2016	Hawkes-diffusion process and the conditional probability of defaults in the Eurozone. (2016). Park, Yuen Jung ; Ryu, Doojin ; Kim, Jungmu . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:449:y:2016:i:c:p:301-310. Full description at Econpapers \|\| Download paper
2016	Estimating relative price impact: The case of Brent and WTI. (2016). Karali, Berna ; Ye, Shiyu . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235728. Full description at Econpapers \|\| Download paper
2016	Information spillover dynamics of the energy futures market sector: A novel common factor approach. (2016). Kuruppuarachchi, Duminda ; Premachandra, I M. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:277-294. Full description at Econpapers \|\| Download paper
2016	Pricing effects when competitors arrive: The case of discount certificates in Germany. (2016). Schertler, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:84-99. Full description at Econpapers \|\| Download paper
2016	Market makersâ optimal price-setting policy for exchange-traded certificates. (2016). Wilkens, Marco ; Entrop, Oliver ; Baller, Stefanie ; McKenzie, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:206-226. Full description at Econpapers \|\| Download paper
2016	Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374. Full description at Econpapers \|\| Download paper
2016	Time-varying savingâinvestment relationship and the FeldsteinâHorioka puzzle. (2016). Ma, Wei ; Li, Haiqi . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:166-178. Full description at Econpapers \|\| Download paper
2016	Long memory and structural change in the G7 inflation dynamics. (2016). Belkhouja, Mustapha ; Mootamri, Imene . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:450-462. Full description at Econpapers \|\| Download paper
2016	Can consumer price index predict gold price returns?. (2016). Sharma, Susan. In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:269-278. Full description at Econpapers \|\| Download paper
2016	Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa. In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173. Full description at Econpapers \|\| Download paper
2016	Global financial conditions and asset markets: Evidence from fragile emerging economies. (2016). Yildirim, Zekeriya. In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:208-220. Full description at Econpapers \|\| Download paper
2016	Do oil producing countries offer international diversification benefits? Evidence from GCC countries. (2016). Charfeddine, Lanouar ; Mimouni, Karim . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:263-280. Full description at Econpapers \|\| Download paper
2016	Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach. (2016). Bekiros, Stelios ; Boubaker, Sabri ; Avdoulas, Christos . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:580-587. Full description at Econpapers \|\| Download paper
2016	How does Germanys green energy policy affect electricity market volatility? An application of conditional autoregressive range models. (2016). Auer, Benjamin R. In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:621-628. Full description at Econpapers \|\| Download paper
2016	Long-short commodity investing: A review of the literature. (2016). Miffre, Joelle . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:1:y:2016:i:1:p:3-13. Full description at Econpapers \|\| Download paper
2016	Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03. Full description at Econpapers \|\| Download paper
2016	Profitability of return and sentiment-based investment strategies in US futures markets. (2016). Bahloul, Walid ; Bouri, Abdelfettah . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:254-270. Full description at Econpapers \|\| Download paper
2016	Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market. (2016). Hossfeld, Oliver ; Rothig, Andreas . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:218-225. Full description at Econpapers \|\| Download paper
2016	The impact of speculation on commodity futures markets â A review of the findings of 100 empirical studies. (2016). Zimmermann, Heinz ; Haase, Marco . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:3:y:2016:i:1:p:1-15. Full description at Econpapers \|\| Download paper
2016	Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty. (2016). Robe, Michel ; Wallen, Jonathan ; Covindassamy, Genevre. In: IDB Publications (Working Papers). RePEc:idb:brikps:8588. Full description at Econpapers \|\| Download paper
2016	Commodities momentum: A behavioral perspective. (2016). Bianchi, Robert ; Fan, John Hua ; Drew, Michael E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:133-150. Full description at Econpapers \|\| Download paper
2016	Ambiguity and the multinational firm. (2016). Wong, Kit Pong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:43:y:2016:i:c:p:404-414. Full description at Econpapers \|\| Download paper
2016	Intertemporal abatement decisions under ambiguity aversion in a cap and trade. (2016). Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1604. Full description at Econpapers \|\| Download paper
2016	Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries. (2016). HÃÂ¤rdle, Wolfgang ; Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-001. Full description at Econpapers \|\| Download paper
2016	Volatility Discovery. (2016). Dias, Gustavo Fruet ; Scherrer, Cristina M ; Papailias, Fotis . In: CREATES Research Papers. RePEc:aah:create:2016-07. Full description at Econpapers \|\| Download paper
2016	Forecasting the term structure of crude oil futures prices with neural networks. (2016). BarunÃÂk, Jozef ; Malinska, Barbora ; Barunik, Jozef . In: Applied Energy. RePEc:eee:appene:v:164:y:2016:i:c:p:366-379. Full description at Econpapers \|\| Download paper
2016	Is the refining margin stationary?. (2016). Poblacion, Javier ; Serna, Gregorio . In: International Review of Economics & Finance. RePEc:eee:reveco:v:44:y:2016:i:c:p:169-186. Full description at Econpapers \|\| Download paper
2016	Explosive oil prices. (2016). Gronwald, Marc . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:1-5. Full description at Econpapers \|\| Download paper
2016	Does the presence of a mannequin head change shopping behavior?. (2016). Grewal, Dhruv ; Lindstrom, Annika ; Berg, Hanna ; Nordfalt, Jens ; Roggeveen, Anne L. In: Journal of Business Research. RePEc:eee:jbrese:v:69:y:2016:i:2:p:517-524. Full description at Econpapers \|\| Download paper
2016	Content-Marketing-Strategien in der Unternehmenspraxis: Eine empirische Analyse. (2016). Riekhof, Hans-Christian ; Jacobi, Teresa . In: PFH Forschungspapiere/Research Papers. RePEc:zbw:pfhrps:201601. Full description at Econpapers \|\| Download paper
2016	Powering production. The case of the sisal fibre production in the Tanga region, Tanzania. (2016). Andreoni, Antonio ; Nerini, Francesco Fuso ; Bauner, David ; Howells, Mark . In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:544-556. Full description at Econpapers \|\| Download paper
2016	How exporters set prices: evidence from a large behavioural survey. (2016). Parker, Miles. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2016/01. Full description at Econpapers \|\| Download paper
2016	How exporters set prices: evidence from a large behavioural survey. (2016). Parker, Miles. In: Working Paper Series. RePEc:ecb:ecbwps:20161974. Full description at Econpapers \|\| Download paper
2016	Overseas market shocks and VKOSPI dynamics: A Markov-switching approach. (2016). Song, Wonho ; Webb, Robert I ; Ryu, Doojin . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:275-282. Full description at Econpapers \|\| Download paper
2016	Trade duration, informed trading, and option moneyness. (2016). Park, Seongkyu (Gilbert) ; Chung, Kee H ; Ryu, Doojin . In: International Review of Economics & Finance. RePEc:eee:reveco:v:44:y:2016:i:c:p:395-411. Full description at Econpapers \|\| Download paper
2016	Common and Fundamental Risk Factors in Shareholder Returns of Norwegian Salmon Producing Companies. (2016). Misund, BÃÂ¥rd. In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2016_017. Full description at Econpapers \|\| Download paper
2016	The relationship between input-factor and output prices in commodity industries: The case of Norwegian salmon aquaculture. (2016). Oglend, Atle ; Asche, Frank . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:1:y:2016:i:1:p:35-47. Full description at Econpapers \|\| Download paper
2016	Determinants of the Atlantic salmon futures risk premium. (2016). Misund, BÃÂ¥rd ; Oglend, Atle ; Asche, Frank . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:2:y:2016:i:1:p:6-17. Full description at Econpapers \|\| Download paper
2016	Asymmetries of the intraday return-volatility relation. (2016). Frijns, Bart ; Badshah, Ihsan ; Tourani-Rad, Alireza ; Knif, Johan . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:182-192. Full description at Econpapers \|\| Download paper
2016	Derivative markets in emerging economies: A survey. (2016). Atilgan, Yigit ; Simsek, Koray D ; Demirtas, Ozgur K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:88-102. Full description at Econpapers \|\| Download paper
2016	Distilling private information from plain-vanilla options to predict future underlying stock price volatility: Evidence from the H-shares of Chinese banks. (2016). Koutmos, Dimitrios . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:391-405. Full description at Econpapers \|\| Download paper
2016	Trading activity and price behavior in Chinese agricultural futures markets. (2016). Wang, Xiaolin ; Zhao, Feng ; Ye, Qiang . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:52-59. Full description at Econpapers \|\| Download paper
2016	Exogenous shocks and the spillover effects between uncertainty and oil price. (2016). Li, Lei ; Zhou, Yimin ; Yin, Libo. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:224-234. Full description at Econpapers \|\| Download paper
2016	Optimal search for parameters in Monte Carlo simulation for derivative pricing. (2016). Wang, Chuan-Ju ; Kao, Ming-Yang . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:683-690. Full description at Econpapers \|\| Download paper
2016	Price Jump Risk in the US Housing Market. (2016). Zhang, Jin ; Yang, Jian ; Webb, Robert I. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:53:y:2016:i:1:d:10.1007_s11146-015-9518-z. Full description at Econpapers \|\| Download paper
2016	Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model. (2016). Nicolas Langren'e, ; Zhu, Zili ; Lee, Geoffrey . In: Papers. RePEc:arx:papers:1507.02847. Full description at Econpapers \|\| Download paper
2016	Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data. (2016). Kyungsub, Lee . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:1:p:19-36:n:3. Full description at Econpapers \|\| Download paper
2016	Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?. (2016). Chang, Kuang-Liang . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:72-87. Full description at Econpapers \|\| Download paper
2016	The U.S. Role in the Price Determination of Major Agricultural Commodities. (2016). Nigatu, Getachew ; Adjemian, Michael. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:236045. Full description at Econpapers \|\| Download paper
2016	The U.S. Role in the Price Determination of Major Agricultural Commodities. (2016). Nigatu, Getachew ; Adjemian, Michael. In: 2017 Allied Social Science Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois. RePEc:ags:assa17:250119. Full description at Econpapers \|\| Download paper
2016	Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions. (2016). Yang, Ann Shawing . In: Emerging Markets Review. RePEc:eee:ememar:v:28:y:2016:i:c:p:140-154. Full description at Econpapers \|\| Download paper
2016	The Relation between Return and Volatility in ETFs Traded in Borsa Istanbul: Is there any Difference between Islamic and Conventional ETFs?. (2016). Hassan, M. Kabir ; Kayhana, Selim ; Bayatb, Tayfur . In: Islamic Economic Studies. RePEc:ris:isecst:0157. Full description at Econpapers \|\| Download paper
2016	Asymmetries of the intraday return-volatility relation. (2016). Frijns, Bart ; Badshah, Ihsan ; Tourani-Rad, Alireza ; Knif, Johan . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:182-192. Full description at Econpapers \|\| Download paper
2016	An approximation method for pricing barrier options under multi-dimensional diffusion models. (2016). Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf397. Full description at Econpapers \|\| Download paper
2016	Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty. (2016). Robe, Michel ; Wallen, Jonathan ; Covindassamy, Genevre. In: IDB Publications (Working Papers). RePEc:idb:brikps:8588. Full description at Econpapers \|\| Download paper
2016	Optimal conditional hedge ratio: A simple shrinkage estimation approach. (2016). Park, Sung Y. ; Kim, Myeong Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:139-156. Full description at Econpapers \|\| Download paper
2016	Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69. Full description at Econpapers \|\| Download paper
2016	A self-exciting threshold jumpâdiffusion model for option valuation. (2016). Siu, Tak Kuen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:168-193. Full description at Econpapers \|\| Download paper
2016	Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. (2016). Song, Andrew ; Ignatieva, Katja ; Ziveyi, Jonathan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:286-300. Full description at Econpapers \|\| Download paper
2016	Optimal hedging in carbon emission markets using Markov regime switching models. (2016). Shi, Yukun ; Philip, Dennis . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:1-15. Full description at Econpapers \|\| Download paper
2016	Pricing vulnerable options with stochastic default barriers. (2016). Wang, Xingchun . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:305-313. Full description at Econpapers \|\| Download paper
2016	Valuation and risk assessment of participating life insurance in the presence of credit risk. (2016). Eckert, Johanna ; Martin, Michael ; Gatzert, Nadine . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:382-393. Full description at Econpapers \|\| Download paper
2016	Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market. (2016). Gil-Alana, Luis ; Chen, Zhongfei ; Barros, Carlos P. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1063-3. Full description at Econpapers \|\| Download paper
2016	Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi. (2016). Yang, Jian ; Wang, Zijun . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:7:p:695-718. Full description at Econpapers \|\| Download paper
2016	Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach. (2016). Hou, Yang ; Li, Steven . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:884-897. Full description at Econpapers \|\| Download paper
2016	Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Zhang, Wenjun . In: Papers. RePEc:arx:papers:1610.09714. Full description at Econpapers \|\| Download paper
2016
2016	Market makersâ optimal price-setting policy for exchange-traded certificates. (2016). Wilkens, Marco ; Entrop, Oliver ; Baller, Stefanie ; McKenzie, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:206-226. Full description at Econpapers \|\| Download paper
2016	Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:183-218. Full description at Econpapers \|\| Download paper
2016	Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0282-y. Full description at Econpapers \|\| Download paper
2016	Detection of intensity bursts using Hawkes processes: an application to high frequency financial data. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1610.05383. Full description at Econpapers \|\| Download paper
2016	Do Investors Buy Lotteries in ChinaÃ¢â¬â¢s Stock Market?. (2016). Liang, YU ; Zhang, Weiqiang . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:6:y:2016:i:5:f:6_5_5. Full description at Econpapers \|\| Download paper
2016	Latency reduction and market quality: The case of the Australian Stock Exchange. (2016). Murray, Hamish ; Singh, Harminder ; Pham, Thu Phuong. In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:257-265. Full description at Econpapers \|\| Download paper
2016	Risk Premia and Seasonality in Commodity Futures. (2016). Sola, Martin ; Petrella, Ivan ; Hevia, Constantino . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11169. Full description at Econpapers \|\| Download paper
2016	Risk premia and seasonality in commodity futures. (2016). Sola, Martin ; Petrella, Ivan ; Hevia, Constantino . In: Bank of England working papers. RePEc:boe:boeewp:0591. Full description at Econpapers \|\| Download paper
2016	Does the S&P500 index lead the crude oil dynamics? A complexity-based approach. (2016). Kyrtsou, Catherine ; Papana, Angeliki ; Mikropoulou, Christina . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:239-246. Full description at Econpapers \|\| Download paper
2016	The Role of El NiÃ±o Southern Oscillation in Commodity Price Movement and Predictability. (2016). Ubilava, David. In: Working Papers. RePEc:syd:wpaper:2016-10. Full description at Econpapers \|\| Download paper
2016	The exceedance and cross-correlations between the gold spot and futures markets. (2016). Jiang, Wei ; Ruan, Qingsong ; Huang, Ying. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:463:y:2016:i:c:p:139-151. Full description at Econpapers \|\| Download paper
2016	Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets. (2016). Triandaru, Sigit ; Handika, Rangga . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-04-19. Full description at Econpapers \|\| Download paper
2016	The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36. Full description at Econpapers \|\| Download paper
2016	EMERGING ECONOMIES BUSINESS CYCLES: THE ROLE OF THE TERMS OF TRADE REVISITED. (2016). Vicondoa, Alejandro ; Pappa, Evi ; Ben Zeev, Nadav ; Ben-Zeev, Nadav . In: Working Papers. RePEc:bgu:wpaper:1610. Full description at Econpapers \|\| Download paper
2016	Informed trading in oil-futures market. (2016). SÃÂ©vi, BenoÃÂ®t ; Rousse, O. In: Working Papers. RePEc:gbl:wpaper:2016-07. Full description at Econpapers \|\| Download paper
2016	Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach. (2016). Ergen, Ibrahim ; Rizvanoghlu, Islam . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:64-74. Full description at Econpapers \|\| Download paper
2016	The informational content of inventory announcements: Intraday evidence from crude oil futures market. (2016). Karali, Berna ; Ye, Shiyu . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:349-364. Full description at Econpapers \|\| Download paper
2016	Informed Trading in Oil-Futures Market. (2016). SÃÂ©vi, BenoÃÂ®t ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788. Full description at Econpapers \|\| Download paper
2016	Informed Trading in Oil-Futures Market. (2016). SÃÂ©vi, BenoÃÂ®t ; Rousse, Olivier . In: Working Papers. RePEc:fem:femwpa:2016.70. Full description at Econpapers \|\| Download paper
2016	Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach. (2016). Misund, BÃÂ¥rd ; Oglend, Atle . In: Energy. RePEc:eee:energy:v:111:y:2016:i:c:p:178-189. Full description at Econpapers \|\| Download paper
2016	Revisiting the long memory dynamics of the impliedârealized volatility relationship: New evidence from the wavelet regression. (2016). BarunÃÂk, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2016

Year	Citing document
2016	Intertemporal abatement decisions under ambiguity aversion in a cap and trade. (2016). Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1604. Full description at Econpapers \|\| Download paper
2016	Short selling constraints and stock returns volatility: empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:4516. Full description at Econpapers \|\| Download paper
2016	Forecasting volatility of wind power production. (2016). Shen, Zhiwei ; Ritter, Matthias. In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308. Full description at Econpapers \|\| Download paper
2016	Gold and silver manipulation: What can be empirically verified?. (2016). Batten, Jonathan ; Lucey, Brian M. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:168-176. Full description at Econpapers \|\| Download paper
2016	Short selling constraints and stock returns volatility: Empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:159-166. Full description at Econpapers \|\| Download paper
2016	Considering all microstructure effects: The extension of a trade indicator model. (2016). Ryu, Doojin . In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:107-110. Full description at Econpapers \|\| Download paper
2016	Optimal conditional hedge ratio: A simple shrinkage estimation approach. (2016). Park, Sung Y. ; Kim, Myeong Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:139-156. Full description at Econpapers \|\| Download paper
2016	The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market. (2016). Luo, Xingguo ; Ye, Zinan ; Qin, Shihua . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:105-111. Full description at Econpapers \|\| Download paper
2016	Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339. Full description at Econpapers \|\| Download paper
2016	Further evidence on the relationship between spot and futures prices. (2016). Fernandez, Viviana. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:368-371. Full description at Econpapers \|\| Download paper
2016	Extreme risk spillover effects in world gold markets and the global financial crisis. (2016). Wang, Gang-Jin ; Stanley, Eugene H ; Jiang, Zhi-Qiang ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:46:y:2016:i:c:p:55-77. Full description at Econpapers \|\| Download paper
2016	Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty. (2016). Robe, Michel ; Wallen, Jonathan ; Covindassamy, Genevre. In: IDB Publications (Working Papers). RePEc:idb:brikps:8588. Full description at Econpapers \|\| Download paper
2016	Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105. Full description at Econpapers \|\| Download paper
2016	Price Discovery in the Chinese Gold Market. (2016). Wang, Jianxin ; Li, Youwei ; Jin, Muzhao ; Yang, Yung Chiang . In: MPRA Paper. RePEc:pra:mprapa:71135. Full description at Econpapers \|\| Download paper
2016	The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:80163. Full description at Econpapers \|\| Download paper

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). Zhenzhen, Zhu ; 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 ; 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 ; Horst, Enrique Ter ; Molina, German ; Leisen, Fabrizio . 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	Understanding recent oil price dynamics: A novel empirical approach. (2014). Montalbano, Pierluigi ; Magrini, Emiliano ; Triulzi, Umberto ; D'Ecclesia, Rita L.. In: Energy Economics. RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s11-s17. 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). Ulusoy, Veysel ; demiralay, sercan. 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

10 most frequent citing series

#	Series	Cites
1	Energy Economics / Elsevier	60
2	Journal of Banking & Finance / Elsevier	38
3	Economic Modelling / Elsevier	28
4	MPRA Paper / University Library of Munich, Germany	25
5	International Review of Economics & Finance / Elsevier	25
6	The North American Journal of Economics and Finance / Elsevier	22
7	Journal of Empirical Finance / Elsevier	22
8	International Review of Financial Analysis / Elsevier	22
9	Journal of Futures Markets / John Wiley & Sons, Ltd.	19
10	Papers / arXiv.org	19
11	Pacific-Basin Finance Journal / Elsevier	19

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.